KMLI vs. KMLM

Last updated Jul 17, 2026

KMLI (KraneShares 2x Long MELI Daily ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KMLI is a Leveraged Equities fund actively managed by KraneShares, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. KMLI is actively managed, while KMLM is passively managed. Over the past year, KMLI returned -56.04% vs 14.25% for KMLM. At a correlation of -0.07, they often move in opposite directions. KMLI charges 1.26%/yr vs 0.90%/yr for KMLM.

Performance

KMLI vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KraneShares 2x Long MELI Daily ETF (KMLI) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLI achieves a -28.41% return, which is significantly lower than KMLM's 11.60% return.

KMLI

• 1D: 1.44%
• 1M: 20.50%
• 6M: -32.99%
• YTD: -28.41%
• 1Y: -56.04%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: 0.45%
• 1M: 4.38%
• 6M: 8.95%
• YTD: 11.60%
• 1Y: 14.25%
• 3Y*: -0.51%
• 5Y*: 5.56%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

KMLI vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025
KMLI KraneShares 2x Long MELI Daily ETF	-28.41%	-38.14%
KMLM KFA Mount Lucas Index Strategy ETF	11.60%	4.02%

Correlation

The correlation between KMLI and KMLM is -0.08, 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	-0.08
Correlation (All Time) Calculated using the full available price history since Jun 12, 2025	-0.07

Return for Risk

KMLI vs. KMLM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

KMLI

KMLI Risk / Return Rank: 3
KMLI Sharpe Ratio Rank: 4
KMLI Sortino Ratio Rank: 4
KMLI Omega Ratio Rank: 4
KMLI Calmar Ratio Rank: 3
KMLI Martin Ratio Rank: 3

KMLM

KMLM Risk / Return Rank: 39
KMLM Sharpe Ratio Rank: 42
KMLM Sortino Ratio Rank: 40
KMLM Omega Ratio Rank: 41
KMLM Calmar Ratio Rank: 35
KMLM Martin Ratio Rank: 37

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

KMLI vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares 2x Long MELI Daily ETF (KMLI) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	KMLI	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	-0.71	1.25	-1.96
Sortino ratio: Return per unit of downside risk	-0.81	1.74	-2.55
Omega ratio: Gain probability vs. loss probability	0.89	1.23	-0.33
Calmar ratio: Return relative to maximum drawdown	-0.81	1.49	-2.30
Martin ratio: Return relative to average drawdown	-1.25	4.68	-5.93

KMLI vs. KMLM - Sharpe Ratio Comparison

The current KMLI Sharpe Ratio is -0.71, which is lower than the KMLM Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of KMLI and KMLM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

KMLI vs. KMLM - Drawdown Comparison

The maximum KMLI drawdown since its inception was -73.23%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KMLI and KMLM.

Drawdown Indicators

	KMLI	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-73.23%	-27.47%	-45.76%
Max Drawdown (1Y) Largest decline over 1 year	-69.49%	-9.61%	-59.88%
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-63.16%	-12.98%	-50.18%
Average Drawdown Average peak-to-trough decline	-43.67%	-12.79%	-30.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	44.81%	3.05%	+41.76%

Volatility

KMLI vs. KMLM - Volatility Comparison

KraneShares 2x Long MELI Daily ETF (KMLI) has a higher volatility of 17.99% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.71%. This indicates that KMLI'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.

Volatility by Period

	KMLI	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	17.99%	3.71%	+14.28%
Volatility (6M) Calculated over the trailing 6-month period	60.32%	10.11%	+50.21%
Volatility (1Y) Calculated over the trailing 1-year period	79.27%	11.50%	+67.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	77.86%	14.57%	+63.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	77.86%	14.68%	+63.18%

KMLI vs. KMLM - Expense Ratio Comparison

KMLI has a 1.26% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

KMLI vs. KMLM - Dividend Comparison

KMLI's dividend yield for the trailing twelve months is around 14.85%, more than KMLM's 4.50% yield.

Position	TTM	2025	2024	2023	2022	2021
KMLI KraneShares 2x Long MELI Daily ETF	14.85%	10.63%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.50%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLI and KMLM in my portfolio?

KMLI and KMLM have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KMLI or KMLM?

KMLI has higher volatility (17.99%) compared to KMLM (3.71%). In terms of maximum drawdown, KMLI dropped -73.23% vs KMLM's -27.47%.

Which ETF is better, KMLI or KMLM?

On 1-year performance, KMLM leads with 14.25% vs -56.04% for KMLI. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 3.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLI or KMLM?

Over the 1-year period, KMLM has performed better with a 14.25% return vs -56.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLI or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 1.26% for KMLI.

Which ETF pays a higher dividend yield, KMLI or KMLM?

KMLI has the higher dividend yield at 14.85%, compared with 4.50% for KMLM.

What is the main difference between KMLI and KMLM?

KMLI is categorized as Leveraged Equities, while KMLM is Systematic Trend. Their fees differ too: 1.26% for KMLI and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.25 vs -0.71), 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.