KVLE vs. KMLM
KVLE (KFA Value Liner Dynamic Core Equity Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KVLE is a Large Cap Value Equities fund tracking the 3D/L Value Line Dynamic Core Equity Index, while KMLM is a Long-Short fund actively managed by CICC. KVLE is passively managed, while KMLM is actively managed. Over the past 5 years, KVLE returned 9.67%/yr vs 4.33%/yr for KMLM. At a correlation of -0.08, they often move in opposite directions. KVLE charges 0.56%/yr vs 0.90%/yr for KMLM.
Performance
KVLE vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, KVLE achieves a 10.22% return, which is significantly lower than KMLM's 10.79% return.
KVLE
- 1D
- -0.91%
- 1M
- 4.69%
- YTD
- 10.22%
- 6M
- 9.55%
- 1Y
- 18.85%
- 3Y*
- 14.93%
- 5Y*
- 9.67%
- 10Y*
- —
KMLM
- 1D
- 0.17%
- 1M
- -2.41%
- YTD
- 10.79%
- 6M
- 13.19%
- 1Y
- 13.68%
- 3Y*
- -0.47%
- 5Y*
- 4.33%
- 10Y*
- —
KVLE vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KVLE KFA Value Liner Dynamic Core Equity Index ETF | 10.22% | 9.34% | 18.25% | 10.49% | -5.96% | 28.01% | 1.91% |
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 KVLE and KMLM is 0.09, 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 | 0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
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 KVLE and KMLM shifts across timeframes, from -0.10 (5 years) to 0.09 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
KVLE vs. KMLM — Risk / Return Rank
KVLE
KMLM
KVLE vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Value Liner Dynamic Core Equity Index ETF (KVLE) 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.
| KVLE | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.51 | ||
| Sortino ratioReturn per unit of downside risk | +0.77 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.22 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.97 | 2.18 | -0.21 |
| Martin ratioReturn relative to average drawdown | 7.57 | 7.18 | +0.39 |
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
| KVLE | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.72 | 1.20 | +0.51 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.67 | 0.30 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.88 | 0.49 | +0.39 |
Drawdowns
KVLE vs. KMLM - Drawdown Comparison
The maximum KVLE drawdown since its inception was -18.38%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KVLE and KMLM.
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Drawdown Indicators
| KVLE | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.38% | -27.47% | +9.09% |
Max Drawdown (1Y)Largest decline over 1 year | -9.59% | -6.30% | -3.29% |
Max Drawdown (3Y)Largest decline over 3 years | -16.39% | -22.28% | +5.89% |
Max Drawdown (5Y)Largest decline over 5 years | -18.38% | -27.47% | +9.09% |
Current DrawdownCurrent decline from peak | -0.91% | -13.61% | +12.70% |
Average DrawdownAverage peak-to-trough decline | -3.21% | -12.74% | +9.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.50% | 1.91% | +0.59% |
Volatility
KVLE vs. KMLM - Volatility Comparison
The current volatility for KFA Value Liner Dynamic Core Equity Index ETF (KVLE) is 2.64%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.46%. This indicates that KVLE experiences smaller price fluctuations and is considered to be less risky 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
| KVLE | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.64% | 4.46% | -1.82% |
Volatility (6M)Calculated over the trailing 6-month period | 8.35% | 9.63% | -1.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.04% | 11.43% | -0.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.51% | 14.62% | -0.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.33% | 14.73% | -0.40% |
KVLE vs. KMLM - Expense Ratio Comparison
KVLE has a 0.56% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
KVLE vs. KMLM - Dividend Comparison
KVLE's dividend yield for the trailing twelve months is around 7.30%, more than KMLM's 4.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.53% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% |
KVLE KFA Value Liner Dynamic Core Equity Index ETF | 7.30% | 7.90% | 7.99% | 2.53% | 5.78% | 9.51% | 0.35% |
Frequently Asked Questions
KVLE and KMLM have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.46%) compared to KVLE (2.64%). In terms of maximum drawdown, KVLE dropped -18.38% vs KMLM's -27.47%.
On 5-year performance, KVLE leads with 9.67% vs 4.33% for KMLM. On fees, KVLE is cheaper at 0.56% per year. On volatility, KVLE has been the lower-risk option at 2.64%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KVLE has performed better with a 9.67% return vs 4.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KVLE is cheaper with a 0.56% expense ratio, compared with 0.90% for KMLM.
KVLE has the higher dividend yield at 7.30%, compared with 4.53% for KMLM.
KVLE is categorized as Large Cap Value Equities, while KMLM is Long-Short. Their fees differ too: 0.56% for KVLE and 0.90% for KMLM.
KVLE currently has the higher Sharpe Ratio (1.72 vs 1.20), 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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