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March 21, 2023 – Investing Strategy: Banking, Financial Crisis, Rate Hikes, SVB, Recession, Crash
March 7, 2023 – Bloomberg TV: Quadratic’s Nancy Davis on Inflation and IVOL
February 22, 2023 – Quadratic’s Nancy Davis on Selling Vol, Yield Curve Hand Signals and Deflation
February 16, 2023 – KMLM ETF: Review Of The Strategy Behind KFA Mount Lucas Managed Futures Index Strategy
KFA Funds is a premier platform for developing and delivering differentiated, high-conviction investment strategies to global investors. Our newsletter is a collaboration between our internal research department and our distinguished partners. Together we strive to offer differentiated perspectives on high-conviction investment strategies and themes.
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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.
Ticker | KMLM |
Primary Exchange | NYSE |
CUSIP | 500767652 |
ISIN | US5007676522 |
Net Assets | $285,506,480 |
Total Annual Fund Operating Expense | 0.92% |
Inception Date | 12/2/2020 |
Distribution Frequency | Annual |
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% |
The ETF’s 30 Day Median Bid-Ask Spread is calculated by identifying the ETF’s national best bid and national best offer ("NBBO") as of the end of each 10 second interval during each trading day of the last 30 calendar days and dividing the difference between each such bid and offer by the midpoint of the NBBO. The median of those values is identified and that value is expressed as a percentage rounded to the nearest hundredth. |
NAV | Market Price | Premium/Discount |
$29.43 | $29.36 | $-0.07 |
2022 Full Year | Q1 2023 | |
Days traded at premium | 192 | 39 |
Days traded at NAV | 0 | 0 |
Days traded at discount | 59 | 17 |
The Premium/Discount History chart demonstrates the difference between the daily market price of shares of the Fund and the Fund’s net asset value (NAV). The vertical axis of the chart shows the premium or discount of the daily market price as a percentage of the NAV. The horizontal axis shows each trading day in the time period, and each data point in the chart represents the Premium/Discount on that day. The data presented in the chart and table above represent past performance and cannot be used to predict future results.
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% |
Fund NAV | Closing Price | Index | |
1 Year | 17.47% | 18.01% | 22.38% |
Since Inception | 18.28% | 18.33% | 21.77% |
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.
2022 Distributions |
Ex-Date | Record Date | Payable Date | Amount |
12/28/2022 | 12/29/2022 | 12/30/2022 | 4.037692 |
2021 Distributions |
Ex-Date | Record Date | Payable Date | Amount |
12/29/2021 | 12/30/2021 | 12/31/2021 | 1.838123 |
Like adding an olive to a martini makes it “dirty,” Managed Futures may enrich classic portfolios, creating “dirty portfolios." In this paper, Mt. Lucas makes their point by analyzing the impact of adding Managed Futures to six portfolios.
— KraneShares (@KraneShares) January 3, 2023
Download: https://t.co/C5gGczJL62$KMLM pic.twitter.com/7fyGHRdhQ4
$KVLE continued to distinguish itself in a year where high-quality #investing shined. We believe a portfolio focused on high-quality companies coupled with risk mitigation won’t go out of style. Read our 2022 recap and how KVLE remains attractive in 2023: https://t.co/I6MynDutA0 pic.twitter.com/OkyctBMzgK
— KraneShares (@KraneShares) February 14, 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 $10,000 investment in the fund is hypothetical and for illustration purposes only.
Name | Identifier | Position | % NAV |
SUGAR #11 (WORLD) MAY23 | SBK3 | Long | 7.24% |
CORN FUTURE MAY23 | C K3 | Short | 7.13% |
WHEAT FUTURE(CBT) MAY23 | W K3 | Short | 6.81% |
LIVE CATTLE FUTR JUN23 | LCM3 | Long | 6.78% |
NY HARB ULSD FUT JUN23 | HOM3 | Short | 6.42% |
WTI CRUDE FUTURE JUN23 | CLM3 | Short | 6.30% |
GASOLINE RBOB FUT JUN23 | XBM3 | Short | 6.06% |
NATURAL GAS FUTR JUN23 | NGM23 | Short | 5.98% |
SOYBEAN FUTURE MAY23 | S K3 | Long | 5.45% |
COPPER FUTURE JUL23 | HGN3 | Long | 4.96% |
GOLD 100 OZ FUTR JUN23 | GCM3 | Long | 1.05% |
Name | Identifier | Position | % NAV |
C$ 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% |
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% |
Name | Identifier | Position | Current Exposure($) | % NAV |
Cash | – | 114,101,888 | 114,101,888 | 39.96% |
B 08/10/23 | – | 40,000,000 | 39,316,411 | 13.77% |
B 10/05/23 | – | 40,000,000 | 39,106,098 | 13.70% |
B 04/27/23 | – | 35,000,000 | 34,879,445 | 12.22% |
B 06/06/23 | – | 35,000,000 | 34,691,273 | 12.15% |
B 04/13/23 | – | 20,000,000 | 19,967,157 | 6.99% |
B 03/28/23 | – | 15,000,000 | 14,998,544 | 5.25% |
CANADIAN DOLLAR | – | -2,298,443 | -1,673,481 | -0.59% |
BRITISH STERLING POUND | – | -3,147,390 | -3,848,323 | -1.35% |
EURO | – | -3,588,840 | -3,861,584 | -1.35% |
JAPANESE YEN | – | -579,292,236 | -4,430,364 | -1.55% |
283,247,064 | 99% |
Holdings, futures, and collateral are subject to change.
Rank | Name | % of Net Assets | Ticker | Identifier | Type | Shares Held | Market Value($) | 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.
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