SH vs. KMLM

Last updated Jun 14, 2026

SH (ProShares Short S&P500) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - SH is a Inverse Equities fund tracking the S&P 500 (-100%), while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, SH returned -8.68%/yr vs 4.11%/yr for KMLM. At a 0.10 correlation, their price movements are largely independent. Both charge a 0.90% expense ratio.

Performance

SH vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short S&P500 (SH) 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, SH achieves a -6.39% return, which is significantly lower than KMLM's 8.32% return.

SH

• 1D: -0.50%
• 1M: 0.03%
• YTD: -6.39%
• 6M: -6.43%
• 1Y: -15.90%
• 3Y*: -11.96%
• 5Y*: -8.68%
• 10Y*: -12.83%

KMLM

• 1D: -0.53%
• 1M: -5.80%
• YTD: 8.32%
• 6M: 9.68%
• 1Y: 13.24%
• 3Y*: -1.51%
• 5Y*: 4.11%
• 10Y*: —

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

SH vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SH ProShares Short S&P500	-6.39%	-11.35%	-13.52%	-14.80%	18.98%	-24.21%	-2.60%
KMLM KFA Mount Lucas Index Strategy ETF	8.32%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between SH and KMLM 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	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	0.10

The correlation between SH and KMLM shifts across timeframes, from 0.00 (1 year) to 0.10 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

SH vs. KMLM — Risk / Return Rank

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

SH

SH Risk / Return Rank: 1
SH Sharpe Ratio Rank: 0
SH Sortino Ratio Rank: 1
SH Omega Ratio Rank: 1
SH Calmar Ratio Rank: 2
SH Martin Ratio Rank: 1

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 41

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.

SH vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short S&P500 (SH) 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.

	SH	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	-1.22	1.06	-2.28
Sortino ratio: Return per unit of downside risk	-1.75	1.49	-3.25
Omega ratio: Gain probability vs. loss probability	0.81	1.19	-0.38
Calmar ratio: Return relative to maximum drawdown	-0.82	1.78	-2.61
Martin ratio: Return relative to average drawdown	-1.47	5.86	-7.33

SH vs. KMLM - Sharpe Ratio Comparison

The current SH Sharpe Ratio is -1.22, which is lower than the KMLM Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of SH 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

SH vs. KMLM - Drawdown Comparison

The maximum SH drawdown since its inception was -94.66%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for SH and KMLM.

Drawdown Indicators

	SH	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-94.66%	-27.47%	-67.19%
Max Drawdown (1Y) Largest decline over 1 year	-18.16%	-6.83%	-11.33%
Max Drawdown (3Y) Largest decline over 3 years	-38.82%	-22.28%	-16.54%
Max Drawdown (5Y) Largest decline over 5 years	-44.53%	-27.47%	-17.06%
Max Drawdown (10Y) Largest decline over 10 years	-76.12%	—	—
Current Drawdown Current decline from peak	-94.53%	-15.54%	-78.99%
Average Drawdown Average peak-to-trough decline	-67.75%	-12.74%	-55.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.13%	2.10%	+8.03%

Volatility

SH vs. KMLM - Volatility Comparison

ProShares Short S&P500 (SH) has a higher volatility of 4.33% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that SH's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SH	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.33%	3.35%	+0.98%
Volatility (6M) Calculated over the trailing 6-month period	9.59%	9.77%	-0.18%
Volatility (1Y) Calculated over the trailing 1-year period	12.28%	11.50%	+0.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.91%	14.62%	+2.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.04%	14.71%	+3.33%

SH vs. KMLM - Expense Ratio Comparison

Both SH and KMLM have an expense ratio of 0.90%.

Dividends

SH vs. KMLM - Dividend Comparison

SH's dividend yield for the trailing twelve months is around 4.43%, less than KMLM's 4.64% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
KMLM KFA Mount Lucas Index Strategy ETF	4.64%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%
SH ProShares Short S&P500	4.43%	4.49%	6.20%	5.37%	1.08%	0.00%	0.16%	1.76%	1.01%	0.06%

Frequently Asked Questions

Can I hold both SH and KMLM in my portfolio?

SH and KMLM 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.

Which is riskier, SH or KMLM?

SH has higher volatility (4.33%) compared to KMLM (3.35%). In terms of maximum drawdown, SH dropped -94.66% vs KMLM's -27.47%.

Which ETF is better, SH or KMLM?

On 5-year performance, KMLM leads with 4.11% vs -8.68% for SH. Both ETFs have the same 0.90% expense ratio. On volatility, KMLM has been the lower-risk option at 3.35%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SH or KMLM?

Over the 5-year period, KMLM has performed better with a 4.11% return vs -8.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SH or KMLM?

SH and KMLM have the same expense ratio: 0.90% per year.

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

KMLM has the higher dividend yield at 4.64%, compared with 4.43% for SH.

What is the main difference between SH and KMLM?

SH is categorized as Inverse Equities, while KMLM is Systematic Trend. SH tracks S&P 500 (-100%), while KMLM tracks KFA MLM Index. They also come from different issuers: ProShares and KraneShares.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.06 vs -1.22), 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.