FOXY vs. KMLM

Last updated Jun 14, 2026

FOXY (Simplify Currency Strategy ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - FOXY is a Leveraged Currency fund actively managed by Simplify, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. FOXY is actively managed, while KMLM is passively managed. Over the past year, FOXY returned 18.56% vs 13.24% for KMLM. At a 0.03 correlation, their price movements are largely independent. FOXY charges 0.81%/yr vs 0.90%/yr for KMLM.

Performance

FOXY vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Currency Strategy ETF (FOXY) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FOXY achieves a 10.75% return, which is significantly higher than KMLM's 8.32% return.

FOXY

• 1D: 0.28%
• 1M: 1.24%
• YTD: 10.75%
• 6M: 6.56%
• 1Y: 18.56%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.53%
• 1M: -5.80%
• YTD: 8.32%
• 6M: 9.68%
• 1Y: 13.24%
• 3Y*: -1.51%
• 5Y*: 4.11%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

FOXY vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025
FOXY Simplify Currency Strategy ETF	10.75%	14.71%
KMLM KFA Mount Lucas Index Strategy ETF	8.32%	-1.11%

Correlation

The correlation between FOXY and KMLM is 0.09, 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	0.09
Correlation (All Time) Calculated using the full available price history since Feb 4, 2025	0.03

Return for Risk

FOXY vs. KMLM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FOXY

FOXY Risk / Return Rank: 77
FOXY Sharpe Ratio Rank: 72
FOXY Sortino Ratio Rank: 77
FOXY Omega Ratio Rank: 72
FOXY Calmar Ratio Rank: 89
FOXY Martin Ratio Rank: 76

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 41

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FOXY vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Currency Strategy ETF (FOXY) 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.

	FOXY	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	2.03	1.06	+0.97
Sortino ratio: Return per unit of downside risk	2.99	1.49	+1.50
Omega ratio: Gain probability vs. loss probability	1.37	1.19	+0.18
Calmar ratio: Return relative to maximum drawdown	4.61	1.78	+2.83
Martin ratio: Return relative to average drawdown	12.65	5.86	+6.79

FOXY vs. KMLM - Sharpe Ratio Comparison

The current FOXY Sharpe Ratio is 2.03, which is higher than the KMLM Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of FOXY and KMLM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FOXY vs. KMLM - Drawdown Comparison

The maximum FOXY drawdown since its inception was -13.09%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for FOXY and KMLM.

Drawdown Indicators

	FOXY	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-13.09%	-27.47%	+14.38%
Max Drawdown (1Y) Largest decline over 1 year	-4.32%	-6.83%	+2.51%
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-2.02%	-15.54%	+13.52%
Average Drawdown Average peak-to-trough decline	-2.10%	-12.74%	+10.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.57%	2.10%	-0.53%

Volatility

FOXY vs. KMLM - Volatility Comparison

The current volatility for Simplify Currency Strategy ETF (FOXY) is 2.59%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.35%. This indicates that FOXY 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.

Volatility by Period

	FOXY	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.59%	3.35%	-0.76%
Volatility (6M) Calculated over the trailing 6-month period	7.54%	9.77%	-2.23%
Volatility (1Y) Calculated over the trailing 1-year period	9.85%	11.50%	-1.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.96%	14.62%	+0.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.96%	14.71%	+0.25%

FOXY vs. KMLM - Expense Ratio Comparison

FOXY has a 0.81% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

FOXY vs. KMLM - Dividend Comparison

FOXY's dividend yield for the trailing twelve months is around 8.20%, more than KMLM's 4.64% yield.

Position	TTM	2025	2024	2023	2022	2021
FOXY Simplify Currency Strategy ETF	8.20%	5.51%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.64%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both FOXY and KMLM in my portfolio?

FOXY and KMLM have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FOXY or KMLM?

KMLM has higher volatility (3.35%) compared to FOXY (2.59%). In terms of maximum drawdown, FOXY dropped -13.09% vs KMLM's -27.47%.

Which ETF is better, FOXY or KMLM?

On 1-year performance, FOXY leads with 18.56% vs 13.24% for KMLM. On fees, FOXY is cheaper at 0.81% per year. On volatility, FOXY has been the lower-risk option at 2.59%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FOXY or KMLM?

Over the 1-year period, FOXY has performed better with a 18.56% return vs 13.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FOXY or KMLM?

FOXY is cheaper with a 0.81% expense ratio, compared with 0.90% for KMLM.

Which ETF pays a higher dividend yield, FOXY or KMLM?

FOXY has the higher dividend yield at 8.20%, compared with 4.64% for KMLM.

What is the main difference between FOXY and KMLM?

FOXY is categorized as Leveraged Currency, while KMLM is Systematic Trend. They also come from different issuers: Simplify and KraneShares. Their fees differ too: 0.81% for FOXY and 0.90% for KMLM.

Which has better risk-adjusted returns?

FOXY currently has the higher Sharpe Ratio (2.03 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.