RWJ vs. KMLM
RWJ (Invesco S&P SmallCap 600 Revenue ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - RWJ is a Small Cap Value Equities fund tracking the S&P SmallCap 600 Revenue-Weighted Index, while KMLM is a Long-Short fund actively managed by CICC. RWJ is passively managed, while KMLM is actively managed. Over the past 5 years, RWJ returned 7.78%/yr vs 4.40%/yr for KMLM. At a correlation of -0.04, they often move in opposite directions. RWJ charges 0.39%/yr vs 0.90%/yr for KMLM.
Performance
RWJ vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, RWJ achieves a 16.99% return, which is significantly higher than KMLM's 9.83% return.
RWJ
- 1D
- 0.78%
- 1M
- 1.37%
- YTD
- 16.99%
- 6M
- 17.05%
- 1Y
- 36.58%
- 3Y*
- 16.27%
- 5Y*
- 7.78%
- 10Y*
- 13.10%
KMLM
- 1D
- 0.42%
- 1M
- -2.33%
- YTD
- 9.83%
- 6M
- 12.35%
- 1Y
- 12.99%
- 3Y*
- -0.87%
- 5Y*
- 4.40%
- 10Y*
- —
RWJ vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
RWJ Invesco S&P SmallCap 600 Revenue ETF | 16.99% | 7.75% | 11.81% | 16.21% | -10.97% | 52.82% | 4.16% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.83% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between RWJ and KMLM is 0.07, 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 | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.07 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.04 |
The correlation between RWJ and KMLM shifts across timeframes, from -0.07 (5 years) to 0.07 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
RWJ vs. KMLM — Risk / Return Rank
RWJ
KMLM
RWJ vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) 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.
| RWJ | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.76 | ||
| Sortino ratioReturn per unit of downside risk | +1.14 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.21 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 3.25 | 2.07 | +1.18 |
| Martin ratioReturn relative to average drawdown | 10.40 | 6.61 | +3.78 |
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
| RWJ | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.90 | 1.14 | +0.76 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.33 | 0.30 | +0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.50 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.48 | -0.02 |
Drawdowns
RWJ vs. KMLM - Drawdown Comparison
The maximum RWJ drawdown since its inception was -55.97%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for RWJ and KMLM.
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Drawdown Indicators
| RWJ | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.97% | -27.47% | -28.50% |
Max Drawdown (1Y)Largest decline over 1 year | -11.31% | -6.30% | -5.01% |
Max Drawdown (3Y)Largest decline over 3 years | -29.29% | -22.28% | -7.01% |
Max Drawdown (5Y)Largest decline over 5 years | -29.29% | -27.47% | -1.82% |
Max Drawdown (10Y)Largest decline over 10 years | -51.33% | — | — |
Current DrawdownCurrent decline from peak | -0.33% | -14.36% | +14.03% |
Average DrawdownAverage peak-to-trough decline | -9.23% | -12.74% | +3.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.53% | 1.97% | +1.56% |
Volatility
RWJ vs. KMLM - Volatility Comparison
Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a higher volatility of 4.80% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.27%. This indicates that RWJ'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
| RWJ | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.80% | 4.27% | +0.53% |
Volatility (6M)Calculated over the trailing 6-month period | 12.38% | 9.68% | +2.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.43% | 11.46% | +7.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.72% | 14.62% | +9.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.15% | 14.72% | +11.43% |
RWJ vs. KMLM - Expense Ratio Comparison
RWJ has a 0.39% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
RWJ vs. KMLM - Dividend Comparison
RWJ's dividend yield for the trailing twelve months is around 1.00%, less than KMLM's 4.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.57% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RWJ Invesco S&P SmallCap 600 Revenue ETF | 1.00% | 1.11% | 1.15% | 1.34% | 1.02% | 0.61% | 0.89% | 1.22% | 1.44% | 1.11% | 0.60% | 0.74% |
Frequently Asked Questions
RWJ and KMLM have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
RWJ has higher volatility (4.80%) compared to KMLM (4.27%). In terms of maximum drawdown, RWJ dropped -55.97% vs KMLM's -27.47%.
On 5-year performance, RWJ leads with 7.78% vs 4.40% for KMLM. On fees, RWJ is cheaper at 0.39% per year. On volatility, KMLM has been the lower-risk option at 4.27%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, RWJ has performed better with a 7.78% return vs 4.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RWJ is cheaper with a 0.39% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.57%, compared with 1.00% for RWJ.
RWJ is categorized as Small Cap Value Equities, while KMLM is Long-Short. They also come from different issuers: Invesco and CICC. Their fees differ too: 0.39% for RWJ and 0.90% for KMLM.
RWJ currently has the higher Sharpe Ratio (1.90 vs 1.14), 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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