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 08/04/2021
TickerKMLM
Primary ExchangeNYSE
CUSIP500767652
ISINUS5007676522
Net Assets$29,758,739
Total Annual Fund Operating Expense 0.90%
Inception Date12/2/2020
Distribution FrequencyAnnual

Daily Performance

Data as of 08/04/2021
Premium Discount Chart
NAV
Net Asset Value$28.34 
Daily Change -0.23%
Price
Market Price $28.22 
Daily Change-0.48%
30 Day Median Bid/Ask Spread
Value0.83%

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: 07/31/2021
Fund NAV Closing Price Index
1 Month-1.24% -2.84% -1.25%
3 Month-1.34% -3.04% -1.11%
6 Month8.26% 6.73% 8.78%
Since Inception14.84% 13.56% 15.42%
Cumulative %
Data as of quarter end: 06/30/2021
Fund NAV Closing Price Index
Since Inception16.28% 16.88% 16.88%
Growth of $10,000
Data as of 08/04/2021

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 08/04/2021
Name Identifier Position % NAV
NATURAL GAS FUTR SEP21 NGU21 Long 7.41%
CORN FUTURE DEC21 C Z1 Long 6.89%
SUGAR #11 (WORLD) OCT21 SBV1 Long 6.88%
GOLD 100 OZ FUTR DEC21 GCZ1 Short 6.71%
SOYBEAN FUTURE NOV21 S X1 Long 6.68%
GASOLINE RBOB FUT SEP21 XBU1 Long 6.67%
COPPER FUTURE SEP21 HGU1 Long 6.55%
NY HARB ULSD FUT SEP21 HOU1 Long 6.44%
WTI CRUDE FUTURE SEP21 CLU1 Long 6.41%
WHEAT FUTURE(CBT) DEC21 W Z1 Long 5.75%
LIVE CATTLE FUTR DEC21 LCZ1 Long 2.34%

Currency Exposures

Data as of 08/04/2021
Name Identifier Position % NAV
JPN YEN CURR FUT SEP21 JYU1 Short 16.5%
EURO FX CURR FUT SEP21 ECU1 Short 16.42%
BP CURRENCY FUT SEP21 BPU1 Long 16.34%
CHF CURRENCY FUT SEP21 SFU1 Short 16.24%
AUDUSD CRNCY FUT SEP21 ADU1 Short 14.89%
C$ CURRENCY FUT SEP21 CDU1 Long 14.73%

Fixed Income Exposures

Data as of 08/04/2021
Name Identifier Position % NAV
JPN 10Y BOND(OSE) SEP21 JBU1 Long 28.09%
LONG GILT FUTURE SEP21 G U1 Short 23.68%
CAN 10YR BOND FUT SEP21 CNU1 Short 18.34%
US 10YR NOTE (CBT)SEP21 TYU1 Short 8.61%
EURO-BUND FUTURE SEP21 RXU1 Long 8.45%

Collateral and Currency Management

Data as of 08/04/2021
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 447,000 22,922,160 77.03%
Cash 7,257,591 7,257,591 24.39%
JAPANESE YEN 3,721,264 33,995 0.11%
EURO -37,496 -44,389 -0.15%
BRITISH STERLING POUND -131,826 -183,066 -0.62%
CANADIAN DOLLAR -286,374 -228,223 -0.77%
29,758,068 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 08/04/2021
Full Holdings .CSV
Rank Company Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 77.03% SCHO US8085248628 Mutual Fund 447,000 22,922,160 0
2 Cash 24.39% Cash 7,257,591 7,257,591 0
3 JAPANESE YEN 0.11% Currency 3,721,264 33,995 0
4 GASOLINE RBOB FUT SEP21 0.00% XBU1 Future 21 0 1,984,500
5 JPN 10Y BOND(OSE) SEP21 0.00% JBU1 Future 6 0 8,358,288
6 WTI CRUDE FUTURE SEP21 0.00% CLU1 Future 28 0 1,908,200
7 WHEAT FUTURE(CBT) DEC21 0.00% W Z1 Future 47 0 1,712,563
8 US 10YR NOTE (CBT)SEP21 0.00% TYU1 Future -19 0 -2,561,734
9 SUGAR #11 (WORLD) OCT21 0.00% SBV1 Future 102 0 2,048,323
10 SOYBEAN FUTURE NOV21 0.00% S X1 Future 30 0 1,988,625

Holdings are subject to change.