KLIP vs. KMLM

Last updated Apr 1, 2026

Compare and contrast key facts about KraneShares China Internet and Covered Call Strategy ETF (KLIP) and KFA Mount Lucas Index Strategy ETF (KMLM).

KLIP and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KLIP is managed by CICC. It was launched on Jan 12, 2023. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.

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.

KLIP vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
KLIP KraneShares China Internet and Covered Call Strategy ETF	-8.98%	16.92%	3.37%	10.67%
KMLM KFA Mount Lucas Index Strategy ETF	8.67%	-2.98%	-1.69%	-1.13%

Returns By Period

In the year-to-date period, KLIP achieves a -8.98% return, which is significantly lower than KMLM's 8.67% return.

KLIP

• 1D: 2.10%
• 1M: -5.77%
• YTD: -8.98%
• 6M: -12.63%
• 1Y: -1.25%
• 3Y*: 7.62%
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.28%
• 1M: 4.21%
• YTD: 8.67%
• 6M: 10.01%
• 1Y: 8.60%
• 3Y*: 0.44%
• 5Y*: 5.63%
• 10Y*: —

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

KLIP vs. KMLM - Expense Ratio Comparison

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

KLIP

KraneShares China Internet and Covered Call Strategy ETF

KMLM

KFA Mount Lucas Index Strategy ETF

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: 11
KLIP Sharpe Ratio Rank: 11
KLIP Sortino Ratio Rank: 10
KLIP Omega Ratio Rank: 11
KLIP Calmar Ratio Rank: 11
KLIP Martin Ratio Rank: 10

KMLM

KMLM Risk / Return Rank: 46
KMLM Sharpe Ratio Rank: 52
KMLM Sortino Ratio Rank: 50
KMLM Omega Ratio Rank: 44
KMLM Calmar Ratio Rank: 48
KMLM Martin Ratio Rank: 38

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.

	KLIP	KMLM	Difference
Sharpe ratio Return per unit of total volatility	-0.06	0.88	-0.94
Sortino ratio Return per unit of downside risk	0.05	1.27	-1.22
Omega ratio Gain probability vs. loss probability	1.01	1.16	-0.15
Calmar ratio Return relative to maximum drawdown	-0.08	1.13	-1.21
Martin ratio Return relative to average drawdown	-0.26	3.31	-3.57
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KLIP vs. KMLM - Sharpe Ratio Comparison

The current KLIP Sharpe Ratio is -0.06, which is lower than the KMLM Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of KLIP 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

	KLIP	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.06	0.88	-0.94
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.39	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.49	-0.14

Correlation

The correlation between KLIP and KMLM is -0.01. 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

KLIP vs. KMLM - Dividend Comparison

KLIP's dividend yield for the trailing twelve months is around 28.24%, more than KMLM's 4.62% yield.

	TTM	2025	2024	2023	2022	2021
KLIP KraneShares China Internet and Covered Call Strategy ETF	28.24%	25.14%	54.26%	61.22%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%

Drawdowns

KLIP vs. KMLM - Drawdown Comparison

The maximum KLIP drawdown since its inception was -18.61%, 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	-18.61%	-27.47%	+8.86%
Max Drawdown (1Y) Largest decline over 1 year	-17.23%	-6.73%	-10.50%
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-14.21%	-15.27%	+1.06%
Average Drawdown Average peak-to-trough decline	-3.34%	-12.73%	+9.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.18%	2.41%	+2.77%

Volatility

KLIP vs. KMLM - Volatility Comparison

KraneShares China Internet and Covered Call Strategy ETF (KLIP) has a higher volatility of 7.16% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.05%. 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	7.16%	4.05%	+3.11%
Volatility (6M) Calculated over the trailing 6-month period	13.48%	7.22%	+6.26%
Volatility (1Y) Calculated over the trailing 1-year period	19.76%	9.84%	+9.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.19%	14.57%	+3.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.19%	14.67%	+3.52%