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KMLM — KraneShares Mount Lucas Managed Futures Index Strategy ETF

KMLM tracks the KFA MLM Index—a Mount Lucas–designed, rules-based trend program implemented with liquid futures across commodities, currencies, and global bonds (with materially less reliance on equity index futures than many equity-heavy CTAs).

Alpha Efficiency:CAlpha Efficiency grades how much return this ETF generates above the risk-free rate, independent of the equity market. SPY sets the B baseline. A higher grade means more return per unit of non-equity risk. KMLM is KraneShares’ managed-futures ETF: systematic trend and macro exposure without a bundled equity stack.

KMLM price history

Range
+13.23%
Total return (1Y)
KMLM

Total return (Yahoo adjusted close—dividends and splits per Yahoo), normalized to $10,000 at first available trade date. Educational only.

Strategy

KMLM tracks roughly two dozen futures markets across three sleeves: commodities, currencies, and global bonds. Volatility-aware weights and equal-risk contributions set the sizing. Signals are time-series momentum, so the fund can be long or short individual markets as trends evolve.

Futures rolls, margin, and exchange limits are the central implementation factors. Rebalance cadence and risk caps are detailed in Krane’s methodology documents.

Manager and Issuer Pedigree

Krane Funds Advisors lists the ETF and handles U.S. distribution; Mount Lucas Management LP is the index architect behind the KFA MLM Index. Mount Lucas has run systematic futures research since the 1980s and focuses on transparent, exchange-traded implementation of trend and macro premia rather than opaque hedge-fund share classes.

KraneShares’ U.S.-listed ETF complex is typically quoted in the high single-digit billions USD in sponsor league tables (order of magnitude)—large enough for institutional trading infrastructure but still a specialist versus integrated mega banks.

Outperformance

Outperforms when macro trends persist for months across FX, commodities, and rates, think sustained dollar moves, energy curves, or directional bond markets, while equities chop sideways. That is the classic “CTA diversification” window this sleeve is built for.

Underperforms in fast mean-reversion, liquidity shocks that invert futures curves, or synchronized risk-off can still punish trend systems after fees, favorable environments are those where trends are clean enough that implementation costs stay small relative to signal strength.

Similar ETFs

TickerNameScoreMERAUM
KMLMKraneShares Mount Lucas Managed Futures Index Strategy ETFC~0.90%~$400M
CTASimplify Managed Futures Strategy ETFB0.75%~$150M
DBMFiMGP DBi Managed Futures Strategy ETFB0.85%~$1.1B
RSBTReturn Stacked Bonds & Managed Futures ETFD1.02%~$126M

Official ETF page

Read the official ETF page for current NAV, holdings, and documents: KraneShares (KMLM).

Beta and MER may not be accurate.
Educational content only; not investment advice. Past performance does not guarantee future results.