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KMLM vs. DBMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between KMLM and DBMF is 0.12, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

KMLM vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and iM DBi Managed Futures Strategy ETF (DBMF). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%40.00%NovemberDecember2025FebruaryMarchApril
20.56%
33.58%
KMLM
DBMF

Key characteristics

Sharpe Ratio

KMLM:

-1.33

DBMF:

-0.82

Sortino Ratio

KMLM:

-1.78

DBMF:

-1.03

Omega Ratio

KMLM:

0.80

DBMF:

0.87

Calmar Ratio

KMLM:

-0.49

DBMF:

-0.52

Martin Ratio

KMLM:

-1.58

DBMF:

-0.93

Ulcer Index

KMLM:

9.07%

DBMF:

9.26%

Daily Std Dev

KMLM:

10.82%

DBMF:

10.58%

Max Drawdown

KMLM:

-29.10%

DBMF:

-20.39%

Current Drawdown

KMLM:

-29.10%

DBMF:

-13.73%

Returns By Period

In the year-to-date period, KMLM achieves a -7.26% return, which is significantly lower than DBMF's -2.03% return.


KMLM

YTD

-7.26%

1M

-5.03%

6M

-5.86%

1Y

-15.54%

5Y*

N/A

10Y*

N/A

DBMF

YTD

-2.03%

1M

0.47%

6M

-2.78%

1Y

-10.90%

5Y*

4.99%

10Y*

N/A

*Annualized

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KMLM vs. DBMF - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than DBMF's 0.85% expense ratio.


Expense ratio chart for KMLM: current value is 0.90%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
KMLM: 0.90%
Expense ratio chart for DBMF: current value is 0.85%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DBMF: 0.85%

Risk-Adjusted Performance

KMLM vs. DBMF — Risk-Adjusted Performance Rank

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

KMLM
The Risk-Adjusted Performance Rank of KMLM is 11
Overall Rank
The Sharpe Ratio Rank of KMLM is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of KMLM is 00
Sortino Ratio Rank
The Omega Ratio Rank of KMLM is 00
Omega Ratio Rank
The Calmar Ratio Rank of KMLM is 22
Calmar Ratio Rank
The Martin Ratio Rank of KMLM is 11
Martin Ratio Rank

DBMF
The Risk-Adjusted Performance Rank of DBMF is 22
Overall Rank
The Sharpe Ratio Rank of DBMF is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of DBMF is 11
Sortino Ratio Rank
The Omega Ratio Rank of DBMF is 11
Omega Ratio Rank
The Calmar Ratio Rank of DBMF is 22
Calmar Ratio Rank
The Martin Ratio Rank of DBMF is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

KMLM vs. DBMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and iM DBi Managed Futures Strategy ETF (DBMF). 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.


The chart of Sharpe ratio for KMLM, currently valued at -1.33, compared to the broader market-1.000.001.002.003.004.00
KMLM: -1.33
DBMF: -0.82
The chart of Sortino ratio for KMLM, currently valued at -1.78, compared to the broader market-2.000.002.004.006.008.00
KMLM: -1.78
DBMF: -1.03
The chart of Omega ratio for KMLM, currently valued at 0.80, compared to the broader market0.501.001.502.002.50
KMLM: 0.80
DBMF: 0.87
The chart of Calmar ratio for KMLM, currently valued at -0.49, compared to the broader market0.002.004.006.008.0010.0012.00
KMLM: -0.49
DBMF: -0.52
The chart of Martin ratio for KMLM, currently valued at -1.58, compared to the broader market0.0020.0040.0060.00
KMLM: -1.58
DBMF: -0.93

The current KMLM Sharpe Ratio is -1.33, which is lower than the DBMF Sharpe Ratio of -0.82. The chart below compares the historical Sharpe Ratios of KMLM and DBMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
-1.33
-0.82
KMLM
DBMF

Dividends

KMLM vs. DBMF - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 0.88%, less than DBMF's 5.99% yield.


TTM202420232022202120202019
KMLM
KFA Mount Lucas Index Strategy ETF
0.88%0.82%0.00%8.12%6.94%0.00%0.00%
DBMF
iM DBi Managed Futures Strategy ETF
5.99%5.75%2.91%7.72%10.38%0.86%9.35%

Drawdowns

KMLM vs. DBMF - Drawdown Comparison

The maximum KMLM drawdown since its inception was -29.10%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for KMLM and DBMF. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%NovemberDecember2025FebruaryMarchApril
-29.10%
-13.73%
KMLM
DBMF

Volatility

KMLM vs. DBMF - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 2.46%, while iM DBi Managed Futures Strategy ETF (DBMF) has a volatility of 3.00%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%NovemberDecember2025FebruaryMarchApril
2.46%
3.00%
KMLM
DBMF