KMLM vs. CSM

Last updated Apr 1, 2026

Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and Proshares Large Cap Core Plus (CSM).

KMLM and CSM 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. CSM is a passively managed fund by ProShares that tracks the performance of the Credit Suisse 130/30 Large-Cap Index. It was launched on Jul 13, 2009.

Performance

KMLM vs. CSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Proshares Large Cap Core Plus (CSM). The values are adjusted to include any dividend payments, if applicable.

KMLM vs. CSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KMLM KFA Mount Lucas Index Strategy ETF	8.67%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%
CSM Proshares Large Cap Core Plus	-5.83%	21.84%	22.09%	23.50%	-18.27%	33.13%	2.57%

Returns By Period

In the year-to-date period, KMLM achieves a 8.67% return, which is significantly higher than CSM's -5.83% return.

KMLM

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

CSM

• 1D: 2.46%
• 1M: -4.91%
• YTD: -5.83%
• 6M: -1.69%
• 1Y: 18.78%
• 3Y*: 17.57%
• 5Y*: 11.42%
• 10Y*: 12.84%

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

KMLM vs. CSM - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than CSM's 0.45% expense ratio.

KMLM

KFA Mount Lucas Index Strategy ETF

CSM

Proshares Large Cap Core Plus

Return for Risk

KMLM vs. CSM — 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

CSM

CSM Risk / Return Rank: 63
CSM Sharpe Ratio Rank: 58
CSM Sortino Ratio Rank: 62
CSM Omega Ratio Rank: 65
CSM Calmar Ratio Rank: 61
CSM Martin Ratio Rank: 70

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. CSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Proshares Large Cap Core Plus (CSM). 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	CSM	Difference
Sharpe ratio Return per unit of total volatility	0.88	0.99	-0.11
Sortino ratio Return per unit of downside risk	1.27	1.53	-0.26
Omega ratio Gain probability vs. loss probability	1.16	1.23	-0.07
Calmar ratio Return relative to maximum drawdown	1.13	1.49	-0.35
Martin ratio Return relative to average drawdown	3.31	6.81	-3.50
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. CSM - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 0.88, which is comparable to the CSM Sharpe Ratio of 0.99. The chart below compares the historical Sharpe Ratios of KMLM and CSM, 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	CSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.88	0.99	-0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	0.67	-0.28
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.70	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.81	-0.32

Correlation

The correlation between KMLM and CSM is -0.09. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Dividends

KMLM vs. CSM - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.62%, more than CSM's 1.16% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CSM Proshares Large Cap Core Plus	1.16%	1.04%	1.06%	1.17%	1.37%	0.78%	1.21%	1.41%	1.54%	1.28%	1.49%	1.67%

Drawdowns

KMLM vs. CSM - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum CSM drawdown of -36.11%. Use the drawdown chart below to compare losses from any high point for KMLM and CSM.

Drawdown Indicators

	KMLM	CSM	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-36.11%	+8.64%
Max Drawdown (1Y) Largest decline over 1 year	-6.73%	-12.92%	+6.19%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	-23.82%	-3.65%
Max Drawdown (10Y) Largest decline over 10 years	—	-36.11%	—
Current Drawdown Current decline from peak	-15.27%	-7.17%	-8.10%
Average Drawdown Average peak-to-trough decline	-12.73%	-4.07%	-8.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.41%	2.82%	-0.41%

Volatility

KMLM vs. CSM - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 4.05%, while Proshares Large Cap Core Plus (CSM) has a volatility of 4.79%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than CSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	CSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.05%	4.79%	-0.74%
Volatility (6M) Calculated over the trailing 6-month period	7.22%	9.49%	-2.27%
Volatility (1Y) Calculated over the trailing 1-year period	9.84%	18.97%	-9.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.57%	17.12%	-2.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.67%	18.37%	-3.70%