KMLM vs. IMF

Last updated Jun 25, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and IMF (Invesco Managed Futures Strategy ETF) are both Systematic Trend funds. KMLM is passively managed, while IMF is actively managed. Over the past year, KMLM returned 10.89% vs 18.03% for IMF. A 0.57 correlation means they provide meaningful diversification when combined. KMLM charges 0.90%/yr vs 0.65%/yr for IMF.

Performance

KMLM vs. IMF - Performance Comparison

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

Returns By Period

In the year-to-date period, KMLM achieves a 5.59% return, which is significantly lower than IMF's 9.81% return.

KMLM

• 1D: -1.30%
• 1M: -6.21%
• YTD: 5.59%
• 6M: 5.76%
• 1Y: 10.89%
• 3Y*: -1.13%
• 5Y*: 4.07%
• 10Y*: —

IMF

• 1D: -1.40%
• 1M: -3.64%
• YTD: 9.81%
• 6M: 10.46%
• 1Y: 18.03%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KMLM vs. IMF - Yearly Performance Comparison

	2026 (YTD)	2025
KMLM KFA Mount Lucas Index Strategy ETF	5.59%	0.12%
IMF Invesco Managed Futures Strategy ETF	9.81%	-8.17%

Correlation

The correlation between KMLM and IMF is 0.58, 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	0.58
Correlation (All Time) Calculated using the full available price history since Mar 19, 2025	0.57

The correlation between KMLM and IMF has been stable across timeframes, ranging from 0.57 to 0.58 - a consistent structural relationship.

Return for Risk

KMLM vs. IMF — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 28
KMLM Sharpe Ratio Rank: 29
KMLM Sortino Ratio Rank: 26
KMLM Omega Ratio Rank: 27
KMLM Calmar Ratio Rank: 26
KMLM Martin Ratio Rank: 33

IMF

IMF Risk / Return Rank: 67
IMF Sharpe Ratio Rank: 58
IMF Sortino Ratio Rank: 52
IMF Omega Ratio Rank: 63
IMF Calmar Ratio Rank: 83
IMF Martin Ratio Rank: 80

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. IMF - Risk-Adjusted Trends Comparison

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

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	KMLM	IMF	Difference
Sharpe ratio: Return per unit of total volatility	0.97	1.72	-0.76
Sortino ratio: Return per unit of downside risk	1.36	2.25	-0.89
Omega ratio: Gain probability vs. loss probability	1.17	1.34	-0.16
Calmar ratio: Return relative to maximum drawdown	1.19	3.99	-2.80
Martin ratio: Return relative to average drawdown	4.46	14.05	-9.59

KMLM vs. IMF - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 0.97, which is lower than the IMF Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of KMLM and IMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

KMLM vs. IMF - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than IMF's maximum drawdown of -15.29%. Use the drawdown chart below to compare losses from any high point for KMLM and IMF.

Drawdown Indicators

	KMLM	IMF	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-15.29%	-12.18%
Max Drawdown (1Y) Largest decline over 1 year	-9.18%	-4.54%	-4.64%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-17.67%	-4.54%	-13.13%
Average Drawdown Average peak-to-trough decline	-12.76%	-8.29%	-4.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.44%	1.29%	+1.15%

Volatility

KMLM vs. IMF - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.12% compared to Invesco Managed Futures Strategy ETF (IMF) at 2.89%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than IMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	IMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.12%	2.89%	+0.23%
Volatility (6M) Calculated over the trailing 6-month period	9.90%	9.28%	+0.62%
Volatility (1Y) Calculated over the trailing 1-year period	11.34%	10.52%	+0.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	12.44%	+2.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.69%	12.44%	+2.25%

KMLM vs. IMF - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than IMF's 0.65% expense ratio.

Dividends

KMLM vs. IMF - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.76%, more than IMF's 0.92% yield.

Position	TTM	2025	2024	2023	2022	2021
IMF Invesco Managed Futures Strategy ETF	0.92%	1.01%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.76%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and IMF in my portfolio?

KMLM and IMF have a correlation of 0.58, 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 IMF?

KMLM has higher volatility (3.12%) compared to IMF (2.89%). In terms of maximum drawdown, KMLM dropped -27.47% vs IMF's -15.29%.

Which ETF is better, KMLM or IMF?

On 1-year performance, IMF leads with 18.03% vs 10.89% for KMLM. On fees, IMF is cheaper at 0.65% per year. On volatility, IMF has been the lower-risk option at 2.89%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or IMF?

Over the 1-year period, IMF has performed better with a 18.03% return vs 10.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or IMF?

IMF is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.76%, compared with 0.92% for IMF.

What is the main difference between KMLM and IMF?

They also come from different issuers: KraneShares and Invesco. Their fees differ too: 0.90% for KMLM and 0.65% for IMF.

Which has better risk-adjusted returns?

IMF currently has the higher Sharpe Ratio (1.72 vs 0.97), 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.