Summary

• The KraneShares Mount Lucas Managed Futures Index Strategy ETF seeks to track Mount Lucas Management's KFA MLM Index.
• Over the course of the quarter, Commodity exposures went from net short 1% to net long 51%, Currency exposures went from net long 60% to net short 12%, and Global Fixed Income exposures went from net short 13% to net short 75%.
• In the global fixed income sector, the only contributor was the Japanese Government Bond, while UK Long Gilts, Canadian Government Bonds, the Euro Bund, and the U.S. 10-Year were all detractors.

Q1 was certainly volatile, dominated by events in the Middle East. Oil prices shot up, equity markets tumbled, and bonds sold off on inflationary fears. 2022 all over again. We have long maintained that trend-following exposures, particularly those tilted toward commodity

269 Followers