IDMO vs. KMLM
IDMO (Invesco S&P International Developed Momentum ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - IDMO is a Momentum fund tracking the S&P Momentum Developed ex U.S. & South Korea LargeMidCap Index, while KMLM is a Long-Short fund actively managed by CICC. IDMO is passively managed, while KMLM is actively managed. Over the past 5 years, IDMO returned 15.15%/yr vs 4.40%/yr for KMLM. At a correlation of -0.09, they often move in opposite directions. IDMO charges 0.25%/yr vs 0.90%/yr for KMLM.
Performance
IDMO vs. KMLM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, IDMO achieves a 5.33% return, which is significantly lower than KMLM's 9.83% return.
IDMO
- 1D
- 0.67%
- 1M
- -3.78%
- YTD
- 5.33%
- 6M
- 8.93%
- 1Y
- 19.27%
- 3Y*
- 24.47%
- 5Y*
- 15.15%
- 10Y*
- 12.02%
KMLM
- 1D
- 0.42%
- 1M
- -2.33%
- YTD
- 9.83%
- 6M
- 12.35%
- 1Y
- 12.99%
- 3Y*
- -0.87%
- 5Y*
- 4.40%
- 10Y*
- —
IDMO vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 5.33% | 42.17% | 12.79% | 20.16% | -12.03% | 14.31% | 4.32% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.83% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between IDMO and KMLM is 0.03, 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 | 0.03 |
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 3, 2020 | -0.09 |
The correlation between IDMO and KMLM shifts across timeframes, from -0.10 (5 years) to 0.03 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
IDMO vs. KMLM — Risk / Return Rank
IDMO
KMLM
IDMO vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) 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.
| IDMO | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.08 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.21 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 1.57 | 2.07 | -0.50 |
| Martin ratioReturn relative to average drawdown | 6.49 | 6.61 | -0.12 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| IDMO | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.12 | 1.14 | -0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.85 | 0.30 | +0.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.48 | -0.04 |
Drawdowns
IDMO vs. KMLM - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.38%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for IDMO and KMLM.
Loading charts...
Drawdown Indicators
| IDMO | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.38% | -27.47% | -11.91% |
Max Drawdown (1Y)Largest decline over 1 year | -12.31% | -6.30% | -6.01% |
Max Drawdown (3Y)Largest decline over 3 years | -12.65% | -22.28% | +9.63% |
Max Drawdown (5Y)Largest decline over 5 years | -27.07% | -27.47% | +0.40% |
Max Drawdown (10Y)Largest decline over 10 years | -31.34% | — | — |
Current DrawdownCurrent decline from peak | -4.49% | -14.36% | +9.87% |
Average DrawdownAverage peak-to-trough decline | -9.75% | -12.74% | +2.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 1.97% | +1.02% |
Volatility
IDMO vs. KMLM - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 6.18% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.27%. This indicates that IDMO'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.
Loading charts...
Volatility by Period
| IDMO | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.18% | 4.27% | +1.91% |
Volatility (6M)Calculated over the trailing 6-month period | 15.28% | 9.68% | +5.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.25% | 11.46% | +5.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.90% | 14.62% | +3.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.14% | 14.72% | +3.42% |
IDMO vs. KMLM - Expense Ratio Comparison
IDMO has a 0.25% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
IDMO vs. KMLM - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 3.61%, less than KMLM's 4.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 3.61% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.57% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
IDMO and KMLM have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDMO has higher volatility (6.18%) compared to KMLM (4.27%). In terms of maximum drawdown, IDMO dropped -39.38% vs KMLM's -27.47%.
On 5-year performance, IDMO leads with 15.15% vs 4.40% for KMLM. On fees, IDMO is cheaper at 0.25% per year. On volatility, KMLM has been the lower-risk option at 4.27%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IDMO has performed better with a 15.15% return vs 4.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IDMO is cheaper with a 0.25% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.57%, compared with 3.61% for IDMO.
IDMO is categorized as Momentum, while KMLM is Long-Short. They also come from different issuers: Invesco and CICC. Their fees differ too: 0.25% for IDMO and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.14 vs 1.12), 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.
Find the right allocation for IDMO and KMLM
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer