At a glance
KMLM charges 0.9% a year. It has $297.9M in assets; it paid 4.24% of its price in distributions over the past 12 months, annual. Over the past year it returned +19.1% with distributions reinvested (S&P 500: +11.5%); over three years it returned +0.0% a year. At its worst it fell 14.9% in the 2022 bear market (S&P 500: 24.5%), and was back at its earlier high 2 months after the low.
The short version
KFA Mount Lucas Managed Futures Index Strategy ETF (KMLM) tracks the KFA MLM Index. The index follows trends, betting on either rising or falling prices in futures on 11 commodities, six currencies and five government bond markets, and the fund holds mostly Treasury bills alongside those futures. It aims to move differently from stocks. It returned 30.52% in 2022 but lost money in 2023, 2024 and 2025, and it charges 0.90% a year.
Price history
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KMLM +19.1% over the year to Oct 27, 2026, total return with distributions reinvested.
How it has behaved
| YTD | 1 yr | 3 yr | 5 yr | 10 yr | Since start | |
|---|---|---|---|---|---|---|
| KMLM official prospectus, to Dec 31, 2025 | — | -3.21% | — | +5.77% | — | — |
| Bloomberg Global Aggregate Index (Reflects no deduction for fees, expenses or taxes) index, same period | — | +8.17% | — | -1.83% | — | — |
| KFA MLM Index (Reflects no deduction for fees, expenses or taxes) index, same period | — | -1.69% | — | +7.77% | — | — |
| KMLM price data to Oct 27, 2026 | +18.1% | +19.1% | 0.0% | +4.7% | — | +5.1% |
- Over the year to Oct 27, 2026, KMLM returned +19.1%.
- Its 5-year annualized return was +4.7%.
- Its worst full calendar year was 2023 (-5.7%); its best was 2022 (+24.6%).
- The deepest fall in its price history was 30.8% (Oct 14, 2022 to Jun 20, 2025), not yet recovered.
Show as a table
| Year | Price data | Prospectus (official) |
|---|---|---|
| 2026 (to date) | +18.1% | — |
| 2025 | -3.0% | -3.21% |
| 2024 | -1.7% | -1.07% |
| 2023 | -5.7% | -5.98% |
| 2022 | +24.6% | +30.52% |
| 2021 | — | +7.34% |
| 2008 financial crisis stocks fell Oct 9, 2007 – Mar 9, 2009 | Before this security existed |
|---|---|
| 2020 COVID crash stocks fell Feb 19, 2020 – Mar 23, 2020 | Before this security existed |
| 2022 bear market stocks fell Jan 3, 2022 – Oct 12, 2022 | Gained 47.7% over that stretch · deepest drop along the way 14.9%, back to its old high 1.7 months after the low |
Dividends and income
Show as a table
| Year | Per share | Change |
|---|---|---|
| 2025 | $1.3000 | +465.2% |
| 2024 | $0.2300 | -90.7% |
| 2022 | $2.4800 |
What's inside
As of Jun 30, 2026, the fund held 4 securities; the ten largest made up 50.26% of assets.
| Holding | Weight | |
|---|---|---|
| United States of America Bonds and notes | 16.78% | |
| United States of America Bonds and notes | 16.75% | |
| United States of America Bonds and notes | 13.39% | |
| United States of America Bonds and notes | 3.34% |
By country
United States 50.26%By issuer
US Treasury 50.26%The bonds mature in 0.1 years on average (weighted by size), with an average coupon of 0%.
Source: N-PORT holdings report as of Jun 30, 2026. Cash, money-market funds and derivatives are shown separately from the securities list.What changed recently
- Over the three months to Jun 30, 2026, investors added a net $34.8M (creations minus redemptions, per the N-PORT report).
- Monthly total returns reported for that quarter: -2.87%, -4.20%, +5.02%.
How it works
The fund tries to match the KFA MLM Index, a modified version of the MLM Index. Mount Lucas Index Advisers runs the index and is also the fund's sub-adviser. It is affiliated with the adviser, Krane Funds Advisors. The index follows trends: it checks each market's price signals daily and holds it long (a bet that prices rise) or short (a bet that they fall). As of March 31, 2026, it covered 11 commodities, including crude oil, gold, corn and cattle. It also covered six currencies, such as the euro and Japanese yen, and five bond markets, including 10-year Treasuries and Euro bunds.
Each of the three groups gets a weight based on how volatile it has been in the past. Within a group, each market gets an equal dollar amount. The index rebalances on the first day of each month and rolls each contract forward as it nears expiration. It picks its markets once a year and aims for average annual volatility of about 15% over time. The fund may not copy the index exactly.
Futures require only part of their value up front, so about half the fund's assets sat in short-term Treasury bills as of June 30, 2026. Commodity futures are held through a Cayman Islands subsidiary that the fund owns outright. Tax rules cap that subsidiary at 25% of assets. Because of its futures use, the fund is regulated as a commodity pool, and it is non-diversified.
What it really costs
- KMLM charges 0.9% a year.
- Of that, 0.89% is the management fee; the rest covers other fund expenses.
- Using the prospectus's standard example, $10,000 invested would cost about $92 in the first year and $1,108 over 10 years (assuming a 5% annual return).
| Cost of $10,000 (SEC example) | 1 yr | 3 yrs | 5 yrs | 10 yrs |
|---|---|---|---|---|
| KMLM | $92 | $287 | $498 | $1,108 |
In a retirement portfolio
Its trend-following futures have often moved independently of stocks, with a one-year beta of -0.18 as of October 27, 2026.
Beta measures how much a fund tends to move with the stock market. A negative figure like KMLM's means it has tended to move slightly the other way. The fund launched in December 2020, so it has no record from 2008 or the 2020 crash. From the market's January 3, 2022 peak to its October 12 low, KMLM rose 47.7%, and it returned 30.52% for calendar 2022. However, it then lost money in 2023, 2024 and 2025, and 2023 was its worst year at -5.98%. It fell 30.8% between October 2022 and June 2025 and had not recovered as of October 27, 2026. Anyone forced to sell during a weak stretch for the strategy could lock in losses. It pays only once a year (4.24% trailing yield) and costs 0.90% a year. Past results don't predict the future, and a plan should weigh the whole portfolio, not one fund.
Who it may suit — and who should look elsewhere
May suit
- Investors seeking a holding that has moved differently from stocks, shown by its 30.52% gain in 2022 and a one-year beta of -0.18.
- Those comfortable with a rules-based trend system that can bet against commodities, currencies and government bonds, not only on them.
- Patient holders willing to sit through multi-year losing stretches, like 2023 to 2025, in exchange for possible gains when strong trends return.
Look elsewhere if
- Investors needing regular income: it pays once a year, and its 4.24% trailing yield as of October 27, 2026 can vary widely.
- Cost-focused investors: the 0.90% expense ratio adds up to $1,108 over 10 years on $10,000 in the SEC's standard example.
- Anyone unwilling to hold through deep drops: it fell 30.8% from October 2022 to June 2025 and hadn't recovered by October 27, 2026.
Close alternatives
Matched by holdings overlap from the latest N-PORT reports.
No close alternatives found.
Questions investors ask
What does KMLM actually hold?
Mostly futures contracts and short-term Treasury bills. As of June 30, 2026, four Treasury bills made up about 50.3% of assets. Its 22 futures positions included Australian dollar futures at about 16.1% of assets, followed by live cattle, copper, gasoline and wheat at roughly 7% each. Positions can be long or short and change as the index's trend signals change, so the mix can look very different from one month to the next.
Is KMLM a good hedge against a stock market crash?
Not reliably, because its record covers only one bear market. From the stock market's January 3, 2022 peak to its October 12 low, KMLM rose 47.7%. It launched in December 2020, so it was never tested in 2008 or the 2020 COVID crash. Trend following tends to help most in long, steady declines and can struggle in sudden crashes that reverse quickly. Its one-year beta to stocks was -0.18 as of October 27, 2026.
Why did KMLM lose money after 2022?
It went through a long losing stretch after a strong 2022. After gaining 30.52% in 2022, it lost 5.98% in 2023, 1.07% in 2024 and 3.21% in 2025, according to its prospectus. It fell 30.8% from an October 14, 2022 peak to a June 20, 2025 low. Trend strategies tend to lose when markets reverse or move sideways. Price returns later improved: the fund was up 18.1% year to date as of October 27, 2026, though still below its peak.
What is KMLM's expense ratio?
It is 0.90% a year, according to the prospectus filed July 29, 2026. Almost all of that is a 0.89% management fee. The SEC's standard example assumes $10,000 invested, a 5% annual return and all shares sold at the end of each period. On that basis, costs would total about $92 after one year, $287 after three, $498 after five and $1,108 after ten. That is well above broad index funds, so it's worth comparing with other managed futures ETFs.
Does KMLM pay a dividend?
Yes, but only once a year. Over the 12 months through October 27, 2026, it paid about $1.30 per share, a trailing yield of 4.24%. Because it makes a single annual payment, the amount can vary a lot from year to year. The fund isn't built as an income holding. Its purpose is to add diversification through trend-following futures, not to provide steady payouts.