KWEB vs. KMLM

Last updated Apr 1, 2026

Compare and contrast key facts about KraneShares CSI China Internet ETF (KWEB) and KFA Mount Lucas Index Strategy ETF (KMLM).

KWEB and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KWEB is a passively managed fund by CICC that tracks the performance of the CSI Overseas China Internet. It was launched on Jul 31, 2013. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.

Performance

KWEB vs. KMLM - Performance Comparison

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

KWEB vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KWEB KraneShares CSI China Internet ETF	-16.51%	23.55%	12.01%	-9.06%	-17.24%	-49.01%	3.84%
KMLM KFA Mount Lucas Index Strategy ETF	8.67%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Returns By Period

In the year-to-date period, KWEB achieves a -16.51% return, which is significantly lower than KMLM's 8.67% return.

KWEB

• 1D: 2.34%
• 1M: -8.47%
• YTD: -16.51%
• 6M: -28.20%
• 1Y: -13.60%
• 3Y*: 0.58%
• 5Y*: -15.40%
• 10Y*: 0.04%

KMLM

• 1D: -0.28%
• 1M: 4.21%
• YTD: 8.67%
• 6M: 10.01%
• 1Y: 8.60%
• 3Y*: 0.44%
• 5Y*: 5.63%
• 10Y*: —

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

KWEB vs. KMLM - Expense Ratio Comparison

KWEB has a 0.76% expense ratio, which is lower than KMLM's 0.90% expense ratio.

KMLM

KFA Mount Lucas Index Strategy ETF

KWEB

KraneShares CSI China Internet ETF

Return for Risk

KWEB vs. KMLM — Risk / Return Rank

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

KWEB

KWEB Risk / Return Rank: 4
KWEB Sharpe Ratio Rank: 5
KWEB Sortino Ratio Rank: 4
KWEB Omega Ratio Rank: 5
KWEB Calmar Ratio Rank: 5
KWEB Martin Ratio Rank: 4

KMLM

KMLM Risk / Return Rank: 46
KMLM Sharpe Ratio Rank: 52
KMLM Sortino Ratio Rank: 50
KMLM Omega Ratio Rank: 44
KMLM Calmar Ratio Rank: 48
KMLM Martin Ratio Rank: 38

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.

KWEB vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares CSI China Internet ETF (KWEB) 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.

	KWEB	KMLM	Difference
Sharpe ratio Return per unit of total volatility	-0.46	0.88	-1.34
Sortino ratio Return per unit of downside risk	-0.48	1.27	-1.75
Omega ratio Gain probability vs. loss probability	0.94	1.16	-0.22
Calmar ratio Return relative to maximum drawdown	-0.44	1.13	-1.58
Martin ratio Return relative to average drawdown	-1.16	3.31	-4.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KWEB vs. KMLM - Sharpe Ratio Comparison

The current KWEB Sharpe Ratio is -0.46, which is lower than the KMLM Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of KWEB and KMLM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	KWEB	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.46	0.88	-1.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.32	0.39	-0.71
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.00	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.07	0.49	-0.42

Correlation

The correlation between KWEB and KMLM is -0.06. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Dividends

KWEB vs. KMLM - Dividend Comparison

KWEB's dividend yield for the trailing twelve months is around 7.37%, more than KMLM's 4.62% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
KWEB KraneShares CSI China Internet ETF	7.37%	6.16%	3.51%	1.71%	0.00%	7.07%	0.29%	0.08%	3.40%	0.58%	1.19%	0.46%
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

KWEB vs. KMLM - Drawdown Comparison

The maximum KWEB drawdown since its inception was -80.92%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KWEB and KMLM.

Drawdown Indicators

	KWEB	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-80.92%	-27.47%	-53.45%
Max Drawdown (1Y) Largest decline over 1 year	-31.36%	-6.73%	-24.63%
Max Drawdown (5Y) Largest decline over 5 years	-75.23%	-27.47%	-47.76%
Max Drawdown (10Y) Largest decline over 10 years	-80.92%	—	—
Current Drawdown Current decline from peak	-67.12%	-15.27%	-51.85%
Average Drawdown Average peak-to-trough decline	-34.80%	-12.73%	-22.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	12.05%	2.41%	+9.64%

Volatility

KWEB vs. KMLM - Volatility Comparison

KraneShares CSI China Internet ETF (KWEB) has a higher volatility of 8.95% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.05%. This indicates that KWEB'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

	KWEB	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.95%	4.05%	+4.90%
Volatility (6M) Calculated over the trailing 6-month period	19.07%	7.22%	+11.85%
Volatility (1Y) Calculated over the trailing 1-year period	29.53%	9.84%	+19.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	47.64%	14.57%	+33.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	39.87%	14.67%	+25.20%