VYMI vs. KMLM
VYMI (Vanguard International High Dividend Yield ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - VYMI is a Dividend fund tracking the FTSE All-World ex US High Dividend Yield Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, VYMI returned 12.29%/yr vs 4.11%/yr for KMLM. At a correlation of -0.06, they often move in opposite directions. VYMI charges 0.07%/yr vs 0.90%/yr for KMLM.
Performance
VYMI vs. KMLM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, VYMI achieves a 12.90% return, which is significantly higher than KMLM's 8.32% return.
VYMI
- 1D
- 0.54%
- 1M
- 2.62%
- YTD
- 12.90%
- 6M
- 14.90%
- 1Y
- 31.26%
- 3Y*
- 21.73%
- 5Y*
- 12.29%
- 10Y*
- 11.24%
KMLM
- 1D
- -0.53%
- 1M
- -5.80%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
VYMI vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
VYMI Vanguard International High Dividend Yield ETF | 12.90% | 38.05% | 7.06% | 17.07% | -7.02% | 15.39% | 2.95% |
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 VYMI and KMLM is 0.07, 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 | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.06 |
The correlation between VYMI and KMLM shifts across timeframes, from -0.08 (5 years) to 0.07 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
VYMI vs. KMLM — Risk / Return Rank
VYMI
KMLM
VYMI vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard International High Dividend Yield ETF (VYMI) 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.
| VYMI | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.20 | ||
| Sortino ratioReturn per unit of downside risk | +1.59 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.19 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 2.96 | 1.78 | +1.18 |
| Martin ratioReturn relative to average drawdown | 11.60 | 5.86 | +5.74 |
Loading charts...
Drawdowns
VYMI vs. KMLM - Drawdown Comparison
The maximum VYMI drawdown since its inception was -40.00%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for VYMI and KMLM.
Loading charts...
Drawdown Indicators
| VYMI | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.00% | -27.47% | -12.53% |
Max Drawdown (1Y)Largest decline over 1 year | -10.14% | -6.83% | -3.31% |
Max Drawdown (3Y)Largest decline over 3 years | -12.84% | -22.28% | +9.44% |
Max Drawdown (5Y)Largest decline over 5 years | -24.05% | -27.47% | +3.42% |
Max Drawdown (10Y)Largest decline over 10 years | -40.00% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -15.54% | +15.54% |
Average DrawdownAverage peak-to-trough decline | -6.30% | -12.74% | +6.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.59% | 2.10% | +0.49% |
Volatility
VYMI vs. KMLM - Volatility Comparison
Vanguard International High Dividend Yield ETF (VYMI) has a higher volatility of 4.40% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that VYMI'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.
Loading charts...
Volatility by Period
| VYMI | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.40% | 3.35% | +1.05% |
Volatility (6M)Calculated over the trailing 6-month period | 11.15% | 9.77% | +1.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.33% | 11.50% | +1.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.90% | 14.62% | +0.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.85% | 14.71% | +2.14% |
VYMI vs. KMLM - Expense Ratio Comparison
VYMI has a 0.07% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
VYMI vs. KMLM - Dividend Comparison
VYMI's dividend yield for the trailing twelve months is around 3.39%, 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% |
VYMI Vanguard International High Dividend Yield ETF | 3.39% | 3.68% | 4.84% | 4.58% | 4.70% | 4.30% | 3.22% | 4.20% | 4.29% | 3.21% | 2.39% |
Frequently Asked Questions
VYMI and KMLM have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VYMI has higher volatility (4.40%) compared to KMLM (3.35%). In terms of maximum drawdown, VYMI dropped -40.00% vs KMLM's -27.47%.
On 5-year performance, VYMI leads with 12.29% vs 4.11% for KMLM. On fees, VYMI is cheaper at 0.07% per year. On volatility, KMLM has been the lower-risk option at 3.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VYMI has performed better with a 12.29% return vs 4.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VYMI is cheaper with a 0.07% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.64%, compared with 3.39% for VYMI.
VYMI is categorized as Dividend, while KMLM is Systematic Trend. VYMI tracks FTSE All-World ex US High Dividend Yield Index, while KMLM tracks KFA MLM Index. They also come from different issuers: Vanguard and KraneShares. Their fees differ too: 0.07% for VYMI and 0.90% for KMLM.
VYMI currently has the higher Sharpe Ratio (2.26 vs 1.06), 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.
Find the right allocation for VYMI and KMLM
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer