KMLM

KFA Mount Lucas Index Strategy ETF

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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.

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.

Fund Details

Data as of 05/05/2021
TickerKMLM
Primary ExchangeNYSE
CUSIP500767652
ISINUS5007676522
Net Assets$30,913,545
Total Annual Fund Operating Expense 0.90%
Inception Date12/2/2020
Distribution FrequencyAnnual

Daily Performance

Data as of 05/05/2021
Premium Discount Chart
NAV
Net Asset Value$29.44 
Daily Change 0.64%
Price
Market Price $29.43 
Daily Change0.48%
30 Day Median Bid/Ask Spread
Value0.69%

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.

Performance History

Distributions
Cumulative %
Data as of: 04/30/2021
Fund NAV Closing Price Index
1 Month5.63% 6.09% 5.67%
3 Month9.73% 10.08% 10.01%
6 Month
Since Inception16.40% 17.12% 16.72%
Cumulative %
Data as of quarter end: 03/31/2021
Fund NAV Closing Price Index
Since Inception10.20% 10.40% 10.45%
Growth of $10,000
Data as of 05/05/2021

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.

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 05/05/2021
Name Identifier Position % NAV
CORN FUTURE JUL21 C N1 Long 7.1%
NY HARB ULSD FUT JUN21 HOM1 Long 7.07%
GASOLINE RBOB FUT JUN21 XBM1 Long 7.01%
WTI CRUDE FUTURE JUN21 CLM1 Long 7.01%
SUGAR #11 (WORLD) JUL21 SBN1 Long 6.99%
COPPER FUTURE JUL21 HGN1 Long 6.95%
GOLD 100 OZ FUTR JUN21 GCM1 Short 6.93%
WHEAT FUTURE(CBT) JUL21 W N1 Long 6.86%
SOYBEAN FUTURE JUL21 S N1 Long 6.74%
LIVE CATTLE FUTR JUN21 LCM1 Long 4.74%
NATURAL GAS FUTR JUN21 NGM21 Long 0.29%

Currency Exposures

Data as of 05/05/2021
Name Identifier Position % NAV
BP CURRENCY FUT JUN21 BPM1 Long 16.31%
C$ CURRENCY FUT JUN21 CDM1 Long 16.07%
AUDUSD CRNCY FUT JUN21 ADM1 Long 16.04%
EURO FX CURR FUT JUN21 ECM1 Long 16.02%
JPN YEN CURR FUT JUN21 JYM1 Short 15.92%
CHF CURRENCY FUT JUN21 SFM1 Short 5.32%

Fixed Income Exposures

Data as of 05/05/2021
Name Identifier Position % NAV
JPN 10Y BOND(OSE) JUN21 JBM1 Short 26.9%
CAN 10YR BOND FUT JUN21 CNM1 Short 25.44%
LONG GILT FUTURE JUN21 G M1 Short 25.33%
US 10YR NOTE (CBT)JUN21 TYM1 Short 25.3%
EURO-BUND FUTURE JUN21 RXM1 Short 25.16%

Collateral and Currency Management

Data as of 05/05/2021
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 465,850 23,898,105 77.31%
Cash 6,830,798 6,830,798 22.1%
CANADIAN DOLLAR 157,209 128,109 0.41%
BRITISH STERLING POUND 32,009 44,524 0.14%
EURO 24,088 28,917 0.09%
JAPANESE YEN -1,852,527 -16,966 -0.05%
30,913,487 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 05/05/2021
Full Holdings .CSV
Rank Company Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 77.31% SCHO US8085248628 Mutual Fund 465,850 23,898,105 0
2 Cash 22.10% Cash 6,830,798 6,830,798 0
3 CANADIAN DOLLAR 0.41% Currency 157,209 128,109 0
4 BRITISH STERLING POUND 0.14% Currency 32,009 44,524 0
5 EURO 0.09% Currency 24,088 28,917 0
6 WTI CRUDE FUTURE JUN21 0.00% CLM1 Future 33 0 2,165,790
7 WHEAT FUTURE(CBT) JUL21 0.00% W N1 Future 57 0 2,121,825
8 US 10YR NOTE (CBT)JUN21 0.00% TYM1 Future -59 0 -7,820,266
9 SUGAR #11 (WORLD) JUL21 0.00% SBN1 Future 110 0 2,159,696
10 SOYBEAN FUTURE JUL21 0.00% S N1 Future 27 0 2,082,038

Holdings are subject to change.