KMLM vs. CMDT
KMLM (KFA Mount Lucas Index Strategy ETF) and CMDT (PIMCO Commodity Strategy Active Exchange-Traded Fund) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while CMDT is a Commodities fund tracking the Bloomberg Roll Select Commodity Total Return Index. Both are passively managed. Over the past 3 years, KMLM returned -1.13%/yr vs 11.87%/yr for CMDT. At a 0.14 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.65%/yr for CMDT.
Performance
KMLM vs. CMDT - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 5.59% return, which is significantly lower than CMDT's 10.73% return.
KMLM
- 1D
- -1.30%
- 1M
- -6.21%
- YTD
- 5.59%
- 6M
- 5.76%
- 1Y
- 10.89%
- 3Y*
- -1.13%
- 5Y*
- 4.07%
- 10Y*
- —
CMDT
- 1D
- -2.38%
- 1M
- -11.03%
- YTD
- 10.73%
- 6M
- 10.29%
- 1Y
- 20.39%
- 3Y*
- 11.87%
- 5Y*
- —
- 10Y*
- —
KMLM vs. CMDT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 5.59% | -2.98% | -1.69% | -6.79% |
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund | 10.73% | 12.78% | 6.93% | 5.37% |
Correlation
The correlation between KMLM and CMDT is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.49 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since May 10, 2023 | 0.14 |
Over the past year, KMLM and CMDT have become more correlated (0.49) than their long-term average of 0.14, meaning their price movements have been converging.
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Return for Risk
KMLM vs. CMDT — Risk / Return Rank
KMLM
CMDT
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.
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.
| KMLM | CMDT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.65 | ||
| Sortino ratioReturn per unit of downside risk | -0.89 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.28 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 1.19 | 1.55 | -0.36 |
| Martin ratioReturn relative to average drawdown | 4.46 | 8.61 | -4.14 |
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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 -13.23%. Use the drawdown chart below to compare losses from any high point for KMLM and CMDT.
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Drawdown Indicators
| KMLM | CMDT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -13.23% | -14.24% |
Max Drawdown (1Y)Largest decline over 1 year | -9.18% | -13.23% | +4.05% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -13.23% | -9.05% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | — | — |
Current DrawdownCurrent decline from peak | -17.67% | -13.23% | -4.44% |
Average DrawdownAverage peak-to-trough decline | -12.76% | -2.78% | -9.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.44% | 2.37% | +0.07% |
Volatility
KMLM vs. CMDT - Volatility Comparison
The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.12%, while PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) has a volatility of 3.79%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than CMDT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | CMDT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.12% | 3.79% | -0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 9.90% | 10.89% | -0.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.34% | 12.78% | -1.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.58% | 12.31% | +2.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.69% | 12.31% | +2.38% |
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 4.76%, more than CMDT's 2.73% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund | 2.73% | 3.04% | 8.80% | 2.71% | 0.00% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.76% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
Frequently Asked Questions
KMLM and CMDT have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMDT has higher volatility (3.79%) compared to KMLM (3.12%). In terms of maximum drawdown, KMLM dropped -27.47% vs CMDT's -13.23%.
On 3-year performance, CMDT leads with 11.87% vs -1.13% for KMLM. On fees, CMDT is cheaper at 0.65% per year. On volatility, KMLM has been the lower-risk option at 3.12%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CMDT has performed better with a 11.87% return vs -1.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CMDT is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.76%, compared with 2.73% for CMDT.
KMLM is categorized as Systematic Trend, while CMDT is Commodities. KMLM tracks KFA MLM Index, while CMDT tracks Bloomberg Roll Select Commodity Total Return Index. They also come from different issuers: KraneShares and PIMCO. Their fees differ too: 0.90% for KMLM and 0.65% for CMDT.
CMDT currently has the higher Sharpe Ratio (1.62 vs 0.97), 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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