Key Takeaways
- • Mount Lucas Management launched the KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) in 2020, bringing a 32-year-old institutional managed futures strategy into a publicly accessible ETF wrapper with $302.67 million in total assets and a 0.90% expense ratio.
- • The MLM Index, developed in 1988, provides systematic exposure to 22 liquid futures contracts across U.S. and foreign exchanges, capturing risk premiums from commodity, interest rate, FX, and financial futures markets that hedge real operational risks for businesses.
- • Mount Lucas Management traces its origins to Commodities Corp (spun out in 1986) and has operated a managed futures and global macro strategy for institutional investors for nearly three decades, with Jerry Prior serving as both CIO of Managed Futures Strategies and COO.
- • The firm's philosophy positions managed futures as a structural hedge against price volatility and inflation—not merely a crisis-hedging tool—with alpha generation derived from liquidity capture and systematic trend-following across multiple asset classes.
- • KMLM's index methodology has remained largely unchanged since 1988, reflecting a conviction that the underlying economic logic of futures markets and the risk premiums they offer remain durable across market cycles.
Summary
The KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) represents a significant bridge between institutional-grade managed futures strategies and retail accessibility. Launched in 2020, KMLM provides investors with exposure to a strategy rooted in nearly four decades of systematic index design and execution by Mount Lucas Management. The fund currently manages $302.67 million in assets and charges a 0.90% adjusted expense ratio, providing access to 22 liquid futures contracts traded on U.S. and foreign exchanges.
Mount Lucas Management was founded in 1986 following a spinout from Commodities Corp and has maintained a dual focus on managed futures and global macro strategies for institutional clients throughout its operational history. Jerry Prior, who has been with the firm for approximately 30 years and serves as both CIO of Managed Futures Strategies and COO, articulated the firm's fundamental thesis during a recent industry discussion. The economic logic underlying the strategy is straightforward: while equity and credit markets finance business capital structures, futures markets exist to transfer operational price risk. Businesses face genuine exposure to commodity price fluctuations, interest rates, foreign exchange movements, and other market variables. Futures markets allow these operational hedgers to lock in price certainty, while systematic investors like Mount Lucas capture the risk premium on the opposite side of those transactions.
The MLM Index, developed in 1988, operationalizes this principle by systematically owning price risk across multiple contract categories. Four decades later, the index methodology remains substantively unchanged, reflecting management's conviction that the underlying economic drivers and risk premiums remain durable. Rather than positioning managed futures solely as a crisis-hedging tool, Mount Lucas emphasizes the strategy's capacity to generate alpha through liquidity capture and systematic trend-following across economic cycles. This approach has allowed the firm to serve institutional investors through multiple market regimes while maintaining the discipline of its original framework.
Mount Lucas Management was founded in 1986 following a spinout from Commodities Corp and has maintained a dual focus on managed futures and global macro strategies for institutional clients throughout its operational history. Jerry Prior, who has been with the firm for approximately 30 years and serves as both CIO of Managed Futures Strategies and COO, articulated the firm's fundamental thesis during a recent industry discussion. The economic logic underlying the strategy is straightforward: while equity and credit markets finance business capital structures, futures markets exist to transfer operational price risk. Businesses face genuine exposure to commodity price fluctuations, interest rates, foreign exchange movements, and other market variables. Futures markets allow these operational hedgers to lock in price certainty, while systematic investors like Mount Lucas capture the risk premium on the opposite side of those transactions.
The MLM Index, developed in 1988, operationalizes this principle by systematically owning price risk across multiple contract categories. Four decades later, the index methodology remains substantively unchanged, reflecting management's conviction that the underlying economic drivers and risk premiums remain durable. Rather than positioning managed futures solely as a crisis-hedging tool, Mount Lucas emphasizes the strategy's capacity to generate alpha through liquidity capture and systematic trend-following across economic cycles. This approach has allowed the firm to serve institutional investors through multiple market regimes while maintaining the discipline of its original framework.
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