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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 09/23/2022
Ticker KMLM
Primary Exchange NYSE
CUSIP 500767652
ISIN US5007676522
Net Assets $248,726,839
Total Annual Fund Operating Expense 0.92%
Inception Date 12/2/2020
Distribution Frequency Annual

Daily Performance

Data as of 09/23/2022
Premium Discount Chart
NAV
Net Asset Value$37.97 
Daily Change 1.71%
Price
Market Price $38.15 
Daily Change 1.71%
30 Day Median Bid/Ask Spread
 
0.53%

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: 08/31/2022
Fund NAV Closing Price Index
1 Month 7.73% 8.69% 8.53%
3 Month 3.17% 4.45% 4.59%
6 Month 25.73% 27.51% 28.87%
Since Inception 56.01% 57.65% 63.83%
Avg Annualized %
Data as of month end: 08/31/2022
Fund NAV Closing Price Index
1 Year 36.18% 39.32% 42.19%
Since Inception 28.97% 29.75% 32.63%
Avg Annualized %
Data as of quarter end: 06/30/2022
Fund NAV Closing Price Index
1 Year 28.25% 27.28% 33.06%
Since Inception 28.82% 28.62% 32.29%
Growth of $10,000
Data as of 09/23/2022

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 09/26/2022
Name Identifier Position % NAV
WHEAT FUTURE(CBT) DEC22 W Z2 Short 6.86%
SUGAR #11 (WORLD) MAR23 SBH3 Short 6.73%
CORN FUTURE DEC22 C Z2 Long 6.62%
LIVE CATTLE FUTR DEC22 LCZ2 Long 6.61%
SOYBEAN FUTURE NOV22 S X2 Long 6.61%
GOLD 100 OZ FUTR DEC22 GCZ2 Short 6.30%
COPPER FUTURE DEC22 HGZ2 Short 6.23%
NY HARB ULSD FUT DEC22 HOZ2 Long 5.59%
NATURAL GAS FUTR DEC22 NGZ22 Long 5.15%
GASOLINE RBOB FUT DEC22 XBZ2 Short 2.69%
WTI CRUDE FUTURE DEC22 CLZ2 Long 1.38%

Currency Exposures

Data as of 09/26/2022
Name Identifier Position % NAV
CHF CURRENCY FUT DEC22 SFZ2 Short 15.53%
JPN YEN CURR FUT DEC22 JYZ2 Short 15.18%
EURO FX CURR FUT DEC22 ECZ2 Short 15.16%
C$ CURRENCY FUT DEC22 CDZ2 Short 15.15%
AUDUSD CRNCY FUT DEC22 ADZ2 Short 14.94%
BP CURRENCY FUT DEC22 BPZ2 Short 14.56%

Fixed Income Exposures

Data as of 09/26/2022
Name Identifier Position % NAV
JPN 10Y BOND(OSE) DEC22 JBZ2 Short 23.87%
US 10YR NOTE (CBT)DEC22 TYZ2 Short 23.68%
CAN 10YR BOND FUT DEC22 CNZ2 Short 23.53%
EURO-BUND FUTURE DEC22 RXZ2 Short 22.70%
LONG GILT FUTURE DEC22 G Z2 Short 20.39%

Collateral and Currency Management

Data as of 09/26/2022
Name Identifier Position Current Exposure($) % NAV
SCHWAB SHORT-TER SCHO 2,900,000 139,635,000 56.14%
Cash 104,266,015 104,266,015 41.92%
BRITISH STERLING POUND 7,947,940 8,503,927 3.42%
EURO 4,361,588 4,191,940 1.69%
CANADIAN DOLLAR 1,751,527 1,275,461 0.51%
JAPANESE YEN -49,650,677 -343,461 -0.14%
257,528,882 104%

Holdings, futures, and collateral are subject to change.

Top 10 Holdings

Data as of 09/26/2022
Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($) Notional Value($)
1 SCHWAB SHORT-TER 54.22% SCHO US8085248628 Mutual Fund 2,900,000 139,635,000 0
2 Cash 40.49% Cash 104,266,015 104,266,015 0
3 BRITISH STERLING POUND 3.30% Currency 7,947,940 8,503,927 0
4 EURO 1.63% Currency 4,361,588 4,191,940 0
5 CANADIAN DOLLAR 0.50% Currency 1,751,527 1,275,461 0
6 AUDUSD CRNCY FUT DEC22 0.00% ADZ2 Future -575 0 -37,170,875
7 BP CURRENCY FUT DEC22 0.00% BPZ2 Future -542 0 -36,222,538
8 C$ CURRENCY FUT DEC22 0.00% CDZ2 Future -518 0 -37,684,500
9 CAN 10YR BOND FUT DEC22 0.00% CNZ2 Future -652 0 -58,522,134
10 CHF CURRENCY FUT DEC22 0.00% SFZ2 Future -305 0 -38,620,625

Holdings are subject to change.