KraneShares Mount Lucas Managed Futures Index Strategy ETF: Platform Profile

Overview

KMLM is a rules-based managed-futures ETF tracking the KFA MLM Index.

Current August 2026 legal/brand state:

• Name: KraneShares Mount Lucas Managed Futures Index Strategy ETF
• Ticker: KMLM
• Adviser: Krane Funds Advisors, LLC
• Subadviser: Mount Lucas Index Advisers LLC
• Registered ETF: Yes

May fit better for

• investors seeking systematic managed futures through an ETF;
• users preferring index rules over discretionary CTA selection;
• portfolios seeking no equity-futures exposure in the core index;
• investors seeking commodities, currencies and global-bond trend exposure;
• investors comfortable with a 15% index volatility target;
• users who understand that a rules-based index can still have significant losses.

May fit less well for

• investors seeking equity-index futures exposure;
• users wanting a discretionary macro manager;
• investors expecting the index provider and adviser to be unrelated;
• users who assume index investing means no model risk;
• investors uncomfortable with affiliated-index conflicts;
• users seeking principal protection.

The canonical name changed from older KFA branding

Older filings used KFA branding.

Current August 1, 2026 prospectus uses:

KraneShares Mount Lucas Managed Futures Index Strategy ETF

KMLM currently tracks 22 futures markets

Current index composition:

• Commodities: 11
• Currencies: 6
• Global bonds: 5
• Total futures markets: 22
• Equity index futures in current index: 0

Current commodity examples include crude oil, gold, natural gas, copper, grains, cattle and sugar.

Trend signals can be long or short

Current prospectus:

• Systematic trend following: Yes
• Long and short: Yes
• Signal evaluation frequency: daily
• Index rebalance frequency: monthly
• Constituent market selection: annual

The current expense ratio is 0.90%

Current August 2026 summary prospectus:

• Management fee: 0.89%
• Current 12b1 fee: 0%
• Other expenses: 0.01%
• Total annual fund operating expenses: 0.90%

A distribution plan permits up to 0.25%, but no such fee is currently paid.

The index targets 15% annualized volatility over time

Current prospectus:

• Target average annualized volatility: 15%
• Guaranteed volatility: No

The target does not cap realized losses.

KMLM is a commodity pool

Current prospectus states the fund's derivatives use exceeds CFTC Rule 4.5 limits.

This does not make KMLM a private commodity pool.

It remains a registered ETF.

Cayman exposure is limited to 25%

Current prospectus:

• Cayman subsidiary: Yes
• Maximum subsidiary assets: 25%

The subsidiary is used for commodity futures exposure within tax constraints.

Affiliated index-provider conflicts matter

Mount Lucas Index Advisers is both:

• subadviser;
• index provider.

The prospectus identifies affiliated-index-provider risk.

Current fund scale is above $400M

Current first-party September 4, 2026 data:

• Net assets: $426.6M
• Net assets as of: 2026-09-04

Attach the date.

Assessment

KMLM is the cleanest rules-based product in Batch 66.

Its appeal is transparency:

• 22 defined futures markets;
• commodities, currencies and bonds;
• daily long/short trend signals;
• monthly index rebalancing;
• 15% volatility target;
• 0.90% current annual operating expenses.

That transparency does not eliminate index-model risk, leverage, or the affiliated index-provider conflict.