Key Takeaways
- • Krane Funds Advisors and Mount Lucas launched the KFA Mount Lucas Index Strategy ETF (KMLM) on December 2, 2020, providing retail and institutional investors with passive exposure to managed futures through a cost-effective ETF structure with a 0.90% expense ratio.
- • The fund tracks the KFA MLM Index, a price-based managed futures benchmark that evaluates 22 liquid futures contracts daily across 11 commodity markets, six currency pairs, and five global bond markets.
- • Mount Lucas, a 30-year pioneer in managed futures with the MLM Index created in 1988, serves as sub-advisor, while Krane Funds Advisors acts as the fund's primary advisor, leveraging complementary expertise in index development and ETF distribution.
- • The partnership addresses a structural gap in institutional portfolio construction: Timothy Rudderow, CEO & CIO of Mount Lucas, noted that "institutional portfolios are underexposed to managed futures and over-exposed to equity risk," citing 2020's market volatility as evidence for the value of uncorrelated, liquid investment strategies.
- • The ETF democratizes access to managed futures beta previously available primarily to institutional investors, offering systematic daily signal-based rebalancing across global macro exposures in a highly liquid exchange-traded vehicle.
Summary
Krane Funds Advisors and Mount Lucas announced a strategic partnership resulting in the launch of the KFA Mount Lucas Index Strategy ETF (KMLM) on December 2, 2020. The fund provides investors with exposure to a diversified managed futures strategy through a price-based index mechanism, addressing growing demand for systematic alternatives to traditional equity-heavy portfolios.
The KMLM fund tracks the KFA MLM Index, a modified version of Mount Lucas's MLM Index—a widely recognized managed futures benchmark established in 1988. The index maintains a diversified portfolio of 22 futures contracts spanning 11 commodity markets, six currency pairs, and five global bond markets, with daily rebalancing based on technical trading signals. The 0.90% expense ratio positions the fund competitively within the managed futures ETF space while maintaining cost efficiency for retail investors.
Mount Lucas brings three decades of expertise in managed futures strategy design and implementation, serving as the fund's sub-advisor. Krane Funds Advisors, established as a leader in democratizing institutional-grade asset class exposure through ETF structures, acts as the fund's advisor and distribution platform. Timothy Rudderow, CEO & CIO of Mount Lucas, articulated the strategic rationale: "Institutional portfolios are underexposed to managed futures and over-exposed to equity risk." He emphasized that while low-volatility environments may obscure this risk concentration, 2020's market dislocations demonstrated the critical value of "highly liquid and uncorrelated investments." The partnership leverages Mount Lucas's signal development and index methodology alongside Krane's ETF infrastructure to provide passive managed futures beta to previously underserved investor segments.
The launch reflects broader institutional recognition that managed futures strategies—historically confined to hedge funds and institutional separate accounts—warrant broader accessibility. By embedding Mount Lucas's price-based trading signals within an ETF wrapper, the partnership enables daily rebalancing and transparent index methodology while maintaining the liquidity and cost structure demanded by retail and smaller institutional investors.
The KMLM fund tracks the KFA MLM Index, a modified version of Mount Lucas's MLM Index—a widely recognized managed futures benchmark established in 1988. The index maintains a diversified portfolio of 22 futures contracts spanning 11 commodity markets, six currency pairs, and five global bond markets, with daily rebalancing based on technical trading signals. The 0.90% expense ratio positions the fund competitively within the managed futures ETF space while maintaining cost efficiency for retail investors.
Mount Lucas brings three decades of expertise in managed futures strategy design and implementation, serving as the fund's sub-advisor. Krane Funds Advisors, established as a leader in democratizing institutional-grade asset class exposure through ETF structures, acts as the fund's advisor and distribution platform. Timothy Rudderow, CEO & CIO of Mount Lucas, articulated the strategic rationale: "Institutional portfolios are underexposed to managed futures and over-exposed to equity risk." He emphasized that while low-volatility environments may obscure this risk concentration, 2020's market dislocations demonstrated the critical value of "highly liquid and uncorrelated investments." The partnership leverages Mount Lucas's signal development and index methodology alongside Krane's ETF infrastructure to provide passive managed futures beta to previously underserved investor segments.
The launch reflects broader institutional recognition that managed futures strategies—historically confined to hedge funds and institutional separate accounts—warrant broader accessibility. By embedding Mount Lucas's price-based trading signals within an ETF wrapper, the partnership enables daily rebalancing and transparent index methodology while maintaining the liquidity and cost structure demanded by retail and smaller institutional investors.
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