Key Takeaways
- • David Aspell, CIO of Global Macro at Mount Lucas Management, discussed the KMLM ETF's design strategy during a Schwab Network appearance on June 15, 2026, emphasizing its role as a portfolio diversifier in high-uncertainty environments.
- • The KMLM ETF maintains long positions in energy while gaining exposure to rising rates through short bond positions, while deliberately avoiding equity exposure entirely—a structure designed to capture outsized market moves during periods of instability.
- • Managed futures strategies like KMLM are engineered to perform well during market dislocations precisely when traditional asset classes underperform, offering true diversification benefits through low correlation with conventional holdings.
- • The fund trades across 22 global markets, providing broad-based exposure to macro-driven price movements rather than directional bets on single asset classes.
Summary
David Aspell, Chief Investment Officer of Global Macro at Mount Lucas Management, outlined the strategic positioning of the KMLM ETF during a June 15, 2026 discussion with Schwab Network's Nicole Petallides, addressing how the fund navigates environments characterized by peak uncertainty and elevated market volatility.
The KMLM ETF's portfolio construction reflects a deliberate thesis about where alpha emerges during dislocations. The fund maintains long exposure to energy markets while simultaneously positioning for rising interest rates through short bond positions. Critically, the strategy excludes equity exposure entirely, concentrating instead on asset classes and market segments where large directional moves typically occur during periods of systemic stress. This positioning reflects the core premise that managed futures strategies are specifically engineered to capture performance during market instability—precisely when traditional diversification mechanisms fail and correlations spike.
Aspell emphasized that managed futures represent a fundamentally different portfolio function than conventional diversification through multiple equity or bond positions. "Managed futures and this type of strategy is designed to do well in periods of instability in the world, because you tend to get large moves in markets...right at the time when other asset classes are kind of struggling," Aspell stated. The KMLM fund's operational scope spans 22 global markets, providing systematic exposure to macro-driven price discovery rather than concentrated sector or security-level bets. This breadth enables the strategy to benefit from volatility and trending behavior across commodities, currencies, and rates simultaneously.
For institutional investors and family offices evaluating portfolio construction during elevated macro uncertainty, the KMLM framework offers an alternative to traditional equity-bond allocation. The fund's low correlation with both the S&P 500 and long-term U.S. government bonds addresses a structural gap in conventional diversification, particularly valuable during periods when equities and bonds move in tandem rather than providing offset benefits.
The KMLM ETF's portfolio construction reflects a deliberate thesis about where alpha emerges during dislocations. The fund maintains long exposure to energy markets while simultaneously positioning for rising interest rates through short bond positions. Critically, the strategy excludes equity exposure entirely, concentrating instead on asset classes and market segments where large directional moves typically occur during periods of systemic stress. This positioning reflects the core premise that managed futures strategies are specifically engineered to capture performance during market instability—precisely when traditional diversification mechanisms fail and correlations spike.
Aspell emphasized that managed futures represent a fundamentally different portfolio function than conventional diversification through multiple equity or bond positions. "Managed futures and this type of strategy is designed to do well in periods of instability in the world, because you tend to get large moves in markets...right at the time when other asset classes are kind of struggling," Aspell stated. The KMLM fund's operational scope spans 22 global markets, providing systematic exposure to macro-driven price discovery rather than concentrated sector or security-level bets. This breadth enables the strategy to benefit from volatility and trending behavior across commodities, currencies, and rates simultaneously.
For institutional investors and family offices evaluating portfolio construction during elevated macro uncertainty, the KMLM framework offers an alternative to traditional equity-bond allocation. The fund's low correlation with both the S&P 500 and long-term U.S. government bonds addresses a structural gap in conventional diversification, particularly valuable during periods when equities and bonds move in tandem rather than providing offset benefits.
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