KMLM vs. HICOX

Last updated Jun 25, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and HICOX (Colorado Bond Shares A Tax Exempt Fund) are both funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while HICOX is a Municipal Bonds fund managed by Freedom Funds. Over the past 5 years, KMLM returned 4.07%/yr vs 3.11%/yr for HICOX. At a correlation of -0.20, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.55%/yr for HICOX.

Performance

KMLM vs. HICOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Colorado Bond Shares A Tax Exempt Fund (HICOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 5.59% return, which is significantly higher than HICOX's 2.68% return.

KMLM

• 1D: -1.30%
• 1M: -6.21%
• YTD: 5.59%
• 6M: 5.76%
• 1Y: 10.89%
• 3Y*: -1.13%
• 5Y*: 4.07%
• 10Y*: —

HICOX

• 1D: 0.00%
• 1M: 1.33%
• YTD: 2.68%
• 6M: 2.80%
• 1Y: 6.80%
• 3Y*: 6.02%
• 5Y*: 3.11%
• 10Y*: 4.13%

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

KMLM vs. HICOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KMLM KFA Mount Lucas Index Strategy ETF	5.59%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%
HICOX Colorado Bond Shares A Tax Exempt Fund	2.68%	4.36%	8.64%	5.10%	-6.14%	4.44%	0.43%

Correlation

The correlation between KMLM and HICOX is -0.15, 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	-0.15
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 2, 2020	-0.20

Return for Risk

KMLM vs. HICOX — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 28
KMLM Sharpe Ratio Rank: 29
KMLM Sortino Ratio Rank: 26
KMLM Omega Ratio Rank: 27
KMLM Calmar Ratio Rank: 26
KMLM Martin Ratio Rank: 33

HICOX

HICOX Risk / Return Rank: 97
HICOX Sharpe Ratio Rank: 96
HICOX Sortino Ratio Rank: 98
HICOX Omega Ratio Rank: 98
HICOX Calmar Ratio Rank: 97
HICOX Martin Ratio Rank: 97

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. HICOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Colorado Bond Shares A Tax Exempt Fund (HICOX). 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	HICOX	Difference
Sharpe ratio: Return per unit of total volatility	0.97	3.18	-2.21
Sortino ratio: Return per unit of downside risk	1.36	5.83	-4.47
Omega ratio: Gain probability vs. loss probability	1.17	2.00	-0.83
Calmar ratio: Return relative to maximum drawdown	1.19	6.39	-5.20
Martin ratio: Return relative to average drawdown	4.46	24.45	-19.98

KMLM vs. HICOX - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 0.97, which is lower than the HICOX Sharpe Ratio of 3.18. The chart below compares the historical Sharpe Ratios of KMLM and HICOX, 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. HICOX - Drawdown Comparison

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

Drawdown Indicators

	KMLM	HICOX	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-11.00%	-16.47%
Max Drawdown (1Y) Largest decline over 1 year	-9.18%	-1.10%	-8.08%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-4.45%	-17.83%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	-9.66%	-17.81%
Max Drawdown (10Y) Largest decline over 10 years	—	-9.66%	—
Current Drawdown Current decline from peak	-17.67%	0.00%	-17.67%
Average Drawdown Average peak-to-trough decline	-12.76%	-2.56%	-10.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.44%	0.28%	+2.16%

Volatility

KMLM vs. HICOX - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.12% compared to Colorado Bond Shares A Tax Exempt Fund (HICOX) at 0.62%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than HICOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	HICOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.12%	0.62%	+2.50%
Volatility (6M) Calculated over the trailing 6-month period	9.90%	1.64%	+8.26%
Volatility (1Y) Calculated over the trailing 1-year period	11.34%	2.20%	+9.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	3.55%	+11.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.69%	3.09%	+11.60%

KMLM vs. HICOX - Expense Ratio Comparison

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

Dividends

KMLM vs. HICOX - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.76%, more than HICOX's 4.29% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HICOX Colorado Bond Shares A Tax Exempt Fund	4.29%	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	4.76%	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 KMLM and HICOX in my portfolio?

KMLM and HICOX have a correlation of -0.15, 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 HICOX?

KMLM has higher volatility (3.12%) compared to HICOX (0.62%). In terms of maximum drawdown, KMLM dropped -27.47% vs HICOX's -11.00%.

Which has better risk-adjusted returns?

HICOX currently has the higher Sharpe Ratio (3.18 vs 0.97), 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.