KMLM Performance — KraneShares Mount Lucas Managed Futures Index Strategy ETF
Data updated: 2026-08-28
KMLM returned +5.62% year to date and +9.15% over one year to Jun 2026. Annualised returns are −1.53% over 3 years and +3.86% over 5 years. The fund trailed its Commodities category average: $100 invested three years ago grew to $95, against $165 for the category, and to $109 over one year, against $130. Volatility over the past three years was 9.92% a year. In the 12 months to Jun 2026 the fund took in a net $102.4M, and assets reached $297.91M.
KMLM Growth of $100
What $100 invested in KraneShares Mount Lucas Managed Futures Index Strategy ETF grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Commodities category average over the same months.
| Period | KMLM | Category average |
|---|---|---|
| 1 year (Jul 2025 – Jun 2026) | $109 | $130 |
| 3 years (Jul 2023 – Jun 2026) | $95 | $165 |
| 5 years (Jul 2021 – Jun 2026) | $121 | $171 |
| Since data start (Jan 2021 – Jun 2026) | $133 | $187 |
KMLM Trailing Returns
Total returns to Jun 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +5.62% |
| 1 year | +9.15% |
| 3 years (annualised) | −1.53% |
| 5 years (annualised) | +3.86% |
KMLM Annual Returns
Calendar-year total returns of KraneShares Mount Lucas Managed Futures Index Strategy ETF, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2026 (Jan–Jun) | +5.62% |
| 2025 | −3.21% |
| 2024 | −1.07% |
| 2023 | −5.98% |
| 2022 | +30.52% |
| 2021 | +7.30% |
KMLM Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +4.0% | +4.1% | −0.2% | −2.9% | −4.2% | +5.0% | — | — | — | — | — | — |
| 2025 | +0.5% | −0.9% | −2.8% | −0.5% | +0.4% | −3.2% | +1.0% | +2.2% | −1.0% | +2.5% | +0.2% | −1.4% |
| 2024 | +2.2% | +2.2% | −0.4% | −1.4% | −4.9% | +3.9% | +0.2% | −1.9% | +1.9% | +3.2% | −2.3% | −3.3% |
| 2023 | −1.9% | +1.7% | −3.0% | −2.7% | +1.8% | +3.9% | +4.1% | +1.7% | +0.6% | −5.3% | −6.0% | −0.4% |
| 2022 | +8.5% | +4.3% | +5.1% | −1.4% | +1.7% | +10.4% | +4.4% | +7.7% | −2.9% | +1.2% | −9.5% | −0.9% |
| 2021 | −1.7% | +5.7% | +0.6% | −0.5% | +0.4% | +5.6% | +3.8% | −0.2% | −1.2% | −0.1% | −5.9% | +1.3% |
KMLM Risk
Risk measures from monthly returns over Jul 2023 – Jun 2026.
- 3-year volatility (annualised): 9.92%
- 3-year Sharpe ratio: -0.61 (vs 4.5% risk-free rate)
- Best month: +5.02% (Jun 2026)
- Worst month: −6.04% (Nov 2023)
KMLM Fund Flows
Monthly money in and out of KraneShares Mount Lucas Managed Futures Index Strategy ETF, from SEC Form N-PORT.
- 12-month net flow: $102.4M
- 12-month gross sales (incl. reinvestments): $165.2M
- Sales ÷ redemptions: 2.63×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Jun 2026 | $43.7M | $22.7M | $21.0M |
| May 2026 | $33.9M | $0 | $33.9M |
| Apr 2026 | $20K | $20.0M | −$20.0M |
| Mar 2026 | $5.3M | $0 | $5.3M |
| Feb 2026 | $12.0M | $0 | $12.0M |
| Jan 2026 | $68.9M | $0 | $68.9M |
| Dec 2025 | $2.7M | $4.1M | −$1.4M |
| Nov 2025 | $3K | $2.7M | −$2.7M |
| Oct 2025 | $1K | $1.4M | −$1.4M |
| Sep 2025 | $1.3M | $5.3M | −$4.0M |
| Aug 2025 | −$2.6M | $5.3M | −$7.9M |
| Jul 2025 | $1K | $1.3M | −$1.3M |
KMLM Assets Under Management
Net assets of KraneShares Mount Lucas Managed Futures Index Strategy ETF by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2026-06-30 | $297.91M |
| 2026-03-31 | $272.52M |
| 2025-12-31 | $170.30M |
| 2025-09-30 | $182.11M |
| 2025-06-30 | $188.88M |
| 2025-03-31 | $221.27M |
| 2024-12-31 | $334.27M |
| 2024-09-30 | $372.05M |
| 2024-06-30 | $279.67M |
| 2024-03-31 | $264.65M |
| 2023-12-31 | $260.15M |
| 2023-09-30 | $296.62M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.