Data as of Nov 4, 2026.
AHLT vs KMLM: Correlation to the S&P 500
Over the year to Nov 4, 2026, KMLM moved less with the S&P 500 than AHLT: correlation −0.12 against +0.47.
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Net assets: $131m on Jul 31, 2026 for AHL Trend ETF, and $586m on Nov 4, 2026 for KraneShares Mount Lucas Managed Futures Index Strategy ETF.
AHLT in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, AHLT −0.88%.
KMLM in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, KMLM +0.18%.
Pair scorecard
KMLM costs 0.06 points a year less; their one-year returns differ by 2.8 points.
| Measure | AHLT | KMLM |
|---|---|---|
| Return | ||
| Total return, 1 year | +19.3% | +16.5% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.96% | 0.90% |
| Net assets, AHLT as of Jul 31, 2026 and KMLM as of Nov 4, 2026 | $131m | $586m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +0.58: about 0.58% for each 1% | −0.12: about 0.12% for each 1% |
| Its average week when the S&P 500 fell | fell 0.88% | rose 0.18% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
Sep 8, 2023 to Oct 30, 2026 · 164 weekly returnsFrom Sep 2023 to Oct 2026, AHLT returned more: +23.1% to +1.1%. KMLM swung less: 11.3% to 15.3%. AHLT fell less at its worst: −18.6% to −22.1%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | AHLT | KMLM | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +23.1% | +1.1% | AHLT | Price change plus distributions, reinvested. |
| Annualized | +6.8% | +0.3% | AHLT | Total return as a yearly rate. |
| Price return | +16.7% | −4.5% | AHLT | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 15.3% | 11.3% | KMLM | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 11.6% | 8.8% | KMLM | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −18.6% | −22.1% | AHLT | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.21 | −0.31 | AHLT | Return above Treasury bills per unit of volatility. |
| Sortino | 0.28 | −0.40 | AHLT | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.37 | 0.02 | AHLT | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 164 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | AHLT | KMLM |
| 3 months | +2.3% | +3.0% |
| 6 months | +0.3% | +0.6% |
| 1 year | +19.3% | +16.5% |
| 3 years | +22.1% | −0.7% |
| Since launchNot the same days: AHLT Aug 2023 · KMLM Dec 2020 | +22.2% | +49.0% |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
AHLT and KMLM both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, AHLT’s weekly returns had a correlation of +0.47 with the S&P 500 and KMLM’s −0.12. In the 26 weeks the index fell, by 1.07% a week on average, AHLT averaged −0.88% and KMLM +0.18%. Over the same weeks, AHLT finished 14.7 percentage points ahead of cash and KMLM finished 12.9 points ahead of cash.
Client brief:
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AHLT
AHLT is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.47 with the S&P 500’s and a beta of +0.58, so for each 1% the index moved it moved about 0.58% the same way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks AHLT fell 0.88% on average, a down-week capture of 81.7%. Over the same 52 weeks AHLT returned +18.3% and a Treasury bill fund +3.7%, so it finished 14.7 percentage points ahead of cash.
KMLM
KMLM is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of −0.12 with the S&P 500’s and a beta of −0.12, so for each 1% the index moved it moved about 0.12% the other way. In the same weeks KMLM rose 0.18% on average, a down-week capture of −16.3%. Over the same 52 weeks KMLM returned +16.6% and a Treasury bill fund +3.7%, so it finished 12.9 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, AHLT or KMLM?
- Over the 52 weeks to Nov 4, 2026, AHLT’s weekly returns had a correlation of +0.47 with the S&P 500 and KMLM’s −0.12, so KMLM moved less with the index.
- Which did better when the S&P 500 fell, AHLT or KMLM?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, AHLT averaged −0.88% and KMLM +0.18%, so KMLM returned more in those weeks.
Links are sources, not endorsements. A comparison is not a recommendation.
How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
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ETFIQ, AHLT against KMLM, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/ahlt-vs-kmlm
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