KMLM vs. WTMF
KMLM (KFA Mount Lucas Index Strategy ETF) and WTMF (WisdomTree Managed Futures Strategy Fund) are both Systematic Trend funds - KMLM tracks the KFA MLM Index while WTMF tracks the WisdomTree Managed Futures Index. Both are passively managed. Over the past 5 years, KMLM returned 5.77%/yr vs 6.09%/yr for WTMF. Their 0.28 correlation means their historical movements had little consistent relationship. KMLM charges 0.90%/yr vs 0.65%/yr for WTMF.
Performance
KMLM vs. WTMF - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 12.95% return, which is significantly higher than WTMF's 8.10% return.
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
WTMF
- 1D
- -0.05%
- 1M
- 0.96%
- 6M
- 8.70%
- YTD
- 8.10%
- 1Y
- 18.77%
- 3Y*
- 9.32%
- 5Y*
- 6.09%
- 10Y*
- 3.47%
- ALL TIME*
- 1.16%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $14.29M | $9.53M | $7.83M | |
| $1.17M | $1.17M | $1.11M |
KMLM vs. WTMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
WTMF WisdomTree Managed Futures Strategy Fund | 8.10% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 4.17% |
Correlation
The correlation between KMLM and WTMF is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.26 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.22 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.28 |
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Return for Risk
KMLM vs. WTMF — Risk / Return Rank
KMLM
WTMF
KMLM vs. WTMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and WisdomTree Managed Futures Strategy Fund (WTMF). 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 | WTMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.38 | ||
| Sortino ratioReturn per unit of downside risk | -0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.37 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.86 | 4.38 | -2.53 |
| Martin ratioReturn relative to average drawdown | 6.03 | 16.87 | -10.84 |
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Drawdowns
KMLM vs. WTMF - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum WTMF drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for KMLM and WTMF.
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Drawdown Indicators
| KMLM | WTMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -30.79% | +3.32% |
Max Drawdown (1Y)Largest decline over 1 year | -9.61% | -4.04% | -5.57% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -9.93% | -12.35% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -13.21% | -14.26% |
Max Drawdown (10Y)Largest decline over 10 years | — | -14.83% | — |
Current DrawdownCurrent decline from peak | -11.93% | -0.87% | -11.06% |
Average DrawdownAverage peak-to-trough decline | -12.79% | -17.53% | +4.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.95% | 1.05% | +1.90% |
Volatility
KMLM vs. WTMF - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.70% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 2.19%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than WTMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | WTMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.70% | 2.19% | +1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 10.31% | 7.17% | +3.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.49% | 9.13% | +2.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.53% | 9.37% | +5.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.66% | 8.12% | +6.54% |
KMLM vs. WTMF - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than WTMF's 0.65% expense ratio.
Dividends
KMLM vs. WTMF - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.45%, more than WTMF's 2.82% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.82% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Frequently Asked Questions
KMLM and WTMF have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.70%) compared to WTMF (2.19%). In terms of maximum drawdown, KMLM dropped -27.47% vs WTMF's -30.79%.
On 5-year performance, WTMF leads with 6.09% vs 5.77% for KMLM. On fees, WTMF is cheaper at 0.65% per year. On volatility, WTMF has been the lower-risk option at 2.19%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, WTMF has performed better with a 6.09% return vs 5.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTMF is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.45%, compared with 2.82% for WTMF.
KMLM tracks KFA MLM Index, while WTMF tracks WisdomTree Managed Futures Index. They also come from different issuers: KraneShares and WisdomTree. Their fees differ too: 0.90% for KMLM and 0.65% for WTMF.
WTMF currently has the higher Sharpe Ratio (1.94 vs 1.55), 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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