COMDirexion Auspice Broad Commodity Strategy ETF
COM Fund Description
COM is an actively-managed fund that aims to outperform a broad-market index of commodity futures. The index consists of 12 commodities, weighted by volatility, that can toggle to cash based on momentum.
COM Factset Analytics Insight
COM can be thought of as an index-tracking fund with an active overlay. The fund generally follows its benchmark, the Auspice Broad Commodity Index, but attempts to boost returns through the active management of the funds collateral. The index includes 12 commodity futures contracts in the agriculture, energy, and metals sectors. Futures positions are weighted by historical volatility, and each position can be either long or “flat” (i.e. moved to cash) based on prevailing price trends in the contract. Contract tenor selection in the index is determined by an optimized, rules-based process. COM’s active manager invests the fund’s collateral in T-bills, money market funds, cash, and other short-term, highly rated corporate and government debt. Rather than a commodity pool, COM uses a Cayman structure (getting exposure through a wholly-owned Cayman Islands subsidiary). As such, taxable investors avoids a K-1 form at tax time and pay the usual long/short-term capital gains rates on sale.
COM Summary Data
COM Portfolio Data
COM Index Data
COM Portfolio Management
COM Tax Exposures
COM Fund Structure
COM Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of COM. COM is rated a 5 out of 5.
COM Top 10 Targeted Commodity Weights
COM Tenor Strategy
COM uses a rules-based optimization process to choose contracts over the next 13 months that have the best possible implied roll yield.
COM Rolling Strategy
COM is actively managed. Roll strategy is at the portfolio manager's discretion with the goal to optimize yield.