HDG vs. KMLM
Compare and contrast key facts about ProShares Hedge Replication (HDG) and KFA Mount Lucas Index Strategy ETF (KMLM).
HDG and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. HDG is a passively managed fund by ProShares that tracks the performance of the Merrill Lynch Factor Model - Exchange Series. It was launched on Jul 12, 2011. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.
Performance
HDG vs. KMLM - Performance Comparison
Loading graphics...
HDG vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
HDG ProShares Hedge Replication | 0.49% | 7.18% | 5.12% | 7.14% | -8.48% | 2.97% | 2.36% |
KMLM KFA Mount Lucas Index Strategy ETF | 8.67% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Returns By Period
In the year-to-date period, HDG achieves a 0.49% return, which is significantly lower than KMLM's 8.67% return.
HDG
- 1D
- 1.28%
- 1M
- -1.94%
- YTD
- 0.49%
- 6M
- 2.17%
- 1Y
- 8.41%
- 3Y*
- 5.75%
- 5Y*
- 1.97%
- 10Y*
- 3.41%
KMLM
- 1D
- -0.28%
- 1M
- 4.21%
- YTD
- 8.67%
- 6M
- 10.01%
- 1Y
- 8.60%
- 3Y*
- 0.44%
- 5Y*
- 5.63%
- 10Y*
- —
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
HDG vs. KMLM - Expense Ratio Comparison
HDG has a 0.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.
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.
| HDG | KMLM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.23 | 0.88 | +0.35 |
Sortino ratioReturn per unit of downside risk | 1.77 | 1.27 | +0.50 |
Omega ratioGain probability vs. loss probability | 1.26 | 1.16 | +0.09 |
Calmar ratioReturn relative to maximum drawdown | 1.70 | 1.13 | +0.57 |
Martin ratioReturn relative to average drawdown | 6.95 | 3.31 | +3.64 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| HDG | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.23 | 0.88 | +0.35 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.28 | 0.39 | -0.11 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.48 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.38 | 0.49 | -0.11 |
Correlation
The correlation between HDG and KMLM is -0.08. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
HDG vs. KMLM - Dividend Comparison
HDG's dividend yield for the trailing twelve months is around 2.49%, less than KMLM's 4.62% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HDG ProShares Hedge Replication | 2.49% | 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 | 4.62% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
Loading graphics...
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 | -4.85% | -6.73% | +1.88% |
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 | -2.74% | -15.27% | +12.53% |
Average DrawdownAverage peak-to-trough decline | -2.80% | -12.73% | +9.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.19% | 2.41% | -1.22% |
Volatility
HDG vs. KMLM - Volatility Comparison
The current volatility for ProShares Hedge Replication (HDG) is 2.61%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.05%. This indicates that HDG 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.
Loading graphics...
Volatility by Period
| HDG | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 4.05% | -1.44% |
Volatility (6M)Calculated over the trailing 6-month period | 4.43% | 7.22% | -2.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.90% | 9.84% | -2.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.15% | 14.57% | -7.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.08% | 14.67% | -7.59% |