IVOL vs. KMLM

Last updated Jun 26, 2026

IVOL (Quadratic Interest Rate Volatility & Inflation Hedge ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - IVOL is a Inflation-Protected Bonds fund actively managed by CICC, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. IVOL is actively managed, while KMLM is passively managed. Over the past 5 years, IVOL returned -5.61%/yr vs 4.22%/yr for KMLM. At a correlation of -0.05, they often move in opposite directions. IVOL charges 0.99%/yr vs 0.90%/yr for KMLM.

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.

Returns By Period

In the year-to-date period, IVOL achieves a -8.02% return, which is significantly lower than KMLM's 6.32% return.

IVOL

• 1D: 0.12%
• 1M: -2.62%
• YTD: -8.02%
• 6M: -7.41%
• 1Y: -7.56%
• 3Y*: -2.73%
• 5Y*: -5.61%
• 10Y*: —

KMLM

• 1D: 0.69%
• 1M: -4.50%
• YTD: 6.32%
• 6M: 6.50%
• 1Y: 11.18%
• 3Y*: -0.73%
• 5Y*: 4.22%
• 10Y*: —

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

IVOL vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF	-8.02%	11.97%	-11.07%	-5.18%	-12.69%	-0.31%	1.98%
KMLM KFA Mount Lucas Index Strategy ETF	6.32%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between IVOL 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	-0.04
Correlation (5Y) Calculated over the trailing 5-year period	-0.07
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.05

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: 2
IVOL Sharpe Ratio Rank: 1
IVOL Sortino Ratio Rank: 2
IVOL Omega Ratio Rank: 2
IVOL Calmar Ratio Rank: 4
IVOL Martin Ratio Rank: 1

KMLM

KMLM Risk / Return Rank: 29
KMLM Sharpe Ratio Rank: 30
KMLM Sortino Ratio Rank: 28
KMLM Omega Ratio Rank: 29
KMLM Calmar Ratio Rank: 27
KMLM Martin Ratio Rank: 34

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.

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.

	IVOL	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	-1.08	0.99	-2.07
Sortino ratio: Return per unit of downside risk	-1.50	1.39	-2.89
Omega ratio: Gain probability vs. loss probability	0.83	1.18	-0.35
Calmar ratio: Return relative to maximum drawdown	-0.63	1.22	-1.85
Martin ratio: Return relative to average drawdown	-1.49	4.48	-5.96

IVOL vs. KMLM - Sharpe Ratio Comparison

The current IVOL Sharpe Ratio is -1.08, which is lower than the KMLM Sharpe Ratio of 0.99. The chart below compares the historical Sharpe Ratios of IVOL 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.

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	-12.08%	-9.18%	-2.90%
Max Drawdown (3Y) Largest decline over 3 years	-14.48%	-22.28%	+7.80%
Max Drawdown (5Y) Largest decline over 5 years	-30.28%	-27.47%	-2.81%
Current Drawdown Current decline from peak	-27.66%	-17.10%	-10.56%
Average Drawdown Average peak-to-trough decline	-13.41%	-12.76%	-0.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.10%	2.50%	+2.60%

Volatility

IVOL vs. KMLM - Volatility Comparison

The current volatility for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) is 2.56%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.15%. 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	2.56%	3.15%	-0.59%
Volatility (6M) Calculated over the trailing 6-month period	4.98%	9.89%	-4.91%
Volatility (1Y) Calculated over the trailing 1-year period	7.02%	11.34%	-4.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.84%	14.58%	-1.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.97%	14.69%	-2.72%

IVOL vs. KMLM - Expense Ratio Comparison

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

Dividends

IVOL vs. KMLM - Dividend Comparison

IVOL's dividend yield for the trailing twelve months is around 3.97%, less than KMLM's 4.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF	3.97%	3.61%	3.83%	3.73%	3.92%	3.93%	3.44%	2.02%
KMLM KFA Mount Lucas Index Strategy ETF	4.72%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%

Frequently Asked Questions

Can I hold both IVOL and KMLM in my portfolio?

IVOL 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.

Which is riskier, IVOL or KMLM?

KMLM has higher volatility (3.15%) compared to IVOL (2.56%). In terms of maximum drawdown, IVOL dropped -31.16% vs KMLM's -27.47%.

Which ETF is better, IVOL or KMLM?

On 5-year performance, KMLM leads with 4.22% vs -5.61% for IVOL. On fees, KMLM is cheaper at 0.90% per year. On volatility, IVOL has been the lower-risk option at 2.56%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IVOL or KMLM?

Over the 5-year period, KMLM has performed better with a 4.22% return vs -5.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IVOL or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 0.99% for IVOL.

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

KMLM has the higher dividend yield at 4.72%, compared with 3.97% for IVOL.

What is the main difference between IVOL and KMLM?

IVOL is categorized as Inflation-Protected Bonds, while KMLM is Systematic Trend. They also come from different issuers: CICC and KraneShares. Their fees differ too: 0.99% for IVOL and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (0.99 vs -1.08), 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.