UUP vs. KMLM
UUP (Invesco DB US Dollar Index Bullish Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - UUP is a Currency fund tracking the Deutsche Bank Long US Dollar Index (USDX) Futures Index, while KMLM is a Long-Short fund actively managed by CICC. UUP is passively managed, while KMLM is actively managed. Over the past 5 years, UUP returned 6.04%/yr vs 4.06%/yr for KMLM. At a 0.14 correlation, their price movements are largely independent. UUP charges 0.75%/yr vs 0.90%/yr for KMLM.
Performance
UUP vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, UUP achieves a 3.66% return, which is significantly lower than KMLM's 9.36% return.
UUP
- 1D
- 0.65%
- 1M
- 2.49%
- YTD
- 3.66%
- 6M
- 3.19%
- 1Y
- 5.60%
- 3Y*
- 4.04%
- 5Y*
- 6.04%
- 10Y*
- 3.28%
KMLM
- 1D
- -0.35%
- 1M
- -2.74%
- YTD
- 9.36%
- 6M
- 12.51%
- 1Y
- 12.51%
- 3Y*
- -0.86%
- 5Y*
- 4.06%
- 10Y*
- —
UUP vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
UUP Invesco DB US Dollar Index Bullish Fund | 3.66% | -4.99% | 13.50% | 3.63% | 9.46% | 5.73% | -1.34% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.36% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between UUP and KMLM is -0.09, 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 | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | 0.14 |
The correlation between UUP and KMLM shifts across timeframes, from -0.09 (1 year) to 0.19 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
UUP vs. KMLM — Risk / Return Rank
UUP
KMLM
UUP vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bullish Fund (UUP) 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.
| UUP | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.03 | ||
| Sortino ratioReturn per unit of downside risk | -0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.19 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.69 | 1.89 | -0.20 |
| Martin ratioReturn relative to average drawdown | 4.49 | 6.13 | -1.65 |
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
| UUP | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.01 | 1.04 | -0.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.84 | 0.28 | +0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.47 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.20 | 0.48 | -0.27 |
Drawdowns
UUP vs. KMLM - Drawdown Comparison
The maximum UUP drawdown since its inception was -22.19%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for UUP and KMLM.
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Drawdown Indicators
| UUP | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.19% | -27.47% | +5.28% |
Max Drawdown (1Y)Largest decline over 1 year | -3.65% | -6.30% | +2.65% |
Max Drawdown (3Y)Largest decline over 3 years | -10.05% | -22.28% | +12.23% |
Max Drawdown (5Y)Largest decline over 5 years | -10.37% | -27.47% | +17.10% |
Max Drawdown (10Y)Largest decline over 10 years | -14.24% | — | — |
Current DrawdownCurrent decline from peak | -2.93% | -14.72% | +11.79% |
Average DrawdownAverage peak-to-trough decline | -8.91% | -12.74% | +3.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.37% | 1.98% | -0.61% |
Volatility
UUP vs. KMLM - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bullish Fund (UUP) is 1.23%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.27%. This indicates that UUP experiences smaller price fluctuations and is considered to be less risky 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
| UUP | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.23% | 4.27% | -3.04% |
Volatility (6M)Calculated over the trailing 6-month period | 4.26% | 9.68% | -5.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.10% | 11.46% | -5.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.22% | 14.62% | -7.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.96% | 14.73% | -7.77% |
UUP vs. KMLM - Expense Ratio Comparison
UUP has a 0.75% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
UUP vs. KMLM - Dividend Comparison
UUP's dividend yield for the trailing twelve months is around 3.31%, less than KMLM's 4.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.59% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% |
UUP Invesco DB US Dollar Index Bullish Fund | 3.31% | 3.43% | 4.48% | 6.44% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% |
Frequently Asked Questions
UUP and KMLM have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.27%) compared to UUP (1.23%). In terms of maximum drawdown, UUP dropped -22.19% vs KMLM's -27.47%.
On 5-year performance, UUP leads with 6.04% vs 4.06% for KMLM. On fees, UUP is cheaper at 0.75% per year. On volatility, UUP has been the lower-risk option at 1.23%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, UUP has performed better with a 6.04% return vs 4.06%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
UUP is cheaper with a 0.75% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.59%, compared with 3.31% for UUP.
UUP is categorized as Currency, while KMLM is Long-Short. They also come from different issuers: Invesco and CICC. Their fees differ too: 0.75% for UUP and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.04 vs 1.01), 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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