Overview

Performance

Distributions

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.

Fund Details

Data as of 07/25/2024
Ticker KMLM
Primary Exchange NYSE
CUSIP 500767652
ISIN US5007676522
Net Assets $355,746,264
Total Annual Fund Operating Expense 0.90%
Inception Date 12/1/2020
Distribution Frequency Quarterly

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Daily Performance

Data as of 07/25/2024
Daily Net Asset Value (NAV) and Market Price
NAV $29.40
NAV Daily Change -0.31%
Market Price $29.49
Market Price Daily Change -0.14%
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.

Performance History

Cumulative %
Data as of: 06/30/2024
Fund NAV Closing Price Index
1 Month -1.42% -1.49% -1.40%
3 Month -2.58% -2.44% -2.39%
6 Month 1.32% 1.18% 1.53%
YTD 1.32% 1.18% 1.53%
Since Inception 40.77% 40.92% 51.86%
Avg Annualized %
Data as of quarter end: 06/30/2024
Fund NAV Closing Price Index
1 Year -4.33% -4.30% -3.55%
3 Year 6.58% 6.43% 9.12%
Since Inception 10.02% 10.05% 12.38%

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.

Distribution History

2024 Distributions and Calendar
Ex-Date Record Date Payable Date Amount
03/26/2024 03/27/2024 03/28/2024 0.000000
06/27/2024 06/27/2024 06/28/2024 0.000000
09/26/2024 09/27/2024 09/30/2024

Future calendar dates are subject to change. There is no guarantee that dividends will be paid. Past distributions are not indicative of future trends. This material is provided for educational purposes only and does not constitute investment advice.

Distributions are issued to brokers on the payable date, and are subject to broker payment schedules.

2023 Distributions
Ex-Date Record Date Payable Date Amount
09/27/2023 09/28/2023 09/29/2023 0.000000
12/18/2023 12/19/2023 12/20/2023 0.000000
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

Topics:

Growth of $10,000

Data as of 07/25/2024

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.

Commodity Exposures

Data as of 07/26/2024
Name Identifier Position % NAV
GOLD 100 OZ FUTR DEC24 GCZ4 Long 6.96%
LIVE CATTLE FUTR DEC24 LCZ4 Long 6.83%
CORN FUTURE DEC24 C Z4 Short 6.64%
SOYBEAN FUTURE NOV24 S X4 Short 6.47%
COPPER FUTURE SEP24 HGU4 Long 6.40%
WHEAT FUTURE(CBT) DEC24 W Z4 Short 6.26%
SUGAR #11 (WORLD) OCT24 SBV4 Short 6.18%
NATURAL GAS FUTR SEP24 NGU24 Short 5.38%
WTI CRUDE FUTURE SEP24 CLU4 Long 5.27%
GASOLINE RBOB FUT SEP24 XBU4 Long 3.48%
NY HARB ULSD FUT SEP24 HOU4 Short 3.42%

Currency Exposures

Data as of 07/26/2024
Name Identifier Position % NAV
JPN YEN CURR FUT SEP24 JYU4 Short 16.90%
BP CURRENCY FUT SEP24 BPU4 Long 16.54%
CHF CURRENCY FUT SEP24 SFU4 Short 16.44%
C$ CURRENCY FUT SEP24 CDU4 Short 16.05%
AUDUSD CRNCY FUT SEP24 ADU4 Long 12.91%
EURO FX CURR FUT SEP24 ECU4 Short 8.60%

Fixed Income Exposures

Data as of 07/26/2024
Name Identifier Position % NAV
JPN 10Y BOND(OSE) SEP24 JBU4 Short 26.63%
LONG GILT FUTURE SEP24 G U4 Long 21.15%
EURO-BUND FUTURE SEP24 RXU4 Short 18.59%
CAN 10YR BOND FUT SEP24 CNU4 Long 18.30%
US 10YR ULTRA FUT SEP24 UXYU4 Short 6.13%

Collateral and Currency Management

Data as of 07/26/2024
Name Identifier Position Current Exposure($) % NAV
Cash – 108,192,488 108,192,488 30.41%
B 07/30/24 – 55,000,000 54,991,964 15.46%
B 08/06/24 – 55,000,000 54,935,432 15.44%
B 08/20/24 – 55,000,000 54,822,029 15.41%
B 08/29/24 – 55,000,000 54,750,407 15.39%
B 09/03/24 – 55,000,000 54,710,026 15.38%
BRITISH STERLING POUND – -3,797,616 -4,889,047 -1.37%
JAPANESE YEN – -761,824,094 -4,954,309 -1.39%
CANADIAN DOLLAR – -6,909,473 -4,995,823 -1.40%
EURO – -5,182,188 -5,626,330 -1.58%
361,936,838 102%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 07/26/2024 Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 Cash 29.89% – – Cash 108,192,488 108,192,488 0
2 B 07/30/24 15.19% – US912797KR75 Treasury Bill 55,000,000 54,991,964 0
3 B 08/06/24 15.18% – US912797KW60 Treasury Bill 55,000,000 54,935,432 0
4 B 08/20/24 15.15% – US912797KY27 Treasury Bill 55,000,000 54,822,029 0
5 B 08/29/24 15.13% – US912797KD89 Treasury Bill 55,000,000 54,750,407 0
6 B 09/03/24 15.12% – US912797LA32 Treasury Bill 55,000,000 54,710,026 0
7 GASOLINE RBOB FUT SEP24 0.00% XBU4 – Future 122 0 12,384,708
8 WTI CRUDE FUTURE SEP24 0.00% CLU4 – Future 243 0 18,749,880
9 GOLD 100 OZ FUTR DEC24 0.00% GCZ4 – Future 102 0 24,764,580
10 JPN 10Y BOND(OSE) SEP24 0.00% JBU4 – Future -102 0 -94,736,555

Holdings are subject to change.

Fund Documents

©2024 Krane Funds Advisors, LLC
280 Park Avenue, 32nd Floor, New York, NY 10017

Carefully consider the Funds’ investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds’ full and summary prospectus, which may be obtained by visiting: www.kfafunds.com. Read the prospectus carefully before investing.

Risk Disclosures:

Investing involves risk, including possible loss of principal. There can be no assurance that a Fund will achieve its stated objectives. Indices are unmanaged and do not include the effect of fees. One cannot invest directly in an index.

This information should not be relied upon as research, investment advice, or a recommendation regarding any products, strategies, or any security in particular. This material is strictly for illustrative, educational, or informational purposes and is subject to change. Certain content represents an assessment of the market environment at a specific time and is not intended to be a forecast of future events or a guarantee of future results; material is as of the dates noted and is subject to change without notice.

The Fund may invest in derivatives, which are often more volatile than other investments and may magnify the Fund’s gains or losses. A derivative (i.e., futures/forward contracts, swaps, and options) is a contract that derives its value from the performance of an underlying asset. The primary risk of derivatives is that changes in the asset’s market value and the derivative may not be proportionate, and some derivatives can have the potential for unlimited losses. Derivatives are also subject to liquidity and counterparty risk. The Fund is subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate, which may cause the Fund to suffer losses. Counterparty risk is the risk of loss in the event that the counterparty to an agreement fails to make required payments or otherwise comply with the terms of the derivative.

Fluctuations in currency of foreign countries may have an adverse effect to domestic currency values. The use of futures contracts is subject to special risk considerations. The primary risks associated with the use of futures contracts include: (a) an imperfect correlation between the change in market value of the reference asset and the price of the futures contract; (b) possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (c) losses caused by unanticipated market movements, which are potentially unlimited; (d) the inability to predict correctly the direction of market prices, interest rates, currency exchange rates and other economic factors; and (e) if the Fund has insufficient cash, it may have to sell securities or financial instruments from its portfolio to meet daily variation margin requirements, which may lead to the Fund selling securities or financial instruments at a loss.

The Fund invests through a subsidiary, and is indirectly exposed to the risks associated with the Subsidiary’s investments. Since the Subsidiary is organized under the law of the Cayman Islands and is not registered with the SEC under the Investment Company Act of 1940, as such the Fund will not receive all of the protections offered to shareholders of registered investment companies. The Fund and the Subsidiary will be considered commodity pools upon commencement of operations, and each will be subject to regulation under the Commodity Exchange Act and CFTC rules. Commodity pools are subject to additional laws, regulations and enforcement policies, which may increase compliance costs and may affect the operations and performance of the Fund and the Subsidiary. Futures and other contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity.

The Fund is subject to interest rate risk, which is the chance that bonds will decline in value as interest rates rise. The Fund is subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate which may cause the Fund to suffer losses. Narrowly focused investments typically exhibit higher volatility. The Fund’s assets are expected to be concentrated in a sector, industry, market, or group of concentrations to the extent that the Underlying Index has such concentrations. The securities or futures in that concentration could react similarly to market developments. Thus, the Fund is subject to loss due to adverse occurrences that affect that concentration. KMLM is non-diversified.

ETF shares are bought and sold on an exchange at market price (not NAV) and are not individually redeemed from the Fund. However, shares may be redeemed at NAV directly by certain authorized broker-dealers (Authorized Participants) in very large creation/redemption units. The returns shown do not represent the returns you would receive if you traded shares at other times. Shares may trade at a premium or discount to their NAV in the secondary market. Brokerage commissions will reduce returns. Beginning 12/23/2020, market price returns are based on the official closing price of an ETF share or, if the official closing price isn't available, the midpoint between the national best bid and national best offer ("NBBO") as of the time the ETF calculates the current NAV per share. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The KraneShares ETFs and KFA Funds ETFs are distributed by SEI Investments Distribution Company (SIDCO), 1 Freedom Valley Drive, Oaks, PA 19456, which is not affiliated with Krane Funds Advisors, LLC, the Investment Adviser for the Funds, or any sub-advisers for the Funds.

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