HEFT vs. KMLM

Last updated Aug 2, 2026

HEFT (Hedgeye Fourth Turning ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - HEFT is a Long-Short fund actively managed by Hedgeye, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. HEFT is actively managed, while KMLM is passively managed. Their 0.35 correlation means their historical movements had little consistent relationship. HEFT charges 0.70%/yr vs 0.90%/yr for KMLM.

Performance

HEFT vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Hedgeye Fourth Turning ETF (HEFT) 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, HEFT achieves a 3.28% return, which is significantly lower than KMLM's 12.95% return.

HEFT

• 1D: -0.04%
• 1M: -0.42%
• 6M: -3.62%
• YTD: 3.28%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: —

KMLM

• 1D: 0.24%
• 1M: 6.85%
• 6M: 12.90%
• YTD: 12.95%
• 1Y: 18.19%
• 3Y*: 0.08%
• 5Y*: 5.77%
• 10Y*: —
• ALL TIME*: 7.46%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
HEFT Hedgeye Fourth Turning ETF	$283.91K	$525.47K	$801.16K
KMLM KFA Mount Lucas Index Strategy ETF	$14.29M	$9.53M	$7.83M

HEFT vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025
HEFT Hedgeye Fourth Turning ETF	3.28%	1.10%
KMLM KFA Mount Lucas Index Strategy ETF	12.95%	3.08%

Correlation

The correlation between HEFT and KMLM is 0.35, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (All Time) Calculated using the full available price history since Nov 21, 2025	0.35

Return for Risk

HEFT vs. KMLM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

HEFT

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

KMLM

KMLM Risk / Return Rank: 61
KMLM Sharpe Ratio Rank: 69
KMLM Sortino Ratio Rank: 65
KMLM Omega Ratio Rank: 67
KMLM Calmar Ratio Rank: 52
KMLM Martin Ratio Rank: 52

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

HEFT vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Hedgeye Fourth Turning ETF (HEFT) 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.

	HEFT	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	—	1.55	—
Sortino ratio: Return per unit of downside risk	—	2.14	—
Omega ratio: Gain probability vs. loss probability	—	1.28	—
Calmar ratio: Return relative to maximum drawdown	—	1.86	—
Martin ratio: Return relative to average drawdown	—	6.03	—

Drawdowns

HEFT vs. KMLM - Drawdown Comparison

The maximum HEFT drawdown since its inception was -9.17%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for HEFT and KMLM.

Drawdown Indicators

	HEFT	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-9.17%	-27.47%	+18.30%
Max Drawdown (1Y) Largest decline over 1 year	—	-9.61%	—
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	-6.82%	-11.93%	+5.11%
Average Drawdown Average peak-to-trough decline	-3.79%	-12.79%	+9.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.95%	—

Volatility

Volatility by Period

	HEFT	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	3.70%	—
Volatility (6M) Calculated over the trailing 6-month period	—	10.31%	—
Volatility (1Y) Calculated over the trailing 1-year period	12.66%	11.49%	+1.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.66%	14.53%	-1.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.66%	14.66%	-2.00%

HEFT vs. KMLM - Expense Ratio Comparison

HEFT has a 0.70% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

HEFT vs. KMLM - Dividend Comparison

HEFT's dividend yield for the trailing twelve months is around 0.02%, less than KMLM's 4.45% yield.

Position	TTM	2025	2024	2023	2022	2021
HEFT Hedgeye Fourth Turning ETF	0.02%	0.02%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.45%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both HEFT and KMLM in my portfolio?

HEFT and KMLM have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, HEFT or KMLM?

On fees, HEFT is cheaper at 0.70% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, HEFT or KMLM?

HEFT is cheaper with a 0.70% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.45%, compared with 0.02% for HEFT.

What is the main difference between HEFT and KMLM?

HEFT is categorized as Long-Short, while KMLM is Systematic Trend. They also come from different issuers: Hedgeye and KraneShares. Their fees differ too: 0.70% for HEFT and 0.90% for KMLM.