KMLM vs. VCMDX
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: KMLM or VCMDX.
Performance
KMLM vs. VCMDX - Performance Comparison
Returns By Period
In the year-to-date period, KMLM achieves a -1.63% return, which is significantly lower than VCMDX's 2.55% return.
KMLM
-1.63%
-0.18%
-3.96%
-7.65%
N/A
N/A
VCMDX
2.55%
-2.31%
-5.91%
1.29%
9.70%
N/A
Key characteristics
| KMLM | VCMDX | |
|---|---|---|
| Sharpe Ratio | -0.83 | 0.00 |
| Sortino Ratio | -1.07 | 0.08 |
| Omega Ratio | 0.88 | 1.01 |
| Calmar Ratio | -0.34 | 0.00 |
| Martin Ratio | -1.33 | 0.00 |
| Ulcer Index | 6.56% | 4.60% |
| Daily Std Dev | 10.57% | 11.67% |
| Max Drawdown | -25.42% | -26.67% |
| Current Drawdown | -23.50% | -20.94% |
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KMLM vs. VCMDX - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than VCMDX's 0.20% expense ratio.
Correlation
The correlation between KMLM and VCMDX is 0.08, 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.
Risk-Adjusted Performance
KMLM vs. VCMDX - Risk-Adjusted Performance 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.
Dividends
KMLM vs. VCMDX - Dividend Comparison
KMLM has not paid dividends to shareholders, while VCMDX's dividend yield for the trailing twelve months is around 2.44%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 2.44% | 2.50% | 14.21% | 30.56% | 0.50% | 0.61% |
Drawdowns
KMLM vs. VCMDX - Drawdown Comparison
The maximum KMLM drawdown since its inception was -25.42%, 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. For additional features, visit the drawdowns tool.
Volatility
KMLM vs. VCMDX - Volatility Comparison
The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.17%, while Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) has a volatility of 3.63%. 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.