Direxion Plans ‘Smart Beta’ ETFs

November 01, 2011

 

Direxion, the Newton, Mass.-based money manager known for its triple-exposure ETFs, filed with the Securities and Exchange Commission to market 11 funds, most of which employ so-called smart beta indexing methodologies.

Direxion’s filing details an array of different concepts for screening securities, including insider sentiment, volatility, as well as one equally weighted fund and two funds with more plain-vanilla indexing methodologies based on market-cap weighting.

The foray into the world of “intelligent beta” funds is the latest sign of what by now seems like a bona fide trend in the ETF industry. While alternative weighting schemes, such as Rob Arnott’s “fundamental indexing,” have been around for years, a host of companies—notably Russell—are now planning and marketing funds that screen stocks for various qualities.

Direxion’s filing details a number of tools to whittle down broad indexes such as the S&P 500 to much smaller benchmarks tightly focused around factors such as an analysis of public company filings relative to the frequency of trades, purchases of stock and increases in holdings by company insiders. Another factor that Direxion takes into account with its data screening strategy is a positive earnings analysis of a company’s returns.

The new funds and their expense ratios follow. The first eight funds have a total net expense ratio of 0.69 percent, and a 0.04 percent expense waiver/reimbursement through Dec. 1, 2012.

  • Direxion Large Cap Insider Sentiment Shares
  • The Direxion All Cap Insider Sentiment Shares
  • Direxion Primary Tactical Advantage Shares
  • Direxion S&P RC 1500 Volatility Response Shares
  • Direxion S&P RC 600 Volatility Response Shares
  • Direxion S&P RC 500 Volatility Response Shares
  • Direxion S&P Latin America 40 RC Volatility Response Shares
  • Direxion Nasdaq-100 Equal Weighted Index Shares: total net expense ratio of 0.40%. The Fund’s advisor, Rafferty Asset Management LLC (“Rafferty” or the “advisor”), has contractually agreed to waive all or a portion of its management fee and/or reimburse the fund for other expenses through Dec.  1, 2012, to the extent that the fund’s net annual operating expenses exceed 0.40%.
  • Direxion Nasdaq Volatility Response Shares; total net expense ratio of 0.74%. There is a 0.09% expense waiver/reimbursement on this fund through Dec. 1, 2012.
  • Direxion Wireless Communications Shares; total net expense ratio of 0.55%. There is a 0.09% expense waiver/reimbursement on this fund through Dec. 1, 2012.
  • Direxion Auto Shares; total net expense ratio of 0.63%. There is an expense waiver/reimbursement of 0.08% on this fund through Dec. 1, 2012.

 

 

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