KMLM vs. SHNY

Last updated Jun 7, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and SHNY (MicroSectors Gold 3X Leveraged ETN) are both exchange-traded funds - KMLM is a Long-Short fund actively managed by CICC, while SHNY is a Leveraged Commodities fund managed by BMO. Over the past 3 years, KMLM returned -0.86%/yr vs 53.91%/yr for SHNY. At a 0.05 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.95%/yr for SHNY.

Performance

KMLM vs. SHNY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and MicroSectors Gold 3X Leveraged ETN (SHNY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 9.36% return, which is significantly higher than SHNY's -21.88% return.

KMLM

• 1D: -0.35%
• 1M: -2.74%
• YTD: 9.36%
• 6M: 12.51%
• 1Y: 12.51%
• 3Y*: -0.86%
• 5Y*: 4.06%
• 10Y*: —

SHNY

• 1D: -10.99%
• 1M: -25.58%
• YTD: -21.88%
• 6M: -17.79%
• 1Y: 41.98%
• 3Y*: 53.91%
• 5Y*: —
• 10Y*: —

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

KMLM vs. SHNY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
KMLM KFA Mount Lucas Index Strategy ETF	9.36%	-2.98%	-1.69%	-5.35%
SHNY MicroSectors Gold 3X Leveraged ETN	-21.88%	214.54%	50.30%	12.52%

Correlation

The correlation between KMLM and SHNY is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.15
Correlation (3Y) Calculated over the trailing 3-year period	0.06
Correlation (All Time) Calculated using the full available price history since Feb 23, 2023	0.05

Return for Risk

KMLM vs. SHNY — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 30
KMLM Sortino Ratio Rank: 28
KMLM Omega Ratio Rank: 28
KMLM Calmar Ratio Rank: 40
KMLM Martin Ratio Rank: 40

SHNY

SHNY Risk / Return Rank: 19
SHNY Sharpe Ratio Rank: 16
SHNY Sortino Ratio Rank: 21
SHNY Omega Ratio Rank: 25
SHNY Calmar Ratio Rank: 17
SHNY Martin Ratio Rank: 16

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. SHNY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and MicroSectors Gold 3X Leveraged ETN (SHNY). 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	SHNY	Difference
Sharpe ratio: Return per unit of total volatility	1.04	0.46	+0.58
Sortino ratio: Return per unit of downside risk	1.47	1.07	+0.40
Omega ratio: Gain probability vs. loss probability	1.19	1.16	+0.03
Calmar ratio: Return relative to maximum drawdown	1.89	0.62	+1.28
Martin ratio: Return relative to average drawdown	6.13	1.39	+4.74
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KMLM vs. SHNY - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.04, which is higher than the SHNY Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of KMLM and SHNY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	KMLM	SHNY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.04	0.46	+0.58
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.28	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.93	-0.46

Drawdowns

KMLM vs. SHNY - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum SHNY drawdown of -58.90%. Use the drawdown chart below to compare losses from any high point for KMLM and SHNY.

Drawdown Indicators

	KMLM	SHNY	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-58.90%	+31.43%
Max Drawdown (1Y) Largest decline over 1 year	-6.30%	-58.90%	+52.60%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-58.90%	+36.62%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-14.72%	-58.90%	+44.18%
Average Drawdown Average peak-to-trough decline	-12.74%	-15.04%	+2.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	26.15%	-24.17%

Volatility

KMLM vs. SHNY - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 4.27%, while MicroSectors Gold 3X Leveraged ETN (SHNY) has a volatility of 17.36%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than SHNY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	SHNY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.27%	17.36%	-13.09%
Volatility (6M) Calculated over the trailing 6-month period	9.68%	71.84%	-62.16%
Volatility (1Y) Calculated over the trailing 1-year period	11.46%	79.57%	-68.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.62%	58.63%	-44.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.73%	58.63%	-43.90%

KMLM vs. SHNY - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is lower than SHNY's 0.95% expense ratio.

Dividends

KMLM vs. SHNY - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.59%, while SHNY has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.59%	5.02%	0.82%	0.00%	13.22%	6.94%
SHNY MicroSectors Gold 3X Leveraged ETN	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both KMLM and SHNY in my portfolio?

KMLM and SHNY 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 SHNY?

SHNY has higher volatility (17.36%) compared to KMLM (4.27%). In terms of maximum drawdown, KMLM dropped -27.47% vs SHNY's -58.90%.

Which ETF is better, KMLM or SHNY?

On 3-year performance, SHNY leads with 53.91% vs -0.86% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 4.27%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or SHNY?

Over the 3-year period, SHNY has performed better with a 53.91% return vs -0.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or SHNY?

KMLM is cheaper with a 0.90% expense ratio, compared with 0.95% for SHNY.

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

KMLM has the higher dividend yield at 4.59%, compared with 0.00% for SHNY.

What is the main difference between KMLM and SHNY?

KMLM is categorized as Long-Short, while SHNY is Leveraged Commodities. They also come from different issuers: CICC and BMO. Their fees differ too: 0.90% for KMLM and 0.95% for SHNY.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.04 vs 0.46), 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.