KMLM vs. DFIV

Last updated Jun 9, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and DFIV (Dimensional International Value ETF) are both exchange-traded funds - KMLM is a Long-Short fund actively managed by CICC, while DFIV is a Foreign Large Cap Equities fund actively managed by Dimensional. Both are actively managed. Over the past 3 years, KMLM returned -0.87%/yr vs 23.03%/yr for DFIV. At a correlation of -0.09, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.27%/yr for DFIV.

Performance

KMLM vs. DFIV - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with KMLM having a 9.83% return and DFIV slightly higher at 10.17%.

KMLM

• 1D: 0.42%
• 1M: -2.33%
• YTD: 9.83%
• 6M: 12.35%
• 1Y: 12.99%
• 3Y*: -0.87%
• 5Y*: 4.40%
• 10Y*: —

DFIV

• 1D: 0.38%
• 1M: -0.58%
• YTD: 10.17%
• 6M: 14.07%
• 1Y: 32.57%
• 3Y*: 23.03%
• 5Y*: —
• 10Y*: —

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

KMLM vs. DFIV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	9.83%	-2.98%	-1.69%	-5.66%	30.61%	0.06%
DFIV Dimensional International Value ETF	10.17%	45.36%	7.26%	17.75%	-3.70%	0.08%

Correlation

The correlation between KMLM and DFIV is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.12
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (All Time) Calculated using the full available price history since Sep 14, 2021	-0.09

The correlation between KMLM and DFIV shifts across timeframes, from -0.09 (all time) to 0.12 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

KMLM vs. DFIV — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 38
KMLM Sharpe Ratio Rank: 35
KMLM Sortino Ratio Rank: 33
KMLM Omega Ratio Rank: 34
KMLM Calmar Ratio Rank: 46
KMLM Martin Ratio Rank: 45

DFIV

DFIV Risk / Return Rank: 78
DFIV Sharpe Ratio Rank: 81
DFIV Sortino Ratio Rank: 80
DFIV Omega Ratio Rank: 79
DFIV Calmar Ratio Rank: 74
DFIV Martin Ratio Rank: 76

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. DFIV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Dimensional International Value ETF (DFIV). 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	DFIV	Difference
Sharpe ratio: Return per unit of total volatility	1.14	2.36	-1.22
Sortino ratio: Return per unit of downside risk	1.60	3.20	-1.60
Omega ratio: Gain probability vs. loss probability	1.21	1.42	-0.21
Calmar ratio: Return relative to maximum drawdown	2.07	3.39	-1.32
Martin ratio: Return relative to average drawdown	6.61	13.05	-6.43
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. DFIV - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.14, which is lower than the DFIV Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of KMLM and DFIV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	KMLM	DFIV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.14	2.36	-1.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.91	-0.43

Drawdowns

KMLM vs. DFIV - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than DFIV's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for KMLM and DFIV.

Drawdown Indicators

	KMLM	DFIV	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-25.42%	-2.05%
Max Drawdown (1Y) Largest decline over 1 year	-6.30%	-9.66%	+3.36%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-14.72%	-7.56%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-14.36%	-2.23%	-12.13%
Average Drawdown Average peak-to-trough decline	-12.74%	-4.47%	-8.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.97%	2.50%	-0.53%

Volatility

KMLM vs. DFIV - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 4.27% compared to Dimensional International Value ETF (DFIV) at 3.83%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than DFIV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	DFIV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.27%	3.83%	+0.44%
Volatility (6M) Calculated over the trailing 6-month period	9.68%	11.26%	-1.58%
Volatility (1Y) Calculated over the trailing 1-year period	11.46%	13.91%	-2.45%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.62%	16.65%	-2.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.72%	16.65%	-1.93%

KMLM vs. DFIV - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than DFIV's 0.27% expense ratio.

Dividends

KMLM vs. DFIV - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.57%, more than DFIV's 2.59% yield.

Position	TTM	2025	2024	2023	2022	2021
DFIV Dimensional International Value ETF	2.59%	2.92%	3.88%	3.93%	3.84%	2.30%
KMLM KFA Mount Lucas Index Strategy ETF	4.57%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and DFIV in my portfolio?

KMLM and DFIV have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KMLM or DFIV?

KMLM has higher volatility (4.27%) compared to DFIV (3.83%). In terms of maximum drawdown, KMLM dropped -27.47% vs DFIV's -25.42%.

Which ETF is better, KMLM or DFIV?

On 3-year performance, DFIV leads with 23.03% vs -0.87% for KMLM. On fees, DFIV is cheaper at 0.27% per year. On volatility, DFIV has been the lower-risk option at 3.83%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or DFIV?

Over the 3-year period, DFIV has performed better with a 23.03% return vs -0.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or DFIV?

DFIV is cheaper with a 0.27% expense ratio, compared with 0.90% for KMLM.

Which ETF pays a higher dividend yield, KMLM or DFIV?

KMLM has the higher dividend yield at 4.57%, compared with 2.59% for DFIV.

What is the main difference between KMLM and DFIV?

KMLM is categorized as Long-Short, while DFIV is Foreign Large Cap Equities. They also come from different issuers: CICC and Dimensional. Their fees differ too: 0.90% for KMLM and 0.27% for DFIV.

Which has better risk-adjusted returns?

DFIV currently has the higher Sharpe Ratio (2.36 vs 1.14), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.