IDVO vs. KMLM
IDVO (Amplify CWP International Enhanced Dividend Income ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - IDVO is a Derivative Income fund actively managed by Amplify, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. IDVO is actively managed, while KMLM is passively managed. Over the past 3 years, IDVO returned 22.78%/yr vs -1.51%/yr for KMLM. At a correlation of -0.08, they often move in opposite directions. IDVO charges 0.65%/yr vs 0.90%/yr for KMLM.
Performance
IDVO vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, IDVO achieves a 14.60% return, which is significantly higher than KMLM's 8.32% return.
IDVO
- 1D
- 0.52%
- 1M
- -0.06%
- YTD
- 14.60%
- 6M
- 15.00%
- 1Y
- 34.09%
- 3Y*
- 22.78%
- 5Y*
- —
- 10Y*
- —
KMLM
- 1D
- -0.53%
- 1M
- -5.92%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 12.12%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
IDVO vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
IDVO Amplify CWP International Enhanced Dividend Income ETF | 14.60% | 36.46% | 10.16% | 17.53% | 6.42% |
KMLM KFA Mount Lucas Index Strategy ETF | 8.32% | -2.98% | -1.69% | -5.66% | -4.41% |
Correlation
The correlation between IDVO and KMLM is 0.08, 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 | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since Sep 8, 2022 | -0.08 |
The correlation between IDVO and KMLM shifts across timeframes, from -0.08 (all time) to 0.08 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
IDVO vs. KMLM — Risk / Return Rank
IDVO
KMLM
IDVO vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Amplify CWP International Enhanced Dividend Income ETF (IDVO) 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.
| IDVO | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.03 | ||
| Sortino ratioReturn per unit of downside risk | +1.32 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.19 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 3.30 | 1.78 | +1.52 |
| Martin ratioReturn relative to average drawdown | 12.60 | 5.86 | +6.74 |
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Drawdowns
IDVO vs. KMLM - Drawdown Comparison
The maximum IDVO drawdown since its inception was -15.46%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for IDVO and KMLM.
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Drawdown Indicators
| IDVO | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.46% | -27.47% | +12.01% |
Max Drawdown (1Y)Largest decline over 1 year | -10.37% | -6.83% | -3.54% |
Max Drawdown (3Y)Largest decline over 3 years | -15.46% | -22.28% | +6.82% |
Max Drawdown (5Y)Largest decline over 5 years | — | -27.47% | — |
Current DrawdownCurrent decline from peak | -0.84% | -15.54% | +14.70% |
Average DrawdownAverage peak-to-trough decline | -2.30% | -12.74% | +10.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.71% | 2.10% | +0.61% |
Volatility
IDVO vs. KMLM - Volatility Comparison
Amplify CWP International Enhanced Dividend Income ETF (IDVO) has a higher volatility of 6.41% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that IDVO'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
| IDVO | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.41% | 3.35% | +3.06% |
Volatility (6M)Calculated over the trailing 6-month period | 13.94% | 9.77% | +4.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.40% | 11.50% | +4.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.50% | 14.62% | +1.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.50% | 14.71% | +1.79% |
IDVO vs. KMLM - Expense Ratio Comparison
IDVO has a 0.65% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
IDVO vs. KMLM - Dividend Comparison
IDVO's dividend yield for the trailing twelve months is around 5.46%, more than KMLM's 4.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
IDVO Amplify CWP International Enhanced Dividend Income ETF | 5.46% | 5.42% | 6.14% | 5.72% | 1.96% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.64% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
Frequently Asked Questions
IDVO and KMLM have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDVO has higher volatility (6.41%) compared to KMLM (3.35%). In terms of maximum drawdown, IDVO dropped -15.46% vs KMLM's -27.47%.
On 3-year performance, IDVO leads with 22.78% vs -1.51% for KMLM. On fees, IDVO is cheaper at 0.65% per year. 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.
Over the 3-year period, IDVO has performed better with a 22.78% return vs -1.51%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IDVO is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.
IDVO has the higher dividend yield at 5.46%, compared with 4.64% for KMLM.
IDVO is categorized as Derivative Income, while KMLM is Systematic Trend. They also come from different issuers: Amplify and KraneShares. Their fees differ too: 0.65% for IDVO and 0.90% for KMLM.
IDVO currently has the higher Sharpe Ratio (2.09 vs 1.06), 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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