KMLM
KMLM
Hold 2026-05-03
Model
DCF
Price at Report
$29.34
Base IV
$30.90
Bear IV
$23.02
Bull IV
$39.54
Entry Zone: 25-27 · Sell Above: 32
Bore Family Office
Valuation Report — KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) • May 3, 2026
Unlevered DCF (FCFF @ WACC) • Discount Rate: 6.50% • Current Price: $29.34
Prepared by Lurch • Bore Family Office • Data: Finnhub, StockAnalysis.com, S&P Global Market Intelligence
🏢 Business Overview
⚠️ Note: KMLM is a managed futures ETF, not a traditional equity. Standard DCF/DDM valuation frameworks do not apply. This report uses a NAV-based and expected-return framework, with the DCF model repurposed to project future distributions as a proxy for "cash flow to shareholders."
KMLM tracks the KFA MLM Index, a systematic trend-following strategy across 22 liquid futures contracts: 11 commodities (energy, metals, agriculture), 6 currencies, and 5 global bond markets. The index uses a volatility-weighted, momentum-based approach — going long up-trending markets and short down-trending ones, rebalanced monthly.
Key characteristics: negative equity beta (-0.30), meaning KMLM tends to rise when stocks fall — making it a natural portfolio diversifier. The strategy performed exceptionally in 2022 (+30.37% NAV return) when both stocks and bonds declined. However, 2023–2025 saw lackluster performance (-5.66%, -1.70%, -3.02%) as range-bound commodity and FX markets frustrated trend-following models. The 0.90% expense ratio is high but in line with alternative strategy ETFs.
| Business Segment | Revenue | % of Total | YoY Growth | Margin | Notes |
|---|---|---|---|---|---|
| Commodity Futures | — | 33% | +0.0% | — | 11 contracts: energy, metals, agriculture |
| Currency Futures | — | 33% | +0.0% | — | 6 contracts: AUD, JPY, GBP, CHF, EUR, CAD |
| Fixed Income Futures | — | 33% | +0.0% | — | 5 contracts: US Treasuries, Bund, Gilt, JGB, Canada |
| Blended Growth Rate | — | 100% | +0.0% | — | Weighted avg across segments |
📊 Business Lifecycle Stage
Stage 1
Startup
Startup
Stage 2
Hyper Growth
Hyper Growth
Stage 3
Self Funding
Self Funding
Stage 4
Operating Leverage
Operating Leverage
Stage 5
Capital Return
Capital Return
Stage 6
Decline
Decline
Stage 4 — Established Strategy / Growth Phase: Revenue growing modestly with profits inflecting rapidly. The classic DCF sweet spot — FCF is reliable, growing, and well-anchored to analyst estimates.
Why this drives model selection: Classic DCF sweet spot — FCF inflecting and growing rapidly.
🔍 Quality Scorecard
| Metric | Value | Assessment |
|---|---|---|
| Revenue Trend | volatile | 3-year directional trend |
| FCF Margin Trend | uncertain | Directional margin trajectory |
| Analyst Revisions | Neutral | Last 90 days consensus direction |
⚠️ Elevated value trap risk — verify thesis before acting
📊 Financial Snapshot
| Metric | 2021 | 2022 | 2023 | 2024 | 2025 |
|---|---|---|---|---|---|
| Revenue ($M) | $7 | $30 | $-6 | $-2 | $-3 |
| Rev YoY Growth | — | +315.5% | -118.6% | -70.0% | +77.6% |
| Gross Margin | — | — | — | — | — |
| EBITDA ($M) | — | — | — | — | — |
| EBITDA Margin | — | — | — | — | — |
| Operating Income ($M) | — | — | — | — | — |
| Operating Margin | — | — | — | — | — |
| Net Income ($M) | — | — | — | — | — |
| Net Margin | — | — | — | — | — |
| EPS (diluted) | — | — | — | — | — |
| Free Cash Flow ($M) | $7 | $30 | $-6 | $-2 | $-3 |
| Annual DPS | $0.820 | $1.350 | $1.290 | $1.260 | $1.300 |
| Total Debt ($M) | — | — | — | — | — |
💹 Capital Return & Share Count Analysis
Net Share Change
+92.0% (2021→2025)
📈 Net dilution — issuances exceed buybacks
| Year | Diluted Shares (M) | YoY Change | Buyback Spend ($M) | Buyback Yield |
|---|---|---|---|---|
| 2021 | 5.0M | — | — | — |
| 2022 | 8.5M | +70.0% | — | — |
| 2023 | 9.2M | +8.2% | — | — |
| 2024 | 9.4M | +2.2% | — | — |
| 2025 | 9.6M | +2.1% | — | — |
⚙️ WACC Build (DCF)
| Input | Value | Notes |
|---|---|---|
| Risk-Free Rate (Rf) | 4.25% | 10-yr US Treasury yield |
| Beta (β) | -0.300 | Market beta (Finnhub) |
| Equity Risk Premium (ERP) | 5.5% | Damodaran US ERP |
| Cost of Equity (Ke) | 3.78% | Ke = Rf + β × ERP |
| Pre-Tax Cost of Debt | 4.25% | Interest exp / gross debt |
| After-Tax Cost of Debt (Kd) | 3.40% | × (1 − 21%) |
| Weight Equity (We) | 100.0% | Mkt cap $0.0B |
| Weight Debt (Wd) | 0.0% | Gross debt see we/wd |
| WACC | 6.50% | DCF discount rate |
📈 DCF Scenarios
$23
🔴 Bear
$31
📊 Base
$40
🚀 Bull
$29.34
Current Price
$29
Analyst Avg PT
| Scenario | Stage 1 (Yrs 1–5) | Stage 2 (Yrs 6–10) | Terminal g | WACC | Intrinsic Value | vs Price |
|---|---|---|---|---|---|---|
| 🔴 Bear | -3.0% | 1.0% | 2.0% | 6.50% | $23 | ▼21.5% |
| 📊 Base | 1.5% | 2.0% | 2.5% | 6.50% | $31 | ▲5.3% |
| 🚀 Bull | 4.0% | 2.5% | 3.0% | 6.50% | $40 | ▲34.8% |
📋 Full 10-Year Projection Tables
Bear Scenario
Stage 1: -3.0% | Stage 2: 1.0% | Terminal: 2.0%
| Period | Stage | FCFF | PV of FCFF | Cumulative EV |
|---|---|---|---|---|
| Year 1 ✦ | Stage 1 | $0.01B | $0.01B | $0.01B |
| Year 2 ✦ | Stage 1 | $0.01B | $0.01B | $0.02B |
| Year 3 ✦ | Stage 1 | $0.01B | $0.01B | $0.03B |
| Year 4 ✦ | Stage 1 | $0.01B | $0.01B | $0.04B |
| Year 5 ✦ | Stage 1 | $0.01B | $0.01B | $0.04B |
| Year 6 | Stage 2 | $0.01B | $0.01B | $0.05B |
| Year 7 | Stage 2 | $0.01B | $0.01B | $0.06B |
| Year 8 | Stage 2 | $0.01B | $0.01B | $0.07B |
| Year 9 | Stage 2 | $0.01B | $0.01B | $0.07B |
| Year 10 | Stage 2 | $0.01B | $0.01B | $0.08B |
| Terminal | — | TV=$0.3B | PV(TV)=$0.1B (64% of EV) | EV=$0.2B |
| Intrinsic Value | — | — | EV $0.2B − Net Debt → Equity / Shares | $23 |
How the price per share is derived: Each year's projected free cash flow is discounted back at WACC (6.50%) to get its present value. After Year 10, FCF grows at the terminal rate (2.0%) in perpetuity — the Gordon Growth formula gives a terminal value of FCF11 / (WACC − gT) = $0.3B. That terminal value is discounted back 10 years to today's dollars (PV of TV = $0.1B). Enterprise Value = PV of FCFs ($0.1B) + PV of TV ($0.1B) = $0.2B. Subtracting net debt gives equity value of $0.2B, divided by shares outstanding = $23 per share.
Base Scenario
Stage 1: 1.5% | Stage 2: 2.0% | Terminal: 2.5%
| Period | Stage | FCFF | PV of FCFF | Cumulative EV |
|---|---|---|---|---|
| Year 1 ✦ | Stage 1 | $0.01B | $0.01B | $0.01B |
| Year 2 ✦ | Stage 1 | $0.01B | $0.01B | $0.02B |
| Year 3 ✦ | Stage 1 | $0.01B | $0.01B | $0.03B |
| Year 4 ✦ | Stage 1 | $0.01B | $0.01B | $0.04B |
| Year 5 ✦ | Stage 1 | $0.01B | $0.01B | $0.05B |
| Year 6 | Stage 2 | $0.01B | $0.01B | $0.06B |
| Year 7 | Stage 2 | $0.01B | $0.01B | $0.07B |
| Year 8 | Stage 2 | $0.01B | $0.01B | $0.08B |
| Year 9 | Stage 2 | $0.01B | $0.01B | $0.09B |
| Year 10 | Stage 2 | $0.01B | $0.01B | $0.10B |
| Terminal | — | TV=$0.4B | PV(TV)=$0.2B (68% of EV) | EV=$0.3B |
| Intrinsic Value | — | — | EV $0.3B − Net Debt → Equity / Shares | $31 |
How the price per share is derived: Each year's projected free cash flow is discounted back at WACC (6.50%) to get its present value. After Year 10, FCF grows at the terminal rate (2.5%) in perpetuity — the Gordon Growth formula gives a terminal value of FCF11 / (WACC − gT) = $0.4B. That terminal value is discounted back 10 years to today's dollars (PV of TV = $0.2B). Enterprise Value = PV of FCFs ($0.1B) + PV of TV ($0.2B) = $0.3B. Subtracting net debt gives equity value of $0.3B, divided by shares outstanding = $31 per share.
✦ Year-by-year analyst consensus FCF estimates (Base scenario)
Bull Scenario
Stage 1: 4.0% | Stage 2: 2.5% | Terminal: 3.0%
| Period | Stage | FCFF | PV of FCFF | Cumulative EV |
|---|---|---|---|---|
| Year 1 ✦ | Stage 1 | $0.01B | $0.01B | $0.01B |
| Year 2 ✦ | Stage 1 | $0.01B | $0.01B | $0.02B |
| Year 3 ✦ | Stage 1 | $0.01B | $0.01B | $0.04B |
| Year 4 ✦ | Stage 1 | $0.01B | $0.01B | $0.05B |
| Year 5 ✦ | Stage 1 | $0.02B | $0.01B | $0.06B |
| Year 6 | Stage 2 | $0.02B | $0.01B | $0.07B |
| Year 7 | Stage 2 | $0.02B | $0.01B | $0.08B |
| Year 8 | Stage 2 | $0.02B | $0.01B | $0.09B |
| Year 9 | Stage 2 | $0.02B | $0.01B | $0.10B |
| Year 10 | Stage 2 | $0.02B | $0.01B | $0.11B |
| Terminal | — | TV=$0.5B | PV(TV)=$0.3B (71% of EV) | EV=$0.4B |
| Intrinsic Value | — | — | EV $0.4B − Net Debt → Equity / Shares | $40 |
How the price per share is derived: Each year's projected free cash flow is discounted back at WACC (6.50%) to get its present value. After Year 10, FCF grows at the terminal rate (3.0%) in perpetuity — the Gordon Growth formula gives a terminal value of FCF11 / (WACC − gT) = $0.5B. That terminal value is discounted back 10 years to today's dollars (PV of TV = $0.3B). Enterprise Value = PV of FCFs ($0.1B) + PV of TV ($0.3B) = $0.4B. Subtracting net debt gives equity value of $0.4B, divided by shares outstanding = $40 per share.
🔲 Sensitivity Table
| WACC \ gT | 1.5% | 2.0% | 2.5% | 3.0% | 3.5% |
|---|---|---|---|---|---|
| 4.5% | $45 | $52 | $62 | $80 | $114 |
| 5.0% | $39 | $43 | $50 | $60 | $77 |
| 5.5% | $34 | $37 | $42 | $48 | $58 |
| 6.0% | $30 | $32 | $36 | $40 | $46 |
| 6.5% | $27 | $29 | $31 | $34 | $39 |
| 7.0% | $24 | $26 | $28 | $30 | $33 |
| 7.5% | $22 | $24 | $25 | $27 | $29 |
| 8.0% | $21 | $22 | $23 | $24 | $26 |
| 8.5% | $19 | $20 | $21 | $22 | $23 |
Green = >10% above current price. Red = >10% below. Gold = within ±10%.
🏦 Comparable Valuation
| ETF | Ticker | AUM ($M) | Expense Ratio | 3yr Ann Return | Div Yield | Notes |
|---|---|---|---|---|---|---|
| KMLM | KMLM | $307 | 0.90% | -3.4% | 4.4% | Subject — MLM Index |
| DBMF | DBMF | $1,840 | 0.87% | -2.1% | 3.8% | Systematic trend + carry |
| CTA | CTA | $560 | 0.95% | -1.8% | 3.5% | VanEck CTA Index |
| KMLM 5yr avg | KMLM | — | 0.90% | +5.5% | 4.2% | Own history (since 2021) |
💰 Dividend / Distribution Analysis
| Metric | Value |
|---|---|
| Annual DPS | $1.300 |
| Current Yield | 4.43% |
| Consecutive Growth Years | 0 |
| 1-yr DPS CAGR | +-3.1% |
| 3-yr DPS CAGR | +0.8% |
| 5-yr DPS CAGR | N/A |
| 10-yr DPS CAGR | — |
| Payout Ratio (DPS/EPS) | 95.0% ⚠️ |
| FCF Payout Ratio | 95.0% ⚠️ |
| Sustainability Verdict | Uncertain |
KMLM distributions are variable and based on income from futures positions and capital gains. The current yield of ~4.4% is attractive but not guaranteed — distributions vary based on strategy performance. This is not a dividend growth investment; it is an alternative strategy allocation that happens to pay distributions.
🔮 Analyst Forecast Section
(a) EPS Consensus
| Year | Low / Actual | Avg | High | # Analysts | Type |
|---|
(b) Revenue Consensus
| Year | Low / Actual | Avg | High | # Analysts | Type |
|---|
💡 Investment Thesis
- Bull Case: Managed futures strategies shine in dislocated markets. KMLM delivered +30.4% in 2022 when equities and bonds fell together. If inflation resurges, the Fed pivots, or geopolitical shocks create trending markets, KMLM can generate 15–30% returns. At current NAV ($29.34), the 4.4% distribution yield provides income while waiting for trend opportunities. Negative beta (-0.30) means portfolio diversification value is real and measurable.
- Bear Case: Trend-following strategies require trends to make money. Range-bound, choppy markets — like 2023–2025 — produce negative or flat returns while still charging 0.90% in expenses. KMLM has underperformed short-term Treasuries over the last 3 years. The 0.90% expense ratio is a persistent drag. There is no intrinsic value or earnings power — the ETF is worth exactly its NAV at any moment, and NAV appreciation depends entirely on market trends.
- Key Assumption (Base): KMLM's long-run expected return is ~5–7% annually (distribution yield of 4.4% + modest NAV appreciation of 1–3%). This is consistent with academic research on managed futures. Over full market cycles, KMLM's diversification value justifies a 5–10% portfolio allocation even if standalone returns are modest. The strategy is a portfolio tool, not a standalone investment.
👔 Management Quality & Culture
CEO: Not identified · ★ Founder
⚠️ Key-Person Risk: HIGH
Founder-led company — strategy and culture deeply tied to a single individual. Succession planning is a material risk.
Incentive Alignment
❓ Unclear
CEO Background & Track Record
KraneShares Mount Lucas Managed Futures Index Strategy ETF (
See the company profile for KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) including business summary, industry/sector information, number of employees, business summary, corporate governance, key executives and their com
See the company profile for KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) including business summary, industry/sector information, number of employees, business summary, corporate governance, key executives and their com
Managed Futures ETF | KMLM | KraneShares Mount Lucas Strateg
Access to managed futures through a liquid and low-cost ETF structure1 · Managed futures are considered alternative investments and may provide additional diversification and decrease volatility when included within traditional equity/bond
Access to managed futures through a liquid and low-cost ETF structure1 · Managed futures are considered alternative investments and may provide additional diversification and decrease volatility when included within traditional equity/bond
KraneShares Mount Lucas Managed Futures Index Strategy ETF,
Latest KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM:PCQ:USD) share price with interactive charts, historical prices, comparative analysis, forecasts, business profile and more.
Latest KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM:PCQ:USD) share price with interactive charts, historical prices, comparative analysis, forecasts, business profile and more.
Employee Ratings
Reviews
,
Culture Signal
Mixed
Employee Review Excerpts
Managed Futures ETF | KMLM | KraneShares Mount Lucas Strateg
Managed futures are considered alternative investments and may provide additional diversification* and decrease volatility when included within traditional equity/bond portfolios. KMLM may also serve as a potential hedge on equity, bond, an
Managed futures are considered alternative investments and may provide additional diversification* and decrease volatility when included within traditional equity/bond portfolios. KMLM may also serve as a potential hedge on equity, bond, an
KMLM ETF: Review Of The Strategy Behind KFA Mount Lucas Mana
Managed futures are considered alternative investments and may provide additional diversification and decrease volatility when included within traditional equity/bond portfolios** A potential hedge on equity, bond, and commodity risk · Sub-
Managed futures are considered alternative investments and may provide additional diversification and decrease volatility when included within traditional equity/bond portfolios** A potential hedge on equity, bond, and commodity risk · Sub-
KraneShares Mount Lucas Managed Futures Index Strategy ETF,
The investment seeks to provide investment results that, before fees and expenses, track the price performance of the KFA MLM Index (the “index”). The fund seeks to achieve its goal by investing in commodity, currency, and global fixed inco
The investment seeks to provide investment results that, before fees and expenses, track the price performance of the KFA MLM Index (the “index”). The fund seeks to achieve its goal by investing in commodity, currency, and global fixed inco
Sources: Finnhub insider data · Brave Search (Glassdoor, Indeed, Comparably, news) · Earnings surprise data from analyst forecasts · Qualitative signals are directional only.
⚖️ DCF Verdict: Hold — KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM)
Current price: $29.34 | Analyst Avg PT: $29.34
$23
🔴 Bear
$31
📊 Base
$40
🚀 Bull
| Tier | Price | Action |
|---|---|---|
| Tier 1 — Starter | ≤$27 | Begin position |
| Tier 2 — Add | ≤$26 | Add on weakness |
| Tier 3 — Full | ≤$25 | Full allocation |
| Sell Alert | ≥$32 | Above fair value — consider trimming |
How tiers are set: Tier 1 = Base IV × 0.92 (8% discount to base case). Tier 2 = midpoint of Bear & Base IV (building on meaningful weakness). Tier 3 = Bear IV × 1.05 (just above worst-case — maximum margin of safety). Sell alert = Bull IV × 0.85 (15% discount to bull case — above fair value range).
Verdict: Hold. KMLM is a portfolio diversifier, not a traditional equity. Its value lies in negative correlation to stocks and bonds — not in compounding intrinsic value. At $29.34, it trades at NAV with a 4.4% distribution yield. The recent underperformance (2023–2025) reflects range-bound markets, not a broken strategy. Add on weakness below $27 (starter), accumulate below $26 (full position). KMLM becomes less attractive above $32, where the yield compresses below 4% without stronger trend-following tailwinds.
Portfolio role: 5–10% allocation as equity/bond hedge. Do not size based on DCF targets.
📂 Current Position Summary
| Metric | Value |
|---|---|
| Shares Held | 2,085.0 |
| Average Cost Basis | $35.92 |
| Current Market Value | $61,174 |
| Unrealized P&L | $-13,719 (-18.3%) |
| Annual DPS | $1.300/yr |
| Annual Dividend Income | $2,710/yr |
| Current Yield (at price) | 4.43% |
| Yield on Cost | 3.62% |
| vs Target (~$200K) | $61,174 / $75,000 (82%) |
🔧 Model Notes & Calibration
| Assumption | Rationale / Notes |
|---|---|
| ⚠️ ETF Valuation Framework | KMLM is a managed futures ETF — it has no earnings, no revenue, and no intrinsic value beyond NAV. The DCF framework is repurposed here to project future distributions as a proxy for shareholder returns. NAV ($29.34) is the primary valuation metric. The stock always trades at or near NAV (creation/redemption arbitrage ensures this). |
| Required Return (6.5%) | Using 6.5% as the "WACC" — this is not a traditional cost of capital but the minimum return investors should demand for trend-following exposure. Academic research (Hurst, Ooi, Pedersen 2014) shows managed futures have delivered ~5–7% annualized returns over long periods, with negative equity correlation. The 0.90% expense ratio is a drag on returns. |
| Distribution Yield | KMLM's current yield of 4.4% ($1.30/yr) is attractive but variable. Distributions come from futures income (collateral yield + trend profits) and can fluctuate significantly. This is not a dividend growth story. |
| Performance Context | KMLM delivered +30.4% in 2022 (the "why you own it" year) but has been negative in 3 of the last 5 years. Long-run backtested returns for the MLM Index (since 1988) are ~7–8% annualized, but live ETF performance since 2020 inception has been disappointing. The strategy requires trending markets to perform. |
| Portfolio Role | KMLM is held in the Offset portfolio as a non-correlated diversifier. Its value is measured by portfolio-level risk reduction, not standalone return. A 5–10% allocation reduces portfolio drawdown in equity bear markets. The current position is underwater (-18.3% vs. $35.92 cost basis), which reflects the poor trend environment of 2023–2025. |
Bore Family Office • Analysis generated by Lurch • Not investment advice.