KMLM

KFA Mount Lucas Index Strategy ETF

Download KMLM Presentation

Download Fact Sheet

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 12/06/2021
TickerKMLM
Primary ExchangeNYSE
CUSIP500767652
ISINUS5007676522
Net Assets$31,320,220
Total Annual Fund Operating Expense 0.90%
Inception Date12/2/2020
Distribution FrequencyAnnual

Daily Performance

Data as of 12/06/2021
Premium Discount Chart
NAV
Net Asset Value$28.47 
Daily Change 0.96%
Price
Market Price $28.50 
Daily Change0.67%
30 Day Median Bid/Ask Spread
Value0.48%

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: 11/30/2021
Fund NAV Closing Price Index
1 Month-5.94% -5.35% -5.77%
3 Month-1.12% 0.67% -0.41%
6 Month-3.05% -2.73% -2.07%
Since Inception13.28% 13.92% 14.74%
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 12/06/2021

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 12/06/2021
Name Identifier Position % NAV
NY HARB ULSD FUT MAR22 HOH2 Long 7.2%
GASOLINE RBOB FUT MAR22 XBH2 Long 7.08%
SOYBEAN FUTURE MAR22 S H2 Short 7.08%
WTI CRUDE FUTURE MAR22 CLH2 Long 7.06%
SUGAR #11 (WORLD) MAR22 SBH2 Long 6.99%
CORN FUTURE MAR22 C H2 Long 6.99%
WHEAT FUTURE(CBT) MAR22 W H2 Long 6.95%
COPPER FUTURE MAR22 HGH2 Long 6.92%
LIVE CATTLE FUTR FEB22 LCG2 Long 6.24%
NATURAL GAS FUTR MAR22 NGH22 Long 5.63%
GOLD 100 OZ FUTR FEB22 GCG2 Long 0.57%

Currency Exposures

Data as of 12/06/2021
Name Identifier Position % NAV
EURO FX CURR FUT DEC21 ECZ1 Short 16.21%
JPN YEN CURR FUT DEC21 JYZ1 Short 16.18%
BP CURRENCY FUT DEC21 BPZ1 Short 16.14%
AUDUSD CRNCY FUT DEC21 ADZ1 Short 15.96%
CHF CURRENCY FUT DEC21 SFZ1 Short 15.95%
C$ CURRENCY FUT DEC21 CDZ1 Short 7%

Fixed Income Exposures

Data as of 12/06/2021
Name Identifier Position % NAV
JPN 10Y BOND(OSE) DEC21 JBZ1 Long 25.7%
CAN 10YR BOND FUT MAR22 CNH2 Short 25.49%
US 10YR NOTE (CBT)MAR22 TYH2 Short 25.45%
LONG GILT FUTURE MAR22 G H2 Short 20.45%
EURO-BUND FUTURE MAR22 RXH2 Short 1.26%

Collateral and Currency Management

Data as of 12/06/2021
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 447,000 22,747,830 72.63%
Cash 8,818,249 8,818,249 28.16%
JAPANESE YEN 3,015,605 26,574 0.08%
BRITISH STERLING POUND -28,699 -38,049 -0.12%
EURO -70,713 -79,786 -0.25%
CANADIAN DOLLAR -197,457 -154,735 -0.49%
31,320,083 100%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 12/06/2021
Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 72.63% SCHO US8085248628 Mutual Fund 447,000 22,747,830 0
2 Cash 28.16% Cash 8,818,249 8,818,249 0
3 JAPANESE YEN 0.08% Currency 3,015,605 26,574 0
4 GASOLINE RBOB FUT MAR22 0.00% XBH2 Future 26 0 2,216,651
5 JPN 10Y BOND(OSE) DEC21 0.00% JBZ1 Future 6 0 8,049,877
6 WTI CRUDE FUTURE MAR22 0.00% CLH2 Future 32 0 2,210,240
7 WHEAT FUTURE(CBT) MAR22 0.00% W H2 Future 54 0 2,176,875
8 US 10YR NOTE (CBT)MAR22 0.00% TYH2 Future -61 0 -7,970,031
9 SUGAR #11 (WORLD) MAR22 0.00% SBH2 Future 102 0 2,188,838
10 SOYBEAN FUTURE MAR22 0.00% S H2 Future -35 0 -2,216,375

Holdings are subject to change.