KSPY vs. KMLM

Last updated Jun 24, 2026

KSPY (Kraneshares Hedgeye Hedged Equity Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KSPY is a Equity Hedged fund tracking the Hedgeye Hedged Equity Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past year, KSPY returned 16.25% vs 12.95% for KMLM. At a 0.04 correlation, their price movements are largely independent. KSPY charges 0.78%/yr vs 0.90%/yr for KMLM.

Performance

KSPY vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Kraneshares Hedgeye Hedged Equity Index ETF (KSPY) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KSPY achieves a 5.14% return, which is significantly lower than KMLM's 6.97% return.

KSPY

• 1D: -1.10%
• 1M: 0.10%
• YTD: 5.14%
• 6M: 4.57%
• 1Y: 16.25%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.79%
• 1M: -4.98%
• YTD: 6.97%
• 6M: 6.95%
• 1Y: 12.95%
• 3Y*: -0.70%
• 5Y*: 4.34%
• 10Y*: —

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

KSPY vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
KSPY Kraneshares Hedgeye Hedged Equity Index ETF	5.14%	13.89%	3.51%
KMLM KFA Mount Lucas Index Strategy ETF	6.97%	-2.98%	-5.53%

Correlation

The correlation between KSPY and KMLM is 0.02, 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	0.02
Correlation (All Time) Calculated using the full available price history since Jul 16, 2024	0.04

Return for Risk

KSPY vs. KMLM — Risk / Return Rank

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

KSPY

KSPY Risk / Return Rank: 81
KSPY Sharpe Ratio Rank: 75
KSPY Sortino Ratio Rank: 78
KSPY Omega Ratio Rank: 86
KSPY Calmar Ratio Rank: 77
KSPY Martin Ratio Rank: 90

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 33
KMLM Martin Ratio Rank: 37

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.

KSPY vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Kraneshares Hedgeye Hedged Equity Index ETF (KSPY) and KFA Mount Lucas Index Strategy ETF (KMLM). 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.

	KSPY	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	2.20	1.16	+1.04
Sortino ratio: Return per unit of downside risk	3.17	1.61	+1.56
Omega ratio: Gain probability vs. loss probability	1.48	1.21	+0.27
Calmar ratio: Return relative to maximum drawdown	3.66	1.62	+2.04
Martin ratio: Return relative to average drawdown	18.92	5.47	+13.45

KSPY vs. KMLM - Sharpe Ratio Comparison

The current KSPY Sharpe Ratio is 2.20, which is higher than the KMLM Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of KSPY and KMLM, 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

KSPY vs. KMLM - Drawdown Comparison

The maximum KSPY drawdown since its inception was -11.67%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KSPY and KMLM.

Drawdown Indicators

	KSPY	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-11.67%	-27.47%	+15.80%
Max Drawdown (1Y) Largest decline over 1 year	-4.46%	-8.04%	+3.58%
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-1.60%	-16.59%	+14.99%
Average Drawdown Average peak-to-trough decline	-1.17%	-12.76%	+11.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.86%	2.37%	-1.51%

Volatility

KSPY vs. KMLM - Volatility Comparison

Kraneshares Hedgeye Hedged Equity Index ETF (KSPY) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 2.91% and 2.95%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KSPY	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.91%	2.95%	-0.04%
Volatility (6M) Calculated over the trailing 6-month period	6.07%	9.82%	-3.75%
Volatility (1Y) Calculated over the trailing 1-year period	7.44%	11.39%	-3.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.57%	14.57%	-4.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.57%	14.69%	-4.12%

KSPY vs. KMLM - Expense Ratio Comparison

KSPY has a 0.78% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

KSPY vs. KMLM - Dividend Comparison

KSPY's dividend yield for the trailing twelve months is around 5.86%, more than KMLM's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	5.02%	0.82%	0.00%	13.22%	6.94%
KSPY Kraneshares Hedgeye Hedged Equity Index ETF	5.86%	6.16%	1.31%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both KSPY and KMLM in my portfolio?

KSPY and KMLM have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KSPY or KMLM?

KMLM has higher volatility (2.95%) compared to KSPY (2.91%). In terms of maximum drawdown, KSPY dropped -11.67% vs KMLM's -27.47%.

Which ETF is better, KSPY or KMLM?

On 1-year performance, KSPY leads with 16.25% vs 12.95% for KMLM. On fees, KSPY is cheaper at 0.78% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KSPY or KMLM?

Over the 1-year period, KSPY has performed better with a 16.25% return vs 12.95%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KSPY or KMLM?

KSPY is cheaper with a 0.78% expense ratio, compared with 0.90% for KMLM.

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

KSPY has the higher dividend yield at 5.86%, compared with 4.70% for KMLM.

What is the main difference between KSPY and KMLM?

KSPY is categorized as Equity Hedged, while KMLM is Systematic Trend. KSPY tracks Hedgeye Hedged Equity Index, while KMLM tracks KFA MLM Index. Their fees differ too: 0.78% for KSPY and 0.90% for KMLM.

Which has better risk-adjusted returns?

KSPY currently has the higher Sharpe Ratio (2.20 vs 1.16), 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.