KMLM

KFA Mount Lucas Index Strategy ETF
*Unless otherwise stated, data provided by FactSet.

KMLM Fund Description

KMLM is an actively-managed, trend following long/short managed futures ETF. The fund allocates to commodity, currency and global fixed income futures based on relative historical volatility.

KMLM Factset Analytics Insight

KMLM focuses on total return using long and short positions, as determined by daily trading signals, in commodity, currency, and global fixed income futures. For tax purposes, KMLM does not hold the futures contracts but gets its exposure through a wholly-owned Cayman Island subsidiary, an approach that is common among alternative ETFs. The fund is actively managed but will hold similar exposure to an MLM benchmark index. On an annual basis, an index committee selects 22 different futures contracts from the three broad categories. Weighting to the three categories is based on historical volatility. The contracts within each category are equally weighted. The portfolio is rebalanced monthly and contracts are rolled on a market by market basis as the contracts near their respective expiration. The Fund may also invest in instruments that are not included in the index such as equity securities or other derivatives including swaps, forwards, structured notes and options.

PERFORMANCE [as of 07/01/22] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
KMLM -3.03% 10.99% 32.26% 20.19% -- -- --
KMLM (NAV) -2.79% 10.77% 31.63% 19.75% -- -- --
No Underlying Index -- -- -- -- -- -- --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

KMLM Summary Data

CICC
KraneShares
12/02/20
Open-Ended Fund
0.90%
$130.77M
$3.01M
0.60%

KMLM Portfolio Data

Long/Short Broad-based
--
N/A
--

KMLM Index Data

No Underlying Index
Equal
Committee
N/A

KMLM Portfolio Management

0.90%
--
--
--

KMLM Tax Exposures

20.00% / 39.60%
--
Ordinary income
No

KMLM Fund Structure

Open-Ended Fund
No
No
-- / --
N/A
N/A
Low
Daily

KMLM Factset Analytics Block Liquidity

As of 07/06/22
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of KMLM. KMLM is rated a N/A out of 5.

KMLM Tradability

82,263
$3.01M
38,696
$1.40M
0.60%
$0.21
0.07%
2.51% / -2.87%
None
100.00%
50,000
0.77
0.04%
--
5
$34.87
N/A

KMLM Asset Allocation

Short
Long
Net
--
--

0.00%

--
--

0.00%

--
--

0.00%

--
--

0.00%

KMLM Top 5 Holdings Long

23.82%
18.37%

KMLM Top 5 Holdings Short

--

KMLM Performance Statistics

19.75%
10.44%
-6.46%
0.06
0.07
-1.63
7.07

KMLM Correlations (Daily Returns 12 Mo)

0.04
-0.39
0.77