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Launched · SEC filings

KraneShares Mount Lucas Managed Futures Index Strategy ETF

KMLMNYSE ArcaKraneSharesC

$29.94−0.75 (−2.44%)

At close: Nov 2, 2026, 4:00 PM ET

C45/ 100

Rank 9 of 16 in Managed Futures

C45/100Rank 9 of 16inManaged Futures
Intraday session: down, 79 prints from 30.69 to 29.94. Range 29.90 to 30.14. Use the arrow keys to read each point.30.2030.4030.6010 AM12 PM2 PM4 PM
Expense ratio
0.90%
Fund size
$596M
1Y total return
+20.7%
Yield · Last 12 months
4.25%
Holdings
8
Avg volume · 30D
338K sh
52W range
low $25.77high $31.74
Launched
Filings
SEC EDGAR

The ETF.net KMLM Grade

Based on 4 of 6 pillars

C

Score 45 out of 100

Category
Managed Futures⁠
Rank
9 of 16
Six-pillar profile for KMLM. Scores out of 100: Cost 33, Risk 42, Mission not scored, Tradability 65, Holdings not scored, Durability 75. Strongest: Durability (75). Weakest: Cost (33). Based on 4 of 6 pillars.

Score 45 of 100 falls in the C band. A is 70 or higher, B 55 to under 70, C 40 to under 55, D 25 to under 40, F under 25.

  • Cost

    The fund’s net expense ratio, ranked against its category.
    D33 out of 100
    Rank 11 of 16

  • Mission

    Whether the fund did what it promised, tested against its stated mandate.
    Not scored

  • Risk

    How the fund held up when markets fell: downside volatility, drawdowns and tail loss.
    C42 out of 100
    Rank 8 of 15

  • Tradability

    How easy the fund is to trade: daily volume, and how far its price strays from net asset value.
    B65 out of 100
    Rank 3 of 16

  • Holdings

    How concentrated the fund is, and how complete and current its disclosed holdings are.
    Not scored

  • Durability

    Whether the fund is likely to stay open, judged by its age, its assets and its issuer’s assets.
    A75 out of 100
    Rank 5 of 16

Our read on KMLM

ETF.net Research

In short

CTrend following in its purest form: a rules-based index Mount Lucas has published since 1988, going long or short across commodities, currencies and global bonds. No stocks in the mix, by design.

Stated mandate

The Fund seeks to track, before fees and expenses, the price performance of the KFA MLM Index.

Why people hold it

  • Tracks the KFA MLM Index, a continuation of the MLM Index first published in 1988, so the rulebook comes with decades of live history rather than a backtest.kraneshares.comkraneshares.com 2
  • Long or short, set by rule: a daily signal compares each market's price to its long-term moving average, so the fund can be positioned short a falling market.kraneshares.com
  • About two dozen futures markets across commodities, currencies and global bonds, with the three baskets weighted by relative historical volatility and members equal-dollar weighted.kraneshares.comkraneshares.com 2
  • Trades futures but sends shareholders a 1099, not a K-1, keeping tax paperwork closer to an ordinary ETF.kraneshares.com

Worth knowing

  • The 0.90% expense ratio buys the futures machinery and sits well above what plain index-tracking funds in its peer group charge.
  • Trend signals need sustained moves. Choppy, direction-free markets are the environment this mechanism handles worst.kraneshares.comkraneshares.com 2
  • It is a non-diversified commodity pool with no equity futures at all, so it moves on its own schedule instead of alongside a stock portfolio.kraneshares.comkraneshares.com 2

KMLM Performance

Launched Dec 1, 2020

Shows how $10,000 changes over the selected period, with cash distributions reinvested at the closing price on each ex-dividend date.

Not enough history yet.
KMLM$12,066
SPY tracks large US stocks. It provides market context, rather than representing this fund’s strategy, asset class or investment benchmark.$11,199
Oct 31, 2025 to Oct 30, 2026. KMLM $12,066. SPY $11,199. Use the arrow keys to read each point.$10,000$11,000$12,000Oct 2025Apr 2026Oct 2026

Oct 31, 2025 – Oct 30, 2026

Returns run to the Oct 30, 2026 close, with cash distributions reinvested. Each period starts on the same date that many months or years earlier. Periods over one year show the average yearly return.

Trailing total return for KMLM. Periods over one year show the average yearly return.
PeriodKMLM
Year to date+18.3%
1 month−1.3%
3 months+4.7%
1 year+20.7%
3 yearsper year+0.1%
5 yearsper year+5.5%
10 yearsFund is under 10 years oldper yearNo data

With distributions reinvested.

Calendar-year total return with cash distributions hypothetically reinvested at the ex-dividend date’s closing price. The current year shows year to date.

Annual total returns for KMLM
YearReturn barKMLM
2026 YTD+18.3%
2025−3.0%
2024−1.7%

KMLM in the news

KMLM Dividends

Adds up every distribution paid per share over the last 12 months, divided by the last completed close. Distributions are counted by ex-date. Data through Oct 30, 2026.
4.25%Last 12 months
Payout per share
$1.30Last 12 months
Last payment
$1.30 per share
Paid on
Shares bought on or after this date do not qualify for this distribution.
Frequency
Annual

Distribution history

2021–2026

One bar per payment. 4 payments from 2021 to 2026 YTD. Dec 29, 2021 $1.84; Dec 28, 2022 $4.04; Dec 17, 2024 $0.23; Dec 22, 2025 $1.30. Use the arrow keys to read each point.202120222023202420252026YTD
Ex-datePay dateAmount per share
Dec 22, 2025Dec 23, 2025$1.30
Dec 17, 2024Dec 18, 2024$0.23
Dec 28, 2022Dec 30, 2022$4.04
Dec 29, 2021Dec 31, 2021$1.84

$10,000 in KMLM 5 years ago paid $2,536 in dividends.

KMLM Risk

Risk pillarC42 out of 100Rank 8 of 15 in Managed Futures
How much the fund’s monthly returns vary, scaled to a year.
10.8%
Annualised · 36 months to Oct 2026
How it’s calculated: standard deviation

The sample standard deviation of monthly total returns, multiplied by the square root of 12.

Uses up to 36 complete months, with at least 12 required. Total returns include reinvested distributions.

Return above 3-month US Treasury bills per unit of volatility.
−0.35
vs 3-month T-bills · to Oct 2026
How it’s calculated: Sharpe ratio

Subtract each month’s Treasury-bill return from the fund’s monthly total return.

Divide the average of those excess returns by their sample standard deviation, then multiply by the square root of 12.

Uses up to 36 complete months, with at least 12 required. Each month uses the Treasury yield quoted at the end of the previous month.

The largest fall from a peak to the low that followed.
−27.6%
Trough Jun 2025
How it’s calculated: maximum drawdown

The largest percentage decline from an earlier peak, using total returns with reinvested distributions.

Uses up to five years through the last close, with at least 12 months required.

How strongly the fund’s returns move with its asset-class index.
−0.26
vs its asset-class index
How it’s calculated: beta

The beta figure is supplied by FMP. The comparison index depends on the fund’s broad asset class.

FMP measures it over up to five years of monthly returns.

KMLM Cost

Compare KMLM and JPFP

Overpaying vs JPFP, cheapest in Managed Futures

$5,405

On $10,000 over 30 years. 7% growth a year before fees, expense ratio only.

  • KMLM 0.90%

    $17,040

  • JPFP 0.59% Cheapest

    $11,635

$10,000
30 years

Cost over time

  • KMLM 0.90%
  • JPFP 0.59%
  • Overpaying
One line per fund, from year 0 to year 30. Use the arrow keys to read each point.$0$5K$10K$15K$20K051015202530KMLM $17,040JPFP $11,635

Year by year

YearKMLMJPFPOverpaying
10$1,593$1,058$535
20$6,015$4,051$1,964
30$17,040$11,635$5,405

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