KSTR vs. KMLM

Last updated Jun 24, 2026

KSTR (KraneShares SSE STAR Market 50 Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KSTR is a China Equities fund tracking the SSE Science and Technology Innovation Board 50 Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, KSTR returned 1.10%/yr vs 4.34%/yr for KMLM. At a correlation of -0.05, they often move in opposite directions. KSTR charges 0.89%/yr vs 0.90%/yr for KMLM.

Performance

KSTR vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KraneShares SSE STAR Market 50 Index ETF (KSTR) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KSTR achieves a 47.82% return, which is significantly higher than KMLM's 6.97% return.

KSTR

• 1D: -2.34%
• 1M: 7.54%
• YTD: 47.82%
• 6M: 47.90%
• 1Y: 108.41%
• 3Y*: 23.01%
• 5Y*: 1.10%
• 10Y*: —

KMLM

• 1D: -0.79%
• 1M: -4.98%
• YTD: 6.97%
• 6M: 6.95%
• 1Y: 12.95%
• 3Y*: -0.70%
• 5Y*: 4.34%
• 10Y*: —

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

KSTR vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
KSTR KraneShares SSE STAR Market 50 Index ETF	47.82%	42.82%	6.12%	-17.93%	-38.51%	-2.01%
KMLM KFA Mount Lucas Index Strategy ETF	6.97%	-2.98%	-1.69%	-5.66%	30.61%	5.61%

Correlation

The correlation between KSTR and KMLM is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.01
Correlation (3Y) Calculated over the trailing 3-year period	-0.04
Correlation (5Y) Calculated over the trailing 5-year period	-0.06
Correlation (All Time) Calculated using the full available price history since Jan 27, 2021	-0.05

Return for Risk

KSTR vs. KMLM — Risk / Return Rank

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

KSTR

KSTR Risk / Return Rank: 86
KSTR Sharpe Ratio Rank: 91
KSTR Sortino Ratio Rank: 84
KSTR Omega Ratio Rank: 83
KSTR Calmar Ratio Rank: 93
KSTR Martin Ratio Rank: 81

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 33
KMLM Martin Ratio Rank: 37

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.

KSTR vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares SSE STAR Market 50 Index ETF (KSTR) and KFA Mount Lucas Index Strategy ETF (KMLM). 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.

	KSTR	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	2.93	1.16	+1.77
Sortino ratio: Return per unit of downside risk	3.49	1.61	+1.88
Omega ratio: Gain probability vs. loss probability	1.46	1.21	+0.25
Calmar ratio: Return relative to maximum drawdown	6.16	1.62	+4.54
Martin ratio: Return relative to average drawdown	15.20	5.47	+9.73

KSTR vs. KMLM - Sharpe Ratio Comparison

The current KSTR Sharpe Ratio is 2.93, which is higher than the KMLM Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of KSTR and KMLM, 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

KSTR vs. KMLM - Drawdown Comparison

The maximum KSTR drawdown since its inception was -66.46%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KSTR and KMLM.

Drawdown Indicators

	KSTR	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-66.46%	-27.47%	-38.99%
Max Drawdown (1Y) Largest decline over 1 year	-17.70%	-8.04%	-9.66%
Max Drawdown (3Y) Largest decline over 3 years	-41.55%	-22.28%	-19.27%
Max Drawdown (5Y) Largest decline over 5 years	-66.46%	-27.47%	-38.99%
Current Drawdown Current decline from peak	-2.34%	-16.59%	+14.25%
Average Drawdown Average peak-to-trough decline	-38.47%	-12.76%	-25.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.16%	2.37%	+4.79%

Volatility

KSTR vs. KMLM - Volatility Comparison

KraneShares SSE STAR Market 50 Index ETF (KSTR) has a higher volatility of 16.10% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. This indicates that KSTR's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KSTR	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	16.10%	2.95%	+13.15%
Volatility (6M) Calculated over the trailing 6-month period	28.62%	9.82%	+18.80%
Volatility (1Y) Calculated over the trailing 1-year period	37.27%	11.39%	+25.88%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	38.60%	14.57%	+24.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	37.87%	14.69%	+23.18%

KSTR vs. KMLM - Expense Ratio Comparison

KSTR has a 0.89% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

KSTR vs. KMLM - Dividend Comparison

KSTR has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.70%.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	5.02%	0.82%	0.00%	13.22%	6.94%
KSTR KraneShares SSE STAR Market 50 Index ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both KSTR and KMLM in my portfolio?

KSTR and KMLM have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KSTR or KMLM?

KSTR has higher volatility (16.10%) compared to KMLM (2.95%). In terms of maximum drawdown, KSTR dropped -66.46% vs KMLM's -27.47%.

Which ETF is better, KSTR or KMLM?

On 5-year performance, KMLM leads with 4.34% vs 1.10% for KSTR. On fees, KSTR is cheaper at 0.89% per year. On volatility, KMLM has been the lower-risk option at 2.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KSTR or KMLM?

Over the 5-year period, KMLM has performed better with a 4.34% return vs 1.10%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KSTR or KMLM?

KSTR is cheaper with a 0.89% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.70%, compared with 0.00% for KSTR.

What is the main difference between KSTR and KMLM?

KSTR is categorized as China Equities, while KMLM is Systematic Trend. KSTR tracks SSE Science and Technology Innovation Board 50 Index, while KMLM tracks KFA MLM Index. Their fees differ too: 0.89% for KSTR and 0.90% for KMLM.

Which has better risk-adjusted returns?

KSTR currently has the higher Sharpe Ratio (2.93 vs 1.16), 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.