KURE vs. KMLM
KURE (KraneShares MSCI All China Health Care Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KURE is a China Equities fund tracking the MSCI China All Shares Health Care 10/40 Index, while KMLM is a Long-Short fund actively managed by CICC. KURE is passively managed, while KMLM is actively managed. Over the past 5 years, KURE returned -16.33%/yr vs 4.33%/yr for KMLM. At a correlation of -0.08, they often move in opposite directions. KURE charges 0.65%/yr vs 0.90%/yr for KMLM.
Performance
KURE vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, KURE achieves a -10.68% return, which is significantly lower than KMLM's 10.79% return.
KURE
- 1D
- -2.87%
- 1M
- -12.23%
- YTD
- -10.68%
- 6M
- -15.54%
- 1Y
- -5.05%
- 3Y*
- -6.04%
- 5Y*
- -16.33%
- 10Y*
- —
KMLM
- 1D
- 0.17%
- 1M
- -2.41%
- YTD
- 10.79%
- 6M
- 13.19%
- 1Y
- 13.68%
- 3Y*
- -0.47%
- 5Y*
- 4.33%
- 10Y*
- —
KURE vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KURE KraneShares MSCI All China Health Care Index ETF | -10.68% | 24.87% | -17.83% | -17.70% | -25.43% | -16.01% | 14.28% |
KMLM KFA Mount Lucas Index Strategy ETF | 10.79% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between KURE 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 | -0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.08 |
The correlation between KURE and KMLM shifts across timeframes, from -0.10 (5 years) to 0.01 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
KURE vs. KMLM — Risk / Return Rank
KURE
KMLM
KURE vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KraneShares MSCI All China Health Care Index ETF (KURE) 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.
| KURE | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.40 | ||
| Sortino ratioReturn per unit of downside risk | -1.77 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.22 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | -0.18 | 2.18 | -2.37 |
| Martin ratioReturn relative to average drawdown | -0.39 | 7.18 | -7.57 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| KURE | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.19 | 1.20 | -1.40 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.52 | 0.30 | -0.81 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.11 | 0.49 | -0.60 |
Drawdowns
KURE vs. KMLM - Drawdown Comparison
The maximum KURE drawdown since its inception was -68.53%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KURE and KMLM.
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Drawdown Indicators
| KURE | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -68.53% | -27.47% | -41.06% |
Max Drawdown (1Y)Largest decline over 1 year | -27.53% | -6.30% | -21.23% |
Max Drawdown (3Y)Largest decline over 3 years | -34.05% | -22.28% | -11.77% |
Max Drawdown (5Y)Largest decline over 5 years | -67.94% | -27.47% | -40.47% |
Current DrawdownCurrent decline from peak | -61.11% | -13.61% | -47.50% |
Average DrawdownAverage peak-to-trough decline | -38.07% | -12.74% | -25.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.13% | 1.91% | +11.22% |
Volatility
KURE vs. KMLM - Volatility Comparison
KraneShares MSCI All China Health Care Index ETF (KURE) has a higher volatility of 7.23% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.46%. This indicates that KURE'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.
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Volatility by Period
| KURE | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.23% | 4.46% | +2.77% |
Volatility (6M)Calculated over the trailing 6-month period | 17.67% | 9.63% | +8.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.49% | 11.43% | +15.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 31.86% | 14.62% | +17.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.39% | 14.73% | +17.66% |
KURE vs. KMLM - Expense Ratio Comparison
KURE has a 0.65% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
KURE vs. KMLM - Dividend Comparison
KURE's dividend yield for the trailing twelve months is around 4.70%, more than KMLM's 4.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.53% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
KURE KraneShares MSCI All China Health Care Index ETF | 4.70% | 4.19% | 1.29% | 0.65% | 0.05% | 14.12% | 0.00% | 0.25% | 0.21% |
Frequently Asked Questions
KURE 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.
KURE has higher volatility (7.23%) compared to KMLM (4.46%). In terms of maximum drawdown, KURE dropped -68.53% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.33% vs -16.33% for KURE. On fees, KURE is cheaper at 0.65% per year. On volatility, KMLM has been the lower-risk option at 4.46%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 4.33% return vs -16.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KURE is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.
KURE has the higher dividend yield at 4.70%, compared with 4.53% for KMLM.
KURE is categorized as China Equities, while KMLM is Long-Short. Their fees differ too: 0.65% for KURE and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.20 vs -0.19), 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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