KMLM is benchmarked to the KFA MLM Index, which consists of a portfolio of twenty-two liquid futures contracts traded on U.S. and foreign exchanges. The Index includes futures contracts on 11 commodities, 6 currencies, and 5 global bond markets. These three baskets are weighted by their relative historical volatility, and within each basket, the constituent markets are equal dollar weighted.
Mount Lucas Management, the sub-advisor of KMLM, is a Newtown, PA based asset manager founded in 1986. Since its founding, Mount Lucas has provided innovative alternative investment strategies to institutional and high-net-worth investors that enhance and diversify traditional investments. Mount Lucas’ investment professionals have extensive experience in the development and use of systematic investment strategies that access alternative risk premia as well as a long history of discretionary macro trading and risk taking.
*Formerly the KFA Mount Lucas Index Strategy ETF
1. Buying and selling shares of the KFA Funds may result in brokerage commissions.
2. Diversification does not ensure a profit or guarantee against a loss.
3. Data from Mount Lucas Management.
The Growth of $10,000 chart reflects an initial investment of $10,000 on the day prior to the selected time period and assumes reinvestment of dividends and capital gains. For the growth of $10,000 chart since inception, the initial investment of $10,000 is instead made on the inception date of the Fund. Fund expenses, including management fees and other expenses were deducted. The growth of a $10,000 investment in the fund is hypothetical and for illustration purposes only. Fund performance data used in this chart is based on Fund NAV and represents past performance. Past performance does not guarantee future results.
Name | Identifier | Position | % NAV |
WHEAT FUTURE(CBT) MAR24 | W H4 | Short | 7.29% |
CORN FUTURE MAR24 | C H4 | Short | 7.07% |
SUGAR #11 (WORLD) MAR24 | SBH4 | Long | 6.97% |
SOYBEAN FUTURE MAR24 | S H4 | Long | 6.86% |
NY HARB ULSD FUT MAR24 | HOH4 | Long | 6.81% |
NATURAL GAS FUTR MAR24 | NGH24 | Short | 6.73% |
COPPER FUTURE MAR24 | HGH4 | Short | 6.34% |
GASOLINE RBOB FUT MAR24 | XBH4 | Long | 6.22% |
GOLD 100 OZ FUTR FEB24 | GCG4 | Long | 3.65% |
LIVE CATTLE FUTR FEB24 | LCG4 | Long | 2.94% |
WTI CRUDE FUTURE MAR24 | CLH4 | Long | 1.63% |
Name | Identifier | Position | % NAV |
JPN YEN CURR FUT DEC23 | JYZ3 | Short | 16.85% |
AUDUSD CRNCY FUT DEC23 | ADZ3 | Short | 16.79% |
C$ CURRENCY FUT DEC23 | CDZ3 | Short | 16.77% |
CHF CURRENCY FUT DEC23 | SFZ3 | Long | 4.00% |
BP CURRENCY FUT DEC23 | BPZ3 | Long | 3.98% |
EURO FX CURR FUT DEC23 | ECZ3 | Short | 3.97% |
Name | Identifier | Position | % NAV |
CAN 10YR BOND FUT MAR24 | CNH4 | Short | 26.50% |
US 10YR NOTE (CBT)MAR24 | TYH4 | Short | 26.40% |
LONG GILT FUTURE MAR24 | G H4 | Short | 26.27% |
EURO-BUND FUTURE MAR24 | RXH4 | Short | 21.37% |
JPN 10Y BOND(OSE) DEC23 | JBZ3 | Short | 1.42% |
Name | Identifier | Position | Current Exposure($) | % NAV |
Cash | – | 130,690,985 | 130,690,985 | 46.74% |
B 12/21/23 | – | 45,000,000 | 44,894,620 | 16.06% |
B 12/28/23 | – | 40,000,000 | 39,864,939 | 14.26% |
B 01/11/24 | – | 40,000,000 | 39,783,858 | 14.23% |
B 01/02/24 | – | 35,000,000 | 34,856,335 | 12.47% |
BRITISH STERLING POUND | – | 2,616,700 | 3,305,542 | 1.18% |
EURO | – | -1,704,021 | -1,846,137 | -0.66% |
CANADIAN DOLLAR | – | -2,537,488 | -1,873,860 | -0.67% |
JAPANESE YEN | – | -774,886,682 | -5,260,959 | -1.88% |
284,415,323 | 102% |
Holdings, futures, and collateral are subject to change.
Rank | Name | % of Net Assets | Ticker | Identifier | Type | Shares Held | Market Value($) | Notional Value($) |
1 | Cash | 45.95% | – | – | Cash | 130,690,985 | 130,690,985 | 0 |
2 | B 12/21/23 | 15.78% | – | US912797FV43 | Treasury Bill | 45,000,000 | 44,894,620 | 0 |
3 | B 12/28/23 | 14.02% | – | US912796ZN24 | Treasury Bill | 40,000,000 | 39,864,939 | 0 |
4 | B 01/11/24 | 13.99% | – | US912797GC52 | Treasury Bill | 40,000,000 | 39,783,858 | 0 |
5 | B 01/02/24 | 12.26% | – | US912797HX80 | Treasury Bill | 35,000,000 | 34,856,335 | 0 |
6 | BRITISH STERLING POUND | 1.16% | – | – | Currency | 2,616,700 | 3,305,542 | 0 |
7 | GOLD 100 OZ FUTR FEB24 | 0.00% | GCG4 | – | Future | 50 | 0 | 10,211,000 |
8 | WTI CRUDE FUTURE MAR24 | 0.00% | CLH4 | – | Future | 62 | 0 | 4,558,860 |
9 | JPN 10Y BOND(OSE) DEC23 | 0.00% | JBZ3 | – | Future | -4 | 0 | -3,979,360 |
10 | JPN YEN CURR FUT DEC23 | 0.00% | JYZ3 | – | Future | -554 | 0 | -47,114,238 |
Holdings are subject to change.
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