@Artur A. really just depends on your long term goals and your investing style. I would pick the market you can build the best team and portfolio around. I have looked a both markets and just in my personal opinion I would prefer KY.
@Artur A. I'm located in Naples and I 2nd what @John Thedford has mentioned the amount of people that come down here to vacation and make the move has seen a huge jump not only in the last 5 years but more importantly in the past 12 months. Feel free to reach out if you have any questions about the market