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.

Premium Discount Chart

Daily Performance

Data as of 09/20/2023
Daily Net Asset Value (NAV) and Market Price
NAV $32.12
NAV Daily Change -0.74%
Market Price $32.20
Market Price Daily Change -0.71%
30 Day Median Bid/Ask Spread
0.37%

Performance History

Cumulative %
Data as of: 08/31/2023
Fund NAV Closing Price Index
1 Month 1.66% 1.47% 1.81%
3 Month -0.45% -0.42% -0.18%
6 Month 3.28% 3.11% 3.77%
YTD 1.86% 1.90% 2.74%
Since Inception 50.54% 50.44% 61.46%
Avg Annualized %
Data as of month end: 08/31/2023
Fund NAV Closing Price Index
1 Year -3.51% -4.57% -1.45%
Since Inception 16.05% 16.02% 19.05%
Avg Annualized %
Data as of quarter end: 06/30/2023
Fund NAV Closing Price Index
1 Year -1.32% -1.02% 1.25%
Since Inception 16.17% 16.20% 19.25%

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

2023 Distributions and Calendar
Ex-Date Record Date Payable Date Amount
09/27/2023 09/28/2023 09/29/2023
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

Growth of $10,000

Data as of 09/20/2023

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 09/20/2023
Name Identifier Position % NAV
WTI CRUDE FUTURE DEC23 CLZ3 Long 7.09%
SUGAR #11 (WORLD) OCT23 SBV3 Long 7.07%
NY HARB ULSD FUT DEC23 HOZ3 Long 7.00%
GASOLINE RBOB FUT DEC23 XBZ3 Long 6.90%
LIVE CATTLE FUTR DEC23 LCZ3 Long 6.85%
CORN FUTURE DEC23 C Z3 Short 6.67%
WHEAT FUTURE(CBT) DEC23 W Z3 Short 6.47%
SOYBEAN FUTURE NOV23 S X3 Long 6.38%
NATURAL GAS FUTR DEC23 NGZ23 Short 6.07%
COPPER FUTURE DEC23 HGZ3 Short 4.04%
GOLD 100 OZ FUTR DEC23 GCZ3 Long 3.46%

Currency Exposures

Data as of 09/20/2023
Name Identifier Position % NAV
AUDUSD CRNCY FUT DEC23 ADZ3 Short 15.74%
CHF CURRENCY FUT DEC23 SFZ3 Long 15.50%
JPN YEN CURR FUT DEC23 JYZ3 Short 15.43%
BP CURRENCY FUT DEC23 BPZ3 Long 15.39%
C$ CURRENCY FUT DEC23 CDZ3 Short 14.35%
EURO FX CURR FUT DEC23 ECZ3 Short 0.74%

Fixed Income Exposures

Data as of 09/20/2023
Name Identifier Position % NAV
LONG GILT FUTURE DEC23 G Z3 Short 24.33%
US 10YR NOTE (CBT)DEC23 TYZ3 Short 24.32%
CAN 10YR BOND FUT DEC23 CNZ3 Short 24.24%
JPN 10Y BOND(OSE) DEC23 JBZ3 Long 24.10%
EURO-BUND FUTURE DEC23 RXZ3 Short 23.83%

Collateral and Currency Management

Data as of 09/20/2023
Name Identifier Position Current Exposure($) % NAV
Cash 123,059,269 123,059,269 45.07%
B 10/05/23 40,000,000 39,917,898 14.62%
B 10/12/23 40,000,000 39,876,812 14.60%
B 10/31/23 40,000,000 39,765,208 14.56%
B 09/28/23 30,000,000 29,969,521 10.98%
BRITISH STERLING POUND 2,902,101 3,581,028 1.31%
CANADIAN DOLLAR 1,044,710 775,467 0.28%
EURO 354,459 377,800 0.14%
JAPANESE YEN -632,594,548 -4,268,951 -1.56%
273,054,051 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 09/20/2023 Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 Cash 45.07% Cash 123,059,269 123,059,269 0
2 B 10/05/23 14.62% US912796YJ21 Treasury Bill 40,000,000 39,917,898 0
3 B 10/12/23 14.60% US912797FA06 Treasury Bill 40,000,000 39,876,812 0
4 B 10/31/23 14.56% US912797HD27 Treasury Bill 40,000,000 39,765,208 0
5 B 09/28/23 10.98% US912796CS67 Treasury Bill 30,000,000 29,969,521 0
6 BRITISH STERLING POUND 1.31% Currency 2,902,101 3,581,028 0
7 CANADIAN DOLLAR 0.28% Currency 1,044,710 775,467 0
8 EURO 0.14% Currency 354,459 377,800 0
9 AUDUSD CRNCY FUT DEC23 0.00% ADZ3 Future -662 0 -42,967,110
10 BP CURRENCY FUT DEC23 0.00% BPZ3 Future 544 0 42,030,800

Holdings are subject to change.