IVOL vs. KMLM

Last updated Apr 2, 2026

Compare and contrast key facts about Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and KFA Mount Lucas Index Strategy ETF (KMLM).

IVOL and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IVOL is an actively managed fund by CICC. It was launched on May 13, 2019. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.

Performance

IVOL vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

IVOL vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF	-2.15%	11.97%	-11.07%	-5.18%	-12.69%	-0.31%	1.35%
KMLM KFA Mount Lucas Index Strategy ETF	7.86%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Returns By Period

In the year-to-date period, IVOL achieves a -2.15% return, which is significantly lower than KMLM's 7.86% return.

IVOL

• 1D: -0.69%
• 1M: -1.66%
• YTD: -2.15%
• 6M: -2.53%
• 1Y: 3.23%
• 3Y*: -3.05%
• 5Y*: -4.75%
• 10Y*: —

KMLM

• 1D: -0.74%
• 1M: 2.72%
• YTD: 7.86%
• 6M: 9.64%
• 1Y: 8.23%
• 3Y*: 0.19%
• 5Y*: 5.47%
• 10Y*: —

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

IVOL vs. KMLM - Expense Ratio Comparison

IVOL has a 0.99% expense ratio, which is higher than KMLM's 0.90% expense ratio.

IVOL

Quadratic Interest Rate Volatility & Inflation Hedge ETF

KMLM

KFA Mount Lucas Index Strategy ETF

Return for Risk

IVOL vs. KMLM — Risk / Return Rank

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

IVOL

IVOL Risk / Return Rank: 19
IVOL Sharpe Ratio Rank: 20
IVOL Sortino Ratio Rank: 19
IVOL Omega Ratio Rank: 19
IVOL Calmar Ratio Rank: 22
IVOL Martin Ratio Rank: 18

KMLM

KMLM Risk / Return Rank: 40
KMLM Sharpe Ratio Rank: 43
KMLM Sortino Ratio Rank: 41
KMLM Omega Ratio Rank: 37
KMLM Calmar Ratio Rank: 43
KMLM Martin Ratio Rank: 36

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.

IVOL vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) 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.

	IVOL	KMLM	Difference
Sharpe ratio Return per unit of total volatility	0.31	0.84	-0.53
Sortino ratio Return per unit of downside risk	0.55	1.22	-0.66
Omega ratio Gain probability vs. loss probability	1.07	1.15	-0.08
Calmar ratio Return relative to maximum drawdown	0.46	1.16	-0.69
Martin ratio Return relative to average drawdown	0.88	3.43	-2.55
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IVOL vs. KMLM - Sharpe Ratio Comparison

The current IVOL Sharpe Ratio is 0.31, which is lower than the KMLM Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of IVOL and KMLM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	IVOL	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.31	0.84	-0.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.37	0.38	-0.75
Sharpe Ratio (All Time) Calculated using the full available price history	-0.06	0.48	-0.54

Correlation

The correlation between IVOL and KMLM is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Dividends

IVOL vs. KMLM - Dividend Comparison

IVOL's dividend yield for the trailing twelve months is around 3.75%, less than KMLM's 4.66% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF	3.75%	3.61%	3.83%	3.73%	3.92%	3.93%	3.44%	2.02%
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%

Drawdowns

IVOL vs. KMLM - Drawdown Comparison

The maximum IVOL drawdown since its inception was -31.16%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for IVOL and KMLM.

Drawdown Indicators

	IVOL	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-31.16%	-27.47%	-3.69%
Max Drawdown (1Y) Largest decline over 1 year	-6.72%	-6.73%	+0.01%
Max Drawdown (5Y) Largest decline over 5 years	-31.16%	-27.47%	-3.69%
Current Drawdown Current decline from peak	-23.04%	-15.90%	-7.14%
Average Drawdown Average peak-to-trough decline	-13.03%	-12.73%	-0.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.52%	2.27%	+1.25%

Volatility

IVOL vs. KMLM - Volatility Comparison

The current volatility for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) is 2.43%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.03%. This indicates that IVOL 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

	IVOL	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.43%	4.03%	-1.60%
Volatility (6M) Calculated over the trailing 6-month period	4.46%	7.26%	-2.80%
Volatility (1Y) Calculated over the trailing 1-year period	10.43%	9.85%	+0.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.82%	14.58%	-1.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.11%	14.67%	-2.56%