KMLM vs. VYM
KMLM (KFA Mount Lucas Index Strategy ETF) and VYM (Vanguard High Dividend Yield ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while VYM is a Dividend fund tracking the FTSE High Dividend Yield Index. Both are passively managed. Over the past 5 years, KMLM returned 4.70%/yr vs 12.10%/yr for VYM. At a correlation of -0.04, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.04%/yr for VYM.
Performance
KMLM vs. VYM - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 7.82% return, which is significantly lower than VYM's 11.70% return.
KMLM
- 1D
- 0.58%
- 1M
- -4.23%
- YTD
- 7.82%
- 6M
- 7.66%
- 1Y
- 15.91%
- 3Y*
- -0.44%
- 5Y*
- 4.70%
- 10Y*
- —
VYM
- 1D
- 0.11%
- 1M
- 0.42%
- YTD
- 11.70%
- 6M
- 11.13%
- 1Y
- 25.24%
- 3Y*
- 18.48%
- 5Y*
- 12.10%
- 10Y*
- 12.00%
KMLM vs. VYM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 7.82% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
VYM Vanguard High Dividend Yield ETF | 11.70% | 15.42% | 17.60% | 6.57% | -0.43% | 26.20% | 2.40% |
Correlation
The correlation between KMLM and VYM is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.06 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.04 |
The correlation between KMLM and VYM shifts across timeframes, from -0.06 (5 years) to 0.10 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
KMLM vs. VYM — Risk / Return Rank
KMLM
VYM
KMLM vs. VYM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard High Dividend Yield ETF (VYM). 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 | VYM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.53 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.44 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.99 | 3.79 | -1.80 |
| Martin ratioReturn relative to average drawdown | 6.87 | 14.09 | -7.22 |
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Drawdowns
KMLM vs. VYM - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for KMLM and VYM.
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Drawdown Indicators
| KMLM | VYM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -56.98% | +29.51% |
Max Drawdown (1Y)Largest decline over 1 year | -8.04% | -6.69% | -1.35% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -14.46% | -7.82% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -15.84% | -11.63% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.21% | — |
Current DrawdownCurrent decline from peak | -15.93% | -1.12% | -14.81% |
Average DrawdownAverage peak-to-trough decline | -12.75% | -7.18% | -5.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.32% | 1.80% | +0.52% |
Volatility
KMLM vs. VYM - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) and Vanguard High Dividend Yield ETF (VYM) have volatilities of 2.95% and 3.02%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | VYM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.95% | 3.02% | -0.07% |
Volatility (6M)Calculated over the trailing 6-month period | 9.80% | 7.64% | +2.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.38% | 10.41% | +0.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.58% | 13.93% | +0.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.69% | 16.35% | -1.66% |
KMLM vs. VYM - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than VYM's 0.04% expense ratio.
Dividends
KMLM vs. VYM - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.66%, more than VYM's 2.29% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.66% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VYM Vanguard High Dividend Yield ETF | 2.29% | 2.44% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% |
Frequently Asked Questions
KMLM and VYM have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VYM has higher volatility (3.02%) compared to KMLM (2.95%). In terms of maximum drawdown, KMLM dropped -27.47% vs VYM's -56.98%.
On 5-year performance, VYM leads with 12.10% vs 4.70% for KMLM. On fees, VYM is cheaper at 0.04% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VYM has performed better with a 12.10% return vs 4.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VYM is cheaper with a 0.04% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.66%, compared with 2.29% for VYM.
KMLM is categorized as Systematic Trend, while VYM is Dividend. KMLM tracks KFA MLM Index, while VYM tracks FTSE High Dividend Yield Index. They also come from different issuers: KraneShares and Vanguard. Their fees differ too: 0.90% for KMLM and 0.04% for VYM.
VYM currently has the higher Sharpe Ratio (2.44 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.
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