KFA Mount Lucas Index Strategy ETF (KMLM) Performance
KMLM total return
Distributions reinvested · as of Oct 23, 2026- YTD
- +19.6% since Dec 31, 2025
- 1 year
- +21.5% total return
- 5 years
- +4.9% a year
- Since first price
- +7.2% a year since 2020
KMLM trailing returns vs SPY, QQQ, AGG
| Period | KMLM total return | Price only | S&P 500 (SPY) | Nasdaq-100 (QQQ) | U.S. bonds (AGG) |
|---|---|---|---|---|---|
| 1 month | −0.1% | −0.1% | −1.0% | −5.0% | +0.9% |
| 3 months | +4.0% | +4.0% | +3.2% | +1.9% | −0.4% |
| 6 months | +7.2% | +7.2% | +7.8% | +8.4% | −1.5% |
| YTD | +19.6% | +19.6% | +12.3% | +15.1% | −1.0% |
| 1 year | +21.5% | +15.6% | +14.4% | +15.9% | −1.1% |
| 3 years | +1.5%+0.5%/yr | −4.1% | +87.4%+23.3%/yr | +101.4%+26.3%/yr | +16.6%+5.2%/yr |
| 5 years | +26.8%+4.9%/yr | +4.0% | +79.3%+12.4%/yr | +94.0%+14.2%/yr | −0.8%−0.2%/yr |
| Since inceptionDec 2, 2020 | +50.9%+7.2%/yr | +23.7% | — | — | — |
Total return from adjusted closes (distributions reinvested, before tax). Periods of 3 years or more are also shown annualized. Price only excludes distributions.
Growth of $10,000: KMLM vs SPY
From Dec 2, 2020: KMLM grew to $15,086, SPY to $22,465.
Year-end values with distributions reinvested, no taxes or trading costs. Start: first common trading day of both funds.
KMLM returns by calendar year
2 of 5 full years positive. Best 2022 (+24.2%), worst 2023 (−5.7%). 2026 is year to date.
KMLM annual returns table
| Year | KMLM | Largest drop | SPY | QQQ | AGG |
|---|---|---|---|---|---|
| 2026YTD | +19.6% | −9.6% | +12.3% | +15.1% | −1.0% |
| 2025 | −3.0% | −11.2% | +17.7% | +20.8% | +7.2% |
| 2024 | −1.7% | −12.2% | +24.9% | +25.6% | +1.3% |
| 2023 | −5.7% | −12.7% | +26.2% | +54.9% | +5.7% |
| 2022 | +24.2% | −17.6% | −18.2% | −32.6% | −13.0% |
| 2021 | +7.0% | −9.1% | +28.7% | +27.4% | −1.8% |
Largest drop = deepest fall from a high within that calendar year.
Calendar-year return vs largest drop within the year
Most years include a sizable fall at some point even when the year ends higher.
KMLM largest drawdowns
Now 11.3% below the high| Peak | Decline | Bottom | Recovered | Fall | Underwater |
|---|---|---|---|---|---|
| Oct 14, 2022 | −31.0% | Jun 20, 2025 | not yet | 2.7 years | 4.0 years so far |
| Jun 13, 2022 | −14.9% | Aug 4, 2022 | Sep 26, 2022 | 52 days | 3 months |
Declines from a closing high (distributions reinvested) of 10% or more. Underwater = time from the peak until the old high was regained.
KMLM risk statistics
| Statistic | 3 years | 5 years | Since 2020 |
|---|---|---|---|
| Annualized return | +0.4% | +5.5% | +6.5% |
| Volatility (annualized) | 10.8% | 13.3% | 13.0% |
| Sharpe ratio | -0.32 | 0.20 | 0.30 |
| Sortino ratio | -0.42 | 0.30 | 0.48 |
| Best month | +6.5% | +9.8% | +9.8% |
| Worst month | −5.9% | −10.0% | −10.0% |
| Best 12 months | +21.3% | +41.3% | +41.3% |
| Worst 12 months | −14.8% | −14.8% | −14.8% |
| Positive months | 50% | 53% | 54% |
| Beta vs S&P 500 | -0.26 | -0.33 | — |
| Correlation with S&P 500 | -0.30 | -0.39 | — |
From monthly total returns. Sharpe and Sortino use 1–3 month T-bills (BIL) as the risk-free rate, so they need history from 2007 on.
KMLM rolling returns
| Holding period | Periods | Worst | Median | Best | Positive |
|---|---|---|---|---|---|
| 1-year | 59 | −14.8% | −2.1% | +41.3% | 46% |
| 3-year (a year) | 35 | −8.6% | +0.5% | +7.9% | 60% |
| 5-year (a year) | 11 | +3.2% | +4.3% | +5.5% | 100% |
Every holding period starting at a month-end since 2020. Returns for 3 years and longer are annualized.
KMLM performance overview
KFA Mount Lucas Index Strategy ETF (KMLM) returned +21.5% over the past year and +4.9% a year over five years, with distributions reinvested. Since its first recorded price in 2020 it has returned +7.2% a year, turning $10,000 into about $15,086. Over the same year S&P 500 (SPY) returned +14.4%.
The deepest decline was −31.0%, from Oct 14, 2022 to Jun 20, 2025; the fund has not yet regained that high. KMLM finished 2 of its 5 full calendar years with a gain; the best year was 2022 (+24.2%) and the worst 2023 (−5.7%). Volatility has been 13.0% a year.
Related: KMLM chart, KMLM dividends. See the KMLM overview for the latest quote and fund facts.
KMLM performance FAQ
What is the KMLM return over the past year?
KMLM returned +21.5% over the 12 months to October 23, 2026, including reinvested distributions. On price alone it rose 15.6%.
What is the average annual return of KMLM?
KMLM has returned +4.9% a year over 5 years, +7.2% a year since December 2, 2020 (total return, distributions reinvested).
How much would $10,000 invested in KMLM be worth?
$10,000 invested in KMLM at its first recorded close on December 2, 2020 would be worth about $15,086 on October 23, 2026 with distributions reinvested.
What was the worst year for KMLM?
The worst calendar year was 2023, with a total return of −5.7%. The best was 2022 at +24.2%.
What is the biggest drawdown of KMLM?
The largest peak-to-trough decline was −31.0% between October 14, 2022 and June 20, 2025. It has not yet recovered to that high; it is 11.3% below its peak.
How volatile is KMLM?
Over the past 3 years KMLM had an annualized volatility of 10.8% and a Sharpe ratio of -0.32 (excess return over 1–3 month T-bills per unit of risk).