KMLM vs. FMF
Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and First Trust Managed Futures Strategy Fund (FMF).
KMLM and FMF 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. FMF is an actively managed fund by First Trust. It was launched on Aug 1, 2013.
Performance
KMLM vs. FMF - Performance Comparison
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KMLM vs. FMF - 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% |
FMF First Trust Managed Futures Strategy Fund | 8.00% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 2.32% |
Returns By Period
In the year-to-date period, KMLM achieves a 8.67% return, which is significantly higher than FMF's 8.00% return.
KMLM
- 1D
- -0.28%
- 1M
- 4.21%
- YTD
- 8.67%
- 6M
- 10.01%
- 1Y
- 8.60%
- 3Y*
- 0.44%
- 5Y*
- 5.63%
- 10Y*
- —
FMF
- 1D
- 0.26%
- 1M
- 0.77%
- YTD
- 8.00%
- 6M
- 8.42%
- 1Y
- 15.86%
- 3Y*
- 7.05%
- 5Y*
- 4.85%
- 10Y*
- 2.60%
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KMLM vs. FMF - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is lower than FMF's 0.95% expense ratio.
Return for Risk
KMLM vs. FMF — Risk / Return Rank
KMLM
FMF
KMLM vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and First Trust Managed Futures Strategy Fund (FMF). 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 | FMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.88 | 1.60 | -0.72 |
Sortino ratioReturn per unit of downside risk | 1.27 | 2.29 | -1.02 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.28 | -0.12 |
Calmar ratioReturn relative to maximum drawdown | 1.13 | 4.55 | -3.41 |
Martin ratioReturn relative to average drawdown | 3.31 | 9.22 | -5.92 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| KMLM | FMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.88 | 1.60 | -0.72 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.39 | 0.45 | -0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.22 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.16 | +0.33 |
Correlation
The correlation between KMLM and FMF is 0.47, 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.
Dividends
KMLM vs. FMF - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.62%, less than FMF's 5.09% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
FMF First Trust Managed Futures Strategy Fund | 5.09% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Drawdowns
KMLM vs. FMF - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, which is greater than FMF's maximum drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for KMLM and FMF.
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Drawdown Indicators
| KMLM | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -22.21% | -5.26% |
Max Drawdown (1Y)Largest decline over 1 year | -6.73% | -3.47% | -3.26% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -14.98% | -12.49% |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -15.27% | -0.66% | -14.61% |
Average DrawdownAverage peak-to-trough decline | -12.73% | -9.99% | -2.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 1.71% | +0.70% |
Volatility
KMLM vs. FMF - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 4.05% compared to First Trust Managed Futures Strategy Fund (FMF) at 3.76%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 3.76% | +0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 7.22% | 7.41% | -0.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.84% | 9.94% | -0.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.57% | 10.76% | +3.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.67% | 11.83% | +2.84% |