HFMF vs. KMLM

Last updated Jul 17, 2026

HFMF (Unlimited HFMF Managed Futures ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Systematic Trend funds. HFMF is actively managed, while KMLM is passively managed. Over the past year, HFMF returned 11.33% vs 14.25% for KMLM. At a 0.42 correlation, their price movements are largely independent. HFMF charges 0.97%/yr vs 0.90%/yr for KMLM.

Performance

HFMF vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Unlimited HFMF Managed Futures ETF (HFMF) 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, HFMF achieves a 4.38% return, which is significantly lower than KMLM's 11.60% return.

HFMF

• 1D: -0.83%
• 1M: -0.26%
• 6M: -1.87%
• YTD: 4.38%
• 1Y: 11.33%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: 0.45%
• 1M: 4.38%
• 6M: 8.95%
• YTD: 11.60%
• 1Y: 14.25%
• 3Y*: -0.51%
• 5Y*: 5.56%
• 10Y*: —

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

HFMF vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025
HFMF Unlimited HFMF Managed Futures ETF	4.38%	6.34%
KMLM KFA Mount Lucas Index Strategy ETF	11.60%	2.20%

Correlation

The correlation between HFMF and KMLM is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (All Time) Calculated using the full available price history since Jul 15, 2025	0.42

Return for Risk

HFMF vs. KMLM — Risk / Return Rank

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

HFMF

HFMF Risk / Return Rank: 23
HFMF Sharpe Ratio Rank: 24
HFMF Sortino Ratio Rank: 23
HFMF Omega Ratio Rank: 25
HFMF Calmar Ratio Rank: 21
HFMF Martin Ratio Rank: 21

KMLM

KMLM Risk / Return Rank: 39
KMLM Sharpe Ratio Rank: 42
KMLM Sortino Ratio Rank: 40
KMLM Omega Ratio Rank: 41
KMLM Calmar Ratio Rank: 35
KMLM Martin Ratio Rank: 37

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.

HFMF vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Unlimited HFMF Managed Futures ETF (HFMF) 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.

	HFMF	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	0.71	1.25	-0.54
Sortino ratio: Return per unit of downside risk	1.07	1.74	-0.67
Omega ratio: Gain probability vs. loss probability	1.14	1.23	-0.09
Calmar ratio: Return relative to maximum drawdown	0.77	1.49	-0.71
Martin ratio: Return relative to average drawdown	1.96	4.68	-2.72

HFMF vs. KMLM - Sharpe Ratio Comparison

The current HFMF Sharpe Ratio is 0.71, which is lower than the KMLM Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of HFMF 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

HFMF vs. KMLM - Drawdown Comparison

The maximum HFMF drawdown since its inception was -14.69%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for HFMF and KMLM.

Drawdown Indicators

	HFMF	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-14.69%	-27.47%	+12.78%
Max Drawdown (1Y) Largest decline over 1 year	-14.69%	-9.61%	-5.08%
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	-12.65%	-12.98%	+0.33%
Average Drawdown Average peak-to-trough decline	-3.98%	-12.79%	+8.81%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.81%	3.05%	+2.76%

Volatility

HFMF vs. KMLM - Volatility Comparison

The current volatility for Unlimited HFMF Managed Futures ETF (HFMF) is 2.90%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.71%. This indicates that HFMF 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

	HFMF	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.90%	3.71%	-0.81%
Volatility (6M) Calculated over the trailing 6-month period	12.49%	10.11%	+2.38%
Volatility (1Y) Calculated over the trailing 1-year period	16.09%	11.50%	+4.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.06%	14.57%	+1.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.06%	14.68%	+1.38%

HFMF vs. KMLM - Expense Ratio Comparison

HFMF has a 0.97% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

HFMF vs. KMLM - Dividend Comparison

HFMF's dividend yield for the trailing twelve months is around 2.84%, less than KMLM's 4.50% yield.

Position	TTM	2025	2024	2023	2022	2021
HFMF Unlimited HFMF Managed Futures ETF	2.84%	2.97%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.50%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both HFMF and KMLM in my portfolio?

HFMF and KMLM have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HFMF or KMLM?

KMLM has higher volatility (3.71%) compared to HFMF (2.90%). In terms of maximum drawdown, HFMF dropped -14.69% vs KMLM's -27.47%.

Which ETF is better, HFMF or KMLM?

On 1-year performance, KMLM leads with 14.25% vs 11.33% for HFMF. On fees, KMLM is cheaper at 0.90% per year. On volatility, HFMF has been the lower-risk option at 2.90%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HFMF or KMLM?

Over the 1-year period, KMLM has performed better with a 14.25% return vs 11.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HFMF or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 0.97% for HFMF.

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

KMLM has the higher dividend yield at 4.50%, compared with 2.84% for HFMF.

What is the main difference between HFMF and KMLM?

They also come from different issuers: Unlimited and KraneShares. Their fees differ too: 0.97% for HFMF and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.25 vs 0.71), 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.