Direxion Auspice Broad Commodity Strategy ETF

  • FUND SYMBOL

    COM

  • INTRA-DAY INDICATIVE VALUE

    COM.IV

  • BLOOMBERG INDEX

    ABCERI

  • CUSIP

    25460E307

  • ISIN

    US25460E3071

  • EXPENSE RATIO (GROSS/NET %)

    0.71 / 0.70*

  • INCEPTION DATE

    Mar 30, 2017

Overview

The Direxion Auspice Broad Commodity Strategy ETF seeks to provide total returns that exceed that of the Auspice Broad Commodity Index over a complete market cycle. There is no guarantee the fund will meet its stated investment objectives.

Strategy & Benefits

The Direxion Auspice Broad Commodity Strategy ETF allows investors to take advantage of rising commodity prices, in addition to mitigate risk by going flat (cash) when individual commodities are experiencing downward trends. It seeks to potentially provide commodity investment returns with lower risk characteristics than long-only commodity strategies.

Strategy Description

  • A 40 Act, non K1 generating approach to commodity investing
  • Exposure to 12 commodities that can individually be long or flat (if a short signal is triggered the position is moved to cash)
  • The ability to make position changes intra-month based on trends
  • Monthly rebalance based on risk reduction where the allocation of individual components is reduced if volatility exceeds certain predetermined risk levels
  • A “smart” contract roll approach designed to select cost effective futures contracts to roll into upon expiration of current contract

Why consider long/flat commodities?

Most traditional commodity funds can only benefit if commodity prices rise. However, these long-only commodity strategies have shown to be inconsistent over time because:

  • Commodity returns are typically cyclical and sporadic
  • Individual commodity sub-sectors tend to perform dissimilarly in different market environments
  • Significant draw-downs can be damaging to the long-term performance of a portfolio

Within the inherently volatile commodity markets, a long/flat approach is potentially more adaptive to whip-sawing market conditions.

Fund Details

Component Sectors and Current Positioning

Metals Position (Long/Flat)
Copper Long
Gold Long
Silver Flat
Agriculture Position (Long/Flat)
Corn Flat
Cotton Flat
Soybeans Flat
Sugar Flat
Wheat Flat
Energy Position (Long/Flat)
Crude Light Flat
Gasoline Long
Heating Oil Long
Natural Gas Flat

All data as of 9/30/2017 and is subject to change at any time and are not recommendations to buy or sell any security. When the positions within the various components are flat, they will be invested in cash and U.S. Treasury Bills. Individual components may vary based on risk levels.

Index Comparison

The Auspice Broad Commodity ER Index (ABCERI) vs. Long-only Commodity Indexes %

ABCERI BCOM TR DBC CI S&P GSCI
Annualized Return -0.83 -7.13 -8.44 -9.48
Annualized Std Dev 8.75 14.29 17.32 19.68
Correlation 1.00 0.82 0.75 0.69
Max Drawdown -33.77 -58.34 -64.49 -67.78

Source: Bloomberg. Index data as of 9/30/2017. This data begins on 10/01/2010, the inception of the Auspice Broad Commodity ER Index. The three indexes above are composite indexes of commodity sector returns representing unmanaged, unleveraged, long-only investment in commodity futures that are broadly diversified across the spectrum of commodities. Index definitions are listed below. Past performance does not guarantee future results. Index returns and correlations are historical and are not representative of any Fund performance. Total returns of the Index include reinvested dividends. One cannot invest directly in an index.

Standard Deviation is a measure of the dispersion of a set of data from its mean.

Correlation is a statistical measure of how two securities move in relation to each other.

Maximum Drawdown is the greatest percent decline from a previous high.

Volatility is a statistical measure of the dispersion of returns for a given security or market index.

Sharpe Ratio is a measure for calculating risk-adjusted return, and this ratio has become the industry standard for such calculations

Calendar Year Total Returns Since Inception of the Auspice Broad Commodity ER Index Compared to Other Commodity Indexes %

ABCERI BCOM TR DBC CI Morningstar Broad Commodity S&P GSCI
2011 0.54 -13.32 -0.73 -8.22 -1.18
2012 -1.02 -1.06 1.12 0.27 0.08
2013 -3.27 -9.52 -9.02 -8.81 -1.22
2014 -8.97 -17.01 -25.94 -17.75 -33.06
2015 -13.45 -24.66 -26.73 -25.31 -32.86
2016 8.55 11.77 8.98 12.24 11.37
Annualized Return -3.19 -9.69 -10.36 -8.74 -11.24
Cumulative Return -17.68 -45.77 -48.13 -48.65 -51.10
Max Drawdown -33.77 -58.34 -64.49 -61.49 -67.78
Standard Deviation 8.42 14.76 17.14 11.92 19.68

Source: Bloomberg. All index information is from 12/31/2010-12/31/2016.

S&P Goldman Sachs Commodity Index (S&P GSCI) is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities.

Bloomberg Commodity Total Return Index (BCOM TR) is a broadly diversified index that allows investors to track 19 commodity futures through a single, simple measure.

Deutsche Banc Liquid Commodity Optimum Yield Index (DBC CI) is an index composed of futures contracts on 14 of the most heavily-traded and important physical commodities in the world

Morningstar Broad Commodity Index represents all the commodity related funds.

Pricing and Performance

NAV and Market Price information as of December 15, 2017. Line chart shows pricing trend over the last 30 days.

fund symbol

COM

  • Net asset value (NAV)

    • 23.78
    • 0.05
    • 0.21
  • market price closing

    • 23.83
    • 0.17
    • 0.72
  • Premium / Discount

    • 0.05

* The Net Expense Ratio includes management fees, other operating expenses and Acquired Fund Fees and Expenses. If Acquired Fund Fees and Expenses were excluded, the Net Expense Ratio would be 0.70%. The Fund’s Adviser, Rafferty Asset Management, LLC (“Rafferty”), has entered into an Operating Expense Limitation Agreement with the Fund, under which Rafferty has contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2018, to the extent that the Fund’s Total Annual Fund Operating Expenses exceed 0.70% of the Fund’s daily net assets other than the following: taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses. If these expenses were included, the expense ratio would be higher.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the funds website at roo-okt.ru.

Short-term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. For additional information, see the fund’s prospectus.

Distributions

  • COM
  • Direxion Auspice Broad Commodity Strategy ETF

There are no recent distributions available for this fund.