WTMF vs. KMLM
Compare and contrast key facts about WisdomTree Managed Futures Strategy Fund (WTMF) and KFA Mount Lucas Index Strategy ETF (KMLM).
WTMF and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. WTMF is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Managed Futures Index. It was launched on Jan 5, 2011. 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: WTMF or KMLM.
Performance
WTMF vs. KMLM - Performance Comparison
Returns By Period
In the year-to-date period, WTMF achieves a 3.05% return, which is significantly higher than KMLM's -1.63% return.
WTMF
3.05%
0.95%
-2.19%
6.22%
4.59%
1.04%
KMLM
-1.63%
-0.18%
-3.96%
-7.65%
N/A
N/A
Key characteristics
| WTMF | KMLM | |
|---|---|---|
| Sharpe Ratio | 0.83 | -0.83 |
| Sortino Ratio | 1.25 | -1.07 |
| Omega Ratio | 1.14 | 0.88 |
| Calmar Ratio | 0.49 | -0.34 |
| Martin Ratio | 2.00 | -1.33 |
| Ulcer Index | 3.26% | 6.56% |
| Daily Std Dev | 7.85% | 10.57% |
| Max Drawdown | -30.78% | -25.42% |
| Current Drawdown | -7.79% | -23.50% |
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WTMF vs. KMLM - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Correlation
The correlation between WTMF and KMLM is 0.26, 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
WTMF vs. KMLM - Risk-Adjusted Performance 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.
Dividends
WTMF vs. KMLM - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 3.27%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 3.27% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% |
Drawdowns
WTMF vs. KMLM - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.78%, which is greater than KMLM's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for WTMF and KMLM. For additional features, visit the drawdowns tool.
Volatility
WTMF vs. KMLM - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 3.46% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.17%. This indicates that WTMF'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.