KMLM vs. FMF
KMLM (KFA Mount Lucas Index Strategy ETF) and FMF (First Trust Managed Futures Strategy Fund) are both exchange-traded funds - KMLM is a Long-Short fund actively managed by CICC, while FMF is a Hedge Fund fund actively managed by First Trust. Both are actively managed. Over the past 5 years, KMLM returned 4.33%/yr vs 4.62%/yr for FMF. At a 0.48 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.95%/yr for FMF.
Performance
KMLM vs. FMF - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with KMLM having a 10.79% return and FMF slightly higher at 10.96%.
KMLM
- 1D
- 0.17%
- 1M
- -2.41%
- YTD
- 10.79%
- 6M
- 13.19%
- 1Y
- 13.68%
- 3Y*
- -0.47%
- 5Y*
- 4.33%
- 10Y*
- —
FMF
- 1D
- 0.33%
- 1M
- 1.08%
- YTD
- 10.96%
- 6M
- 11.47%
- 1Y
- 22.22%
- 3Y*
- 6.78%
- 5Y*
- 4.62%
- 10Y*
- 3.17%
KMLM vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 10.79% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 2.32% |
Correlation
The correlation between KMLM and FMF is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.56 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | 0.48 |
The correlation between KMLM and FMF has been stable across timeframes, ranging from 0.47 to 0.56 - a consistent structural relationship.
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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 | -1.11 | ||
| Sortino ratioReturn per unit of downside risk | -1.63 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.42 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 2.18 | 6.52 | -4.34 |
| Martin ratioReturn relative to average drawdown | 7.18 | 18.49 | -11.31 |
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 | 1.20 | 2.31 | -1.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.30 | 0.43 | -0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.27 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.17 | +0.32 |
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 | -6.30% | -3.42% | -2.88% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -7.25% | -15.03% |
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 | -13.61% | -0.07% | -13.54% |
Average DrawdownAverage peak-to-trough decline | -12.74% | -9.86% | -2.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.91% | 1.20% | +0.71% |
Volatility
KMLM vs. FMF - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 4.46% compared to First Trust Managed Futures Strategy Fund (FMF) at 1.89%. 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 | 4.46% | 1.89% | +2.57% |
Volatility (6M)Calculated over the trailing 6-month period | 9.63% | 7.11% | +2.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.43% | 9.66% | +1.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.62% | 10.74% | +3.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.73% | 11.72% | +3.01% |
KMLM vs. FMF - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
KMLM vs. FMF - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.53%, less than FMF's 4.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 4.96% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.53% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
KMLM and FMF have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.46%) compared to FMF (1.89%). In terms of maximum drawdown, KMLM dropped -27.47% vs FMF's -22.21%.
On 5-year performance, FMF leads with 4.62% vs 4.33% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, FMF has been the lower-risk option at 1.89%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FMF has performed better with a 4.62% return vs 4.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 4.53% for KMLM.
KMLM is categorized as Long-Short, while FMF is Hedge Fund. They also come from different issuers: CICC and First Trust. Their fees differ too: 0.90% for KMLM and 0.95% for FMF.
FMF currently has the higher Sharpe Ratio (2.31 vs 1.20), 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.
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