VIXY vs. KMLM
VIXY (ProShares VIX Short-Term Futures ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - VIXY is a Volatility fund tracking the S&P 500 VIX Short-Term Futures Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, VIXY returned -46.62%/yr vs 6.06%/yr for KMLM. At a 0.08 correlation, their price movements are largely independent. VIXY charges 0.85%/yr vs 0.90%/yr for KMLM.
Performance
VIXY vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, VIXY achieves a -17.20% return, which is significantly lower than KMLM's 12.72% return.
VIXY
- 1D
- -1.94%
- 1M
- -3.06%
- 6M
- -17.07%
- YTD
- -17.20%
- 1Y
- -51.71%
- 3Y*
- -39.30%
- 5Y*
- -46.62%
- 10Y*
- -46.88%
- ALL TIME*
- -48.47%
KMLM
- 1D
- 0.91%
- 1M
- 5.14%
- 6M
- 10.80%
- YTD
- 12.72%
- 1Y
- 15.01%
- 3Y*
- 0.26%
- 5Y*
- 6.06%
- 10Y*
- —
- ALL TIME*
- 7.46%
VIXY vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
VIXY ProShares VIX Short-Term Futures ETF | -17.20% | -43.05% | -27.43% | -72.74% | -24.98% | -72.40% | -3.10% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.72% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between VIXY and KMLM is 0.04, 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 | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.09 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.08 |
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Return for Risk
VIXY vs. KMLM — Risk / Return Rank
VIXY
KMLM
VIXY vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares VIX Short-Term Futures ETF (VIXY) 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.
| VIXY | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.23 | ||
| Sortino ratioReturn per unit of downside risk | -3.25 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.24 | -0.40 |
| Calmar ratioReturn relative to maximum drawdown | -0.94 | 1.57 | -2.51 |
| Martin ratioReturn relative to average drawdown | -1.49 | 4.90 | -6.39 |
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Drawdowns
VIXY vs. KMLM - Drawdown Comparison
The maximum VIXY drawdown since its inception was -100.00%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for VIXY and KMLM.
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Drawdown Indicators
| VIXY | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -27.47% | -72.53% |
Max Drawdown (1Y)Largest decline over 1 year | -55.18% | -9.61% | -45.57% |
Max Drawdown (3Y)Largest decline over 3 years | -81.45% | -22.28% | -59.17% |
Max Drawdown (5Y)Largest decline over 5 years | -96.09% | -27.47% | -68.62% |
Max Drawdown (10Y)Largest decline over 10 years | -99.83% | — | — |
Current DrawdownCurrent decline from peak | -100.00% | -12.11% | -87.89% |
Average DrawdownAverage peak-to-trough decline | -92.22% | -12.79% | -79.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.75% | 3.07% | +31.68% |
Volatility
VIXY vs. KMLM - Volatility Comparison
ProShares VIX Short-Term Futures ETF (VIXY) has a higher volatility of 12.30% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.60%. This indicates that VIXY'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.
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Volatility by Period
| VIXY | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.30% | 3.60% | +8.70% |
Volatility (6M)Calculated over the trailing 6-month period | 44.49% | 10.12% | +34.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.84% | 11.52% | +45.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 69.94% | 14.53% | +55.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 71.86% | 14.67% | +57.19% |
VIXY vs. KMLM - Expense Ratio Comparison
VIXY has a 0.85% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
VIXY vs. KMLM - Dividend Comparison
VIXY has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.46%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.46% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
VIXY ProShares VIX Short-Term Futures ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
VIXY and KMLM have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VIXY has higher volatility (12.30%) compared to KMLM (3.60%). In terms of maximum drawdown, VIXY dropped -100.00% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 6.06% vs -46.62% for VIXY. On fees, VIXY is cheaper at 0.85% per year. On volatility, KMLM has been the lower-risk option at 3.60%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 6.06% return vs -46.62%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VIXY is cheaper with a 0.85% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.46%, compared with 0.00% for VIXY.
VIXY is categorized as Volatility, while KMLM is Systematic Trend. VIXY tracks S&P 500 VIX Short-Term Futures Index, while KMLM tracks KFA MLM Index. They also come from different issuers: ProShares and KraneShares. Their fees differ too: 0.85% for VIXY and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.31 vs -0.91), 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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