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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 02/01/2023
Daily Net Asset Value (NAV) and Market Price
NAV $29.64
NAV Daily Change -0.10%
Market Price $29.58
Market Price Daily Change -0.30%
30 Day Median Bid/Ask Spread
0.2%
Distributions

Performance History

Cumulative %
Data as of: 01/31/2023
Fund NAV Closing Price Index
1 Month -2.98% -2.88% -2.74%
3 Month -11.13% -11.29% -10.66%
6 Month -0.98% -1.14% 1.25%
Since Inception 43.38% 43.39% 52.84%
Avg Annualized %
Data as of month end: 01/31/2023
Fund NAV Closing Price Index
1 Year 20.54% 20.52% 25.79%
Since Inception 18.09% 18.09% 21.62%
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 02/01/2023

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 02/01/2023
Name Identifier Position % NAV
CORN FUTURE MAR23 C H3 Long 6.84%
WHEAT FUTURE(CBT) MAR23 W H3 Short 6.81%
LIVE CATTLE FUTR JUN23 LCM3 Long 6.80%
SOYBEAN FUTURE MAR23 S H3 Long 6.74%
SUGAR #11 (WORLD) MAR23 SBH3 Long 6.70%
WTI CRUDE FUTURE MAR23 CLH3 Short 6.63%
NATURAL GAS FUTR MAR23 NGH23 Short 6.27%
GOLD 100 OZ FUTR JUN23 GCM3 Long 6.15%
NY HARB ULSD FUT MAR23 HOH3 Long 3.99%
COPPER FUTURE MAR23 HGH3 Long 3.47%
GASOLINE RBOB FUT MAR23 XBH3 Long 0.32%

Currency Exposures

Data as of 02/01/2023
Name Identifier Position % NAV
CHF CURRENCY FUT MAR23 SFH3 Long 16.36%
C$ CURRENCY FUT MAR23 CDH3 Short 16.29%
EURO FX CURR FUT MAR23 ECH3 Long 10.15%
JPN YEN CURR FUT MAR23 JYH3 Short 8.61%
BP CURRENCY FUT MAR23 BPH3 Short 0.79%
AUDUSD CRNCY FUT MAR23 ADH3 Long 0.78%

Fixed Income Exposures

Data as of 02/01/2023
Name Identifier Position % NAV
EURO-BUND FUTURE MAR23 RXH3 Short 25.82%
US 10YR NOTE (CBT)MAR23 TYH3 Short 25.74%
LONG GILT FUTURE MAR23 G H3 Short 25.61%
JPN 10Y BOND(OSE) MAR23 JBH3 Short 23.23%
CAN 10YR BOND FUT MAR23 CNH3 Short 11.03%

Collateral and Currency Management

Data as of 02/01/2023
Name Identifier Position Current Exposure($) % NAV
Cash 109,749,713 109,749,713 43.06%
B 08/10/23 40,000,000 39,040,930 15.32%
B 10/05/23 40,000,000 38,775,204 15.21%
B 04/27/23 35,000,000 34,634,205 13.59%
B 09/07/23 35,000,000 34,017,748 13.35%
EURO 1,762,994 1,937,271 0.76%
BRITISH STERLING POUND 266,825 330,144 0.13%
CANADIAN DOLLAR -801,772 -603,290 -0.24%
JAPANESE YEN -384,082,002 -2,981,193 -1.17%
254,900,732 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 02/01/2023 Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 Cash 43.06% Cash 109,749,713 109,749,713 0
2 B 08/10/23 15.32% US912796XY07 Treasury Bill 40,000,000 39,040,930 0
3 B 10/05/23 15.21% US912796YJ21 Treasury Bill 40,000,000 38,775,204 0
4 B 04/27/23 13.59% US912796YV58 Treasury Bill 35,000,000 34,634,205 0
5 B 09/07/23 13.35% US912796YH64 Treasury Bill 35,000,000 34,017,748 0
6 EURO 0.76% Currency 1,762,994 1,937,271 0
7 BRITISH STERLING POUND 0.13% Currency 266,825 330,144 0
8 AUDUSD CRNCY FUT MAR23 0.00% ADH3 Future 28 0 1,997,520
9 BP CURRENCY FUT MAR23 0.00% BPH3 Future -26 0 -2,011,750
10 C$ CURRENCY FUT MAR23 0.00% CDH3 Future -552 0 -41,510,400

Holdings are subject to change.