KMLM vs. SVOL
KMLM (KFA Mount Lucas Index Strategy ETF) and SVOL (Simplify Volatility Premium ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while SVOL is a Volatility fund actively managed by Simplify. KMLM is passively managed, while SVOL is actively managed. Over the past 5 years, KMLM returned 4.11%/yr vs 6.22%/yr for SVOL. At a correlation of -0.08, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.50%/yr for SVOL.
Performance
KMLM vs. SVOL - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 8.32% return, which is significantly higher than SVOL's -0.84% return.
KMLM
- 1D
- -0.53%
- 1M
- -5.80%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
SVOL
- 1D
- 1.14%
- 1M
- 1.70%
- YTD
- -0.84%
- 6M
- 0.96%
- 1Y
- 14.90%
- 3Y*
- 5.92%
- 5Y*
- 6.22%
- 10Y*
- —
KMLM vs. SVOL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 8.32% | -2.98% | -1.69% | -5.66% | 30.61% | -6.94% |
SVOL Simplify Volatility Premium ETF | -0.84% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
Correlation
The correlation between KMLM and SVOL is 0.10, 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 | 0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since May 13, 2021 | -0.08 |
The correlation between KMLM and SVOL shifts across timeframes, from -0.08 (5 years) to 0.10 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
KMLM vs. SVOL — Risk / Return Rank
KMLM
SVOL
KMLM vs. SVOL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Simplify Volatility Premium ETF (SVOL). 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.
| KMLM | SVOL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.56 | ||
| Sortino ratioReturn per unit of downside risk | +0.66 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.11 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.78 | 0.80 | +0.99 |
| Martin ratioReturn relative to average drawdown | 5.86 | 1.90 | +3.96 |
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Drawdowns
KMLM vs. SVOL - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum SVOL drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for KMLM and SVOL.
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Drawdown Indicators
| KMLM | SVOL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -33.50% | +6.03% |
Max Drawdown (1Y)Largest decline over 1 year | -6.83% | -13.01% | +6.18% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -33.50% | +11.22% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -33.50% | +6.03% |
Current DrawdownCurrent decline from peak | -15.54% | -3.40% | -12.14% |
Average DrawdownAverage peak-to-trough decline | -12.74% | -4.76% | -7.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 5.50% | -3.40% |
Volatility
KMLM vs. SVOL - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) and Simplify Volatility Premium ETF (SVOL) have volatilities of 3.35% and 3.48%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | SVOL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.35% | 3.48% | -0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 9.77% | 9.95% | -0.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.50% | 20.81% | -9.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.62% | 22.01% | -7.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.71% | 21.90% | -7.19% |
KMLM vs. SVOL - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Dividends
KMLM vs. SVOL - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.64%, less than SVOL's 22.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.64% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
SVOL Simplify Volatility Premium ETF | 22.19% | 19.82% | 16.79% | 16.36% | 18.32% | 4.65% |
Frequently Asked Questions
KMLM and SVOL have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SVOL has higher volatility (3.48%) compared to KMLM (3.35%). In terms of maximum drawdown, KMLM dropped -27.47% vs SVOL's -33.50%.
On 5-year performance, SVOL leads with 6.22% vs 4.11% for KMLM. On fees, SVOL is cheaper at 0.50% 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 5-year period, SVOL has performed better with a 6.22% return vs 4.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SVOL is cheaper with a 0.50% expense ratio, compared with 0.90% for KMLM.
SVOL has the higher dividend yield at 22.19%, compared with 4.64% for KMLM.
KMLM is categorized as Systematic Trend, while SVOL is Volatility. They also come from different issuers: KraneShares and Simplify. Their fees differ too: 0.90% for KMLM and 0.50% for SVOL.
KMLM currently has the higher Sharpe Ratio (1.06 vs 0.50), 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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