KURE vs. KMLM

Last updated Jun 26, 2026

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 Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, KURE returned -16.64%/yr vs 4.22%/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

The chart below illustrates the hypothetical performance of a $10,000 investment in KraneShares MSCI All China Health Care Index ETF (KURE) 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, KURE achieves a -11.03% return, which is significantly lower than KMLM's 6.32% return.

KURE

• 1D: 0.40%
• 1M: -5.31%
• YTD: -11.03%
• 6M: -13.96%
• 1Y: -8.07%
• 3Y*: -3.44%
• 5Y*: -16.64%
• 10Y*: —

KMLM

• 1D: 0.69%
• 1M: -4.50%
• YTD: 6.32%
• 6M: 6.50%
• 1Y: 11.18%
• 3Y*: -0.73%
• 5Y*: 4.22%
• 10Y*: —

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

KURE vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KURE KraneShares MSCI All China Health Care Index ETF	-11.03%	24.87%	-17.83%	-17.70%	-25.43%	-16.01%	15.33%
KMLM KFA Mount Lucas Index Strategy ETF	6.32%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between KURE and KMLM is -0.02, 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	-0.02
Correlation (3Y) Calculated over the trailing 3-year period	-0.08
Correlation (5Y) Calculated over the trailing 5-year period	-0.09
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.08

Return for Risk

KURE vs. KMLM — Risk / Return Rank

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

KURE

KURE Risk / Return Rank: 7
KURE Sharpe Ratio Rank: 7
KURE Sortino Ratio Rank: 7
KURE Omega Ratio Rank: 6
KURE Calmar Ratio Rank: 7
KURE Martin Ratio Rank: 7

KMLM

KMLM Risk / Return Rank: 29
KMLM Sharpe Ratio Rank: 30
KMLM Sortino Ratio Rank: 28
KMLM Omega Ratio Rank: 29
KMLM Calmar Ratio Rank: 27
KMLM Martin Ratio Rank: 34

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.

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.

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.

	KURE	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	-0.31	0.99	-1.30
Sortino ratio: Return per unit of downside risk	-0.26	1.39	-1.66
Omega ratio: Gain probability vs. loss probability	0.97	1.18	-0.21
Calmar ratio: Return relative to maximum drawdown	-0.26	1.22	-1.49
Martin ratio: Return relative to average drawdown	-0.54	4.48	-5.02

KURE vs. KMLM - Sharpe Ratio Comparison

The current KURE Sharpe Ratio is -0.31, which is lower than the KMLM Sharpe Ratio of 0.99. The chart below compares the historical Sharpe Ratios of KURE 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

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.

Drawdown Indicators

	KURE	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-68.53%	-27.47%	-41.06%
Max Drawdown (1Y) Largest decline over 1 year	-30.88%	-9.18%	-21.70%
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 Drawdown Current decline from peak	-61.26%	-17.10%	-44.16%
Average Drawdown Average peak-to-trough decline	-38.22%	-12.76%	-25.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	14.85%	2.50%	+12.35%

Volatility

KURE vs. KMLM - Volatility Comparison

KraneShares MSCI All China Health Care Index ETF (KURE) has a higher volatility of 7.54% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.15%. 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.

Volatility by Period

	KURE	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.54%	3.15%	+4.39%
Volatility (6M) Calculated over the trailing 6-month period	18.04%	9.89%	+8.15%
Volatility (1Y) Calculated over the trailing 1-year period	26.09%	11.34%	+14.75%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	31.85%	14.58%	+17.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	32.32%	14.69%	+17.63%

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 4.71%, which matches KMLM's 4.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
KMLM KFA Mount Lucas Index Strategy ETF	4.72%	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	4.71%	4.19%	1.29%	0.65%	0.05%	14.12%	0.00%	0.25%	0.21%

Frequently Asked Questions

Can I hold both KURE and KMLM in my portfolio?

KURE and KMLM have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KURE or KMLM?

KURE has higher volatility (7.54%) compared to KMLM (3.15%). In terms of maximum drawdown, KURE dropped -68.53% vs KMLM's -27.47%.

Which ETF is better, KURE or KMLM?

On 5-year performance, KMLM leads with 4.22% vs -16.64% for KURE. On fees, KURE is cheaper at 0.65% per year. On volatility, KMLM has been the lower-risk option at 3.15%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KURE or KMLM?

Over the 5-year period, KMLM has performed better with a 4.22% return vs -16.64%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KURE or KMLM?

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

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

KURE and KMLM have nearly identical dividend yields, around 4.71%.

What is the main difference between KURE and KMLM?

KURE is categorized as China Equities, while KMLM is Systematic Trend. KURE tracks MSCI China All Shares Health Care 10/40 Index, while KMLM tracks KFA MLM Index. They also come from different issuers: CICC and KraneShares. Their fees differ too: 0.65% for KURE and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (0.99 vs -0.31), 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.