KMLM vs. VCMDX

Last updated Apr 2, 2026

Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX).

KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020. VCMDX is managed by Vanguard. It was launched on Jun 25, 2019.

Performance

KMLM vs. VCMDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX). The values are adjusted to include any dividend payments, if applicable.

KMLM vs. VCMDX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KMLM KFA Mount Lucas Index Strategy ETF	7.86%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	18.30%	18.20%	5.27%	-7.45%	13.83%	34.82%	5.44%

Returns By Period

In the year-to-date period, KMLM achieves a 7.86% return, which is significantly lower than VCMDX's 18.30% return.

KMLM

• 1D: -0.74%
• 1M: 2.72%
• YTD: 7.86%
• 6M: 9.64%
• 1Y: 8.23%
• 3Y*: 0.19%
• 5Y*: 5.47%
• 10Y*: —

VCMDX

• 1D: 0.39%
• 1M: 5.30%
• YTD: 18.30%
• 6M: 23.73%
• 1Y: 26.28%
• 3Y*: 12.12%
• 5Y*: 14.20%
• 10Y*: —

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

KMLM vs. VCMDX - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than VCMDX's 0.20% expense ratio.

KMLM

KFA Mount Lucas Index Strategy ETF

VCMDX

Vanguard Commodity Strategy Fund Admiral Shares

Return for Risk

KMLM vs. VCMDX — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 40
KMLM Sharpe Ratio Rank: 43
KMLM Sortino Ratio Rank: 41
KMLM Omega Ratio Rank: 37
KMLM Calmar Ratio Rank: 43
KMLM Martin Ratio Rank: 36

VCMDX

VCMDX Risk / Return Rank: 88
VCMDX Sharpe Ratio Rank: 88
VCMDX Sortino Ratio Rank: 86
VCMDX Omega Ratio Rank: 83
VCMDX Calmar Ratio Rank: 94
VCMDX Martin Ratio Rank: 88

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. VCMDX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX). 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	VCMDX	Difference
Sharpe ratio Return per unit of total volatility	0.84	1.76	-0.92
Sortino ratio Return per unit of downside risk	1.22	2.25	-1.04
Omega ratio Gain probability vs. loss probability	1.15	1.33	-0.17
Calmar ratio Return relative to maximum drawdown	1.16	3.10	-1.95
Martin ratio Return relative to average drawdown	3.43	9.46	-6.03
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KMLM vs. VCMDX - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 0.84, which is lower than the VCMDX Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of KMLM and VCMDX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	KMLM	VCMDX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.84	1.76	-0.92
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.38	0.90	-0.53
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.83	-0.36

Correlation

The correlation between KMLM and VCMDX is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

KMLM vs. VCMDX - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.66%, less than VCMDX's 12.86% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	12.86%	15.21%	2.19%	2.50%	14.21%	30.56%	0.50%	0.60%

Drawdowns

KMLM vs. VCMDX - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, roughly equal to the maximum VCMDX drawdown of -26.67%. Use the drawdown chart below to compare losses from any high point for KMLM and VCMDX.

Drawdown Indicators

	KMLM	VCMDX	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-26.67%	-0.80%
Max Drawdown (1Y) Largest decline over 1 year	-6.73%	-8.92%	+2.19%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	-25.45%	-2.02%
Current Drawdown Current decline from peak	-15.90%	-1.31%	-14.59%
Average Drawdown Average peak-to-trough decline	-12.73%	-11.10%	-1.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.27%	2.93%	-0.66%

Volatility

KMLM vs. VCMDX - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 4.03%, while Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) has a volatility of 5.98%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than VCMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	VCMDX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.03%	5.98%	-1.95%
Volatility (6M) Calculated over the trailing 6-month period	7.26%	12.19%	-4.93%
Volatility (1Y) Calculated over the trailing 1-year period	9.85%	15.62%	-5.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	15.81%	-1.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.67%	15.40%	-0.73%