VCMDX vs. KMLM
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VCMDX or KMLM.
Performance
VCMDX vs. KMLM - Performance Comparison
Returns By Period
In the year-to-date period, VCMDX achieves a 5.35% return, which is significantly higher than KMLM's -3.89% return.
VCMDX
5.35%
-1.25%
-2.88%
3.53%
10.39%
N/A
KMLM
-3.89%
-1.32%
-4.94%
-10.47%
N/A
N/A
Key characteristics
| VCMDX | KMLM | |
|---|---|---|
| Sharpe Ratio | 0.23 | -0.98 |
| Sortino Ratio | 0.41 | -1.29 |
| Omega Ratio | 1.05 | 0.85 |
| Calmar Ratio | 0.11 | -0.41 |
| Martin Ratio | 0.59 | -1.55 |
| Ulcer Index | 4.64% | 6.70% |
| Daily Std Dev | 11.70% | 10.60% |
| Max Drawdown | -26.67% | -25.42% |
| Current Drawdown | -18.79% | -25.26% |
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VCMDX vs. KMLM - Expense Ratio Comparison
VCMDX has a 0.20% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Correlation
The correlation between VCMDX and KMLM is 0.08, 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.
Risk-Adjusted Performance
VCMDX vs. KMLM - Risk-Adjusted Performance 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.
Dividends
VCMDX vs. KMLM - Dividend Comparison
VCMDX's dividend yield for the trailing twelve months is around 2.37%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 2.37% | 2.50% | 14.21% | 30.56% | 0.50% | 0.61% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 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 -25.42%. Use the drawdown chart below to compare losses from any high point for VCMDX and KMLM. For additional features, visit the drawdowns tool.
Volatility
VCMDX vs. KMLM - Volatility Comparison
Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) has a higher volatility of 3.81% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.98%. 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.