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VCMDX vs. KMLM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VCMDX and KMLM is 0.07, 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.


-0.50.00.51.00.1

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.

30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
51.96%
29.39%
VCMDX
KMLM

Key characteristics

Sharpe Ratio

VCMDX:

0.09

KMLM:

-0.26

Sortino Ratio

VCMDX:

0.19

KMLM:

-0.29

Omega Ratio

VCMDX:

1.02

KMLM:

0.97

Calmar Ratio

VCMDX:

0.04

KMLM:

-0.10

Martin Ratio

VCMDX:

0.21

KMLM:

-0.40

Ulcer Index

VCMDX:

4.66%

KMLM:

6.51%

Daily Std Dev

VCMDX:

11.08%

KMLM:

10.22%

Max Drawdown

VCMDX:

-26.67%

KMLM:

-25.77%

Current Drawdown

VCMDX:

-21.78%

KMLM:

-23.91%

Returns By Period

In the year-to-date period, VCMDX achieves a 1.46% return, which is significantly higher than KMLM's -2.15% return.


VCMDX

YTD

1.46%

1M

-3.69%

6M

-4.13%

1Y

0.85%

5Y*

8.91%

10Y*

N/A

KMLM

YTD

-2.15%

1M

1.04%

6M

-2.25%

1Y

-1.95%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
Expense ratio chart for VCMDX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

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.


Sharpe ratio
The chart of Sharpe ratio for VCMDX, currently valued at 0.09, compared to the broader market-1.000.001.002.003.004.000.09-0.26
The chart of Sortino ratio for VCMDX, currently valued at 0.19, compared to the broader market-2.000.002.004.006.008.0010.000.19-0.29
The chart of Omega ratio for VCMDX, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.003.501.020.97
The chart of Calmar ratio for VCMDX, currently valued at 0.04, compared to the broader market0.002.004.006.008.0010.0012.0014.000.04-0.10
The chart of Martin ratio for VCMDX, currently valued at 0.21, compared to the broader market0.0020.0040.0060.000.21-0.40
VCMDX
KMLM

The current VCMDX Sharpe Ratio is 0.09, which is higher than the KMLM Sharpe Ratio of -0.26. 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.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.09
-0.26
VCMDX
KMLM

Dividends

VCMDX vs. KMLM - Dividend Comparison

Neither VCMDX nor KMLM has paid dividends to shareholders.


TTM20232022202120202019
VCMDX
Vanguard Commodity Strategy Fund Admiral Shares
0.00%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 -25.77%. Use the drawdown chart below to compare losses from any high point for VCMDX and KMLM. For additional features, visit the drawdowns tool.


-26.00%-24.00%-22.00%-20.00%-18.00%-16.00%JulyAugustSeptemberOctoberNovemberDecember
-21.78%
-23.91%
VCMDX
KMLM

Volatility

VCMDX vs. KMLM - Volatility Comparison

Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) has a higher volatility of 3.80% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.07%. 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.


2.00%2.50%3.00%3.50%4.00%JulyAugustSeptemberOctoberNovemberDecember
3.80%
3.07%
VCMDX
KMLM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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