KMLM vs. SDMF

Last updated Jun 25, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and SDMF (Simplify DBi CTA Managed Futures Index ETF) are both Systematic Trend funds - KMLM tracks the KFA MLM Index while SDMF tracks the DBi CTA Managed Futures Index. Both are passively managed. A 0.56 correlation means they provide meaningful diversification when combined. KMLM charges 0.90%/yr vs 0.35%/yr for SDMF.

Performance

KMLM vs. SDMF - Performance Comparison

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

Returns By Period

KMLM

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

SDMF

• 1D: -0.49%
• 1M: -2.28%
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KMLM vs. SDMF - Yearly Performance Comparison

	2026 (YTD)
KMLM KFA Mount Lucas Index Strategy ETF	2.70%
SDMF Simplify DBi CTA Managed Futures Index ETF	0.07%

Correlation

The correlation between KMLM and SDMF 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 (All Time) Calculated using the full available price history since Feb 19, 2026	0.56

Return for Risk

KMLM vs. SDMF — 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

SDMF

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

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. SDMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Simplify DBi CTA Managed Futures Index ETF (SDMF). 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	SDMF	Difference
Sharpe ratio: Return per unit of total volatility	0.97	—	—
Sortino ratio: Return per unit of downside risk	1.36	—	—
Omega ratio: Gain probability vs. loss probability	1.17	—	—
Calmar ratio: Return relative to maximum drawdown	1.19	—	—
Martin ratio: Return relative to average drawdown	4.46	—	—

Drawdowns

KMLM vs. SDMF - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than SDMF's maximum drawdown of -6.23%. Use the drawdown chart below to compare losses from any high point for KMLM and SDMF.

Drawdown Indicators

	KMLM	SDMF	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-6.23%	-21.24%
Max Drawdown (1Y) Largest decline over 1 year	-9.18%	—	—
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%	-3.20%	-14.47%
Average Drawdown Average peak-to-trough decline	-12.76%	-2.19%	-10.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.44%	—	—

Volatility

Volatility by Period

	KMLM	SDMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.12%	—	—
Volatility (6M) Calculated over the trailing 6-month period	9.90%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	11.34%	13.11%	-1.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	13.11%	+1.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.69%	13.11%	+1.58%

KMLM vs. SDMF - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than SDMF's 0.35% expense ratio.

Dividends

KMLM vs. SDMF - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.76%, while SDMF 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%
SDMF Simplify DBi CTA Managed Futures Index ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both KMLM and SDMF in my portfolio?

KMLM and SDMF 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.

Which ETF is better, KMLM or SDMF?

On fees, SDMF is cheaper at 0.35% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, KMLM or SDMF?

SDMF is cheaper with a 0.35% expense ratio, compared with 0.90% for KMLM.

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

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

What is the main difference between KMLM and SDMF?

KMLM tracks KFA MLM Index, while SDMF tracks DBi CTA Managed Futures Index. They also come from different issuers: KraneShares and Simplify. Their fees differ too: 0.90% for KMLM and 0.35% for SDMF.