KMLM vs. HMEZX
KMLM (KFA Mount Lucas Index Strategy ETF) and HMEZX (NexPoint Merger Arbitrage Fund) are both funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while HMEZX is a Event Driven fund managed by Highland Funds. Over the past 5 years, KMLM returned 5.96%/yr vs 4.84%/yr for HMEZX. Their -0.04 correlation means they have often moved in opposite directions in the past. KMLM charges 0.90%/yr vs 1.50%/yr for HMEZX.
Performance
KMLM vs. HMEZX - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 14.14% return, which is significantly higher than HMEZX's 2.19% return.
KMLM
- 1D
- -0.80%
- 1M
- 7.36%
- 6M
- 12.54%
- YTD
- 14.14%
- 1Y
- 15.04%
- 3Y*
- 1.14%
- 5Y*
- 5.96%
- 10Y*
- —
- ALL TIME*
- 7.68%
HMEZX
- 1D
- -0.05%
- 1M
- 0.35%
- 6M
- 1.84%
- YTD
- 2.19%
- 1Y
- 4.91%
- 3Y*
- 6.80%
- 5Y*
- 4.84%
- 10Y*
- 5.91%
- ALL TIME*
- 6.08%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $9.77M | $7.65M | $7.75M |
KMLM vs. HMEZX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 14.14% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
HMEZX NexPoint Merger Arbitrage Fund | 2.19% | 6.30% | 7.42% | 4.10% | 2.70% | 5.37% | 1.48% |
Correlation
The correlation between KMLM and HMEZX is -0.03, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.03 |
Correlation (3Y) Balances recent behavior with more history. | -0.03 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.06 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.04 |
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Return for Risk
KMLM vs. HMEZX — Risk / Return Rank
KMLM
HMEZX
KMLM vs. HMEZX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and NexPoint Merger Arbitrage Fund (HMEZX). 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 | HMEZX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.69 | ||
| Sortino ratioReturn per unit of downside risk | -5.05 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.98 | -0.75 |
| Calmar ratioReturn relative to maximum drawdown | 1.55 | 8.98 | -7.43 |
| Martin ratioReturn relative to average drawdown | 4.97 | 47.95 | -42.98 |
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Drawdowns
KMLM vs. HMEZX - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, which is greater than HMEZX's maximum drawdown of -6.86%. Use the drawdown chart below to compare losses from any high point for KMLM and HMEZX.
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Drawdown Indicators
| KMLM | HMEZX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -6.86% | -20.61% |
Max Drawdown (1Y)Largest decline over 1 year | -9.61% | -0.55% | -9.06% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -1.06% | -21.22% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -1.94% | -25.53% |
Max Drawdown (10Y)Largest decline over 10 years | — | -6.86% | — |
Current DrawdownCurrent decline from peak | -11.00% | -0.20% | -10.80% |
Average DrawdownAverage peak-to-trough decline | -12.79% | -0.37% | -12.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.01% | 0.10% | +2.91% |
Volatility
KMLM vs. HMEZX - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.39% compared to NexPoint Merger Arbitrage Fund (HMEZX) at 0.29%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than HMEZX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | HMEZX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.39% | 0.29% | +3.10% |
Volatility (6M)Calculated over the trailing 6-month period | 10.18% | 0.93% | +9.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.53% | 1.23% | +10.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.52% | 1.66% | +12.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.67% | 3.76% | +10.91% |
KMLM vs. HMEZX - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is lower than HMEZX's 1.50% expense ratio.
Dividends
KMLM vs. HMEZX - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.40%, less than HMEZX's 5.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
HMEZX NexPoint Merger Arbitrage Fund | 5.06% | 5.04% | 6.36% | 5.07% | 5.11% | 3.63% | 5.83% | 0.33% | 19.16% | 6.88% | 0.02% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.40% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
KMLM and HMEZX have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.39%) compared to HMEZX (0.29%). In terms of maximum drawdown, KMLM dropped -27.47% vs HMEZX's -6.86%.
HMEZX currently has the higher Sharpe Ratio (3.99 vs 1.30), 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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