KMLM vs. MFUT

Last updated Jun 25, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and MFUT (Cambria Chesapeake Pure Trend ETF) are both Systematic Trend funds. KMLM is passively managed, while MFUT is actively managed. Over the past year, KMLM returned 10.89% vs 25.70% for MFUT. At a 0.39 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 1.18%/yr for MFUT.

Performance

KMLM vs. MFUT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Cambria Chesapeake Pure Trend ETF (MFUT). 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 MFUT's 10.89% return.

KMLM

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

MFUT

• 1D: -2.57%
• 1M: -7.15%
• YTD: 10.89%
• 6M: 9.53%
• 1Y: 25.70%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KMLM vs. MFUT - Yearly Performance Comparison

	2026 (YTD)	2025	2024
KMLM KFA Mount Lucas Index Strategy ETF	5.59%	-2.98%	-3.77%
MFUT Cambria Chesapeake Pure Trend ETF	10.89%	-1.83%	-16.64%

Correlation

The correlation between KMLM and MFUT is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.48
Correlation (All Time) Calculated using the full available price history since May 29, 2024	0.39

Return for Risk

KMLM vs. MFUT — 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

MFUT

MFUT Risk / Return Rank: 56
MFUT Sharpe Ratio Rank: 57
MFUT Sortino Ratio Rank: 48
MFUT Omega Ratio Rank: 62
MFUT Calmar Ratio Rank: 60
MFUT Martin Ratio Rank: 53

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. MFUT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Cambria Chesapeake Pure Trend ETF (MFUT). 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	MFUT	Difference
Sharpe ratio: Return per unit of total volatility	0.97	1.69	-0.73
Sortino ratio: Return per unit of downside risk	1.36	2.13	-0.77
Omega ratio: Gain probability vs. loss probability	1.17	1.33	-0.15
Calmar ratio: Return relative to maximum drawdown	1.19	2.61	-1.42
Martin ratio: Return relative to average drawdown	4.46	8.23	-3.77

KMLM vs. MFUT - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 0.97, which is lower than the MFUT Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of KMLM and MFUT, 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. MFUT - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum MFUT drawdown of -29.28%. Use the drawdown chart below to compare losses from any high point for KMLM and MFUT.

Drawdown Indicators

	KMLM	MFUT	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-29.28%	+1.81%
Max Drawdown (1Y) Largest decline over 1 year	-9.18%	-9.89%	+0.71%
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%	-9.89%	-7.78%
Average Drawdown Average peak-to-trough decline	-12.76%	-16.26%	+3.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.44%	3.13%	-0.69%

Volatility

KMLM vs. MFUT - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.12%, while Cambria Chesapeake Pure Trend ETF (MFUT) has a volatility of 4.88%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than MFUT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	MFUT	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.12%	4.88%	-1.76%
Volatility (6M) Calculated over the trailing 6-month period	9.90%	13.35%	-3.45%
Volatility (1Y) Calculated over the trailing 1-year period	11.34%	15.28%	-3.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	13.60%	+0.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.69%	13.60%	+1.09%

KMLM vs. MFUT - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is lower than MFUT's 1.18% expense ratio.

Dividends

KMLM vs. MFUT - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.76%, while MFUT has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.76%	5.02%	0.82%	0.00%	13.22%	6.94%
MFUT Cambria Chesapeake Pure Trend ETF	0.00%	0.00%	0.33%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both KMLM and MFUT in my portfolio?

KMLM and MFUT have a correlation of 0.48, 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 MFUT?

MFUT has higher volatility (4.88%) compared to KMLM (3.12%). In terms of maximum drawdown, KMLM dropped -27.47% vs MFUT's -29.28%.

Which ETF is better, KMLM or MFUT?

On 1-year performance, MFUT leads with 25.70% vs 10.89% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 3.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or MFUT?

Over the 1-year period, MFUT has performed better with a 25.70% 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 MFUT?

KMLM is cheaper with a 0.90% expense ratio, compared with 1.18% for MFUT.

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

KMLM has the higher dividend yield at 4.76%, compared with 0.00% for MFUT.

What is the main difference between KMLM and MFUT?

They also come from different issuers: KraneShares and Cambria. Their fees differ too: 0.90% for KMLM and 1.18% for MFUT.

Which has better risk-adjusted returns?

MFUT currently has the higher Sharpe Ratio (1.69 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.