KMLM vs. DBMF
Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and iM DBi Managed Futures Strategy ETF (DBMF).
KMLM and DBMF 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. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: KMLM or DBMF.
Performance
KMLM vs. DBMF - Performance Comparison
Returns By Period
In the year-to-date period, KMLM achieves a -1.63% return, which is significantly lower than DBMF's 7.03% return.
KMLM
-1.63%
-0.18%
-3.96%
-7.65%
N/A
N/A
DBMF
7.03%
-2.53%
-7.71%
3.21%
6.34%
N/A
Key characteristics
| KMLM | DBMF | |
|---|---|---|
| Sharpe Ratio | -0.83 | 0.19 |
| Sortino Ratio | -1.07 | 0.32 |
| Omega Ratio | 0.88 | 1.04 |
| Calmar Ratio | -0.34 | 0.11 |
| Martin Ratio | -1.33 | 0.38 |
| Ulcer Index | 6.56% | 5.42% |
| Daily Std Dev | 10.57% | 11.10% |
| Max Drawdown | -25.42% | -20.39% |
| Current Drawdown | -23.50% | -12.11% |
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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.
Correlation
The correlation between KMLM and DBMF is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
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.
Dividends
KMLM vs. DBMF - Dividend Comparison
KMLM has not paid dividends to shareholders, while DBMF's dividend yield for the trailing twelve months is around 5.24%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% |
DBMF iM DBi Managed Futures Strategy ETF | 5.24% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
Drawdowns
KMLM vs. DBMF - Drawdown Comparison
The maximum KMLM drawdown since its inception was -25.42%, 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.
Volatility
KMLM vs. DBMF - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.17% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.33%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.