SPMO vs. KMLM
SPMO (Invesco S&P 500 Momentum ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - SPMO is a Momentum fund tracking the S&P 500 Momentum Index, while KMLM is a Long-Short fund actively managed by CICC. SPMO is passively managed, while KMLM is actively managed. Over the past 5 years, SPMO returned 23.06%/yr vs 4.40%/yr for KMLM. At a correlation of -0.07, they often move in opposite directions. SPMO charges 0.13%/yr vs 0.90%/yr for KMLM.
Performance
SPMO vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, SPMO achieves a 24.29% return, which is significantly higher than KMLM's 9.83% return.
SPMO
- 1D
- 2.50%
- 1M
- 2.83%
- YTD
- 24.29%
- 6M
- 22.86%
- 1Y
- 39.53%
- 3Y*
- 40.28%
- 5Y*
- 23.06%
- 10Y*
- 20.38%
KMLM
- 1D
- 0.42%
- 1M
- -2.33%
- YTD
- 9.83%
- 6M
- 12.35%
- 1Y
- 12.99%
- 3Y*
- -0.87%
- 5Y*
- 4.40%
- 10Y*
- —
SPMO vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SPMO Invesco S&P 500 Momentum ETF | 24.29% | 26.58% | 45.82% | 17.56% | -10.45% | 22.64% | 2.44% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.83% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between SPMO and KMLM is 0.01, 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 | 0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.06 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.07 |
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Return for Risk
SPMO vs. KMLM — Risk / Return Rank
SPMO
KMLM
SPMO vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Momentum ETF (SPMO) 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.
| SPMO | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.99 | ||
| Sortino ratioReturn per unit of downside risk | +1.21 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.21 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 3.13 | 2.07 | +1.06 |
| Martin ratioReturn relative to average drawdown | 12.02 | 6.61 | +5.40 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SPMO | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.13 | 1.14 | +0.99 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.19 | 0.30 | +0.89 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.00 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.98 | 0.48 | +0.50 |
Drawdowns
SPMO vs. KMLM - Drawdown Comparison
The maximum SPMO drawdown since its inception was -30.95%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for SPMO and KMLM.
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Drawdown Indicators
| SPMO | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.95% | -27.47% | -3.48% |
Max Drawdown (1Y)Largest decline over 1 year | -12.70% | -6.30% | -6.40% |
Max Drawdown (3Y)Largest decline over 3 years | -20.13% | -22.28% | +2.15% |
Max Drawdown (5Y)Largest decline over 5 years | -22.74% | -27.47% | +4.73% |
Max Drawdown (10Y)Largest decline over 10 years | -30.95% | — | — |
Current DrawdownCurrent decline from peak | -4.65% | -14.36% | +9.71% |
Average DrawdownAverage peak-to-trough decline | -4.60% | -12.74% | +8.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.30% | 1.97% | +1.33% |
Volatility
SPMO vs. KMLM - Volatility Comparison
Invesco S&P 500 Momentum ETF (SPMO) has a higher volatility of 9.44% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.27%. This indicates that SPMO'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.
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Volatility by Period
| SPMO | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.44% | 4.27% | +5.17% |
Volatility (6M)Calculated over the trailing 6-month period | 15.82% | 9.68% | +6.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.72% | 11.46% | +7.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.50% | 14.62% | +4.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.41% | 14.72% | +5.69% |
SPMO vs. KMLM - Expense Ratio Comparison
SPMO has a 0.13% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
SPMO vs. KMLM - Dividend Comparison
SPMO's dividend yield for the trailing twelve months is around 0.69%, less than KMLM's 4.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.57% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPMO Invesco S&P 500 Momentum ETF | 0.69% | 0.73% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% |
Frequently Asked Questions
SPMO and KMLM have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPMO has higher volatility (9.44%) compared to KMLM (4.27%). In terms of maximum drawdown, SPMO dropped -30.95% vs KMLM's -27.47%.
On 5-year performance, SPMO leads with 23.06% vs 4.40% for KMLM. On fees, SPMO is cheaper at 0.13% per year. On volatility, KMLM has been the lower-risk option at 4.27%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SPMO has performed better with a 23.06% return vs 4.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPMO is cheaper with a 0.13% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.57%, compared with 0.69% for SPMO.
SPMO is categorized as Momentum, while KMLM is Long-Short. They also come from different issuers: Invesco and CICC. Their fees differ too: 0.13% for SPMO and 0.90% for KMLM.
SPMO currently has the higher Sharpe Ratio (2.13 vs 1.14), 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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