EVNT vs. KMLM

Last updated Jun 6, 2026

EVNT (AltShares Event-Driven ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - EVNT is a Event Driven fund actively managed by AltShares, while KMLM is a Long-Short fund actively managed by CICC. Both are actively managed. Over the past 3 years, EVNT returned 9.96%/yr vs -0.86%/yr for KMLM. At a correlation of -0.14, they often move in opposite directions. EVNT charges 1.30%/yr vs 0.90%/yr for KMLM.

Performance

EVNT vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AltShares Event-Driven ETF (EVNT) 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, EVNT achieves a 3.29% return, which is significantly lower than KMLM's 9.36% return.

EVNT

• 1D: 0.04%
• 1M: -0.22%
• YTD: 3.29%
• 6M: 3.36%
• 1Y: 11.44%
• 3Y*: 9.96%
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.35%
• 1M: -2.27%
• YTD: 9.36%
• 6M: 12.51%
• 1Y: 11.88%
• 3Y*: -0.86%
• 5Y*: 4.06%
• 10Y*: —

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

EVNT vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
EVNT AltShares Event-Driven ETF	3.29%	13.72%	5.13%	13.28%	-8.62%	-3.22%
KMLM KFA Mount Lucas Index Strategy ETF	9.36%	-2.98%	-1.69%	-5.66%	30.61%	-0.39%

Correlation

The correlation between EVNT and KMLM is -0.09, 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	-0.09
Correlation (3Y) Calculated over the trailing 3-year period	-0.08
Correlation (All Time) Calculated using the full available price history since Sep 21, 2021	-0.14

Return for Risk

EVNT vs. KMLM — Risk / Return Rank

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

EVNT

EVNT Risk / Return Rank: 56
EVNT Sharpe Ratio Rank: 45
EVNT Sortino Ratio Rank: 48
EVNT Omega Ratio Rank: 54
EVNT Calmar Ratio Rank: 72
EVNT Martin Ratio Rank: 64

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

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.

EVNT vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AltShares Event-Driven ETF (EVNT) 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.

	EVNT	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.50	1.04	+0.46
Sortino ratio: Return per unit of downside risk	2.25	1.47	+0.78
Omega ratio: Gain probability vs. loss probability	1.32	1.19	+0.13
Calmar ratio: Return relative to maximum drawdown	3.43	1.89	+1.54
Martin ratio: Return relative to average drawdown	10.96	6.13	+4.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EVNT vs. KMLM - Sharpe Ratio Comparison

The current EVNT Sharpe Ratio is 1.50, which is higher than the KMLM Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of EVNT 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.

Sharpe Ratios by Period

	EVNT	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.50	1.04	+0.46
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.28	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	0.48	+0.03

Drawdowns

EVNT vs. KMLM - Drawdown Comparison

The maximum EVNT drawdown since its inception was -13.85%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for EVNT and KMLM.

Drawdown Indicators

	EVNT	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-13.85%	-27.47%	+13.62%
Max Drawdown (1Y) Largest decline over 1 year	-3.35%	-6.30%	+2.95%
Max Drawdown (3Y) Largest decline over 3 years	-5.15%	-22.28%	+17.13%
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-0.63%	-14.72%	+14.09%
Average Drawdown Average peak-to-trough decline	-3.79%	-12.74%	+8.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	1.98%	-0.93%

Volatility

EVNT vs. KMLM - Volatility Comparison

The current volatility for AltShares Event-Driven ETF (EVNT) is 1.15%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.27%. This indicates that EVNT experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EVNT	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.15%	4.27%	-3.12%
Volatility (6M) Calculated over the trailing 6-month period	3.66%	9.68%	-6.02%
Volatility (1Y) Calculated over the trailing 1-year period	7.64%	11.46%	-3.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.25%	14.62%	-5.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.25%	14.73%	-5.48%

EVNT vs. KMLM - Expense Ratio Comparison

EVNT has a 1.30% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

EVNT vs. KMLM - Dividend Comparison

EVNT's dividend yield for the trailing twelve months is around 4.63%, which matches KMLM's 4.59% yield.

Position	TTM	2025	2024	2023	2022	2021
EVNT AltShares Event-Driven ETF	4.63%	4.78%	0.66%	0.59%	2.61%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.59%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both EVNT and KMLM in my portfolio?

EVNT and KMLM have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EVNT or KMLM?

KMLM has higher volatility (4.27%) compared to EVNT (1.15%). In terms of maximum drawdown, EVNT dropped -13.85% vs KMLM's -27.47%.

Which ETF is better, EVNT or KMLM?

On 3-year performance, EVNT leads with 9.96% vs -0.86% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, EVNT has been the lower-risk option at 1.15%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EVNT or KMLM?

Over the 3-year period, EVNT has performed better with a 9.96% return vs -0.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EVNT or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 1.30% for EVNT.

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

EVNT has the higher dividend yield at 4.63%, compared with 4.59% for KMLM.

What is the main difference between EVNT and KMLM?

EVNT is categorized as Event Driven, while KMLM is Long-Short. They also come from different issuers: AltShares and CICC. Their fees differ too: 1.30% for EVNT and 0.90% for KMLM.

Which has better risk-adjusted returns?

EVNT currently has the higher Sharpe Ratio (1.50 vs 1.04), 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.