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 05/05/2021
TickerKMLM
Primary ExchangeNYSE
CUSIP500767652
ISINUS5007676522
Net Assets$30,913,545
Total Annual Fund Operating Expense 0.90%
Inception Date12/2/2020
Distribution FrequencyAnnual

Fund Documents

Daily Performance

Data as of 05/05/2021
Premium Discount Chart
NAV
Net Asset Value$29.44 
Daily Change 0.64%
Price
Market Price $29.43 
Daily Change0.48%
30 Day Median Bid/Ask Spread
Value0.69%

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: 04/30/2021		 Fund NAV Closing Price Index
1 Month5.63% 6.09% 5.67%
3 Month9.73% 10.08% 10.01%
6 Month– – –
Since Inception16.40% 17.12% 16.72%
Cumulative %
Data as of quarter end: 03/31/2021		 Fund NAV Closing Price Index
Since Inception10.20% 10.40% 10.45%
Growth of $10,000
Data as of 05/05/2021

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 05/05/2021
Name Identifier Position % NAV
CORN FUTURE JUL21 C N1 Long 7.1%
NY HARB ULSD FUT JUN21 HOM1 Long 7.07%
GASOLINE RBOB FUT JUN21 XBM1 Long 7.01%
WTI CRUDE FUTURE JUN21 CLM1 Long 7.01%
SUGAR #11 (WORLD) JUL21 SBN1 Long 6.99%
COPPER FUTURE JUL21 HGN1 Long 6.95%
GOLD 100 OZ FUTR JUN21 GCM1 Short 6.93%
WHEAT FUTURE(CBT) JUL21 W N1 Long 6.86%
SOYBEAN FUTURE JUL21 S N1 Long 6.74%
LIVE CATTLE FUTR JUN21 LCM1 Long 4.74%
NATURAL GAS FUTR JUN21 NGM21 Long 0.29%

Currency Exposures

Data as of 05/05/2021
Name Identifier Position % NAV
BP CURRENCY FUT JUN21 BPM1 Long 16.31%
C$ CURRENCY FUT JUN21 CDM1 Long 16.07%
AUDUSD CRNCY FUT JUN21 ADM1 Long 16.04%
EURO FX CURR FUT JUN21 ECM1 Long 16.02%
JPN YEN CURR FUT JUN21 JYM1 Short 15.92%
CHF CURRENCY FUT JUN21 SFM1 Short 5.32%

Fixed Income Exposures

Data as of 05/05/2021
Name Identifier Position % NAV
JPN 10Y BOND(OSE) JUN21 JBM1 Short 26.9%
CAN 10YR BOND FUT JUN21 CNM1 Short 25.44%
LONG GILT FUTURE JUN21 G M1 Short 25.33%
US 10YR NOTE (CBT)JUN21 TYM1 Short 25.3%
EURO-BUND FUTURE JUN21 RXM1 Short 25.16%

Collateral and Currency Management

Data as of 05/05/2021
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 465,850 23,898,105 77.31%
Cash – 6,830,798 6,830,798 22.1%
CANADIAN DOLLAR – 157,209 128,109 0.41%
BRITISH STERLING POUND – 32,009 44,524 0.14%
EURO – 24,088 28,917 0.09%
JAPANESE YEN – -1,852,527 -16,966 -0.05%
30,913,487 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 05/05/2021
Full Holdings .CSV
Rank Company Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 77.31% SCHO US8085248628 Mutual Fund 465,850 23,898,105 0
2 Cash 22.10% – – Cash 6,830,798 6,830,798 0
3 CANADIAN DOLLAR 0.41% – – Currency 157,209 128,109 0
4 BRITISH STERLING POUND 0.14% – – Currency 32,009 44,524 0
5 EURO 0.09% – – Currency 24,088 28,917 0
6 WTI CRUDE FUTURE JUN21 0.00% CLM1 – Future 33 0 2,165,790
7 WHEAT FUTURE(CBT) JUL21 0.00% W N1 – Future 57 0 2,121,825
8 US 10YR NOTE (CBT)JUN21 0.00% TYM1 – Future -59 0 -7,820,266
9 SUGAR #11 (WORLD) JUL21 0.00% SBN1 – Future 110 0 2,159,696
10 SOYBEAN FUTURE JUL21 0.00% S N1 – Future 27 0 2,082,038

Holdings are subject to change.

Related Content:

Topics

©2021 Krane Funds Advisors, LLC
280 Park Avenue, 32nd Floor, New York, NY 10017

Carefully consider the Funds' investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds' full & summary prospectus, which may be obtained here: KLCD, KSCD, IVOL, KDFI, KRBN, KVLE, KMLM. Read the prospectus carefully before investing. Please note these links also contain the Funds' top ten holdings, performance, and other important information.

Risk Disclosures:

Investing involves risk, including possible loss of principal. There can be no assurance that a Fund will achieve its stated objectives.

The Funds may invest in derivatives, which are often more volatile than other investments and may magnify the Funds’ gains or losses. A derivative (i.e., futures/forward contracts, swaps, and options) is a contract that derives its value from the performance of an underlying asset. The primary risk of derivatives is that changes in the asset's market value and the derivative may not be proportionate, and some derivatives can have the potential for unlimited losses. Derivatives are also subject to liquidity and counterparty risk. The Funds are non-diversified.

KSCD and KVLE invest in small-capitalization companies. In addition to the normal risks associated with investing, investments in smaller companies typically exhibit higher volatility.

KSCD, KRBN, KVLE, and KMLM are subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate which may cause the Fund to suffer losses.

There is no guarantee that issuers of the stocks held by KSCD, KLCD, and KVLE will declare dividends in the future or that, if declared, such dividends will remain at current levels or increase over time.

IVOL’s derivatives investments involve risks. The derivatives used by IVOL may give rise to a form of leverage. Leverage magnifies the potential for gain and the risk of loss. The prices of options can be highly volatile and the use of options can lower total returns. OTC options generally have more flexible terms negotiated between the buyer and the seller. As a result, such instruments generally are subject to greater credit risk and counterparty risk. OTC instruments also may be subject to greater liquidity risk. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer term debt securities. IVOL seeks to mitigate the risk associated with the potential impact of a steepening swap curve (“curve risk”) on the performance of U.S. government bonds by investing in products designed to appreciate in value when the swap curve steepens. IVOL’s use of such instruments is intended to mitigate the curve risk and is not intended to mitigate credit risk, or non-curve interest rate risk. There is no guarantee that IVOL’s investments will completely eliminate the curve or inflation risk of the long positions in U.S. government bonds. In addition, when the swap curve flattens, the Fund’s investments will generally underperform a portfolio comprised solely of the U.S. government bonds. In a flattening curve environment, IVOL’s hedging strategy could result in disproportionately larger losses in IVOL’s options as compared to gains or losses in the U.S. government bond positions attributable to interest rate changes. IVOL’s exposure to derivatives tied to interest rates subjects IVOL to greater volatility than investments in traditional securities, such as stocks and bonds. Investing in derivatives tied to interest rates, including through options tied to the shape of the swap curve, is speculative and can be extremely volatile. IVOL is non-diversified.

There are risks involved with investing in options including total loss of principal. Options investing is not suitable for all investors. This Fund utilizes sophisticated options strategies which may not be suitable for all investors. For a more comprehensive discussion of the risks involved in options investing, please review Characterizations and Risks of Standardized Options available at www.theocc.com/about/publications/character-risks.jsp or contact the Options Clearing Corporation directly at 1 N. Wacker Dr., Suite 500, Chicago, IL 60606. (1-888-678-4667)

Based on Bloomberg reporting as of 5/8/2019, IVOL is the only US derivative based ETF to utilize OTC interest rate volatility options

KRBN relies on the existence of cap and trade regimes. There is no assurance that cap and trade regimes will continue to exist, or that they will prove to be an effective method of reduction in GHG emissions. Changes in U.S. law and related regulations may impact how the way the Fund operates, increase Fund costs and/or change the competitive landscape. Funds may underperform other similar funds that do not consider conscious company/ESG guidelines when making investment decisions.

KRBN and KMLM invest through a subsidiary and are indirectly exposed to the risks associated with the respective Subsidiary’s investments. Since the Subsidiary is organized under the law of the Cayman Islands and is not registered with the SEC under the Investment Company Act of 1940, as such the Fund will not receive all of the protections offered to shareholders of registered investment companies.

The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity.

KRBN, KMLM, and each Funds' subsidiary will be considered commodity pools upon commencement of operations, and each will be subject to regulation under the Commodity Exchange Act and CFTC rules. Commodity pools are subject to additional laws, regulations and enforcement policies, which may increase compliance costs and may affect the operations and performance of the Fund and the Subsidiary. Futures and other contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC.

Investments in non-U.S. instruments may involve risk of loss due to foreign currency fluctuations and political or economic instability. The Fund’s assets are expected to be concentrated in an industry or group of industries to the extent that the Index concentrates in a particular industry or group of industries. KRBN is non-diversified.

KDFI can invest in bonds generally and high-yield bonds specifically. Bonds and bond funds are subject to interest rate risk and will decline in value as interest rates rise. High yield bonds involve greater risks of default or downgrade and are more volatile than investment grade securities, due to the speculative nature of their investments.

Value Line®, the Value Line® Logo, Timeliness™ and Safety™ are trademarks or registered trademarks of Value Line, Inc. and/or its affiliates in the United States and other countries. Used by permission. This Fund is not sponsored, endorsed, sold or promoted by Value Line Publishing LLC (“VLP”), Value Line, Inc. (“VLI”) or any of their affiliates (collectively, “VL”). VL makes no representation or warranty, express or implied, to the owners and advisors of the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or any member of the public regarding the advisability of investing in securities generally or in the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF particularly. VL’s only relationship to Krane Funds Advisors LLC and 3D/L CAPITAL MANAGEMENT, LLC (“Licensees”) in connection with this KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF is Licensees right to license certain VL service marks and trade names and to use authorized advisory and sub-advisory service providers that license the Value Line® Safety™ Ranking System and the Value Line® Timeliness™ Ranking System (the “Ranks”), which are composed by VL without regard to Licensees, this KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or any investor. VL has no obligation to take the needs of Licensees or any investor in the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF into consideration in composing the Ranks. The KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF results may differ from the hypothetical or published results of the Ranks. VL is not responsible for and has not participated in the determination of the prices and composition of the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or the timing of the issuance for sale of the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or in the calculation of the equations by which the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF is to be converted into cash. VL MAKES NO WARRANTY AND EXPRESSLY DISCLAIMS ALL WARRANTIES CONCERNING THE RANKS, EXPRESS OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, ANY IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR ANY IMPLIED WARRANTIES ARISING FROM USAGE OF TRADE, COURSE OF DEALING OR COURSE OF PERFORMANCE, AND VL MAKES NO WARRANTY AS TO THE POTENTIAL PROFITS OR ANY OTHER BENEFITS THAT MAY BE ACHIEVED BY USING THE RANKS OR ANY INFORMATION OR MATERIALS GENERATED THEREFROM. VL DOES NOT WARRANT THAT THE RANKS WILL MEET ANY REQUIREMENTS OR THAT IT WILL BE ACCURATE OR ERROR-FREE. VL ALSO DOES NOT GUARANTEE ANY USES, INFORMATION, DATA OR OTHER RESULTS GENERATED FROM THE RANKS. VLP HAS NO OBLIGATION OR LIABILITY (I) IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR TRADING OF THIS KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF; OR (II) FOR ANY LOSS, DAMAGE, COST OR EXPENSE SUFFERED OR INCURRED BY ANY INVESTOR OR OTHER PERSON OR ENTITY IN CONNECTION WITH THIS KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF, AND IN NO EVENT SHALL VL BE LIABLE FOR ANY LOST PROFITS OR OTHER CONSEQUENTIAL, SPECIAL, PUNITIVE, INCIDENTAL, INDIRECT OR EXEMPLARY DAMAGES IN CONNECTION WITH THIS KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. THE LICENSING AGREEMENT TO WHICH KRANE FUNDS ADVISORS, LLC AND 3D/L CAPITAL MANAGEMENT, LLC ARE PARTIES (COLLECTIVELY THE “LICENSEES”) IS SOLELY FOR THEIR BENEFIT AND THE BENEFIT OF VL AND EAM, AND NOT FOR THE BENEFIT OF ANY OTHER OWNERS OF THE KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF OR ANY OTHER THIRD PARTIES.

Fund shares are bought and sold on an exchange at market price (not NAV) and are not individually redeemed from the Fund. However, shares may be redeemed at NAV directly by certain authorized broker-dealers (Authorized Participants) in very large creation/redemption units. The returns shown do not represent the returns you would receive if you traded shares at other times. Shares may trade at a premium or discount to their NAV in the secondary market. Brokerage commissions will reduce returns. Beginning 12/23/2020, market price returns are based on the official closing price of an ETF share or, if the official closing price isn't available, the midpoint between the national best bid and national best offer ("NBBO") as of the time the ETF calculates the current NAV per share. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The KFA Funds ETFs are distributed by SEI Investments Distribution Company (SIDCO), 1 Freedom Valley Drive, Oaks, PA 19456, which is not affiliated with Krane Funds Advisors, LLC, the Investment Adviser for the Funds, or any sub-advisers for the Funds.

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