Alternative Strategy Funds

Direxion Indexed Commodity Strategy Fund

The Fund offers an easier way to invest in commodities - giving you a means to potentially capitalize on rising prices of individual commodities and mitigate losses when they decline, by going to cash. The fund adjusts dynamically as needed, allowing you to maintain a buy and hold strategy while taking advantage of short-term trends.
  • Tickers:

     DXCTX
  • CUSIP:

     254939457
  • Objective:

     The Direxion Indexed Commodity Strategy Fund seeks investment results, before fees and expenses, that track the performance of the Auspice Broad Commodity ER Index (ABCERI), a long/flat commodities index.
Symbol Fund Index/Benchmark Daily/Monthly Target Bloomberg Index Symbol
Long Term Investment
ETFs
Mutual Funds
DXCTX Direxion Indexed Commodity Strategy Fund - A Shares Auspice Broad Commodity ER Index - ABCERI
Short Term TradingAre Direxion Shares ETFs for you?
ETFs
Mutual Funds
Monthly
Quarterly (standardized)

    All Data as of 3/31/2014

    All Data as of 3/31/2014

Symbol Fund 1 Month
(%)
3 Month
(%)
YTD
(%)
1 Year
(%)
3 Year
(%)
5 Year
(%)
10 Year
(%)
Since
Inception
Inception
Date
Expense Ratio *
(Gross/Net %)
Long Term Investment
ETFs
Mutual Funds
DXCTX Direxion Indexed Commodity Strategy Fund - A Shares NAV -1.36 -1.36 -1.36 -6.50 -14.16 -8.96 - -7.22 6/10/2008 1.26 / 1.26
Short Term Trading
ETFs
Mutual Funds
Symbol Fund 1 Month
(%)
3 Month
(%)
YTD
(%)
1 Year
(%)
3 Year
(%)
5 Year
(%)
10 Year
(%)
Since
Inception
Inception
Date
Expense Ratio *
(Gross/Net %)
Long Term Investment
ETFs
Mutual Funds
DXCTX Direxion Indexed Commodity Strategy Fund - A Shares NAV -1.36 -1.36 -1.36 -6.50 -14.16 -8.96 - -7.22 6/10/2008 1.26 / 1.26
Short Term Trading
ETFs
Mutual Funds

* For ETFs, the advisor, Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the fund for other expenses through September 1, 2015.

** The expenses are estimated based on projected assets. Please see prospectus for details (from the prospectus dated 3/21/14).

The performance data quoted represents past performance net of annual expenses but gross of any sales charge. The performance shown does not reflect the sales charge, therefore, the effect of the sales charge would reduce the performance shown. 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 less than one year are cumulative, not annualized. 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. For the most recent performance, see the “Performance” tab above or call (877) 437-9363.

Shares of DirexionShares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normally determined), and do not represent the returns you would receive if you traded shares at other times. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense subsidies and waivers in effect during certain periods shown. Absent these waivers, results would have been less favorable.


Symbol Fund NAV
(4/17/2014)
NAV
Change
($)
NAV
Change
(%)
Market Price Closing
(4/17/2014)
Market Price Closing Change
($)
Market Price Closing Change
(%)
Premium/
Discount
Long Term Investment
ETFs
Mutual Funds
DXCTX Direxion Indexed Commodity Strategy Fund - A Shares 19.09 $-0.02 -0.10% -- -- 0.00
Short Term Trading
ETFs
Mutual Funds

The performance data quoted represents past performance net of annual expenses but gross of any sales charge. The performance shown does not reflect the sales charge, therefore, the effect of the sales charge would reduce the performance shown. 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 less than one year are cumulative, not annualized. 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. For the most recent performance, see the “Performance” tab above or call (877) 437-9363.

Shares of DirexionShares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normally determined), and do not represent the returns you would receive if you traded shares at other times. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense subsidies and waivers in effect during certain periods shown. Absent these waivers, results would have been less favorable.

Symbol Fund Record Date Ex-Date Pay Date Income Dividend Short Term Capital Gain Long Term Capital Gain
Long Term Investment
ETFs
Mutual Funds
DXCTX Direxion Indexed Commodity Strategy Fund - A Shares 12/16/2009 12/17/2009 12/17/2009 0.768870000 0.000 -
Short Term Trading
ETFs
Mutual Funds
Symbol Fund Index/Benchmark Monthly Target Estimated Current
Exposure Level *
Domestic
DXSLX Monthly S&P 500® Bull 2x Fund S&P 500® 200% 201%
DXSSX Monthly S&P 500® Bear 2x Fund S&P 500® -200% -198%
DXQLX Monthly NASDAQ 100® Bull 2x Fund NASDAQ 100® 200% 204%
DXRLX Monthly Small Cap Bull 2x Fund Russell 2000® 200% 206%
DXRSX Monthly Small Cap Bear 2x Fund Russell 2000® -200% -183%
International
DXZLX Monthly Latin America Bull 2x Fund S&P® Latin America 40 200% 192%
DXHLX Monthly China Bull 2x Fund FTSE/Xinhua China 25 Index 200% 200%
DXELX Monthly Emerging Markets Bull 2x Fund MSCI Emerging Markets Index SM 200% 195%
Fixed Income
DXKLX Monthly 7-10 Year Treasury Bull 2x Fund NYSE 7-10 Year Treasury Bond Index 200% 200%
DXKSX Monthly 7-10 Year Treasury Bear 2x Fund NYSE 7-10 Year Treasury Bond Index -200% -201%
DXCBX Indexed Synthetic Convertible Strategy Fund QES Synthetic Convertible Index -
DXCVX Indexed Synthetic Convertible Strategy Bear Fund QES Synthetic Convertible Index -
Commodity
DXCLX Monthly Commodity Bull 2x Fund Morgan Stanley® Commodity Related Index 200% 183%
Currency
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Overview

Why Invest in the Fund?

  • The long/flat approach provides exposure to commodities that can individually be positioned long or flat (in cash) based upon price trends
  • Seeks to mitigate the downside risk and maximum declines relative to notable long-only commodity indices
  • Has the flexibility to make individual commodity position changes intra-month
  • Risk management controls designed to adjust exposure levels if volatility gets too high
  • Low- or non-correlation to stocks and bonds
  • Disciplined, quantitative, rules-based approach to commodity investing

Not just commodities – Long/Flat commodities.

Most traditional commodity funds provide long only exposure to commodities. This limits their potential to contribute to a portfolio’s long-term performance because they only benefit if commodity prices rise.

The Direxion Indexed Commodity Strategy Fund is the only fund on the U.S. market today that seeks to match the performance of the Auspice Broad Commodity ER Index (ABCERI), which provides exposure to 12 commodities that can individually be positioned long or flat (in cash) based upon price trends.

This long/flat index is potentially more adaptive to volatile commodity markets because it seeksto take advantage of individual commodities by going long when prices rise, and preserving capital by going flat (to cash) when prices fall.

Strategy & Benefits

Investment Strategy

The Fund:

  • Tracks a quantitative, rules-based index
  • Provides exposure to 12 commodities that can individually be positioned long or flat (if a short signal is triggered, the position is moved to cash) based on price trends
  • Has the flexibility to make position changes intra-month based on price trends
  • Reviews trends over shorter time periods, making it more responsive to rapidly changing markets
  • Rebalances monthly based on risk, reducing individual component allocations, when volatility exceeds predetermined levels
  • Uses a smart-contract-roll approach designed to select the most cost effective futures contracts

Key Strategy Benefits

The Fund aims to provide improved risk/return profile relative to traditional long-only commodities funds by:

  • Provides exposure to commodities showing an upward price trend and protecting capital (by going to cash) to commodities in a downward price trend
  • Providing commodity investment returns with potentially lower risk characteristics
  • Employing a disciplined, quantitative, rules-based index approach to commodity investing

Component Sectors

Component Sectors

Direxion Indexed Commodity Strategy Fund (DXCTX)
(as of 3/31/2014)

Energy Current Month (L/F)
Crude Oil LONG
Heating Oil LONG
Gasoline LONG
Natural Gas LONG

 

Metals Current Month (L/F)
Gold LONG
Silver FLAT (Cash)
Copper FLAT (Cash)

 

Agriculture Current Month (L/F)
Corn LONG
Soybeans LONG
Wheat LONG
Cotton LONG
Sugar FLAT (Cash)

Flat positions are held in cash and U.S. Treasury Bills. Individual component weightings may vary based on risk levels.

 

Monthly Commentary

The following commentary is provided by Auspice Capital Advisors. Direxion did not contribute to this content.

March 2014
Auspice Commodity Index Commentary
 

Market Review

The ABCERI shaved 1.23% in March as commodities pulled back in some sectors. The recent geo-political tensions, bitter cold, and drought concerns caused volatility that is more persistent in some sectors than others. Overall the commodity markets appear to be recovering and a number of new components have been added across all three sectors covered. Adding exposure to commodities from asset class rotation is apparent and ongoing as the last few years has provided an entry point while traditional asset classes have outperformed.

Index Review

The ABCERI index is off 1.03% in 2014 year-to-date (See Table 1). Long only Commodity indexes have started 2014 predominantly stronger which is a positive sign.

March and 2014 Year-to-Date Performance

  ABCERI S&P GSCI ER DJ UBS ER DB LCI OY
YTD Return (1/1 - 3/31/14 -1.03% 2.93% 6.98% 3.75%
March Return (3/1 -3/31/14) -1.23% 0.14% 0.41% 1.48%
Source: Bloomberg. Indices: S&P-GSCI Excess Return Index (S&P GSCI ER), Dow Jones-UBS Excess Return Commodity Index (DJ UBS ER) Index, and DBLCI Optimum Yield (OY) Index (DBLCI OY). Full index descriptions are available 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.

3-Year Annualized Performance

4/01/2011 – 3/31/2014 ABCERI S&P GSCI ER DJ UBS ER DB LCI OY
Annualized Return -4.35% -3.46% -7.43% -4.45%
Annualized Standard Deviation1 9.04% 16.69% 15.23% 16.68%
Sharpe Ratio2 -0.48 -0.21 -0.49 -0.27
MAR Ratio3 -0.25 -0.16 -0.25 -0.20
Maximum Drawdown4 17.28% 22.27% 29.19% 22.51%
Source: Bloomberg. Indices: Auspice Broad Commodity ER Index (ABCERI), S&P-GSCI Excess Return Index (S&P GSCI ER), Dow Jones-UBS Excess Return Commodity Index (DJ UBS ER) Index, and Deutsch Bank Liquid Commodities Optimum Yield Index (DBLCI OY). Full index descriptions are available 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.

Cumulative Return Since Inception

10/01/2010 – 3/31/2014 ABCERI S&P GSCI ER DJ UBS ER DB LCI OY
Cumulative Return 13.30% 13.78% -4.13% 8.54%
Source: Bloomberg. Indices: Auspice Broad Commodity ER Index (ABCERI), S&P-GSCI Excess Return Index (S&P GSCI ER), Dow Jones-UBS Excess Return Commodity Index (DJ UBS ER) Index, and Deutsch Bank Liquid Commodities Optimum Yield Index (DBLCI OY). Full index descriptions are available 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.

The ABCERI does not attempt to simply track the broad commodity markets or predict their direction, but rather aims to tactically capture upward price trends from those commodities that are making sustained moves higher while protecting capital on those that are making sustained moves lower.

Portfolio Recap

In March, the ABCERI made gains in the Ag sector. The strategy has (net) added 3 components and is now holding 9 components to be long 75% of the possible basket. This is a significant change in exposure from where the index ended 2013.

March 2014 Monthly Index Return Attribution
abceri-033114
Source: Auspice Capital Advisors

Energy

After a strong February, Energy pulled back on both the petroleum and Natural Gas sides. The corrections were modest and the index added a weight in Crude Oil to be long across the sector.

Metals

The Copper position added later in 2013 was short lived and the index has exited this market as momentum deteriorated. Offsetting this, the index has taken a long position in Gold for the first time in over a year. Silver continues to soften and the strategy has not yet added a long weight.

Agriculture

The Ag sector had another strong month and has added two new components to be long 80% of possible weights. The Grains sub-sector has continued to move higher and the index added Corn and Wheat to the existing Soybeans position. We remain long Cotton, which was the strongest and most profitable position in the portfolio in March. There is no Sugar weight at this time.

 

 

1Standard Deviation – A measure of the dispersion of a set of data from its mean.

2Sharpe Ratio – The Sharpe ratio tells us whether a portfolio’s returns are due to smart investment decisions or a result of excess risk.

3MAR Ratio – A measurement of returns adjusted for risk that can be used to compare the performance of commodity trading advisors, hedge funds and trading strategies.

4Drawdown – The peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough.

Index Descriptions:

  • The 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. The returns are calculated on a fully collateralized basis with full reinvestment. The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets.
  • The Dow Jones-UBS Commodity Index is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for the delivery of the underlying physical commodity. In order to avoid the delivery process and maintain a long futures position, nearby contracts must be sold, and contracts that have not yet reached the delivery period must be purchased. This process is known as “rolling” a futures position. The DJ-UBSCI is a “rolling index.”
  • The Deutsche Bank Liquid Commodities Indices Optimum Yield are designed to maximize potential roll returns by selecting, for each commodity, the futures contract with the highest implied roll yield. The index aims to maximize the potential roll benefits in backwardated markets and minimize the loss from rolling down the curve in contango markets. This index rebalances yearly to fixed weights on the 6th Business day of November according to the index holiday calendar Index.

Auspice Capital Advisors Disclaimer – Futures trading is speculative and is not suitable for all customers. Past performance may not be indicative of future results and there is no assurance that any of the strategy’s investment objectives will be met. This document is for information purposes only and should not be construed as an offer, recommendation or solicitation to conclude a transaction and should not be treated as giving investment advice. Auspice Capital Advisors Ltd. makes no representation or warranty relating to any information herein, which is derived from independent sources. No securities regulatory authority has expressed an opinion about the securities offered herein and it is an offense to claim otherwise.

 

Fund Literature

Fund Literature

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