VCMDX vs. KMLM

Last updated Apr 1, 2026

Compare and contrast key facts about Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) and KFA Mount Lucas Index Strategy ETF (KMLM).

VCMDX is managed by Vanguard. It was launched on Jun 25, 2019. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.

Performance

VCMDX vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

VCMDX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	18.30%	18.20%	5.27%	-7.45%	13.83%	34.82%	5.44%
KMLM KFA Mount Lucas Index Strategy ETF	8.67%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Returns By Period

In the year-to-date period, VCMDX achieves a 18.30% return, which is significantly higher than KMLM's 8.67% return.

VCMDX

• 1D: 0.39%
• 1M: 6.43%
• YTD: 18.30%
• 6M: 24.60%
• 1Y: 26.59%
• 3Y*: 12.12%
• 5Y*: 14.20%
• 10Y*: —

KMLM

• 1D: -0.28%
• 1M: 4.21%
• YTD: 8.67%
• 6M: 10.01%
• 1Y: 8.60%
• 3Y*: 0.44%
• 5Y*: 5.63%
• 10Y*: —

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

VCMDX vs. KMLM - Expense Ratio Comparison

VCMDX has a 0.20% expense ratio, which is lower than KMLM's 0.90% expense ratio.

KMLM

KFA Mount Lucas Index Strategy ETF

VCMDX

Vanguard Commodity Strategy Fund Admiral Shares

Return for Risk

VCMDX vs. KMLM — Risk / Return Rank

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

VCMDX

VCMDX Risk / Return Rank: 88
VCMDX Sharpe Ratio Rank: 88
VCMDX Sortino Ratio Rank: 86
VCMDX Omega Ratio Rank: 83
VCMDX Calmar Ratio Rank: 94
VCMDX Martin Ratio Rank: 88

KMLM

KMLM Risk / Return Rank: 46
KMLM Sharpe Ratio Rank: 52
KMLM Sortino Ratio Rank: 50
KMLM Omega Ratio Rank: 44
KMLM Calmar Ratio Rank: 48
KMLM Martin Ratio Rank: 38

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.

VCMDX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) 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.

	VCMDX	KMLM	Difference
Sharpe ratio Return per unit of total volatility	1.76	0.88	+0.88
Sortino ratio Return per unit of downside risk	2.25	1.27	+0.98
Omega ratio Gain probability vs. loss probability	1.33	1.16	+0.16
Calmar ratio Return relative to maximum drawdown	3.10	1.13	+1.97
Martin ratio Return relative to average drawdown	9.46	3.31	+6.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VCMDX vs. KMLM - Sharpe Ratio Comparison

The current VCMDX Sharpe Ratio is 1.76, which is higher than the KMLM Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of VCMDX and KMLM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	VCMDX	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.76	0.88	+0.88
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.90	0.39	+0.51
Sharpe Ratio (All Time) Calculated using the full available price history	0.83	0.49	+0.35

Correlation

The correlation between VCMDX and KMLM is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

VCMDX vs. KMLM - Dividend Comparison

VCMDX's dividend yield for the trailing twelve months is around 12.86%, more than KMLM's 4.62% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	12.86%	15.21%	2.19%	2.50%	14.21%	30.56%	0.50%	0.60%
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%

Drawdowns

VCMDX vs. KMLM - Drawdown Comparison

The maximum VCMDX drawdown since its inception was -26.67%, roughly equal to the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for VCMDX and KMLM.

Drawdown Indicators

	VCMDX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-26.67%	-27.47%	+0.80%
Max Drawdown (1Y) Largest decline over 1 year	-8.92%	-6.73%	-2.19%
Max Drawdown (5Y) Largest decline over 5 years	-25.45%	-27.47%	+2.02%
Current Drawdown Current decline from peak	-1.31%	-15.27%	+13.96%
Average Drawdown Average peak-to-trough decline	-11.10%	-12.73%	+1.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	2.41%	+0.52%

Volatility

VCMDX vs. KMLM - Volatility Comparison

Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) has a higher volatility of 5.98% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.05%. This indicates that VCMDX'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

	VCMDX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.98%	4.05%	+1.93%
Volatility (6M) Calculated over the trailing 6-month period	12.19%	7.22%	+4.97%
Volatility (1Y) Calculated over the trailing 1-year period	15.62%	9.84%	+5.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.81%	14.57%	+1.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.40%	14.67%	+0.73%