KraneShares Mount Lucas Managed Futures Index Strategy ETF

Frequently Asked Questions About KMLM

What does KMLM invest in?

The KMLM fund strives for overall capital appreciation by strategically employing both long and short positions, informed by daily trading signals, across futures contracts in commodities, currencies, and global fixed income. For tax efficiency, KMLM accesses futures markets through a wholly-owned subsidiary situated in the Cayman Islands, rather than holding the contracts directly. Annually, an index committee selects 22 distinct futures contracts from these three broad asset categories. The weighting assigned to each of the three categories is determined by their historical volatility, with all contracts within a chosen category being equally weighted. The portfolio is rebalanced on a monthly basis, and contracts are rolled over on a market-specific schedule as they approach expiration. The fund also has the discretion to invest in instruments not part of the index, including equities or various derivatives such as swaps, forwards, structured notes, and options. Historically, the fund was actively managed before April 1, 2022, and was known as the KFA Mount Lucas Index Strategy ETF until November 10, 2022. A future rebranding is scheduled for August 1, 2024, at which point "KFA" will be replaced by "KraneShares" in the fund's name.

What is the expense ratio of KMLM?

KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) charges an expense ratio of 0.90%. This is the annual fee deducted from fund assets to cover management and operations.

How big is KMLM?

KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) manages $594.7M in total assets. AUM determines bid-ask liquidity and the fund's vulnerability to closure. Funds below ~$50M are at higher risk of liquidation.

Is KMLM actively managed or an index fund?

KMLM is actively managed: the manager selects holdings rather than tracking an index. Active funds typically charge higher expense ratios than index funds (KMLM's is 0.90%) in exchange for the discretion to over- or under-weight positions.

When was KMLM launched?

KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) launched in December 2020 and is managed by KraneShares.

How has KMLM performed?

KMLM's total return (price change plus reinvested distributions) is charted at the top of this page. Switch the price chart to Total Return and pick a 1-year, 3-year, 5-year, or 10-year window to read the compound annual growth rate (CAGR) over each horizon.