Jerry Prior, Mount Lucas

Jerry Prior has spent nearly thirty years at Mount Lucas Management — a firm with roots in Commodities Corp, the legendary firm that launched Paul Tudor Jones, Louis Bacon, and the broader managed futures and global macro industry. Mount Lucas built the MLM Index in 1988 to give institutional investors a price-based benchmark for managed futures — the first of its kind — and four decades later, the strategy is still running largely unchanged, now wrapped inside KMLM, the KraneShares Mount Lucas Managed Futures Index Strategy ETF.

In this episode, Jerry breaks down why managed futures exists as an asset class in the first place — the real economic risk transfer happening underneath these markets — and why trend following is the most efficient way to harvest that risk premium. We get into why KMLM deliberately holds no equity exposure when most competitors do, why the firm refuses to use the volatility targeting that defines the rest of the industry, and how the relative-volatility weighting structure has remained stable for twenty years. Jerry walks through the 2022 case study — long commodities, short bonds, up roughly 30% in a year when the 60/40 broke — and explains why the early 2026 environment is starting to look like a setup for the same playbook. He also makes a point most managed futures conversations miss: that liquidity in a diversifying strategy is itself a form of alpha for the advisor using it.

If you've been trying to understand where managed futures fits in a modern portfolio — or why the original index from 1988 still works — this is the conversation.