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Trending ETFs

Name

As of 11/19/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$27.97

$253 M

0.00%

0.90%

Vitals

YTD Return

-2.9%

1 yr return

-9.4%

3 Yr Avg Return

4.3%

5 Yr Avg Return

N/A

Net Assets

$253 M

Holdings in Top 10

129.1%

52 WEEK LOW AND HIGH

$28.0
$27.64
$31.34

Expenses

OPERATING FEES

Expense Ratio 0.90%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

N/A

IRA

N/A


Fund Classification

Fund Type

Exchange Traded Fund


Name

As of 11/19/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$27.97

$253 M

0.00%

0.90%

KMLM - Profile

Distributions

  • YTD Total Return -2.9%
  • 3 Yr Annualized Total Return 4.3%
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    KFA Mount Lucas Managed Futures Index Strategy ETF
  • Fund Family Name
    Krane Funds Advisors, LLC
  • Inception Date
    Dec 01, 2020
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Gerald Prior

Fund Description

The Fund seeks to achieve its goal by investing in commodity, currency, and global fixed income futures contracts traded on U.S. and foreign exchanges that are the same as or similar to those included in the Index.

The Index is a modified version of the MLM Index, which is an index that measures the performance of a portfolio of commodity, currency, and global fixed income futures contracts traded on U.S. and foreign exchanges using a trend following methodology. The Index determines weightings of these three types of futures contracts by the relative historical volatility of each type of futures contract as determined by the MLM Index Committee. Within each type of futures contract, the underlying constituent markets are equal dollar weighted.

The Index will roll futures contracts forward on a market by market basis as each constituent market nears expiration. The selection of the constituent markets occurs annually. The constituent markets of the futures contracts for the Index currently consist of the following commodities (corn, crude oil, copper, gold, heating oil, cattle, natural gas, soybeans, sugar, wheat and gasoline), currencies (British pound, Canadian dollar, Australian dollar, Euro, Japanese Yen, and Swiss francs), and global bond markets (Canadian government bond, Euro bund, Japanese government bond, Long gilt and Ten-year Treasuries). Constituent markets are traded both long and short based on each market’s trading signals.

The Index evaluates market trading signals on a daily basis and rebalances on the first day of the month. In addition, the Index has a target average annualized volatility of 15% over time.

The Fund invests in futures contracts on commodities, currencies and global bond markets. The Fund utilizes a subsidiary (the “Subsidiary”) for purposes of investing in futures contracts on commodities. The Subsidiary is a corporation operating under Cayman Islands law that is wholly-owned and controlled by the Fund. The Subsidiary is advised by the Fund’s investment adviser, Krane Funds Advisors, LLC (“Krane” or “Adviser”) and is sub-advised by Mount Lucas Index Advisers LLC, the Fund’s sub-adviser (“MLIA” or “Sub-Adviser”). The Fund’s investment in the Subsidiary may not exceed 25% of the value of its total assets (ignoring any subsequent market appreciation in the Subsidiary’s value), which limitation is imposed by the Internal Revenue Code of 1986, as amended, and is measured at the end of the quarter. The Subsidiary has the same investment objective as the Fund and follows the same investment policies and restrictions as the Fund. Except as noted, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of its Subsidiary, and references to the Fund include the Subsidiary. While the Fund generally seeks to maintain exposure to the same futures contracts as those included in the Index, the Fund and Subsidiary may not replicate the Index. For example, the Fund may invest in futures with different maturity dates, the Fund may weigh the futures differently than the Index, or the Fund may purchase futures on different dates than the rebalancing date for the Index. Fund assets not invested in futures contracts or the Subsidiary generally will be invested in debt instruments, exchange-traded funds (“ETFs”), cash or cash equivalent instruments, or money market mutual funds.

The Fund may also invest directly and indirectly in certain debt instruments. The debt instruments in which the Fund intends to invest include government securities and corporate or other non-government fixed-income securities with maturities of up to 12 months. The Fund may invest in debt instruments indirectly through short-term bond funds and ETFs. The Fund may also invest in cash and cash equivalents, including money market funds. Currently, the Fund expects to invest in ETFs to gain exposure to debt instruments.

The Fund may also invest in instruments that are not included in the Index. These investments may include equity securities, derivative instruments (including swaps, futures, forwards, structured notes and options), other investment companies (including ETFs) and cash or cash equivalents (including money market funds). The other investment companies in which the Fund may invest may be advised, sponsored or otherwise serviced by Krane and/or its affiliates.

The Commodities Futures Trading Commission (the “CFTC”) has adopted certain requirements that subject registered investment companies and their advisers to regulation by the CFTC if a registered investment company invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps, or if a registered investment company markets itself as providing investment exposure to such instruments. Due to the Fund’s use of CFTC-regulated futures and swaps above CFTC Rule 4.5 limits, the Fund is considered a “commodity pool” under the Commodity Exchange Act.

The Fund is non-diversified. To the extent the Index is concentrated in a particular industry, the Fund is expected to be concentrated in that industry. As of May 31, 2024, the Index was invested in the futures contracts of the 11 commodities, 6 currencies, and 5 global bond markets listed above.

The Index is provided by MLIA (“Index Provider”), and the Index is calculated by Fuzzy Logix, Inc. (doing business as “FastINDX”).

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KMLM - Performance

Return Ranking - Trailing

Period KMLM Return Category Return Low Category Return High Rank in Category (%)
YTD -2.9% -7.4% 14.6% 11.70%
1 Yr -9.4% -16.1% 36.5% N/A
3 Yr 4.3%* -7.9% 13.3% N/A
5 Yr N/A* -5.3% 10.0% N/A
10 Yr N/A* -2.4% 4.3% N/A

* Annualized

Return Ranking - Calendar

Period KMLM Return Category Return Low Category Return High Rank in Category (%)
2023 -5.7% -16.4% 12.9% N/A
2022 15.3% -9.3% 17.5% N/A
2021 0.2% -25.8% 2.2% N/A
2020 N/A -5.1% 21.0% N/A
2019 N/A -20.3% 4.6% N/A

Total Return Ranking - Trailing

Period KMLM Return Category Return Low Category Return High Rank in Category (%)
YTD -2.9% -7.4% 14.6% 12.77%
1 Yr -9.4% -20.3% 36.5% N/A
3 Yr 4.3%* -9.0% 11.1% N/A
5 Yr N/A* -5.7% 8.7% N/A
10 Yr N/A* -2.4% 4.3% N/A

* Annualized

Total Return Ranking - Calendar

Period KMLM Return Category Return Low Category Return High Rank in Category (%)
2023 -5.7% -16.4% 12.9% N/A
2022 30.4% -9.3% 17.5% N/A
2021 7.1% -20.3% 2.5% N/A
2020 N/A -5.1% 21.0% N/A
2019 N/A -20.3% 6.7% N/A

KMLM - Holdings

Concentration Analysis

KMLM Category Low Category High KMLM % Rank
Net Assets 253 M 2.12 M 1.74 B 72.34%
Number of Holdings 26 3 876 84.04%
Net Assets in Top 10 361 M -100 M 2.04 B 93.62%
Weighting of Top 10 129.06% 20.3% 94.0% 33.33%

Top 10 Holdings

  1. BP CURRENCY FUT SEP24 CURRENCY FUTURE. 16.37%
  2. CAN 10YR BOND FUT SEP24 FINANCIAL COMMODITY FUTURE. 16.10%
  3. AUDUSD CRNCY FUT SEP24 CURRENCY FUTURE. 14.96%
  4. TREASURY BILL 0.000000% 07/02/2024 14.30%
  5. TREASURY BILL 0.000000% 07/23/2024 14.26%
  6. TREASURY BILL 0.000000% 07/30/2024 14.24%
  7. TREASURY BILL 0.000000% 08/06/2024 14.23%
  8. LONG GILT FUTURE SEP24 FINANCIAL COMMODITY FUTURE. 11.16%
  9. GOLD 100 OZ FUTR AUG24 PHYSICAL COMMODITY FUTURE. 6.86%
  10. COPPER FUTURE SEP24 PHYSICAL COMMODITY FUTURE. 6.60%

Asset Allocation

Weighting Return Low Return High KMLM % Rank
Cash
132.60% -687.11% 117.03% 1.06%
Bonds
57.03% -50.36% 717.59% 89.36%
Stocks
0.00% -1.78% 72.26% 85.11%
Preferred Stocks
0.00% 0.00% 0.13% 52.13%
Convertible Bonds
0.00% 0.00% 2.27% 59.57%
Other
-89.62% 0.00% 58.63% 95.74%

Bond Sector Breakdown

Weighting Return Low Return High KMLM % Rank
Cash & Equivalents
0.00% 1.07% 100.00% 80.85%
Securitized
0.00% 0.00% 64.73% 59.57%
Corporate
0.00% 0.00% 31.20% 63.83%
Municipal
0.00% 0.00% 6.83% 53.19%
Government
0.00% 0.00% 82.10% 48.94%
Derivative
-89.62% 0.00% 63.99% 11.70%

Bond Geographic Breakdown

Weighting Return Low Return High KMLM % Rank
US
57.03% -169.44% 233.08% 22.34%
Non US
0.00% -77.11% 655.95% 100.00%

KMLM - Expenses

Operational Fees

KMLM Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.90% 0.75% 12.88% N/A
Management Fee 0.89% 0.65% 2.99% 8.51%
12b-1 Fee N/A 0.00% 1.00% 11.48%
Administrative Fee N/A 0.09% 0.45% N/A

Sales Fees

KMLM Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 3.50% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

KMLM Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 1.00% 1.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

KMLM Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 0.00% 198.00% N/A

KMLM - Distributions

Dividend Yield Analysis

KMLM Category Low Category High KMLM % Rank
Dividend Yield 0.00% 0.00% 0.00% 46.81%

Dividend Distribution Analysis

KMLM Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Quarterly Annually

Net Income Ratio Analysis

KMLM Category Low Category High KMLM % Rank
Net Income Ratio N/A -3.14% 1.55% N/A

Capital Gain Distribution Analysis

KMLM Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually

Distributions History

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KMLM - Fund Manager Analysis

Managers

Gerald Prior


Start Date

Tenure

Tenure Rank

Dec 01, 2020

1.5

1.5%

Gerald L. Prior, III is Chief Operating Officer and Portfolio Manager of Mount Lucas Management LP and a Manager of its General Partner, MLM LLC. Mr. Prior joined the predecessor to Mount Lucas Management LP (Mount Lucas Management Corp.) in 1997. He served as portfolio manager for MLM Index™, for MLM Symmetry™ and for custom quantitative derivative products. Previously, he was responsible for maintaining the firm’s investment technology infrastructure and for conducting extensive portfolio research using futures modelling.

David Aspell


Start Date

Tenure

Tenure Rank

Dec 01, 2020

1.5

1.5%

Mr. David Aspell serves as Portfolio Manager at Mount Lucas Management. David joined Mount Lucas in 2011 as the firm's Chief Risk Officer. Prior to joining Mount Lucas, David spent approximately 6 years at Man Group as a Senior Risk Manager, working in London, New York and Chicago. He holds a Masters degree from Nottingham University.

Timothy Rudderow


Start Date

Tenure

Tenure Rank

Dec 01, 2020

1.5

1.5%

Mr. Timothy Rudderow is the Co-Founder and serves as Chief Executive Officer, President and Chief Investment Officer at Mount Lucas Management. Tim co-founded Mount Lucas in 1986 and is the firm's president, overseeing all of its activities. He has been in the investment business since the late 1970s, when he worked at Commodities Corporation with the late Frank Vannerson, another co-founder of Mount Lucas. Tim specializes in the design and management of technical trading systems applied to the futures, equity, and fixed income markets. He holds a B.A. in Mathematics from Rutgers University and an M.B.A. in Management Analysis from Drexel University.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.16 14.09 5.41 5.06