HFMF vs. KMLM

Last updated Jun 24, 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. At a 0.40 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 2.96% return, which is significantly lower than KMLM's 6.97% return.

HFMF

• 1D: -0.72%
• 1M: -6.95%
• YTD: 2.96%
• 6M: 0.81%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.79%
• 1M: -4.98%
• YTD: 6.97%
• 6M: 6.95%
• 1Y: 12.95%
• 3Y*: -0.70%
• 5Y*: 4.34%
• 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	2.96%	6.34%
KMLM KFA Mount Lucas Index Strategy ETF	6.97%	2.20%

Correlation

The correlation between HFMF and KMLM is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jul 15, 2025	0.40

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

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

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 33
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	—	1.16	—
Sortino ratio: Return per unit of downside risk	—	1.61	—
Omega ratio: Gain probability vs. loss probability	—	1.21	—
Calmar ratio: Return relative to maximum drawdown	—	1.62	—
Martin ratio: Return relative to average drawdown	—	5.47	—

Drawdowns

HFMF vs. KMLM - Drawdown Comparison

The maximum HFMF drawdown since its inception was -13.84%, 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	-13.84%	-27.47%	+13.63%
Max Drawdown (1Y) Largest decline over 1 year	—	-8.04%	—
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	-13.84%	-16.59%	+2.75%
Average Drawdown Average peak-to-trough decline	-3.35%	-12.76%	+9.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.37%	—

Volatility

Volatility by Period

	HFMF	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	2.95%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.82%	—
Volatility (1Y) Calculated over the trailing 1-year period	16.39%	11.39%	+5.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.39%	14.57%	+1.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.39%	14.69%	+1.70%

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 2.88%, less than KMLM's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021
HFMF Unlimited HFMF Managed Futures ETF	2.88%	2.97%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	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 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, HFMF or KMLM?

On fees, KMLM is cheaper at 0.90% per year. The better choice depends on whether you care most about return, fees, risk, or income.

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 4.70%, compared with 2.88% 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.