See what your fund actually adds
KraneShares Mount Lucas Managed Futures Index Strategy ETF KMLM
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | KMLM | Replication |
|---|---|---|
| Annualized growth | 5.7% | 7.5% |
| Annualized volatility | 12.9% | 6.9% |
| Sharpe ratio | 0.49 | 1.09 |
| Maximum drawdown | 26.8% | 10.3% |
| Replication fit (R²) | 0.16 · Tracking error 11.8% | |
Replication portfolio
The published portfolio below is the investable basket used to model KMLM’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| WTMF | Alternatives · Mgt Futures | 83.5% |
| BCI | Alternatives · Commodities | 16.5% |