KMLM vs. CMDT

Last updated Apr 1, 2026

Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT).

KMLM and CMDT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020. CMDT is a passively managed fund by PIMCO that tracks the performance of the Bloomberg Roll Select Commodity Total Return Index. It was launched on May 9, 2023.

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.

KMLM vs. CMDT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
KMLM KFA Mount Lucas Index Strategy ETF	8.67%	-2.98%	-1.69%	-6.82%
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund	16.96%	12.78%	6.93%	5.50%

Returns By Period

In the year-to-date period, KMLM achieves a 8.67% return, which is significantly lower than CMDT's 16.96% return.

KMLM

• 1D: -0.28%
• 1M: 4.21%
• YTD: 8.67%
• 6M: 10.01%
• 1Y: 8.60%
• 3Y*: 0.44%
• 5Y*: 5.63%
• 10Y*: —

CMDT

• 1D: -0.74%
• 1M: 8.58%
• YTD: 16.96%
• 6M: 19.62%
• 1Y: 24.37%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KMLM vs. CMDT - Expense Ratio Comparison

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

KMLM

KFA Mount Lucas Index Strategy ETF

CMDT

PIMCO Commodity Strategy Active Exchange-Traded Fund

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: 46
KMLM Sharpe Ratio Rank: 52
KMLM Sortino Ratio Rank: 50
KMLM Omega Ratio Rank: 44
KMLM Calmar Ratio Rank: 48
KMLM Martin Ratio Rank: 38

CMDT

CMDT Risk / Return Rank: 87
CMDT Sharpe Ratio Rank: 88
CMDT Sortino Ratio Rank: 89
CMDT Omega Ratio Rank: 85
CMDT Calmar Ratio Rank: 87
CMDT Martin Ratio Rank: 86

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	0.88	1.85	-0.97
Sortino ratio Return per unit of downside risk	1.27	2.50	-1.23
Omega ratio Gain probability vs. loss probability	1.16	1.34	-0.17
Calmar ratio Return relative to maximum drawdown	1.13	2.72	-1.59
Martin ratio Return relative to average drawdown	3.31	10.00	-6.69
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 0.88, which is lower than the CMDT Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of KMLM and CMDT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	KMLM	CMDT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.88	1.85	-0.97
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	1.22	-0.74

Correlation

The correlation between KMLM and CMDT is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

KMLM vs. CMDT - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.62%, more than CMDT's 2.60% yield.

	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund	2.60%	3.04%	8.80%	2.71%	0.00%	0.00%

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	-6.73%	-9.21%	+2.48%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-15.27%	-0.74%	-14.53%
Average Drawdown Average peak-to-trough decline	-12.73%	-2.79%	-9.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.41%	2.51%	-0.10%

Volatility

KMLM vs. CMDT - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 4.05%, while PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) has a volatility of 5.26%. 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.

Volatility by Period

	KMLM	CMDT	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.05%	5.26%	-1.21%
Volatility (6M) Calculated over the trailing 6-month period	7.22%	9.59%	-2.37%
Volatility (1Y) Calculated over the trailing 1-year period	9.84%	13.23%	-3.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.57%	12.13%	+2.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.67%	12.13%	+2.54%