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 05/24/2022
Ticker KMLM
Primary Exchange NYSE
CUSIP 500767652
ISIN US5007676522
Net Assets $63,266,716
Total Annual Fund Operating Expense 0.90%
Inception Date 12/2/2020
Distribution Frequency Annual

Daily Performance

Data as of 05/24/2022
Premium Discount Chart
NAV
Net Asset Value$35.15 
Daily Change -0.76%
Price
Market Price $35.34 
Daily Change -0.91%
30 Day Median Bid/Ask Spread
 
0.57%

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: 04/30/2022
Fund NAV Closing Price Index
1 Month 10.44% 9.75% 10.86%
3 Month 25.04% 24.50% 27.08%
6 Month 23.50% 23.06% 26.81%
Since Inception 48.74% 48.12% 54.41%
Avg Annualized %
Data as of month end: 04/30/2022
Fund NAV Closing Price Index
1 Year 27.78% 26.47% 32.30%
Since Inception 32.42% 32.03% 36.06%
Avg Annualized %
Data as of quarter end: 03/31/2022
Fund NAV Closing Price Index
1 Year 22.21% 22.24% 26.11%
Since Inception 25.07% 25.27% 28.32%
Growth of $10,000
Data as of 05/24/2022

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 05/24/2022
Name Identifier Position % NAV
NATURAL GAS FUTR SEP22 NGU22 Long 8.19%
GASOLINE RBOB FUT JUN22 XBM2 Long 7.59%
WHEAT FUTURE(CBT) JUL22 W N2 Long 7.39%
WTI CRUDE FUTURE SEP22 CLU2 Long 7.10%
SOYBEAN FUTURE JUL22 S N2 Long 6.82%
CORN FUTURE JUL22 C N2 Long 6.40%
NY HARB ULSD FUT JUN22 HOM2 Long 6.28%
SUGAR #11 (WORLD) JUL22 SBN2 Long 5.63%
COPPER FUTURE JUL22 HGN2 Short 4.76%
LIVE CATTLE FUTR JUN22 LCM2 Short 2.85%
GOLD 100 OZ FUTR JUN22 GCM2 Long 2.06%

Currency Exposures

Data as of 05/24/2022
Name Identifier Position % NAV
JPN YEN CURR FUT JUN22 JYM2 Short 16.37%
EURO FX CURR FUT JUN22 ECM2 Short 16.33%
CHF CURRENCY FUT JUN22 SFM2 Short 16.26%
C$ CURRENCY FUT JUN22 CDM2 Short 16.13%
AUDUSD CRNCY FUT JUN22 ADM2 Short 16.13%
BP CURRENCY FUT JUN22 BPM2 Short 15.94%

Fixed Income Exposures

Data as of 05/24/2022
Name Identifier Position % NAV
JPN 10Y BOND(OSE) JUN22 JBM2 Short 26.14%
EURO-BUND FUTURE JUN22 RXM2 Short 25.85%
US 10YR NOTE (CBT)JUN22 TYM2 Short 25.50%
CAN 10YR BOND FUT JUN22 CNM2 Short 25.38%
LONG GILT FUTURE JUN22 G M2 Short 25.25%

Collateral and Currency Management

Data as of 05/24/2022
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 700,000 34,692,000 54.83%
Cash 26,668,055 26,668,055 42.15%
EURO 835,600 896,643 1.42%
CANADIAN DOLLAR 926,977 723,551 1.14%
BRITISH STERLING POUND 217,926 273,159 0.43%
JAPANESE YEN 1,666,260 13,132 0.02%
63,266,540 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 05/24/2022
Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 54.83% SCHO US8085248628 Mutual Fund 700,000 34,692,000 0
2 Cash 42.15% Cash 26,668,055 26,668,055 0
3 EURO 1.42% Currency 835,600 896,643 0
4 CANADIAN DOLLAR 1.14% Currency 926,977 723,551 0
5 BRITISH STERLING POUND 0.43% Currency 217,926 273,159 0
6 JAPANESE YEN 0.02% Currency 1,666,260 13,132 0
7 AUDUSD CRNCY FUT JUN22 0.00% ADM2 Future -144 0 -10,202,401
8 BP CURRENCY FUT JUN22 0.00% BPM2 Future -129 0 -10,086,994
9 C$ CURRENCY FUT JUN22 0.00% CDM2 Future -131 0 -10,204,245
10 CAN 10YR BOND FUT JUN22 0.00% CNM2 Future -162 0 -16,053,952

Holdings are subject to change.