KMLM vs. VBIL

Last updated Jun 23, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and VBIL (Vanguard 0-3 Month Treasury Bill ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while VBIL is a Ultrashort Bond fund tracking the Bloomberg US Treasury Bills 0-3 Months Index. Both are passively managed. Over the past year, KMLM returned 15.91% vs 3.91% for VBIL. At a correlation of -0.05, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.07%/yr for VBIL.

Performance

KMLM vs. VBIL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard 0-3 Month Treasury Bill ETF (VBIL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 7.82% return, which is significantly higher than VBIL's 1.70% return.

KMLM

• 1D: 0.58%
• 1M: -4.23%
• YTD: 7.82%
• 6M: 7.66%
• 1Y: 15.91%
• 3Y*: -0.44%
• 5Y*: 4.70%
• 10Y*: —

VBIL

• 1D: 0.03%
• 1M: 0.29%
• YTD: 1.70%
• 6M: 1.81%
• 1Y: 3.91%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KMLM vs. VBIL - Yearly Performance Comparison

	2026 (YTD)	2025
KMLM KFA Mount Lucas Index Strategy ETF	7.82%	0.60%
VBIL Vanguard 0-3 Month Treasury Bill ETF	1.70%	3.73%

Correlation

The correlation between KMLM and VBIL is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (All Time) Calculated using the full available price history since Feb 11, 2025	-0.05

Return for Risk

KMLM vs. VBIL — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 41
KMLM Sharpe Ratio Rank: 41
KMLM Sortino Ratio Rank: 39
KMLM Omega Ratio Rank: 39
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 44

VBIL

VBIL Risk / Return Rank: 100
VBIL Sharpe Ratio Rank: 100
VBIL Sortino Ratio Rank: 100
VBIL Omega Ratio Rank: 100
VBIL Calmar Ratio Rank: 100
VBIL Martin Ratio Rank: 100

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. VBIL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard 0-3 Month Treasury Bill ETF (VBIL). 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	VBIL	Difference
Sharpe ratio: Return per unit of total volatility	1.41	18.07	-16.67
Sortino ratio: Return per unit of downside risk	1.94	111.81	-109.87
Omega ratio: Gain probability vs. loss probability	1.25	39.66	-38.40
Calmar ratio: Return relative to maximum drawdown	1.99	296.41	-294.43
Martin ratio: Return relative to average drawdown	6.87	1,809.33	-1,802.46

KMLM vs. VBIL - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.41, which is lower than the VBIL Sharpe Ratio of 18.07. The chart below compares the historical Sharpe Ratios of KMLM and VBIL, 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. VBIL - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than VBIL's maximum drawdown of -0.09%. Use the drawdown chart below to compare losses from any high point for KMLM and VBIL.

Drawdown Indicators

	KMLM	VBIL	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-0.09%	-27.38%
Max Drawdown (1Y) Largest decline over 1 year	-8.04%	-0.01%	-8.03%
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	-15.93%	0.00%	-15.93%
Average Drawdown Average peak-to-trough decline	-12.75%	-0.00%	-12.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	0.00%	+2.32%

Volatility

KMLM vs. VBIL - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 2.95% compared to Vanguard 0-3 Month Treasury Bill ETF (VBIL) at 0.05%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than VBIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	VBIL	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.95%	0.05%	+2.90%
Volatility (6M) Calculated over the trailing 6-month period	9.80%	0.16%	+9.64%
Volatility (1Y) Calculated over the trailing 1-year period	11.38%	0.22%	+11.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	0.30%	+14.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.69%	0.30%	+14.39%

KMLM vs. VBIL - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than VBIL's 0.07% expense ratio.

Dividends

KMLM vs. VBIL - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.66%, more than VBIL's 3.65% yield.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%
VBIL Vanguard 0-3 Month Treasury Bill ETF	3.65%	3.12%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both KMLM and VBIL in my portfolio?

KMLM and VBIL have a correlation of -0.04, 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 VBIL?

KMLM has higher volatility (2.95%) compared to VBIL (0.05%). In terms of maximum drawdown, KMLM dropped -27.47% vs VBIL's -0.09%.

Which ETF is better, KMLM or VBIL?

On 1-year performance, KMLM leads with 15.91% vs 3.91% for VBIL. On fees, VBIL is cheaper at 0.07% per year. On volatility, VBIL has been the lower-risk option at 0.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or VBIL?

Over the 1-year period, KMLM has performed better with a 15.91% return vs 3.91%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or VBIL?

VBIL is cheaper with a 0.07% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.66%, compared with 3.65% for VBIL.

What is the main difference between KMLM and VBIL?

KMLM is categorized as Systematic Trend, while VBIL is Ultrashort Bond. KMLM tracks KFA MLM Index, while VBIL tracks Bloomberg US Treasury Bills 0-3 Months Index. They also come from different issuers: KraneShares and Vanguard. Their fees differ too: 0.90% for KMLM and 0.07% for VBIL.

Which has better risk-adjusted returns?

VBIL currently has the higher Sharpe Ratio (18.07 vs 1.41), 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.