KWEB vs. KMLM
KWEB (KraneShares CSI China Internet ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KWEB is a China Equities fund tracking the CSI Overseas China Internet Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, KWEB returned -7.53%/yr vs 5.77%/yr for KMLM. Their -0.07 correlation means they have often moved in opposite directions in the past. KWEB charges 0.70%/yr vs 0.90%/yr for KMLM.
Performance
KWEB vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, KWEB achieves a -16.33% return, which is significantly lower than KMLM's 12.95% return.
KWEB
- 1D
- 1.53%
- 1M
- 14.01%
- 6M
- -19.47%
- YTD
- -16.33%
- 1Y
- -12.39%
- 3Y*
- 0.77%
- 5Y*
- -7.53%
- 10Y*
- 0.31%
- ALL TIME*
- 2.65%
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $14.29M | $9.53M | $7.83M | |
| $554.38M | $548.17M | $693.22M |
KWEB vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KWEB KraneShares CSI China Internet ETF | -16.33% | 23.55% | 12.01% | -9.06% | -17.24% | -49.01% | 3.18% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between KWEB and KMLM is -0.01, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.01 |
Correlation (3Y) Balances recent behavior with more history. | -0.03 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.10 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.07 |
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Return for Risk
KWEB vs. KMLM — Risk / Return Rank
KWEB
KMLM
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.
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.
| KWEB | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.09 | ||
| Sortino ratioReturn per unit of downside risk | -2.76 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.28 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | 1.86 | -2.21 |
| Martin ratioReturn relative to average drawdown | -0.67 | 6.03 | -6.70 |
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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.
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Drawdown Indicators
| KWEB | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -80.92% | -27.47% | -53.45% |
Max Drawdown (1Y)Largest decline over 1 year | -41.62% | -9.61% | -32.01% |
Max Drawdown (3Y)Largest decline over 3 years | -41.62% | -22.28% | -19.34% |
Max Drawdown (5Y)Largest decline over 5 years | -63.96% | -27.47% | -36.49% |
Max Drawdown (10Y)Largest decline over 10 years | -80.92% | — | — |
Current DrawdownCurrent decline from peak | -67.05% | -11.93% | -55.12% |
Average DrawdownAverage peak-to-trough decline | -35.65% | -12.79% | -22.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.98% | 2.95% | +19.03% |
Volatility
KWEB vs. KMLM - Volatility Comparison
KraneShares CSI China Internet ETF (KWEB) has a higher volatility of 7.76% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.70%. 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.
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Volatility by Period
| KWEB | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.76% | 3.70% | +4.06% |
Volatility (6M)Calculated over the trailing 6-month period | 20.68% | 10.31% | +10.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.82% | 11.49% | +16.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 46.99% | 14.53% | +32.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 40.04% | 14.66% | +25.38% |
KWEB vs. KMLM - Expense Ratio Comparison
KWEB has a 0.70% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
KWEB vs. KMLM - Dividend Comparison
KWEB's dividend yield for the trailing twelve months is around 7.36%, more than KMLM's 4.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
KWEB KraneShares CSI China Internet ETF | 7.36% | 6.16% | 3.51% | 1.71% | 0.00% | 7.07% | 0.29% | 0.08% | 3.40% | 0.58% | 1.19% | 0.46% |
Frequently Asked Questions
KWEB 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.
KWEB has higher volatility (7.76%) compared to KMLM (3.70%). In terms of maximum drawdown, KWEB dropped -80.92% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 5.77% vs -7.53% for KWEB. On fees, KWEB is cheaper at 0.70% per year. On volatility, KMLM has been the lower-risk option at 3.70%. 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 5.77% return vs -7.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KWEB is cheaper with a 0.70% expense ratio, compared with 0.90% for KMLM.
KWEB has the higher dividend yield at 7.36%, compared with 4.45% for KMLM.
KWEB is categorized as China Equities, while KMLM is Systematic Trend. KWEB tracks CSI Overseas China Internet Index, while KMLM tracks KFA MLM Index. Their fees differ too: 0.70% for KWEB and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.55 vs -0.53), 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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