KMLM Presentation

by Kraneshares

Trend Following and Uncorrelated Assets – A Strategy for Uncertain Times

KraneShares Mount Lucas Managed Futures Index Strategy ETF (Ticker: KMLM)

info@kfafunds.com KMLM 12/31/2025

Introduction to KraneShares

About KraneShares

Krane Funds Advisors, LLC is a specialist investment manager focused on China, Climate, and Alternative assets. KraneShares seeks to provide innovative, high conviction, and first to market strategies. The firm was founded in 2013 and manages for institutions and individuals globally. The firm is a signatory of the United Nations-supported Principles for Responsible Investment (UN PRI).

Product Suite

China Thematic Equity

KWEB: Internet & E-Commerce*
KURE: Healthcare
KGRN: Clean Technology
KSTR: STAR Market*
KTEC: Hang Seng Tech

China Core Equity

KBA: MSCI China A 50
KCAI: China Onshore Alpha Index

Options Income

KLIP: KWEB Covered Call
KWIN: Wahed Alternative Income

Managed Futures

KMLM: Mount Lucas Managed Futures

Global Equity

KARS: Electric Vehicles & Future Mobility
AGIX: Artificial Intelligence & Technology
KOID: Humanoid & Embodied Intelligence*

EM Equity

KEMX: MSCI Emerging Markets ex China
KEMQ: Emerging Markets Consumer Tech
KPHO: Dragon Capital Vietnam Growth

Levered

KBAB: 2X Long BABA Daily
KPDD: 2X Long PDD Daily
KMLI: 2X Long MELI Daily
KJD: 2X Long JD Daily
KBDU: 2X Long Baidu Daily

Carbon

KRBN: Global Carbon Strategy*
KEUA: European Carbon Allowance
KCCA: California Carbon Allowance

Fixed Income

IVOL: Quadratic Interest Rate Volatility & Inflation Hedge
BNDD: Quadratic Deflation ETF
KHYB: Asia High Income USD Bond
KCSH: Sustainable Ultra Short Duration

US Equity

KSPY: Hedgeye Hedged Equity
BUYO: Man Buyout Beta Index
KVLE: Value Line® Dynamic Dividend Equity
KIQQ: Nasdaq Hedge & Option Income

*Strategy also available in UCITS

Investment Strategy

KMLM is benchmarked to the KFA MLM Index, which consists of a portfolio of twenty-two liquid futures contracts traded on U.S. and foreign exchanges. The Index includes futures contracts on 11 commodities, 6 currencies, and 5 global bond markets. These three baskets are weighted by their relative historical volatility, and within each basket, the constituent markets are equal dollar weighted.

KMLM Features

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 portfolios²
A potential hedge on equity, bond, and commodity risk
Sub-advised by Mount Lucas Management, who in 1988 created the MLM Index, the first passive index to measure the returns to risk bearing in futures markets³

KMLM Partner

Mount Lucas Management, the sub-advisor of KMLM, is a Newtown, PA based asset manager founded in 1986. Since its founding, Mount Lucas has provided innovative alternative investment strategies to institutional and high-net-worth investors that enhance and diversify traditional investments. Mount Lucas' investment professionals have extensive experience in the development and use of systematic investment strategies that access alternative risk premia as well as a long history of discretionary macro trading and risk taking.³

Buying and selling shares of the KFA Mount Lucas Index Strategy ETF may result in brokerage commissions.
Diversification does not ensure a profit or guarantee against a loss.
Source: Mount Lucas Management

Mount Lucas Management Timeline

1986

Firm founded-First client was the Kodak Pension Plan

1988

Launched the industry's first alternative beta index, the MLM Index™ - FedEx Pension plan was the initial investor

1996

Established flagship Global Macro Strategy-MLM Macro Peak

2013

Launched quantitative macro fund, MLM Symmetry

$2.2bn

Assets under advisement across all strategies as of Dec 2025

OUR MISSION

Mount Lucas seeks to provide innovative alternative investment strategies that enhance and diversify traditional investments

Our products employ a distinct approach that utilizes proprietary quantitative models and the collective discretionary insight of the investment team

OUR INVESTMENT EDGE

Firm applies a unique investment philosophy that seeks to earn the premium available to investors by taking economic risk

Unwavering approach backed by sophisticated technology for managing the portfolio and risk

Mount Lucas' principals are co-invested with client portfolios in every strategy offered by the firm

OUR MANAGEMENT

Tim Rudderow, co-founder of Mount Lucas, serves as the Chairman

Management team with 140+ years of combined industry experience and have worked together for at least 18 years

Highly collaborative culture interconnects investment management and client services and provides breadth, diversity, and continuity of leadership

MLM INDEX™

In 1988, Mount Lucas Management introduced the MLM Index as the first passive trend following index of the returns to futures investing.

Underlying the MLM Index is the fact that the mismatch in commercial firms' futures positions is greatest, and investor profits most pronounced, when the underlying market is moving broadly from one price level to another, either up or down.

The MLM Index employs a simple algorithm to measure the extent and profitability of such price transitions to provide a metric of the returns to economic risk bearing in futures markets.

Managed Futures Overview

What are managed futures?

Futures markets were created over 150 years ago for a single purpose, to facilitate the transfer of price risk away from producers and consumers. By participating in the futures markets, a managed futures portfolio acts as an important market participant, accepting that price risk and providing liquidity to commercial interests. Futures markets are traded on public exchanges and are based on a standardized futures contracts in equities, bonds, currencies, and commodities.

What are the benefits of investing in managed futures?

The primary benefit of investing in managed futures is the mitigation of portfolio risk through an uncorrelated asset class. Further, during periods of market stress, managed futures has historically shown greater potential for negative correlations. Institutional investors may employ an active futures manager for a variety of reasons. However, investors of all types may use managed futures to diversify risks in a portfolio that does not already consist of derivatives.

Who are active futures managers?

Active futures managers are highly trained individuals who have been designated by the Commodities Futures Trading Commission (CFTC) as commodities trading advisors (CTAs). These individuals trade futures contracts on a wide array of commodities and/or other assets on behalf of clients.

Managed Futures at a Glance

>$300 Billion

Assets in managed futures, mostly in private vehicles¹

~30%

Portion of CTA industry assets under management (AUM) in managed futures¹

>15%

The average return of a managed futures portfolio during the 2008 Global Financial Crisis²

Data from BarclayHedge as of 12/31/2025.
Data from Altegris as of 8/2011. Data presented is for informational purposes only and is not meant to guide any investment decision. Past performance does not guarantee future results. Retrieved on 12/31/2025.

Diversification does not ensure a profit or guarantee against a loss. See the end of the presentation for term definitions.

KFA MLM Index Key Characteristics

Transparent Beta

Index of Managed Futures. First product of its kind in the market

Cost Efficient ETF Structure

KFA MLM Index Strategy ETF has an annual operating expense of 0.90%, compared to 1.66% for the average managed futures mutual fund.*

Longest Track Record

Originally conceived in 1988, Mount Lucas has been replicating for client accounts since 1993.

Excellent Liquidity

All markets in the Index are liquid exchange traded futures limiting counter-party risk.

Consistent Diversification

We believe our methodology, particularly our ideas around position sizing and volatility targeting, is more transparent and understandable. It offers greater portfolio diversification in a crisis as we are not necessarily providing volatility reducing exposure. It can also be a diversifying (or even a complement) to a basket of managed futures investments.¹

*Data from Morningstar as of 12/31/2025. Diversification does not ensure a profit or guarantee against a loss. See the end of the presentation for term definitions.

Source: Mount Lucas Management

KFA MLM Index Overview

The KFA MLM Index tracks the performance of Mount Lucas' managed futures strategy.
The index is meant to reflect the return available to managed futures investors through an efficient passive trend following algorithm.
The Mount Lucas team trades futures contracts derived from the value of various commodities, currencies, and government bonds.

KFA MLM Index Target Allocation by Underlying Asset

Global Fixed Income (42.5%)

Canadian Govt. Bond
German Govt. Bond
Japanese Govt. Bond
UK Gilt
US Treasury

Currencies (32.5%)

Australian Dollar
British Pound
Canadian Dollar
Euro
Japanese Yen
Swiss Franc

Commodities (25.0%)

Copper
Gold
Heating Oil
Gasoline
Crude Oil
Natural Gas
Soybeans
Corn
Wheat
Sugar
Live Cattle

Data from Mount Lucas. The weights displayed above are target exposure allocations and the index may not precisely match these weights at all times. See the end of the presentation for index definitions.

KFA MLM Index Implementation

Risk Mitigation

The index has the potential to outperform during periods of price instability and dislocation.
The index is also meant to exhibit lower volatility than the broader market during such periods, providing a meaningful diversification impact.

Transparency

Many managed futures strategies are opaque and do not provide regular pricing.
The KFA MLM Index improves transparency by providing investors with monthly pricing and a 32-year track record to evaluate performance.

Implementation Process

22 Highly Liquid Futures Contracts

The KFA Mount Lucas Index trades 11 commodities, 6 currencies and 5 global bond markets.

Allocate Risk Across Sectors and Markets

Risk is allocated to each sector based on relative historical volatility and rebalanced monthly.

Generate Trend Signal

A daily trend signal is generated based on each market's price versus its long-term moving average. Signals can be long or short.

Daily Execution

Evaluates market trading signals once per day, rebalances on the first of the month and rolls futures contracts forward on a market-by-market basis.

KMLM

Periods of volatility create opportunities for profit, as investors assume risk that hedgers wish to avoid. When prices are more volatile, one can expect the premium businesses are willing to pay is larger, and when prices are stable, one can expect the premiums to be lower.

See the end of the presentation for index and term definitions. Diversification does not ensure a profit or guarantee against a loss.

KFA MLM Index Trading Example

2008 Crude Oil Synthetic Price* & Resulting Portfolio Action

The KFA MLM Index uses a trend-following algorithm to signal the inception of significant price dislocations.
Inputs to the algorithm (trends) include market prices and their respective long-term moving average.
Based on these trends, the index takes long or short positions depending on the direction of the price dislocation.
Trend signals are executed in small increments over a period of several days, lowering overall market impact.
The index is designed to capitalize on sustained price dislocations in futures markets.

*Synthetic price of rolling forward WTI Crude Oil futures contracts. See the end of the presentation for term definitions.

KFA MLM Index Performance

The KFA MLM Index has exhibited positive performance during periods of significant equity market stress.

![Chart showing KFA MLM Index performance during Global Financial Crisis and Coronavirus/Inflation/Ukraine War periods, with trend signal strength indicators for various commodities, currencies, and fixed income markets]

KFA MLM Index Performance

Tracking the KFA MLM Index may reduce both risk and drawdown when used as a complement to a traditional 60% stock and 40% bond portfolio. Allocating as little as 10% may yield risk-adjusted performance benefits.

Return, Risk, & Drawdown From 1988 to Dec 2025

	Annual Return	Volatility (Risk)	Maximum Drawdown
100% Bonds	5.4%	4.2%	-17.2%
100% Stocks	11.5%	14.6%	-50.9%
100% KFA MLM Index	8.5%	16.3%	-27.5%
60% Stocks, 40% Bonds	9.3%	9.3%	-32.5%
60% Stocks, 30% Bonds, 10% KFA MLM Index	9.8%	8.8%	-29.5%
54% Stocks, 36% Bonds, 10% KFA MLM Index	9.4%	8.1%	-26.2%
50% Stocks, 40% Bonds, 10% KFA MLM Index	9.1%	7.6%	-23.9%

KFA MLM Index Performance

The KFA MLM Index has exhibited negative correlations with US equity and bond markets during both bull (rising) and bear (declining) market periods.

Period	S&P 500 Return	KMLM's Index Return	Correlation
Jan 2023 to Dec 2025	23.2%	-2.4%	-0.55
Jan 2022 to Dec 2022	-18.1%	36.7%	-0.53
Apr 2020 to Dec 2021	44.1%	0.9%	-0.03
Jan 2020 to Mar 2020	-19.6%	13.9%	-0.92
Mar 2009 to Dec 2019	17.1%	-1.1%	-0.19
Nov 2007 to Feb 2009	-41.4%	37.4%	-0.69
Oct 2002 to Oct 2007	15.5%	7.4%	-0.04
Sep 2000 to Sep 2002	-24.8%	2.9%	-0.50
Total Period (Sep 2000 – Dec 2025)	8.1%	4.5%	-0.34

KFA MLM Index Risk Offset Properties

![Bar chart showing performance of S&P 500, KFA MLM Index, and SG Trend Index during various market events including Global Financial Crisis, Flash Crash, U.S. Debt Downgrade, China Slowdown, Oil Price Shock, U.S. Inflation Rate Scare, Global Selloff, COVID-19, Ukraine Invasion/Inflation, and Tariffs. The chart demonstrates how the KFA MLM Index typically performs positively during market stress events when the S&P 500 declines.]

KFA MLM Index Historical Exposures

![Charts showing historical exposures of the KFA MLM Index across three sectors: Commodities, Currency, and Fixed Income. The top three charts show 12-month net exposure for each sector, while the bottom chart shows gross exposure by sector from 01/2023 to 12/2025.]

KFA MLM Index Year-Year Returns

[Table showing monthly and annual returns for the KFA MLM Index from 1988 to 2025. The table includes detailed monthly returns for each year and the total annual return.]

KraneShares Mount Lucas Managed Futures Index Strategy ETF*

Investment Strategy:

KMLM Partner:

*Formerly the KFA Mount Lucas Index Strategy ETF

KMLM Performance History as of 12/31/2025:

Fund Details Data as of 12/31/2025


Primary Exchange	NYSE Arca, Inc.
CUSIP	500767652
ISIN	US5007676522
Total Annual Fund Operating Expense	0.90%
Inception Date	12/01/2020
Distribution Frequency	Quarterly
Underlying Index	KFA MLM Index
Net Assets	$170,299,594

	Cumulative %			Average Annualized %
	3 Mo	6 Mo	Since Inception	1 Yr	3 Yr	5 Yr	Since Inception
Fund NAV	1.20%	3.35%	33.04%	-3.21%	-3.44%	4.75%	5.77%
Closing Price	1.19%	3.34%	32.78%	-3.02%	-3.47%	4.65%	5.73%
Underlying Index	1.58%	4.05%	46.29%	-1.69%	-2.36%	6.76%	7.77%

Holdings and Exposures of the KraneShares Mount Lucas Managed Futures Index Strategy ETF

Commodity Exposures as of 12/31/2025

	Identifier	Position	% NAV
COPPER FUTURE MAR26	HGH6	Long	7.34%
LIVE CATTLE FUTR FEB26	LCG6	Long	7.23%
GOLD 100 OZ FUTR FEB26	GCG6	Long	6.88%
SUGAR #11 (WORLD) MAR26	SBH6	Short	6.73%
WTI CRUDE FUTURE MAR26	CLH6	Short	6.72%
CORN FUTURE MAR26	C H6	Short	6.71%
NY HARB ULSD FUT MAR26	HOH6	Long	6.43%
WHEAT FUTURE(CBT) MAR26	W H6	Short	6.42%
NATURAL GAS FUTR MAR26	NGH26	Short	5.59%
SOYBEAN FUTURE MAR26	S H6	Long	2.09%
GASOLINE RBOB FUT MAR26	XBH6	Long	1.55%

Currency Exposures as of 12/31/2025

	Identifier	Position	% NAV
BP CURRENCY FUT MAR26	BPH6	Long	16.55%
AUDUSD CRNCY FUT MAR26	ADH6	Long	16.54%
EURO FX CURR FUT MAR26	ECH6	Long	16.43%
CHF CURRENCY FUT MAR26	SFH6	Long	16.42%
JPN YEN CURR FUT MAR26	JYH6	Short	16.11%
C$ CURRENCY FUT MAR26	CDH6	Long	10.22%

Fixed Income Exposures as of 12/31/2025

	Identifier	Position	% NAV
LONG GILT FUTURE MAR26	G H6	Long	25.89%
US 10YR ULTRA FUT MAR26	UXYH6	Long	25.26%
EURO-BUND FUTURE MAR26	RXH6	Short	24.91%
JPN 10Y BOND(OSE) MAR26	JBH6	Short	24.34%
CAN 10YR BOND FUT MAR26	CNH6	Short	13.4%

Collateral and Currency Management as of 12/31/2025

	Identifier	Position	Current Exposure($)	% NAV
Cash	USD	74,345,655	74,345,655	43.66%
B 01/29/26	US912797RK59	25,000,000	24,933,888	14.64%
B 02/19/26	US912797PM34	25,000,000	24,881,158	14.61%
B 02/26/26	US912797RU32	25,000,000	24,862,863	14.6%
B 01/13/26	US912797SF55	22,000,000	21,976,413	12.9%
JAPANESE YEN	JPY	237,894,580	1,518,735	0.89%
EURO	EUR	525,034	617,019	0.36%
BRITISH STERLING POUND	GBP	-977,254	-1,317,284	-0.77%
CANADIANDOLLAR	CAD	-2,136,378	-1,556,503	-0.91%
			170,261,943	100%

KFA MLM Index Performance

Separating the performance by distinct decades gives another way to look at asset classes and the macro environment.

	1988 - 1989	1990 - 1999	2000 - 2009	2010 - 2019	2020 - 2025	2022	Full Sample
KFA MLM Index	27.3%	14.1%	8.7%	0.6%	6.7%	36.7%	8.5%
KFA MLM Index Realized Volatility	22.3%	16.6%	19.4%	12.1%	13.3%	20.2%	16.3%
Correlation vs. 60/40	0.21	-0.28	-0.31	-0.13	-0.55	-0.63	-0.27
Bloomberg US Aggregate	11.2%	7.7%	6.3%	3.7%	0.9%	-13.0%	5.4%
Bloomberg US Aggregate Realized Volatility	5.1%	3.9%	3.8%	2.9%	6.0%	8.3%	4.2%
Correlation vs. 60/40	0.68	0.55	0.14	-0.06	0.66	0.77	0.39
S&P 500	23.9%	18.2%	-0.9%	13.6%	15.1%	-18.1%	11.5%
S&P 500 Realized Volatility	11.2%	13.4%	16.1%	12.5%	17.2%	23.0%	14.6%
Correlation vs. 60/40	0.98	0.99	0.99	0.99	0.98	0.99	0.98
60/40 S&P 500 - US Agg	18.8%	14.1%	2.3%	9.8%	9.5%	-15.8%	9.3%
60/40 S&P 500 - US Agg Realized Volatility	8.0%	8.8%	9.8%	7.3%	11.7%	16.2%	9.3%

Managed Futures Beta

The KFA MLM Index was created in 1988 to represent the returns to investors in managed futures. This "beta" is the risk premium earned by investors in the futures markets who accept price risk from commercial participants who do not want to own that risk.

![Line chart showing Rolling 12 Month Return from 1988 to 2025 comparing KFA MLM Index with 6 other managed futures managers. The chart shows cyclical performance patterns with periods of strong positive and negative returns.]

The Next 12 Months

Historical observations of trailing 12-month returns shows average positive returns in following 12-month period in all quintiles.

KFAMLM Index TR

Average Next 12-month Return

Quintiles Based On Previous 12-month Return

January 01, 1988 to December 31, 2025

(433 Observations)

[Chart showing average returns across 5 quintiles from weak to strong:]

Quintile 1 (Weak): 5.7% (Observations: 87, Min: -22.9%, Max: -4.0%)
Quintile 2: 8.8% (Observations: 86, Min: -3.9%, Max: 3.3%)
Quintile 3: 9.7% (Observations: 87, Min: 3.3%, Max: 12.7%)
Quintile 4: 13.3% (Observations: 86, Min: 12.8%, Max: 25.4%)
Quintile 5 (Strong): 8.0% (Observations: 87, Min: 25.4%, Max: 56.1%)

The Mount Lucas Investment Team

Timothy Rudderow

Chairman

Tim co-founded Mount Lucas in 1986 and serves as the firm's Chairman and Managing Partner. He has been in the investment business since the late 1970s, when he worked at Commodities Corporation with the late Frank Vannerson, another co-founder of Mount Lucas. Tim specializes in the design and management of technical trading systems applied to the futures, equity, and fixed income markets. He holds a B.A. in Mathematics from Rutgers University and an M.B.A. in Management Analysis from Drexel University. As Chairman, Tim oversees all investment strategies and sets the strategic direction of the firm.

Gerald L. Prior, III

CIO Managed Futures | Chief Operating Officer

Jerry began his tenure at Mount Lucas in 1997 as a trading assistant and went on to lead the initiative to enhance the technology and systems integration on the firm's trading desk. In addition to having served as the portfolio manager for the MLM Index and MLM Symmetry Funds, and for custom quantitative managed accounts, Jerry today serves as the firm's CIO of Managed Futures strategies as well as COO. He has a particular expertise in the development, implementation, and oversight of the firm's proprietary models, and their execution through the trading operation. Jerry graduated cum laude from Villanova University with a B.S. in Mathematics.

David Aspell

CIO Global Macro

David joined Mount Lucas in 2011. Prior to joining the firm, David spent approximately 6 years at Man Group as a Senior Risk Manager, working in London, New York and Chicago. At Mount Lucas, David served as Chief Risk Officer until 2013, at which point he assumed the role of a discretionary Portfolio Manager in the MLM Macro strategy. In addition to his portfolio management duties, he plays an integral role in the investment research process. David graduated from Sheffield Hallam University and holds a master's degree in Finance from the University of Nottingham (UK). David is a Managing Partner in the firm and currently serves as CIO of Global Macro strategies.

Index Definitions:

S&P 500 Index: The S&P 500 Index is widely regarded as the best single gauge of large-cap U.S. equities. There is over USD 9.9 trillion indexed or benchmarked to the index, with indexed assets comprising approximately USD 3.4 trillion of this total. The index includes 500 leading companies and covers approximately 80% of available market capitalization. The index was launched on March 4, 1957.

KFA MLM Index ("KMLM's Index"): The KFA MLM Index is a diversified trend following portfolio of commodity, currency, and global fixed income futures contracts traded on US and foreign exchanges. The performance data for the index is a representation of the MLM Index from 1/1/1988 to 12/31/2004, the MLM Index EV ("EV"), with enhanced Execution and Volatility characteristics, from 1/1/2005 to 11/30/2020, and, using the same methodology as the "EV," the KFA MLM Index from 12/1/2020 on.

Bloomberg Barclays US Aggregate Bond Total Return Index ("US Aggregate Bond Index"): Bloomberg Barclays US Aggregate Bond Index: The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate, taxable bond market in the United States. The index includes Treasuries, government-related, and corporate securities. The index was launched on January 1, 1976.

Term Definitions:

Volatility: the degree of variation of a trading price series over time as measured by the standard deviation of returns. Standard deviation is a quantity calculated to indicate the extent of deviation for a group. A low standard deviation indicates that the data points tend to be close to the mean (also called the expected value) of the set, while a high standard deviation indicates that the data points are spread out over a wider range of values.

Maximum Drawdown: the measure of decline from a historical peak in some variable, typically the price of a security or index.

Declining Market Period: For the purposes of this presentation, a declining market period is defined as a when securities prices fall by 10% or more within some broad market benchmark.

Synthetic Price: A price benchmark that has been created using futures or other types of derivatives to replicate the actual price performance of an asset.

Price Risk: The risk of a decline in the value of a security or an investment portfolio excluding a downturn in the market, due to multiple factors.

Portfolio Risk: The risk that the combination of assets or units, within the investments that you own, fail to meet financial objectives.

Counter-Party Risk: The likelihood or probability that one of those involved in a transaction might default on its contractual obligation.

Important Notes

Carefully consider the Funds' investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds' full and summary prospectus, which may be obtained by visiting www.kraneshares.com/kmlm. Read the prospectus carefully before investing.

Risk Disclosures:

Investing involves risk, including possible loss of principal. There can be no assurance that a Fund will achieve its stated objectives. Indices are unmanaged and do not include the effect of fees. One cannot invest directly in an index.

This information should not be relied upon as research, investment advice, or a recommendation regarding any products, strategies, or any security in particular. This material is strictly for illustrative, educational, or informational purposes and is subject to change.

The Fund may invest in derivatives, which are often more volatile than other investments and may magnify the Fund's gains or losses. A derivative (i.e.,futures/forward contracts, swaps, and options) is a contract that derives its value from the performance of an underlying asset. The primary risk of derivatives is that changes in the asset's market value and the derivative may not be proportionate, and some derivatives can have the potential for unlimited losses. Derivatives are also subject to liquidity and counterparty risk. The Fund is subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate, which may cause the Fund to suffer losses. Counterparty risk is the risk of loss in the event that the counterparty to an agreement fails to make required payments or otherwise comply with the terms of the derivative.

Fluctuations in currency of foreign countries may have an adverse effect to domestic currency values. The use of futures contracts is subject to special risk considerations. The primary risks associated with the use of futures contracts include: (a) an imperfect correlation between the change in market value of the reference asset and the price of the futures contract; (b)possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (c) losses caused by unanticipated market movements, which are potentially unlimited; (d)the inability to predict correctly the direction of market prices, interest rates, currency exchange rates and other economic factors; and (e) if the Fund has insufficient cash, it may have to sell securities or financial instruments from its portfolio to meet daily variation margin requirements, which may lead to the Fund selling securities or financial instruments at a loss.

The Fund invests through a subsidiary, and is indirectly exposed to the risks associated with the Subsidiary's investments. Since the Subsidiary is organized under the law of the Cayman Islands and is not registered with the SEC under the Investment Company Act of 1940, as such the Fund will not receive all of the protections offered to shareholders of registered investment companies. The Fund and the Subsidiary will be considered commodity pools upon commencement of operations, and each will be subject to regulation under the Commodity Exchange Act and CFTC rules. Commodity pools are subject to additional laws, regulations and enforcement policies, which may increase compliance costs and may affect the operations and performance of the Fund and the Subsidiary. Futures and other contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity.

The Fund is subject to interest rate risk, which is the chance that bonds will decline in value as interest rates rise. The Fund is subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate which may cause the Fund to suffer losses. Narrowly focused investments typically exhibit higher volatility. The Fund's assets are expected to be concentrated in a sector, industry, market, or group of concentrations to the extent that the Underlying Index has such concentrations. The securities or futures in that concentration could react similarly to market developments. Thus, the Fund is subject to loss due to adverse occurrences that affect that concentration. KMLM is non-diversified.

ETF shares are bought and sold on an exchange at market price (not NAV) and are not individually redeemed from the Fund. However, shares may be redeemed at NAV directly by certain authorized broker-dealers (Authorized Participants) in very large creation/redemption units. The returns shown do not represent the returns you would receive if you traded shares at other times. Shares may trade at a premium or discount to their NAV in the secondary market. Brokerage commissions will reduce returns.

Beginning 12/23/2020,market price returns are based on the official closing price of an ETF share or, if the official closing price isn't available, the midpoint between the national best bid and national best offer ("NBBO") as of the time the ETF calculates the current NAV per share. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The KraneShares ETFs, KFA Funds ETFs, and KraneShares Mutual Funds are distributed by SEI Investments Distribution Company (SIDCO), 1 Freedom Valley Drive, Oaks, PA 19456, which is not affiliated with Krane Funds Advisors, LLC, the Investment Adviser for the Funds, or any sub-advisers for the Funds.