The four remaining ETFs in the filing are designed to cover a variety of strategies, three of which are constructed on volatility and beta data.
The Direxion State Street GX Dynamic Moderate Allocation ETF will allocate between equities as represented by the S&P 500 and fixed income as represented by the S&P US Aggregate Bond Index based on the signals provided by an absorption ratio. Given a neutral signal, the fund will invest in 60% equities and 40% fixed income, but when it is low, the fund will switch into 100% equities. When the absorption ratio is high, the fund will fully invest in fixed income. The fund carries an expense ratio of 0.44%.
The Direxion Tactical Low Vol ETF tracks the Indxx High Beta Low Volatility Index, which takes a dynamic approach to managing risk exposure. The index covers U.S. equities, including REITs and MLPs, that have at least $5 billion in market capitalization and meet certain liquidity requirements. The index shifts between high-beta and low-beta securities based on the CBOE Volatility Index (VIX) and the moving average of the S&P 500. When volatility is low, it targets high-beta securities. The fund is set to come with an expense ratio of 0.42%.
The Direxion S&P 500 Low Volatility Target Beta ETF is described in the prospectus as being “very different from most other exchange-traded funds.” The fund is designed as a leveraged short-term investment and will offer leveraged exposure to the S&P 500 Low Volatility Beta Rebalanced Index, possibly differing from the return of the index by up to 150%. The prospectus also notes that when volatility is high, it could have more of an effect on the fund’s movements than the actual underlying index. The fund will come with an expense ratio of 0.57%.
Finally, the Direxion Enhanced Dividend Target Beta ETF is similar to the previous fund—and comes with similar warnings—but its underlying index is the Indxx Dominant Dividend U.S. Consistency Index. It has an expected expense ratio of 0.60%.
The funds are slated to list on the NYSE Arca exchange.
Contact Heather Bell at [email protected].