KGRN vs. KMLM
KGRN (KraneShares MSCI China Clean Technology Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KGRN is a China Equities fund tracking the MSCI China IMI Environment 10/40 Index, while KMLM is a Long-Short fund actively managed by CICC. KGRN is passively managed, while KMLM is actively managed. Over the past 5 years, KGRN returned -7.84%/yr vs 4.13%/yr for KMLM. At a correlation of -0.07, they often move in opposite directions. KGRN charges 0.79%/yr vs 0.90%/yr for KMLM.
Performance
KGRN vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, KGRN achieves a 0.04% return, which is significantly lower than KMLM's 9.75% return.
KGRN
- 1D
- -0.84%
- 1M
- -6.12%
- YTD
- 0.04%
- 6M
- -2.21%
- 1Y
- 4.70%
- 3Y*
- 2.68%
- 5Y*
- -7.84%
- 10Y*
- —
KMLM
- 1D
- -0.94%
- 1M
- -3.49%
- YTD
- 9.75%
- 6M
- 12.48%
- 1Y
- 12.78%
- 3Y*
- -0.84%
- 5Y*
- 4.13%
- 10Y*
- —
KGRN vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KGRN KraneShares MSCI China Clean Technology Index ETF | 0.04% | 21.45% | -1.11% | -14.75% | -40.45% | 5.91% | 11.78% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.75% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between KGRN and KMLM is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.07 |
The correlation between KGRN and KMLM shifts across timeframes, from -0.08 (5 years) to 0.04 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
KGRN vs. KMLM — Risk / Return Rank
KGRN
KMLM
KGRN vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KraneShares MSCI China Clean Technology Index ETF (KGRN) and KFA Mount Lucas Index Strategy ETF (KMLM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| KGRN | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.92 | ||
| Sortino ratioReturn per unit of downside risk | -1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.20 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 0.27 | 2.04 | -1.76 |
| Martin ratioReturn relative to average drawdown | 0.46 | 6.60 | -6.13 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| KGRN | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.20 | 1.12 | -0.92 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.23 | 0.28 | -0.51 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.07 | 0.48 | -0.41 |
Drawdowns
KGRN vs. KMLM - Drawdown Comparison
The maximum KGRN drawdown since its inception was -66.24%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KGRN and KMLM.
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Drawdown Indicators
| KGRN | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -66.24% | -27.47% | -38.77% |
Max Drawdown (1Y)Largest decline over 1 year | -17.26% | -6.30% | -10.96% |
Max Drawdown (3Y)Largest decline over 3 years | -42.19% | -22.28% | -19.91% |
Max Drawdown (5Y)Largest decline over 5 years | -63.60% | -27.47% | -36.13% |
Current DrawdownCurrent decline from peak | -47.62% | -14.42% | -33.20% |
Average DrawdownAverage peak-to-trough decline | -33.96% | -12.74% | -21.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.13% | 1.94% | +8.19% |
Volatility
KGRN vs. KMLM - Volatility Comparison
KraneShares MSCI China Clean Technology Index ETF (KGRN) has a higher volatility of 7.36% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.53%. This indicates that KGRN's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KGRN | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.36% | 4.53% | +2.83% |
Volatility (6M)Calculated over the trailing 6-month period | 15.12% | 9.68% | +5.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.05% | 11.45% | +11.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 34.75% | 14.62% | +20.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.86% | 14.73% | +18.13% |
KGRN vs. KMLM - Expense Ratio Comparison
KGRN has a 0.79% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
KGRN vs. KMLM - Dividend Comparison
KGRN's dividend yield for the trailing twelve months is around 0.85%, less than KMLM's 4.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
KGRN KraneShares MSCI China Clean Technology Index ETF | 0.85% | 0.85% | 1.49% | 0.74% | 1.98% | 0.41% | 0.01% | 5.88% | 2.04% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.58% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
KGRN and KMLM have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KGRN has higher volatility (7.36%) compared to KMLM (4.53%). In terms of maximum drawdown, KGRN dropped -66.24% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.13% vs -7.84% for KGRN. On fees, KGRN is cheaper at 0.79% per year. On volatility, KMLM has been the lower-risk option at 4.53%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 4.13% return vs -7.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KGRN is cheaper with a 0.79% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.58%, compared with 0.85% for KGRN.
KGRN is categorized as China Equities, while KMLM is Long-Short. Their fees differ too: 0.79% for KGRN and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.12 vs 0.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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