SOFI vs. KMLM

Last updated Aug 4, 2026

SOFI (SoFi Technologies, Inc.) is a stock, while KMLM (KFA Mount Lucas Index Strategy ETF) is Systematic Trend fund tracking the KFA MLM Index. Over the past 5 years, SOFI returned 1.93%/yr vs 5.46%/yr for KMLM. Their -0.12 correlation means they have often moved in opposite directions in the past.

Performance

SOFI vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SoFi Technologies, Inc. (SOFI) 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, SOFI achieves a -31.13% return, which is significantly lower than KMLM's 10.64% return.

SOFI

• 1D: 10.55%
• 1M: -1.15%
• 6M: -18.34%
• YTD: -31.13%
• 1Y: -15.07%
• 3Y*: 23.81%
• 5Y*: 1.93%
• 10Y*: —
• ALL TIME*: 9.10%

KMLM

• 1D: -2.05%
• 1M: 4.67%
• 6M: 8.67%
• YTD: 10.64%
• 1Y: 15.77%
• 3Y*: -0.31%
• 5Y*: 5.46%
• 10Y*: —
• ALL TIME*: 7.06%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
KMLM KFA Mount Lucas Index Strategy ETF	$10.28M	$9.90M	$7.93M
SOFI SoFi Technologies, Inc.	$1.51B	$1.50B	$1.36B

SOFI vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SOFI SoFi Technologies, Inc.	-31.13%	70.00%	54.77%	115.84%	-70.84%	27.09%	17.36%
KMLM KFA Mount Lucas Index Strategy ETF	10.64%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between SOFI and KMLM is -0.16, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.16
Correlation (3Y) Balances recent behavior with more history.	-0.08
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.14
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.12

Return for Risk

SOFI vs. KMLM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

SOFI

SOFI Risk / Return Rank: 34
SOFI Sharpe Ratio Rank: 32
SOFI Sortino Ratio Rank: 33
SOFI Omega Ratio Rank: 33
SOFI Calmar Ratio Rank: 34
SOFI Martin Ratio Rank: 36

KMLM

KMLM Risk / Return Rank: 51
KMLM Sharpe Ratio Rank: 55
KMLM Sortino Ratio Rank: 52
KMLM Omega Ratio Rank: 54
KMLM Calmar Ratio Rank: 46
KMLM Martin Ratio Rank: 46

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

SOFI vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SoFi Technologies, Inc. (SOFI) 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.

	SOFI	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	-0.26	1.36	-1.62
Sortino ratio: Return per unit of downside risk	0.00	1.87	-1.87
Omega ratio: Gain probability vs. loss probability	1.00	1.25	-0.25
Calmar ratio: Return relative to maximum drawdown	-0.29	1.65	-1.93
Martin ratio: Return relative to average drawdown	-0.45	5.33	-5.78

SOFI vs. KMLM - Sharpe Ratio Comparison

The current SOFI Sharpe Ratio is -0.26, which is lower than the KMLM Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of SOFI 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

SOFI vs. KMLM - Drawdown Comparison

The maximum SOFI drawdown since its inception was -83.32%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for SOFI and KMLM.

Drawdown Indicators

	SOFI	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-83.32%	-27.47%	-55.85%
Max Drawdown (1Y) Largest decline over 1 year	-52.96%	-9.61%	-43.35%
Max Drawdown (3Y) Largest decline over 3 years	-52.96%	-22.28%	-30.68%
Max Drawdown (5Y) Largest decline over 5 years	-81.54%	-27.47%	-54.07%
Current Drawdown Current decline from peak	-44.02%	-13.73%	-30.29%
Average Drawdown Average peak-to-trough decline	-51.07%	-12.79%	-38.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	33.40%	2.97%	+30.43%

Volatility

SOFI vs. KMLM - Volatility Comparison

SoFi Technologies, Inc. (SOFI) has a higher volatility of 20.01% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.35%. This indicates that SOFI'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

	SOFI	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	20.01%	4.35%	+15.66%
Volatility (6M) Calculated over the trailing 6-month period	40.48%	10.24%	+30.24%
Volatility (1Y) Calculated over the trailing 1-year period	57.35%	11.68%	+45.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	66.64%	14.55%	+52.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	71.63%	14.68%	+56.95%

Dividends

SOFI vs. KMLM - Dividend Comparison

SOFI has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.54%.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.54%	5.02%	0.82%	0.00%	13.22%	6.94%
SOFI SoFi Technologies, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SOFI and KMLM in my portfolio?

SOFI and KMLM have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SOFI or KMLM?

SOFI has higher volatility (20.01%) compared to KMLM (4.35%). In terms of maximum drawdown, SOFI dropped -83.32% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.36 vs -0.26), 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.