KMLM vs. VOO
Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard S&P 500 ETF (VOO).
KMLM and VOO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: KMLM or VOO.
Performance
KMLM vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, KMLM achieves a -1.63% return, which is significantly lower than VOO's 24.51% return.
KMLM
-1.63%
-0.18%
-3.96%
-7.65%
N/A
N/A
VOO
24.51%
0.61%
11.38%
32.00%
15.30%
13.12%
Key characteristics
| KMLM | VOO | |
|---|---|---|
| Sharpe Ratio | -0.83 | 2.64 |
| Sortino Ratio | -1.07 | 3.53 |
| Omega Ratio | 0.88 | 1.49 |
| Calmar Ratio | -0.34 | 3.81 |
| Martin Ratio | -1.33 | 17.34 |
| Ulcer Index | 6.56% | 1.86% |
| Daily Std Dev | 10.57% | 12.20% |
| Max Drawdown | -25.42% | -33.99% |
| Current Drawdown | -23.50% | -2.16% |
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KMLM vs. VOO - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between KMLM and VOO is -0.13. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Risk-Adjusted Performance
KMLM vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
KMLM has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.26%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.26% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
KMLM vs. VOO - Drawdown Comparison
The maximum KMLM drawdown since its inception was -25.42%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for KMLM and VOO. For additional features, visit the drawdowns tool.
Volatility
KMLM vs. VOO - Volatility Comparison
The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.17%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.09%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.