VB vs. KMLM
VB (Vanguard Small-Cap ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - VB is a Small Cap Blend Equities fund tracking the CRSP US Small Cap Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, VB returned 7.37%/yr vs 4.15%/yr for KMLM. At a correlation of -0.09, they often move in opposite directions. VB charges 0.05%/yr vs 0.90%/yr for KMLM.
Performance
VB vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, VB achieves a 16.13% return, which is significantly higher than KMLM's 7.90% return.
VB
- 1D
- 0.70%
- 1M
- 5.90%
- YTD
- 16.13%
- 6M
- 15.08%
- 1Y
- 31.74%
- 3Y*
- 16.53%
- 5Y*
- 7.37%
- 10Y*
- 11.68%
KMLM
- 1D
- -0.39%
- 1M
- -6.17%
- YTD
- 7.90%
- 6M
- 9.07%
- 1Y
- 12.79%
- 3Y*
- -0.78%
- 5Y*
- 4.15%
- 10Y*
- —
VB vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
VB Vanguard Small-Cap ETF | 16.13% | 8.87% | 14.17% | 18.22% | -17.51% | 17.57% | 6.49% |
KMLM KFA Mount Lucas Index Strategy ETF | 7.90% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between VB and KMLM is 0.02, 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 | 0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.11 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.09 |
The correlation between VB and KMLM shifts across timeframes, from -0.11 (5 years) to 0.02 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
VB vs. KMLM — Risk / Return Rank
VB
KMLM
VB vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Small-Cap ETF (VB) 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.
| VB | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.80 | ||
| Sortino ratioReturn per unit of downside risk | +1.14 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.20 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 3.55 | 1.79 | +1.77 |
| Martin ratioReturn relative to average drawdown | 13.04 | 6.05 | +6.99 |
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Drawdowns
VB vs. KMLM - Drawdown Comparison
The maximum VB drawdown since its inception was -59.56%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for VB and KMLM.
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Drawdown Indicators
| VB | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.56% | -27.47% | -32.09% |
Max Drawdown (1Y)Largest decline over 1 year | -8.98% | -7.19% | -1.79% |
Max Drawdown (3Y)Largest decline over 3 years | -25.36% | -22.28% | -3.08% |
Max Drawdown (5Y)Largest decline over 5 years | -28.15% | -27.47% | -0.68% |
Max Drawdown (10Y)Largest decline over 10 years | -42.05% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -15.87% | +15.87% |
Average DrawdownAverage peak-to-trough decline | -8.43% | -12.74% | +4.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.44% | 2.12% | +0.32% |
Volatility
VB vs. KMLM - Volatility Comparison
Vanguard Small-Cap ETF (VB) has a higher volatility of 5.43% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.31%. This indicates that VB'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
| VB | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.43% | 3.31% | +2.12% |
Volatility (6M)Calculated over the trailing 6-month period | 12.21% | 9.74% | +2.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.63% | 11.47% | +5.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.81% | 14.62% | +6.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.45% | 14.70% | +6.75% |
VB vs. KMLM - Expense Ratio Comparison
VB has a 0.05% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
VB vs. KMLM - Dividend Comparison
VB's dividend yield for the trailing twelve months is around 1.17%, less than KMLM's 4.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.66% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VB Vanguard Small-Cap ETF | 1.17% | 1.33% | 1.30% | 1.55% | 1.59% | 1.24% | 1.14% | 1.39% | 1.67% | 1.35% | 1.50% | 1.48% |
Frequently Asked Questions
VB and KMLM have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VB has higher volatility (5.43%) compared to KMLM (3.31%). In terms of maximum drawdown, VB dropped -59.56% vs KMLM's -27.47%.
On 5-year performance, VB leads with 7.37% vs 4.15% for KMLM. On fees, VB is cheaper at 0.05% per year. On volatility, KMLM has been the lower-risk option at 3.31%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VB has performed better with a 7.37% return vs 4.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VB is cheaper with a 0.05% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.66%, compared with 1.17% for VB.
VB is categorized as Small Cap Blend Equities, while KMLM is Systematic Trend. VB tracks CRSP US Small Cap Index, while KMLM tracks KFA MLM Index. They also come from different issuers: Vanguard and KraneShares. Their fees differ too: 0.05% for VB and 0.90% for KMLM.
VB currently has the higher Sharpe Ratio (1.92 vs 1.12), 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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