Direxion, a prolific leveraged and inverse exchange traded fund provider, has filed to introduce seven equities-based ETFs based on quantitative strategies and changes in market volatility.
The ETFs further the trend toward move “active” strategies in some of the new ETFs, rather than passive, index-based approaches.
Each fund will have an expense ratio of 0.65%.
According to the filed paperwork, the new funds include:
- Direxion Large Cap Insider Sentiment Shares. The fund is based on stocks from the S&P 500 and is a “quant-weighted” index that weights the top 50 of 100 holdings exponentially, with the top stock at 2.6% weighting and the bottom 50 stocks at equal-weightings of 0.35%. The bottom 50 stocks make up 17.61% of the total Index. The quantitative methodology removes companies with aggressive accounting, and screens for companies based on frequency of trades, purchases of stock and increases in holdings by company insiders, along with positive earnings analysis, according to the filing.
- Direxion All Cap Insider Sentiment Shares. The fund holds 100 stocks from the S&P 1500, which will include large-, mid- and small-cap companies, using a quantitative methodology. Similarly, the fund also follows the “quant-weight” system.
- Direxion Large Cap Tactical Advantage Shares. The fund is made up of stocks from the Dow Jones U.S. Large Cap Index and an investment in cash equivalents. The index will switch between stock and cash, depending on the “Golden Cross” and a “Dead Cross.” The “Golden Cross” occurs when the 50 day moving average crosses above the 200 day moving average while a “Dead Cross” is a move below the 200 day moving average. The fund will hold 100% in stocks during a Golden Cross, or hold 25% in stocks and 75% in cash when a Dead Cross occurs.
- Direxion S&P 1500 Volatility Response Shares. The fund is based on the S&P 1500, which holds large-, mid- and small-caps. “The index responds to volatility by establishing a specific volatility target that adjusts the index’s underlying components among a notional allocation to the S&P 1500… and an investment in cash equivalents,” according to the filing. Exposure to stocks will range between 28% and 150% while exposure to cash may range between 0% and 72%.
- Direxion S&P 600 Volatility Response Shares. The fund tracks the small-cap segment of the market. The fund is constructed like the S&P 1500 Volatility Response Shares but holds small-caps from the S&P 600.
- Direxion S&P 500 Volatility Response Shares. Like the previous volatility funds, it will have a similar construction, but this fund will track the large-cap S&P 500.
- Direxion S&P Latin America 40 Volatility Response Shares. The fund also sets a volatility target and adjusts its underlying components between stock and cash holdings. The S&P Latin America 40 Index holds 40 large, liquid, blue chip stocks from major Latin American Markets, including Brazil, Chile, Mexico and Peru.
For more information on new ETFs, visit our new ETFs category.
Max Chen contributed to this article
The opinions and forecasts expressed herein are solely those of Tom Lydon, and may not actually come to pass. Information on this site should not be used or construed as an offer to sell, a solicitation of an offer to buy, or a recommendation for any product.