KMLM vs. HDG
Compare and contrast key facts about KFA Mount Lucas Index Strategy ETF (KMLM) and ProShares Hedge Replication (HDG).
KMLM and HDG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020. HDG is a passively managed fund by ProShares that tracks the performance of the Merrill Lynch Factor Model - Exchange Series. It was launched on Jul 12, 2011.
Performance
KMLM vs. HDG - Performance Comparison
Loading graphics...
KMLM vs. HDG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 8.67% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
HDG ProShares Hedge Replication | 0.49% | 7.18% | 5.12% | 7.14% | -8.48% | 2.97% | 2.36% |
Returns By Period
In the year-to-date period, KMLM achieves a 8.67% return, which is significantly higher than HDG's 0.49% return.
KMLM
- 1D
- -0.28%
- 1M
- 4.21%
- YTD
- 8.67%
- 6M
- 10.01%
- 1Y
- 8.60%
- 3Y*
- 0.44%
- 5Y*
- 5.63%
- 10Y*
- —
HDG
- 1D
- 1.28%
- 1M
- -1.94%
- YTD
- 0.49%
- 6M
- 2.17%
- 1Y
- 8.41%
- 3Y*
- 5.75%
- 5Y*
- 1.97%
- 10Y*
- 3.41%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
KMLM vs. HDG - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is lower than HDG's 0.95% expense ratio.
Return for Risk
KMLM vs. HDG — Risk / Return Rank
KMLM
HDG
KMLM vs. HDG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and ProShares Hedge Replication (HDG). 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.
| KMLM | HDG | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.88 | 1.23 | -0.35 |
Sortino ratioReturn per unit of downside risk | 1.27 | 1.77 | -0.50 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.26 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | 1.13 | 1.70 | -0.57 |
Martin ratioReturn relative to average drawdown | 3.31 | 6.95 | -3.64 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| KMLM | HDG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.88 | 1.23 | -0.35 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.39 | 0.28 | +0.11 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.48 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.38 | +0.11 |
Correlation
The correlation between KMLM and HDG is -0.08. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
KMLM vs. HDG - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.62%, more than HDG's 2.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.62% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
HDG ProShares Hedge Replication | 2.49% | 2.55% | 3.50% | 3.48% | 0.39% | 0.00% | 0.08% | 1.09% | 0.51% | 0.00% | 0.00% | 0.00% |
Drawdowns
KMLM vs. HDG - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, which is greater than HDG's maximum drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for KMLM and HDG.
Loading graphics...
Drawdown Indicators
| KMLM | HDG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -15.31% | -12.16% |
Max Drawdown (1Y)Largest decline over 1 year | -6.73% | -4.85% | -1.88% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -15.31% | -12.16% |
Max Drawdown (10Y)Largest decline over 10 years | — | -15.31% | — |
Current DrawdownCurrent decline from peak | -15.27% | -2.74% | -12.53% |
Average DrawdownAverage peak-to-trough decline | -12.73% | -2.80% | -9.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 1.19% | +1.22% |
Volatility
KMLM vs. HDG - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 4.05% compared to ProShares Hedge Replication (HDG) at 2.61%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than HDG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading graphics...
Volatility by Period
| KMLM | HDG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 2.61% | +1.44% |
Volatility (6M)Calculated over the trailing 6-month period | 7.22% | 4.43% | +2.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.84% | 6.90% | +2.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.57% | 7.15% | +7.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.67% | 7.08% | +7.59% |