KMLMKFA Mount Lucas Index Strategy ETF
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.
KMLM Portfolio Management
KMLM Tax Exposures
KMLM Fund Structure
KMLM Factset Analytics Block Liquidity
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 Asset Allocation