KMLM vs. CMDT

Last updated Jun 3, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and CMDT (PIMCO Commodity Strategy Active Exchange-Traded Fund) are both exchange-traded funds - KMLM is a Long-Short fund actively managed by CICC, while CMDT is a Commodities fund tracking the Bloomberg Roll Select Commodity Total Return Index. KMLM is actively managed, while CMDT is passively managed. Over the past 3 years, KMLM returned -0.53%/yr vs 16.91%/yr for CMDT. At a 0.13 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.65%/yr for CMDT.

Performance

KMLM vs. CMDT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 10.60% return, which is significantly lower than CMDT's 24.00% return.

KMLM

• 1D: 0.53%
• 1M: -2.15%
• YTD: 10.60%
• 6M: 13.52%
• 1Y: 12.84%
• 3Y*: -0.53%
• 5Y*: 4.37%
• 10Y*: —

CMDT

• 1D: 0.27%
• 1M: 0.27%
• YTD: 24.00%
• 6M: 24.49%
• 1Y: 36.00%
• 3Y*: 16.91%
• 5Y*: —
• 10Y*: —

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

KMLM vs. CMDT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
KMLM KFA Mount Lucas Index Strategy ETF	10.60%	-2.98%	-1.69%	-6.82%
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund	24.00%	12.78%	6.93%	5.50%

Correlation

The correlation between KMLM and CMDT is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.15
Correlation (All Time) Calculated using the full available price history since May 11, 2023	0.13

Over the past year, KMLM and CMDT have become more correlated (0.41) than their long-term average of 0.13, meaning their price movements have been converging.

Return for Risk

KMLM vs. CMDT — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 31
KMLM Sortino Ratio Rank: 30
KMLM Omega Ratio Rank: 31
KMLM Calmar Ratio Rank: 44
KMLM Martin Ratio Rank: 44

CMDT

CMDT Risk / Return Rank: 89
CMDT Sharpe Ratio Rank: 87
CMDT Sortino Ratio Rank: 86
CMDT Omega Ratio Rank: 83
CMDT Calmar Ratio Rank: 95
CMDT Martin Ratio Rank: 92

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.

KMLM vs. CMDT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT). 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.

	KMLM	CMDT	Difference
Sharpe ratio Return per unit of total volatility	1.13	2.93	-1.80
Sortino ratio Return per unit of downside risk	1.59	3.94	-2.35
Omega ratio Gain probability vs. loss probability	1.20	1.51	-0.30
Calmar ratio Return relative to maximum drawdown	2.22	8.53	-6.31
Martin ratio Return relative to average drawdown	7.31	23.68	-16.37
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KMLM vs. CMDT - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.13, which is lower than the CMDT Sharpe Ratio of 2.93. The chart below compares the historical Sharpe Ratios of KMLM and CMDT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	KMLM	CMDT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.13	2.93	-1.80
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	1.32	-0.83

Drawdowns

KMLM vs. CMDT - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than CMDT's maximum drawdown of -9.69%. Use the drawdown chart below to compare losses from any high point for KMLM and CMDT.

Drawdown Indicators

	KMLM	CMDT	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-9.69%	-17.78%
Max Drawdown (1Y) Largest decline over 1 year	-6.30%	-4.49%	-1.81%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-9.69%	-12.59%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-13.76%	-2.83%	-10.93%
Average Drawdown Average peak-to-trough decline	-12.74%	-2.69%	-10.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.91%	1.62%	+0.29%

Volatility

KMLM vs. CMDT - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) and PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) have volatilities of 4.49% and 4.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	CMDT	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.49%	4.42%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	9.64%	10.31%	-0.67%
Volatility (1Y) Calculated over the trailing 1-year period	11.46%	12.44%	-0.98%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.62%	12.22%	+2.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.74%	12.22%	+2.52%

KMLM vs. CMDT - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than CMDT's 0.65% expense ratio.

Dividends

KMLM vs. CMDT - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.54%, more than CMDT's 2.44% yield.

Position	TTM	2025	2024	2023	2022	2021
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund	2.44%	3.04%	8.80%	2.71%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.54%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and CMDT in my portfolio?

KMLM and CMDT have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KMLM or CMDT?

KMLM has higher volatility (4.49%) compared to CMDT (4.42%). In terms of maximum drawdown, KMLM dropped -27.47% vs CMDT's -9.69%.

Which ETF is better, KMLM or CMDT?

On 3-year performance, CMDT leads with 16.91% vs -0.53% for KMLM. On fees, CMDT is cheaper at 0.65% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or CMDT?

Over the 3-year period, CMDT has performed better with a 16.91% return vs -0.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or CMDT?

CMDT is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.54%, compared with 2.44% for CMDT.

What is the main difference between KMLM and CMDT?

KMLM is categorized as Long-Short, while CMDT is Commodities. They also come from different issuers: CICC and PIMCO. Their fees differ too: 0.90% for KMLM and 0.65% for CMDT.

Which has better risk-adjusted returns?

CMDT currently has the higher Sharpe Ratio (2.93 vs 1.13), 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.