HICOX vs. KMLM

Last updated Jun 4, 2026

HICOX (Colorado Bond Shares A Tax Exempt Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both funds - HICOX is a Municipal Bonds fund managed by Freedom Funds, while KMLM is a Long-Short fund actively managed by CICC. Over the past 5 years, HICOX returned 3.02%/yr vs 4.33%/yr for KMLM. At a correlation of -0.20, they often move in opposite directions. HICOX charges 0.55%/yr vs 0.90%/yr for KMLM.

Performance

HICOX vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Colorado Bond Shares A Tax Exempt Fund (HICOX) 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, HICOX achieves a 2.13% return, which is significantly lower than KMLM's 10.79% return.

HICOX

• 1D: 0.11%
• 1M: 0.45%
• YTD: 2.13%
• 6M: 2.61%
• 1Y: 7.04%
• 3Y*: 5.99%
• 5Y*: 3.02%
• 10Y*: 4.15%

KMLM

• 1D: 0.17%
• 1M: -2.41%
• YTD: 10.79%
• 6M: 13.19%
• 1Y: 13.68%
• 3Y*: -0.47%
• 5Y*: 4.33%
• 10Y*: —

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

HICOX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
HICOX Colorado Bond Shares A Tax Exempt Fund	2.13%	4.36%	8.64%	5.10%	-6.14%	4.44%	0.22%
KMLM KFA Mount Lucas Index Strategy ETF	10.79%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Correlation

The correlation between HICOX and KMLM is -0.13, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.13
Correlation (3Y) Calculated over the trailing 3-year period	-0.20
Correlation (5Y) Calculated over the trailing 5-year period	-0.21
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020	-0.20

Return for Risk

HICOX vs. KMLM — Risk / Return Rank

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

HICOX

HICOX Risk / Return Rank: 96
HICOX Sharpe Ratio Rank: 94
HICOX Sortino Ratio Rank: 97
HICOX Omega Ratio Rank: 97
HICOX Calmar Ratio Rank: 96
HICOX Martin Ratio Rank: 96

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 43
KMLM Martin Ratio Rank: 43

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.

HICOX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Colorado Bond Shares A Tax Exempt Fund (HICOX) 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.

	HICOX	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	3.29	1.20	+2.08
Sortino ratio: Return per unit of downside risk	5.96	1.68	+4.28
Omega ratio: Gain probability vs. loss probability	2.00	1.22	+0.78
Calmar ratio: Return relative to maximum drawdown	6.61	2.18	+4.43
Martin ratio: Return relative to average drawdown	25.28	7.18	+18.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HICOX vs. KMLM - Sharpe Ratio Comparison

The current HICOX Sharpe Ratio is 3.29, which is higher than the KMLM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of HICOX 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.

Sharpe Ratios by Period

	HICOX	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.29	1.20	+2.08
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.86	0.30	+0.57
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.35	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.62	0.49	+1.12

Drawdowns

HICOX vs. KMLM - Drawdown Comparison

The maximum HICOX drawdown since its inception was -11.00%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for HICOX and KMLM.

Drawdown Indicators

	HICOX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-11.00%	-27.47%	+16.47%
Max Drawdown (1Y) Largest decline over 1 year	-1.10%	-6.30%	+5.20%
Max Drawdown (3Y) Largest decline over 3 years	-4.45%	-22.28%	+17.83%
Max Drawdown (5Y) Largest decline over 5 years	-9.66%	-27.47%	+17.81%
Max Drawdown (10Y) Largest decline over 10 years	-9.66%	—	—
Current Drawdown Current decline from peak	0.00%	-13.61%	+13.61%
Average Drawdown Average peak-to-trough decline	-2.56%	-12.74%	+10.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.28%	1.91%	-1.63%

Volatility

HICOX vs. KMLM - Volatility Comparison

The current volatility for Colorado Bond Shares A Tax Exempt Fund (HICOX) is 0.61%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.46%. This indicates that HICOX 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

	HICOX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.61%	4.46%	-3.85%
Volatility (6M) Calculated over the trailing 6-month period	1.57%	9.63%	-8.06%
Volatility (1Y) Calculated over the trailing 1-year period	2.20%	11.43%	-9.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.54%	14.62%	-11.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.09%	14.73%	-11.64%

HICOX vs. KMLM - Expense Ratio Comparison

HICOX has a 0.55% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

HICOX vs. KMLM - Dividend Comparison

HICOX's dividend yield for the trailing twelve months is around 4.28%, less than KMLM's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HICOX Colorado Bond Shares A Tax Exempt Fund	4.28%	3.98%	6.34%	2.53%	2.85%	3.60%	3.64%	4.11%	4.54%	4.56%	5.49%	4.32%
KMLM KFA Mount Lucas Index Strategy ETF	4.53%	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

Can I hold both HICOX and KMLM in my portfolio?

HICOX and KMLM have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HICOX or KMLM?

KMLM has higher volatility (4.46%) compared to HICOX (0.61%). In terms of maximum drawdown, HICOX dropped -11.00% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

HICOX currently has the higher Sharpe Ratio (3.29 vs 1.20), 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.