KMLM vs. CMFP.L

Last updated Jun 16, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and CMFP.L (L&G Longer Dated All Commodities UCITS ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while CMFP.L is a Commodities fund tracking the Bloomberg Commodity 3 Month Forward. Both are passively managed. Over the past 5 years, KMLM returned 4.15%/yr vs 11.33%/yr for CMFP.L. At a 0.14 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.30%/yr for CMFP.L.

Performance

KMLM vs. CMFP.L - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and L&G Longer Dated All Commodities UCITS ETF (CMFP.L). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

KMLM is traded in USD, while CMFP.L is traded in GBp. To make them comparable, the CMFP.L values have been converted to USD using the latest available exchange rates.

Returns By Period

In the year-to-date period, KMLM achieves a 7.90% return, which is significantly lower than CMFP.L's 13.99% return.

KMLM

• 1D: -0.39%
• 1M: -6.17%
• YTD: 7.90%
• 6M: 9.07%
• 1Y: 12.79%
• 3Y*: -0.78%
• 5Y*: 4.15%
• 10Y*: —

CMFP.L

• 1D: -0.48%
• 1M: -5.94%
• YTD: 13.99%
• 6M: 16.26%
• 1Y: 22.47%
• 3Y*: 10.93%
• 5Y*: 11.33%
• 10Y*: 7.84%

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

KMLM vs. CMFP.L - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KMLM KFA Mount Lucas Index Strategy ETF	7.90%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%
CMFP.L L&G Longer Dated All Commodities UCITS ETF	13.99%	16.67%	5.08%	-6.76%	18.60%	33.39%	4.70%

Correlation

The correlation between KMLM and CMFP.L is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.33
Correlation (3Y) Calculated over the trailing 3-year period	0.06
Correlation (5Y) Calculated over the trailing 5-year period	0.11
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	0.14

The correlation between KMLM and CMFP.L shifts across timeframes, from 0.06 (3 years) to 0.33 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

KMLM vs. CMFP.L — 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: 34
KMLM Sortino Ratio Rank: 32
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 39
KMLM Martin Ratio Rank: 41

CMFP.L

CMFP.L Risk / Return Rank: 52
CMFP.L Sharpe Ratio Rank: 49
CMFP.L Sortino Ratio Rank: 44
CMFP.L Omega Ratio Rank: 48
CMFP.L Calmar Ratio Rank: 67
CMFP.L Martin Ratio Rank: 51

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. CMFP.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and L&G Longer Dated All Commodities UCITS ETF (CMFP.L). 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	CMFP.L	Difference
Sharpe ratio: Return per unit of total volatility	1.12	1.55	-0.43
Sortino ratio: Return per unit of downside risk	1.58	2.07	-0.49
Omega ratio: Gain probability vs. loss probability	1.20	1.27	-0.07
Calmar ratio: Return relative to maximum drawdown	1.79	2.70	-0.92
Martin ratio: Return relative to average drawdown	6.05	7.67	-1.62

KMLM vs. CMFP.L - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.12, which is comparable to the CMFP.L Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of KMLM and CMFP.L, 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

KMLM vs. CMFP.L - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum CMFP.L drawdown of -72.10%. Use the drawdown chart below to compare losses from any high point for KMLM and CMFP.L.

Drawdown Indicators

	KMLM	CMFP.L	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-72.10%	+44.63%
Max Drawdown (1Y) Largest decline over 1 year	-7.19%	-8.27%	+1.08%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-23.04%	+0.76%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	-23.04%	-4.43%
Max Drawdown (10Y) Largest decline over 10 years	—	-30.49%	—
Current Drawdown Current decline from peak	-15.87%	-21.78%	+5.91%
Average Drawdown Average peak-to-trough decline	-12.74%	-49.88%	+37.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.12%	2.92%	-0.80%

Volatility

KMLM vs. CMFP.L - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.31%, while L&G Longer Dated All Commodities UCITS ETF (CMFP.L) has a volatility of 4.25%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than CMFP.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	CMFP.L	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.31%	4.25%	-0.94%
Volatility (6M) Calculated over the trailing 6-month period	9.74%	12.41%	-2.67%
Volatility (1Y) Calculated over the trailing 1-year period	11.47%	14.44%	-2.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.62%	20.39%	-5.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.70%	16.60%	-1.90%

KMLM vs. CMFP.L - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than CMFP.L's 0.30% expense ratio.

Dividends

KMLM vs. CMFP.L - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.66%, while CMFP.L has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021
CMFP.L L&G Longer Dated All Commodities UCITS ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and CMFP.L in my portfolio?

KMLM and CMFP.L have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, KMLM or CMFP.L?

On fees, CMFP.L is cheaper at 0.30% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, KMLM or CMFP.L?

CMFP.L is cheaper with a 0.30% expense ratio, compared with 0.90% for KMLM.

What is the main difference between KMLM and CMFP.L?

KMLM is categorized as Systematic Trend, while CMFP.L is Commodities. KMLM tracks KFA MLM Index, while CMFP.L tracks Bloomberg Commodity 3 Month Forward. They also come from different issuers: KraneShares and Legal & General. Their fees differ too: 0.90% for KMLM and 0.30% for CMFP.L.