WTMF vs. KMLM
WTMF (WisdomTree Managed Futures Strategy Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Systematic Trend funds - WTMF tracks the WisdomTree Managed Futures Index while KMLM tracks the KFA MLM Index. Both are passively managed. Over the past 5 years, WTMF returned 6.09%/yr vs 5.77%/yr for KMLM. Their 0.28 correlation means their historical movements had little consistent relationship. WTMF charges 0.65%/yr vs 0.90%/yr for KMLM.
Performance
WTMF vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 8.10% return, which is significantly lower than KMLM's 12.95% return.
WTMF
- 1D
- -0.05%
- 1M
- 0.96%
- 6M
- 8.70%
- YTD
- 8.10%
- 1Y
- 18.77%
- 3Y*
- 9.32%
- 5Y*
- 6.09%
- 10Y*
- 3.47%
- ALL TIME*
- 1.16%
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $14.29M | $9.53M | $7.83M | |
| $1.17M | $1.17M | $1.11M |
WTMF vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 8.10% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 4.17% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between WTMF and KMLM is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.26 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.22 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.28 |
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Return for Risk
WTMF vs. KMLM — Risk / Return Rank
WTMF
KMLM
WTMF vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) 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.
| WTMF | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.38 | ||
| Sortino ratioReturn per unit of downside risk | +0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.28 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 4.38 | 1.86 | +2.53 |
| Martin ratioReturn relative to average drawdown | 16.87 | 6.03 | +10.84 |
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Drawdowns
WTMF vs. KMLM - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for WTMF and KMLM.
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Drawdown Indicators
| WTMF | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -27.47% | -3.32% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -9.61% | +5.57% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -22.28% | +12.35% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -27.47% | +14.26% |
Max Drawdown (10Y)Largest decline over 10 years | -14.83% | — | — |
Current DrawdownCurrent decline from peak | -0.87% | -11.93% | +11.06% |
Average DrawdownAverage peak-to-trough decline | -17.53% | -12.79% | -4.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.05% | 2.95% | -1.90% |
Volatility
WTMF vs. KMLM - Volatility Comparison
The current volatility for WisdomTree Managed Futures Strategy Fund (WTMF) is 2.19%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.70%. This indicates that WTMF experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.19% | 3.70% | -1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 7.17% | 10.31% | -3.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.13% | 11.49% | -2.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.37% | 14.53% | -5.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.12% | 14.66% | -6.54% |
WTMF vs. KMLM - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
WTMF vs. KMLM - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.82%, less than KMLM's 4.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.82% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Frequently Asked Questions
WTMF and KMLM have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.70%) compared to WTMF (2.19%). In terms of maximum drawdown, WTMF dropped -30.79% vs KMLM's -27.47%.
On 5-year performance, WTMF leads with 6.09% vs 5.77% for KMLM. On fees, WTMF is cheaper at 0.65% per year. On volatility, WTMF has been the lower-risk option at 2.19%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, WTMF has performed better with a 6.09% return vs 5.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTMF is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.45%, compared with 2.82% for WTMF.
WTMF tracks WisdomTree Managed Futures Index, while KMLM tracks KFA MLM Index. They also come from different issuers: WisdomTree and KraneShares. Their fees differ too: 0.65% for WTMF and 0.90% for KMLM.
WTMF currently has the higher Sharpe Ratio (1.94 vs 1.55), 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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