KLIP vs. KMLM

Last updated Jun 24, 2026

KLIP (KraneShares China Internet and Covered Call Strategy ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KLIP is a Options Trading fund managed by CICC, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Over the past 3 years, KLIP returned 5.41%/yr vs -0.70%/yr for KMLM. At a correlation of -0.03, they often move in opposite directions. KLIP charges 0.95%/yr vs 0.90%/yr for KMLM.

Performance

KLIP vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KraneShares China Internet and Covered Call Strategy ETF (KLIP) 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, KLIP achieves a -14.26% return, which is significantly lower than KMLM's 6.97% return.

KLIP

• 1D: -1.86%
• 1M: -5.74%
• YTD: -14.26%
• 6M: -15.76%
• 1Y: -8.35%
• 3Y*: 5.41%
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.79%
• 1M: -4.98%
• YTD: 6.97%
• 6M: 6.95%
• 1Y: 12.95%
• 3Y*: -0.70%
• 5Y*: 4.34%
• 10Y*: —

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

KLIP vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
KLIP KraneShares China Internet and Covered Call Strategy ETF	-14.26%	16.92%	3.37%	11.11%
KMLM KFA Mount Lucas Index Strategy ETF	6.97%	-2.98%	-1.69%	-2.60%

Correlation

The correlation between KLIP and KMLM is 0.05, 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	0.05
Correlation (3Y) Calculated over the trailing 3-year period	-0.03
Correlation (All Time) Calculated using the full available price history since Jan 12, 2023	-0.03

Return for Risk

KLIP vs. KMLM — Risk / Return Rank

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

KLIP

KLIP Risk / Return Rank: 4
KLIP Sharpe Ratio Rank: 5
KLIP Sortino Ratio Rank: 5
KLIP Omega Ratio Rank: 4
KLIP Calmar Ratio Rank: 5
KLIP Martin Ratio Rank: 4

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 33
KMLM Martin Ratio Rank: 37

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.

KLIP vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares China Internet and Covered Call Strategy ETF (KLIP) 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.

	KLIP	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	-0.52	1.16	-1.67
Sortino ratio: Return per unit of downside risk	-0.62	1.61	-2.23
Omega ratio: Gain probability vs. loss probability	0.92	1.21	-0.29
Calmar ratio: Return relative to maximum drawdown	-0.44	1.62	-2.06
Martin ratio: Return relative to average drawdown	-1.10	5.47	-6.57

KLIP vs. KMLM - Sharpe Ratio Comparison

The current KLIP Sharpe Ratio is -0.52, which is lower than the KMLM Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of KLIP 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

KLIP vs. KMLM - Drawdown Comparison

The maximum KLIP drawdown since its inception was -19.18%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KLIP and KMLM.

Drawdown Indicators

	KLIP	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-19.18%	-27.47%	+8.29%
Max Drawdown (1Y) Largest decline over 1 year	-19.18%	-8.04%	-11.14%
Max Drawdown (3Y) Largest decline over 3 years	-19.18%	-22.28%	+3.10%
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-19.18%	-16.59%	-2.59%
Average Drawdown Average peak-to-trough decline	-3.96%	-12.76%	+8.80%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.58%	2.37%	+5.21%

Volatility

KLIP vs. KMLM - Volatility Comparison

KraneShares China Internet and Covered Call Strategy ETF (KLIP) has a higher volatility of 5.89% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. This indicates that KLIP'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.

Volatility by Period

	KLIP	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.89%	2.95%	+2.94%
Volatility (6M) Calculated over the trailing 6-month period	13.18%	9.82%	+3.36%
Volatility (1Y) Calculated over the trailing 1-year period	16.19%	11.39%	+4.80%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.12%	14.57%	+3.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.12%	14.69%	+3.43%

KLIP vs. KMLM - Expense Ratio Comparison

KLIP has a 0.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

KLIP vs. KMLM - Dividend Comparison

KLIP's dividend yield for the trailing twelve months is around 30.25%, more than KMLM's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021
KLIP KraneShares China Internet and Covered Call Strategy ETF	30.25%	25.14%	54.26%	61.22%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KLIP and KMLM in my portfolio?

KLIP and KMLM have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KLIP or KMLM?

KLIP has higher volatility (5.89%) compared to KMLM (2.95%). In terms of maximum drawdown, KLIP dropped -19.18% vs KMLM's -27.47%.

Which ETF is better, KLIP or KMLM?

On 3-year performance, KLIP leads with 5.41% vs -0.70% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 2.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KLIP or KMLM?

Over the 3-year period, KLIP has performed better with a 5.41% return vs -0.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KLIP or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 0.95% for KLIP.

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

KLIP has the higher dividend yield at 30.25%, compared with 4.70% for KMLM.

What is the main difference between KLIP and KMLM?

KLIP is categorized as Options Trading, while KMLM is Systematic Trend. They also come from different issuers: CICC and KraneShares. Their fees differ too: 0.95% for KLIP and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.16 vs -0.52), 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.