VIGI vs. KMLM
VIGI (Vanguard International Dividend Appreciation ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - VIGI is a Dividend fund tracking the S&P Global Ex-U.S. Dividend Growers Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, VIGI returned 4.27%/yr vs 4.11%/yr for KMLM. At a correlation of -0.13, they often move in opposite directions. VIGI charges 0.15%/yr vs 0.90%/yr for KMLM.
Performance
VIGI vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, VIGI achieves a 3.10% return, which is significantly lower than KMLM's 8.32% return.
VIGI
- 1D
- -0.22%
- 1M
- 0.88%
- YTD
- 3.10%
- 6M
- 3.92%
- 1Y
- 6.49%
- 3Y*
- 9.51%
- 5Y*
- 4.27%
- 10Y*
- 8.31%
KMLM
- 1D
- -0.53%
- 1M
- -5.13%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
VIGI vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
VIGI Vanguard International Dividend Appreciation ETF | 3.10% | 16.88% | 2.73% | 16.30% | -16.79% | 12.51% | 3.08% |
KMLM KFA Mount Lucas Index Strategy ETF | 8.32% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between VIGI and KMLM is 0.04, 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 | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.15 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.13 |
The correlation between VIGI and KMLM shifts across timeframes, from -0.15 (5 years) to 0.04 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
VIGI vs. KMLM — Risk / Return Rank
VIGI
KMLM
VIGI vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard International Dividend Appreciation ETF (VIGI) 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.
| VIGI | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.67 | ||
| Sortino ratioReturn per unit of downside risk | -0.85 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.19 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 0.48 | 1.78 | -1.30 |
| Martin ratioReturn relative to average drawdown | 1.70 | 5.86 | -4.16 |
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Drawdowns
VIGI vs. KMLM - Drawdown Comparison
The maximum VIGI drawdown since its inception was -31.01%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for VIGI and KMLM.
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Drawdown Indicators
| VIGI | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.01% | -27.47% | -3.54% |
Max Drawdown (1Y)Largest decline over 1 year | -10.64% | -6.83% | -3.81% |
Max Drawdown (3Y)Largest decline over 3 years | -14.50% | -22.28% | +7.78% |
Max Drawdown (5Y)Largest decline over 5 years | -28.80% | -27.47% | -1.33% |
Max Drawdown (10Y)Largest decline over 10 years | -31.01% | — | — |
Current DrawdownCurrent decline from peak | -2.03% | -15.54% | +13.51% |
Average DrawdownAverage peak-to-trough decline | -6.17% | -12.74% | +6.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 2.10% | +0.94% |
Volatility
VIGI vs. KMLM - Volatility Comparison
Vanguard International Dividend Appreciation ETF (VIGI) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.35% and 3.35%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VIGI | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.35% | 3.35% | 0.00% |
Volatility (6M)Calculated over the trailing 6-month period | 10.40% | 9.77% | +0.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.20% | 11.50% | +1.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.47% | 14.62% | -0.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.87% | 14.71% | +1.16% |
VIGI vs. KMLM - Expense Ratio Comparison
VIGI has a 0.15% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
VIGI vs. KMLM - Dividend Comparison
VIGI's dividend yield for the trailing twelve months is around 2.14%, less than KMLM's 4.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.64% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VIGI Vanguard International Dividend Appreciation ETF | 2.14% | 2.14% | 1.93% | 1.92% | 2.06% | 7.02% | 1.29% | 1.83% | 1.99% | 1.75% | 1.05% |
Frequently Asked Questions
VIGI and KMLM have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.35%) compared to VIGI (3.35%). In terms of maximum drawdown, VIGI dropped -31.01% vs KMLM's -27.47%.
On 5-year performance, VIGI leads with 4.27% vs 4.11% for KMLM. On fees, VIGI is cheaper at 0.15% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VIGI has performed better with a 4.27% return vs 4.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VIGI is cheaper with a 0.15% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.64%, compared with 2.14% for VIGI.
VIGI is categorized as Dividend, while KMLM is Systematic Trend. VIGI tracks S&P Global Ex-U.S. Dividend Growers Index, while KMLM tracks KFA MLM Index. They also come from different issuers: Vanguard and KraneShares. Their fees differ too: 0.15% for VIGI and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.06 vs 0.39), 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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