TFFI vs. KMLM

Last updated Jul 17, 2026

TFFI (Chesapeake Trend-Following Fixed Income ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - TFFI is a Actively Managed fund actively managed by Chesapeake, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. TFFI is actively managed, while KMLM is passively managed. A 0.57 correlation means they provide meaningful diversification when combined. TFFI charges 1.01%/yr vs 0.90%/yr for KMLM.

Performance

TFFI vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Chesapeake Trend-Following Fixed Income ETF (TFFI) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

TFFI

• 1D: 0.21%
• 1M: 1.17%
• 6M: —
• YTD: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: 0.45%
• 1M: 4.38%
• 6M: 8.95%
• YTD: 11.60%
• 1Y: 14.25%
• 3Y*: -0.51%
• 5Y*: 5.56%
• 10Y*: —

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

TFFI vs. KMLM - Yearly Performance Comparison

	2026 (YTD)
TFFI Chesapeake Trend-Following Fixed Income ETF	0.29%
KMLM KFA Mount Lucas Index Strategy ETF	8.18%

Correlation

The correlation between TFFI and KMLM is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (All Time) Calculated using the full available price history since Feb 24, 2026	0.58

Return for Risk

TFFI vs. KMLM — Risk / Return Rank

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

TFFI

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

KMLM

KMLM Risk / Return Rank: 39
KMLM Sharpe Ratio Rank: 42
KMLM Sortino Ratio Rank: 40
KMLM Omega Ratio Rank: 41
KMLM Calmar Ratio Rank: 35
KMLM Martin Ratio Rank: 37

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.

TFFI vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Chesapeake Trend-Following Fixed Income ETF (TFFI) 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.

	TFFI	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	—	1.25	—
Sortino ratio: Return per unit of downside risk	—	1.74	—
Omega ratio: Gain probability vs. loss probability	—	1.23	—
Calmar ratio: Return relative to maximum drawdown	—	1.49	—
Martin ratio: Return relative to average drawdown	—	4.68	—

Drawdowns

TFFI vs. KMLM - Drawdown Comparison

The maximum TFFI drawdown since its inception was -4.23%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for TFFI and KMLM.

Drawdown Indicators

	TFFI	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-4.23%	-27.47%	+23.24%
Max Drawdown (1Y) Largest decline over 1 year	—	-9.61%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-1.83%	-12.98%	+11.15%
Average Drawdown Average peak-to-trough decline	-1.66%	-12.79%	+11.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	3.05%	—

Volatility

Volatility by Period

	TFFI	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	3.71%	—
Volatility (6M) Calculated over the trailing 6-month period	—	10.11%	—
Volatility (1Y) Calculated over the trailing 1-year period	7.92%	11.50%	-3.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.92%	14.57%	-6.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.92%	14.68%	-6.76%

TFFI vs. KMLM - Expense Ratio Comparison

TFFI has a 1.01% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

TFFI vs. KMLM - Dividend Comparison

TFFI has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.50%.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.50%	5.02%	0.82%	0.00%	13.22%	6.94%
TFFI Chesapeake Trend-Following Fixed Income ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TFFI and KMLM in my portfolio?

TFFI and KMLM have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, TFFI or KMLM?

On fees, KMLM is cheaper at 0.90% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, TFFI or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 1.01% for TFFI.

Which ETF pays a higher dividend yield, TFFI or KMLM?

KMLM has the higher dividend yield at 4.50%, compared with 0.00% for TFFI.

What is the main difference between TFFI and KMLM?

TFFI is categorized as Actively Managed, while KMLM is Systematic Trend. They also come from different issuers: Chesapeake and KraneShares. Their fees differ too: 1.01% for TFFI and 0.90% for KMLM.