KMLM vs. HDG
KMLM (KFA Mount Lucas Index Strategy ETF) and HDG (ProShares Hedge Replication) are both Long-Short funds. KMLM is actively managed, while HDG is passively managed. Over the past 5 years, KMLM returned 4.37%/yr vs 3.13%/yr for HDG. At a correlation of -0.09, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.95%/yr for HDG.
Performance
KMLM vs. HDG - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 10.60% return, which is significantly higher than HDG's 6.79% return.
KMLM
- 1D
- 0.53%
- 1M
- -2.15%
- YTD
- 10.60%
- 6M
- 13.52%
- 1Y
- 12.84%
- 3Y*
- -0.53%
- 5Y*
- 4.37%
- 10Y*
- —
HDG
- 1D
- 0.14%
- 1M
- 2.31%
- YTD
- 6.79%
- 6M
- 7.48%
- 1Y
- 13.92%
- 3Y*
- 7.69%
- 5Y*
- 3.13%
- 10Y*
- 3.95%
KMLM vs. HDG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 10.60% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
HDG ProShares Hedge Replication | 6.79% | 7.18% | 5.12% | 7.14% | -8.48% | 2.97% | 2.36% |
Correlation
The correlation between KMLM and HDG is -0.00, 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 | -0.00 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.12 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.09 |
The correlation between KMLM and HDG shifts across timeframes, from -0.12 (5 years) to -0.00 (1 year), reflecting how their relationship changes across market environments.
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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 | 1.13 | 2.49 | -1.36 |
Sortino ratioReturn per unit of downside risk | 1.59 | 3.69 | -2.11 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.49 | -0.28 |
Calmar ratioReturn relative to maximum drawdown | 2.22 | 3.51 | -1.30 |
Martin ratioReturn relative to average drawdown | 7.31 | 14.55 | -7.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| KMLM | HDG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.13 | 2.49 | -1.36 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.30 | 0.44 | -0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.56 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.44 | +0.06 |
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.
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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 | -6.30% | -3.97% | -2.33% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -7.20% | -15.08% |
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 | -13.76% | 0.00% | -13.76% |
Average DrawdownAverage peak-to-trough decline | -12.74% | -2.77% | -9.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.91% | 0.96% | +0.95% |
Volatility
KMLM vs. HDG - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 4.49% compared to ProShares Hedge Replication (HDG) at 2.01%. 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.
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Volatility by Period
| KMLM | HDG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.49% | 2.01% | +2.48% |
Volatility (6M)Calculated over the trailing 6-month period | 9.64% | 4.57% | +5.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.46% | 5.62% | +5.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.62% | 7.15% | +7.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.74% | 7.11% | +7.63% |
KMLM vs. HDG - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is lower than HDG's 0.95% expense ratio.
Dividends
KMLM vs. HDG - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.54%, more than HDG's 2.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HDG ProShares Hedge Replication | 2.34% | 2.55% | 3.50% | 3.48% | 0.39% | 0.00% | 0.08% | 1.09% | 0.51% | 0.00% | 0.00% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.54% | 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
KMLM and HDG have a correlation of -0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.49%) compared to HDG (2.01%). In terms of maximum drawdown, KMLM dropped -27.47% vs HDG's -15.31%.
On 5-year performance, KMLM leads with 4.37% vs 3.13% for HDG. On fees, KMLM is cheaper at 0.90% per year. On volatility, HDG has been the lower-risk option at 2.01%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 4.37% return vs 3.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 0.95% for HDG.
KMLM has the higher dividend yield at 4.54%, compared with 2.34% for HDG.
They also come from different issuers: CICC and ProShares. Their fees differ too: 0.90% for KMLM and 0.95% for HDG.
HDG currently has the higher Sharpe Ratio (2.49 vs 1.13), 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.
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