KMLM vs. FOXY

Last updated Jun 14, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and FOXY (Simplify Currency Strategy ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while FOXY is a Leveraged Currency fund actively managed by Simplify. KMLM is passively managed, while FOXY is actively managed. Over the past year, KMLM returned 13.24% vs 18.56% for FOXY. At a 0.03 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.81%/yr for FOXY.

Performance

KMLM vs. FOXY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Simplify Currency Strategy ETF (FOXY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 8.32% return, which is significantly lower than FOXY's 10.75% return.

KMLM

• 1D: -0.53%
• 1M: -5.80%
• YTD: 8.32%
• 6M: 9.68%
• 1Y: 13.24%
• 3Y*: -1.51%
• 5Y*: 4.11%
• 10Y*: —

FOXY

• 1D: 0.28%
• 1M: 1.24%
• YTD: 10.75%
• 6M: 6.56%
• 1Y: 18.56%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KMLM vs. FOXY - Yearly Performance Comparison

	2026 (YTD)	2025
KMLM KFA Mount Lucas Index Strategy ETF	8.32%	-1.11%
FOXY Simplify Currency Strategy ETF	10.75%	14.71%

Correlation

The correlation between KMLM and FOXY is 0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.09
Correlation (All Time) Calculated using the full available price history since Feb 4, 2025	0.03

Return for Risk

KMLM vs. FOXY — Risk / Return Rank

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

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: 41
KMLM Martin Ratio Rank: 41

FOXY

FOXY Risk / Return Rank: 77
FOXY Sharpe Ratio Rank: 72
FOXY Sortino Ratio Rank: 77
FOXY Omega Ratio Rank: 72
FOXY Calmar Ratio Rank: 89
FOXY Martin Ratio Rank: 76

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.

KMLM vs. FOXY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Simplify Currency Strategy ETF (FOXY). 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.

	KMLM	FOXY	Difference
Sharpe ratio: Return per unit of total volatility	1.06	2.03	-0.97
Sortino ratio: Return per unit of downside risk	1.49	2.99	-1.50
Omega ratio: Gain probability vs. loss probability	1.19	1.37	-0.18
Calmar ratio: Return relative to maximum drawdown	1.78	4.61	-2.83
Martin ratio: Return relative to average drawdown	5.86	12.65	-6.79

KMLM vs. FOXY - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.06, which is lower than the FOXY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of KMLM and FOXY, 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

KMLM vs. FOXY - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than FOXY's maximum drawdown of -13.09%. Use the drawdown chart below to compare losses from any high point for KMLM and FOXY.

Drawdown Indicators

	KMLM	FOXY	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-13.09%	-14.38%
Max Drawdown (1Y) Largest decline over 1 year	-6.83%	-4.32%	-2.51%
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	-15.54%	-2.02%	-13.52%
Average Drawdown Average peak-to-trough decline	-12.74%	-2.10%	-10.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.10%	1.57%	+0.53%

Volatility

KMLM vs. FOXY - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.35% compared to Simplify Currency Strategy ETF (FOXY) at 2.59%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than FOXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	FOXY	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.35%	2.59%	+0.76%
Volatility (6M) Calculated over the trailing 6-month period	9.77%	7.54%	+2.23%
Volatility (1Y) Calculated over the trailing 1-year period	11.50%	9.85%	+1.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.62%	14.96%	-0.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.71%	14.96%	-0.25%

KMLM vs. FOXY - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than FOXY's 0.81% expense ratio.

Dividends

KMLM vs. FOXY - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.64%, less than FOXY's 8.20% yield.

Position	TTM	2025	2024	2023	2022	2021
FOXY Simplify Currency Strategy ETF	8.20%	5.51%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.64%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and FOXY in my portfolio?

KMLM and FOXY have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KMLM or FOXY?

KMLM has higher volatility (3.35%) compared to FOXY (2.59%). In terms of maximum drawdown, KMLM dropped -27.47% vs FOXY's -13.09%.

Which ETF is better, KMLM or FOXY?

On 1-year performance, FOXY leads with 18.56% vs 13.24% for KMLM. On fees, FOXY is cheaper at 0.81% per year. On volatility, FOXY has been the lower-risk option at 2.59%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or FOXY?

Over the 1-year period, FOXY has performed better with a 18.56% return vs 13.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or FOXY?

FOXY is cheaper with a 0.81% expense ratio, compared with 0.90% for KMLM.

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

FOXY has the higher dividend yield at 8.20%, compared with 4.64% for KMLM.

What is the main difference between KMLM and FOXY?

KMLM is categorized as Systematic Trend, while FOXY is Leveraged Currency. They also come from different issuers: KraneShares and Simplify. Their fees differ too: 0.90% for KMLM and 0.81% for FOXY.

Which has better risk-adjusted returns?

FOXY currently has the higher Sharpe Ratio (2.03 vs 1.06), 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.