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 10/19/2021
TickerKMLM
Primary ExchangeNYSE
CUSIP500767652
ISINUS5007676522
Net Assets$33,143,441
Total Annual Fund Operating Expense 0.90%
Inception Date12/2/2020
Distribution FrequencyAnnual

Daily Performance

Data as of 10/19/2021
Premium Discount Chart
NAV
Net Asset Value$30.13 
Daily Change -0.01%
Price
Market Price $29.86 
Daily Change-0.07%
30 Day Median Bid/Ask Spread
Value0.35%

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: 09/30/2021
Fund NAV Closing Price Index
1 Month3.77% 2.47% 4.01%
3 Month2.24% -0.79% 2.54%
6 Month7.88% 5.04% 8.51%
Since Inception18.88% 15.96% 19.84%
Cumulative %
Data as of quarter end: 09/30/2021
Fund NAV Closing Price Index
Since Inception18.88% 15.96% 19.84%
Growth of $10,000
Data as of 10/19/2021

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 10/19/2021
Name Identifier Position % NAV
COPPER FUTURE DEC21 HGZ1 Long 7.8%
GASOLINE RBOB FUT DEC21 XBZ1 Long 7.66%
WTI CRUDE FUTURE DEC21 CLZ1 Long 7.46%
NY HARB ULSD FUT DEC21 HOZ1 Long 7.44%
GOLD 100 OZ FUTR DEC21 GCZ1 Short 6.94%
WHEAT FUTURE(CBT) DEC21 W Z1 Long 6.77%
CORN FUTURE DEC21 C Z1 Long 6.64%
LIVE CATTLE FUTR DEC21 LCZ1 Short 6.28%
SUGAR #11 (WORLD) MAR22 SBH2 Long 6.25%
NATURAL GAS FUTR DEC21 NGZ21 Long 5.97%
SOYBEAN FUTURE NOV21 S X1 Short 1.48%

Currency Exposures

Data as of 10/19/2021
Name Identifier Position % NAV
AUDUSD CRNCY FUT DEC21 ADZ1 Short 16.48%
CHF CURRENCY FUT DEC21 SFZ1 Short 16.37%
EURO FX CURR FUT DEC21 ECZ1 Short 16.26%
JPN YEN CURR FUT DEC21 JYZ1 Short 15.51%
BP CURRENCY FUT DEC21 BPZ1 Short 11.71%
C$ CURRENCY FUT DEC21 CDZ1 Long 2.44%

Fixed Income Exposures

Data as of 10/19/2021
Name Identifier Position % NAV
LONG GILT FUTURE DEC21 G Z1 Short 25.29%
US 10YR NOTE (CBT)DEC21 TYZ1 Short 22.45%
EURO-BUND FUTURE DEC21 RXZ1 Short 20.12%
CAN 10YR BOND FUT DEC21 CNZ1 Short 15.91%
JPN 10Y BOND(OSE) DEC21 JBZ1 Short 3.99%

Collateral and Currency Management

Data as of 10/19/2021
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 447,000 22,828,290 68.88%
Cash 10,010,504 10,010,504 30.2%
BRITISH STERLING POUND 193,608 267,024 0.81%
EURO 27,481 31,975 0.1%
CANADIAN DOLLAR 20,056 16,216 0.05%
JAPANESE YEN -1,206,422 -10,552 -0.03%
33,143,457 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 10/19/2021
Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 68.88% SCHO US8085248628 Mutual Fund 447,000 22,828,290 0
2 Cash 30.20% Cash 10,010,504 10,010,504 0
3 BRITISH STERLING POUND 0.81% Currency 193,608 267,024 0
4 EURO 0.10% Currency 27,481 31,975 0
5 CANADIAN DOLLAR 0.05% Currency 20,056 16,216 0
6 WTI CRUDE FUTURE DEC21 0.00% CLZ1 Future 30 0 2,473,200
7 WHEAT FUTURE(CBT) DEC21 0.00% W Z1 Future 61 0 2,244,800
8 US 10YR NOTE (CBT)DEC21 0.00% TYZ1 Future -57 0 -7,442,063
9 SUGAR #11 (WORLD) MAR22 0.00% SBH2 Future 98 0 2,071,171
10 SOYBEAN FUTURE NOV21 0.00% S X1 Future -8 0 -491,200

Holdings are subject to change.