KMLM vs. WTMF

Last updated Jun 23, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and WTMF (WisdomTree Managed Futures Strategy Fund) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index. Both are passively managed. Over the past 5 years, KMLM returned 4.70%/yr vs 6.45%/yr for WTMF. At a 0.29 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.65%/yr for WTMF.

Performance

KMLM vs. WTMF - Performance Comparison

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

Returns By Period

In the year-to-date period, KMLM achieves a 7.82% return, which is significantly lower than WTMF's 9.05% return.

KMLM

• 1D: 0.58%
• 1M: -4.23%
• YTD: 7.82%
• 6M: 7.66%
• 1Y: 15.91%
• 3Y*: -0.44%
• 5Y*: 4.70%
• 10Y*: —

WTMF

• 1D: 0.25%
• 1M: 0.90%
• YTD: 9.05%
• 6M: 8.03%
• 1Y: 22.40%
• 3Y*: 10.53%
• 5Y*: 6.45%
• 10Y*: 3.33%

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

KMLM vs. WTMF - 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%
WTMF WisdomTree Managed Futures Strategy Fund	9.05%	12.17%	3.20%	16.72%	-6.52%	9.48%	4.17%

Correlation

The correlation between KMLM and WTMF is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.30
Correlation (3Y) Calculated over the trailing 3-year period	0.25
Correlation (5Y) Calculated over the trailing 5-year period	0.24
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	0.29

Return for Risk

KMLM vs. WTMF — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 41
KMLM Sharpe Ratio Rank: 41
KMLM Sortino Ratio Rank: 39
KMLM Omega Ratio Rank: 39
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 44

WTMF

WTMF Risk / Return Rank: 86
WTMF Sharpe Ratio Rank: 82
WTMF Sortino Ratio Rank: 81
WTMF Omega Ratio Rank: 85
WTMF Calmar Ratio Rank: 91
WTMF Martin Ratio Rank: 93

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. 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 ratio: Return per unit of total volatility	1.41	2.53	-1.12
Sortino ratio: Return per unit of downside risk	1.94	3.42	-1.48
Omega ratio: Gain probability vs. loss probability	1.25	1.49	-0.24
Calmar ratio: Return relative to maximum drawdown	1.99	5.57	-3.59
Martin ratio: Return relative to average drawdown	6.87	23.95	-17.08

KMLM vs. WTMF - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.41, which is lower than the WTMF Sharpe Ratio of 2.53. The chart below compares the historical Sharpe Ratios of KMLM and WTMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	KMLM	WTMF	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-30.79%	+3.32%
Max Drawdown (1Y) Largest decline over 1 year	-8.04%	-4.04%	-4.00%
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	—	-15.26%	—
Current Drawdown Current decline from peak	-15.93%	0.00%	-15.93%
Average Drawdown Average peak-to-trough decline	-12.75%	-17.65%	+4.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	0.94%	+1.38%

Volatility

KMLM vs. WTMF - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 2.95% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 2.67%. 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.

Volatility by Period

	KMLM	WTMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.95%	2.67%	+0.28%
Volatility (6M) Calculated over the trailing 6-month period	9.80%	7.14%	+2.66%
Volatility (1Y) Calculated over the trailing 1-year period	11.38%	8.91%	+2.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	9.50%	+5.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.69%	8.10%	+6.59%

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 4.66%, more than WTMF's 2.79% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
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%
WTMF WisdomTree Managed Futures Strategy Fund	2.79%	3.04%	3.57%	4.74%	5.29%	14.71%	0.47%	1.63%	3.59%

Frequently Asked Questions

Can I hold both KMLM and WTMF in my portfolio?

KMLM and WTMF have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KMLM or WTMF?

KMLM has higher volatility (2.95%) compared to WTMF (2.67%). In terms of maximum drawdown, KMLM dropped -27.47% vs WTMF's -30.79%.

Which ETF is better, KMLM or WTMF?

On 5-year performance, WTMF leads with 6.45% vs 4.70% for KMLM. On fees, WTMF is cheaper at 0.65% per year. On volatility, WTMF has been the lower-risk option at 2.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or WTMF?

Over the 5-year period, WTMF has performed better with a 6.45% return vs 4.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or WTMF?

WTMF is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.

Which ETF pays a higher dividend yield, KMLM or WTMF?

KMLM has the higher dividend yield at 4.66%, compared with 2.79% for WTMF.

What is the main difference between KMLM and WTMF?

KMLM is categorized as Systematic Trend, while WTMF is Hedge Fund. 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.

Which has better risk-adjusted returns?

WTMF currently has the higher Sharpe Ratio (2.53 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.