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Overview

Performance

Growth of $10,000

Holdings

Fund Documents

Overview

Investment Strategy:

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.

KMLM Features:

  • Access to managed futures through a liquid and low-cost ETF structure1
  • Managed futures are considered alternative investments and may provide additional diversification and decrease volatility when included within traditional equity/bond portfolios2
  • A potential hedge on equity, bond, and commodity risk
  • Sub-advised by Mount Lucas Management, who in 1988 established the first passive index to measure the returns to risk bearing in futures markets3

KMLM Partner:

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.

Premium Discount Chart

Daily Performance

Data as of 03/23/2023
Daily Net Asset Value (NAV) and Market Price
NAV $29.43
NAV Daily Change -0.64%
Market Price $29.36
Market Price Daily Change -0.64%
30 Day Median Bid/Ask Spread
0.17%
Distributions

Performance History

Cumulative %
Data as of: 02/28/2023
Fund NAV Closing Price Index
1 Month 1.65% 1.75% 1.80%
3 Month -0.23% 0.35% 0.34%
6 Month -6.57% -7.45% -5.03%
Since Inception 45.75% 45.90% 55.58%
Avg Annualized %
Data as of month end: 02/28/2023
Fund NAV Closing Price Index
1 Year 17.47% 18.01% 22.38%
Since Inception 18.28% 18.33% 21.77%
Avg Annualized %
Data as of quarter end: 12/31/2022
Fund NAV Closing Price Index
1 Year 30.52% 30.37% 36.68%
Since Inception 20.63% 20.58% 24.24%

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.

Growth of $10,000

Data as of 03/23/2023

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.

Commodity Exposures

Data as of 03/24/2023
Name Identifier Position % NAV
SUGAR #11 (WORLD) MAY23 SBK3 Long 7.24%
CORN FUTURE MAY23 C K3 Short 7.13%
WHEAT FUTURE(CBT) MAY23 W K3 Short 6.81%
LIVE CATTLE FUTR JUN23 LCM3 Long 6.78%
NY HARB ULSD FUT JUN23 HOM3 Short 6.42%
WTI CRUDE FUTURE JUN23 CLM3 Short 6.30%
GASOLINE RBOB FUT JUN23 XBM3 Short 6.06%
NATURAL GAS FUTR JUN23 NGM23 Short 5.98%
SOYBEAN FUTURE MAY23 S K3 Long 5.45%
COPPER FUTURE JUL23 HGN3 Long 4.96%
GOLD 100 OZ FUTR JUN23 GCM3 Long 1.05%

Currency Exposures

Data as of 03/24/2023
Name Identifier Position % NAV
C$ CURRENCY FUT JUN23 CDM3 Short 16.51%
AUDUSD CRNCY FUT JUN23 ADM3 Short 16.42%
EURO FX CURR FUT JUN23 ECM3 Long 12.07%
JPN YEN CURR FUT JUN23 JYM3 Short 10.68%
CHF CURRENCY FUT JUN23 SFM3 Long 7.26%
BP CURRENCY FUT JUN23 BPM3 Short 5.63%

Fixed Income Exposures

Data as of 03/24/2023
Name Identifier Position % NAV
LONG GILT FUTURE JUN23 G M3 Short 28.14%
EURO-BUND FUTURE JUN23 RXM3 Short 27.82%
US 10YR NOTE (CBT)JUN23 TYM3 Short 27.17%
JPN 10Y BOND(OSE) JUN23 JBM3 Short 3.98%
CAN 10YR BOND FUT JUN23 CNM3 Short 3.91%

Collateral and Currency Management

Data as of 03/24/2023
Name Identifier Position Current Exposure($) % NAV
Cash 114,101,888 114,101,888 39.96%
B 08/10/23 40,000,000 39,316,411 13.77%
B 10/05/23 40,000,000 39,106,098 13.70%
B 04/27/23 35,000,000 34,879,445 12.22%
B 06/06/23 35,000,000 34,691,273 12.15%
B 04/13/23 20,000,000 19,967,157 6.99%
B 03/28/23 15,000,000 14,998,544 5.25%
CANADIAN DOLLAR -2,298,443 -1,673,481 -0.59%
BRITISH STERLING POUND -3,147,390 -3,848,323 -1.35%
EURO -3,588,840 -3,861,584 -1.35%
JAPANESE YEN -579,292,236 -4,430,364 -1.55%
283,247,064 99%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 03/24/2023 Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 Cash 40.28% Cash 114,101,888 114,101,888 0
2 B 08/10/23 13.88% US912796XY07 Treasury Bill 40,000,000 39,316,411 0
3 B 10/05/23 13.81% US912796YJ21 Treasury Bill 40,000,000 39,106,098 0
4 B 04/27/23 12.31% US912796YV58 Treasury Bill 35,000,000 34,879,445 0
5 B 06/06/23 12.25% US912797FM44 Treasury Bill 35,000,000 34,691,273 0
6 B 04/13/23 7.05% US912796YU75 Treasury Bill 20,000,000 19,967,157 0
7 B 03/28/23 5.30% US912796Z855 Treasury Bill 15,000,000 14,998,544 0
8 AUDUSD CRNCY FUT JUN23 0.00% ADM3 Future -703 0 -46,879,555
9 BP CURRENCY FUT JUN23 0.00% BPM3 Future -210 0 -16,075,500
10 C$ CURRENCY FUT JUN23 0.00% CDM3 Future -647 0 -47,146,890

Holdings are subject to change.