HDG vs. KMLM
HDG (ProShares Hedge Replication) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - HDG is a Long-Short fund tracking the Merrill Lynch Factor Model - Exchange Series, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, HDG returned 2.84%/yr vs 4.07%/yr for KMLM. At a correlation of -0.09, they often move in opposite directions. HDG charges 0.95%/yr vs 0.90%/yr for KMLM.
Performance
HDG vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, HDG achieves a 6.05% return, which is significantly higher than KMLM's 5.59% return.
HDG
- 1D
- -0.51%
- 1M
- 0.60%
- YTD
- 6.05%
- 6M
- 5.81%
- 1Y
- 12.20%
- 3Y*
- 7.49%
- 5Y*
- 2.84%
- 10Y*
- 4.06%
KMLM
- 1D
- -1.30%
- 1M
- -6.21%
- YTD
- 5.59%
- 6M
- 5.76%
- 1Y
- 10.89%
- 3Y*
- -1.13%
- 5Y*
- 4.07%
- 10Y*
- —
HDG vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
HDG ProShares Hedge Replication | 6.05% | 7.18% | 5.12% | 7.14% | -8.48% | 2.97% | 2.36% |
KMLM KFA Mount Lucas Index Strategy ETF | 5.59% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between HDG and KMLM is -0.01, 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 | -0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.09 |
The correlation between HDG and KMLM shifts across timeframes, from -0.13 (5 years) to -0.01 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
HDG vs. KMLM — Risk / Return Rank
HDG
KMLM
HDG vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Hedge Replication (HDG) 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.
| HDG | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.00 | ||
| Sortino ratioReturn per unit of downside risk | +1.48 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.17 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 3.09 | 1.19 | +1.90 |
| Martin ratioReturn relative to average drawdown | 12.41 | 4.46 | +7.95 |
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Drawdowns
HDG vs. KMLM - Drawdown Comparison
The maximum HDG drawdown since its inception was -15.31%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for HDG and KMLM.
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Drawdown Indicators
| HDG | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.31% | -27.47% | +12.16% |
Max Drawdown (1Y)Largest decline over 1 year | -3.97% | -9.18% | +5.21% |
Max Drawdown (3Y)Largest decline over 3 years | -7.20% | -22.28% | +15.08% |
Max Drawdown (5Y)Largest decline over 5 years | -15.31% | -27.47% | +12.16% |
Max Drawdown (10Y)Largest decline over 10 years | -15.31% | — | — |
Current DrawdownCurrent decline from peak | -1.63% | -17.67% | +16.04% |
Average DrawdownAverage peak-to-trough decline | -2.76% | -12.76% | +10.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.99% | 2.44% | -1.45% |
Volatility
HDG vs. KMLM - Volatility Comparison
ProShares Hedge Replication (HDG) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.06% and 3.12%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HDG | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.06% | 3.12% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 5.34% | 9.90% | -4.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.26% | 11.34% | -5.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.24% | 14.58% | -7.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.12% | 14.69% | -7.57% |
HDG vs. KMLM - Expense Ratio Comparison
HDG has a 0.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Dividends
HDG vs. KMLM - Dividend Comparison
HDG's dividend yield for the trailing twelve months is around 2.36%, less than KMLM's 4.76% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HDG ProShares Hedge Replication | 2.36% | 2.55% | 3.50% | 3.48% | 0.39% | 0.00% | 0.08% | 1.09% | 0.51% | 0.00% | 0.00% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.76% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
HDG and KMLM have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.12%) compared to HDG (3.06%). In terms of maximum drawdown, HDG dropped -15.31% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.07% vs 2.84% for HDG. On fees, KMLM is cheaper at 0.90% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 4.07% return vs 2.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 0.95% for HDG.
KMLM has the higher dividend yield at 4.76%, compared with 2.36% for HDG.
HDG is categorized as Long-Short, while KMLM is Systematic Trend. HDG tracks Merrill Lynch Factor Model - Exchange Series, while KMLM tracks KFA MLM Index. They also come from different issuers: ProShares and KraneShares. Their fees differ too: 0.95% for HDG and 0.90% for KMLM.
HDG currently has the higher Sharpe Ratio (1.96 vs 0.97), 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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