Alternative Strategy Funds

Direxion Indexed Managed Futures Strategy Fund

The Direxion Indexed Managed Futures Strategy Fund offers an index-based methodology and no underlying manager or incentive fees. The fund provides exposure to 21 futures markets including commodities, currencies and interest rates.
  • Tickers:

     DXMAX
  • CUSIP:

     254939291
  • Objective:

     The Direxion Indexed Managed Futures Strategy Fund seeks investment results, before fees and expenses, generally comparable to the performance of the Auspice Managed Futures ER Index (AMFERI), a long/short managed futures index.
Symbol Fund Index/Benchmark Daily/Monthly Target Bloomberg Index Symbol
Long Term Investment
ETFs
Mutual Funds
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares Auspice Managed Futures ER Index - AMFERI
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
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares NAV -3.64 -6.27 -6.27 -7.26 - - - -5.68 2/1/2012 1.45 / 1.45
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
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares NAV -3.64 -6.27 -6.27 -7.26 - - - -5.68 2/1/2012 1.45 / 1.45
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
(4/23/2014)
NAV
Change
($)
NAV
Change
(%)
Market Price Closing
(4/23/2014)
Market Price Closing Change
($)
Market Price Closing Change
(%)
Premium/
Discount
Long Term Investment
ETFs
Mutual Funds
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares 35.50 $0.00 0.00% -- -- 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
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% 200%
DXSSX Monthly S&P 500® Bear 2x Fund S&P 500® -200% 200%
DXQLX Monthly NASDAQ 100® Bull 2x Fund NASDAQ 100® 200% 200%
DXRLX Monthly Small Cap Bull 2x Fund Russell 2000® 200% 200%
DXRSX Monthly Small Cap Bear 2x Fund Russell 2000® -200% 200%
International
DXZLX Monthly Latin America Bull 2x Fund S&P® Latin America 40 200% 200%
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% 200%
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% 200%
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% 200%
Currency
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Overview

Why Invest in the Fund?

  • An index-based methodology, with no underlying manager and incentive fees
  • Non-correlation to stocks and bonds
  • Disciplined, quantitative, rules-based approach to managed futures investing

The Direxion Indexed Managed Futures Strategy Fund offers an index-based methodology and no underlying manager or incentive fees. The fund seeks to replicate the performance of the Auspice Managed Futures ER Index (AMFERI), a long/short index that provides exposure to 21 futures markets including commodities, currencies and interest rates. The fund provides a disciplined approach to managed futures investing without sacrificing performance or diversification.

 

Strategy & Benefits

Investment Strategy

  • Tracks a quantitative, rules-based index
  • Provides exposure to 21 futures markets (commodities, interest rates, and currencies) that can individually be positioned long or short
  • Has the flexibility to make position changes (long or short) intra-month based on 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

Managed futures have been used successfully by institutional investors for more than 30 years. The advent of managed futures mutual funds has made investing in the asset class more accessible and cost effective.

With the ability to go both long and short, managed futures are highly flexible financial instruments that can provide portfolio diversification and a host of other benefits:

  • Historically lower correlation1 to stocks, bonds, and other alternatives
  • Demonstrated ability to perform in various market conditions
  • Provide potential to enhance returns and mitigate risk when used as a complement to stocks and bonds

Component Sectors

Component Sectors

Direxion Indexed Managed Futures Strategy Fund (DXMAX)
(as of 3/31/2014)

Energy Current Month (L/S)
Crude Light LONG
Heating Oil LONG
Gasoline RBOB LONG
Natural Gas LONG

 

Metals Current Month (L/S)
Gold LONG
Silver SHORT
Copper SHORT

 

Agriculture Current Month (L/S)
Corn LONG
Soybeans LONG
Wheat LONG
Cotton LONG
Sugar SHORT

 

Interest Rates Current Month (L/S)
30 Year Bond LONG
10 Year Note SHORT
Treasury Note/5 Yr. (USA) LONG

 

Currencies Current Month (L/S)
Aussie Dollar SHORT
British Pound LONG
Canadian Dollar SHORT
Euro LONG
Japanese Yen SHORT
U.S. Dollar Index SHORT

Data is subject to change at any time and are not recommendations to buy or sell any security.

Monthly Commentary

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

March 2014
Auspice Managed Futures Index Commentary
 

Market Review

Although 2013 ended strong, the AMFERI pulled back in Q1.

With global central bank participation subsiding and QE into tapering underway, the markets have been choppy. Equities traded up and down causing volatility in other sectors, including commodities and currencies. The commodity markets appear to be regaining momentum and a number of new components have been added across all three sectors covered. Asset class rotation is apparent and underway; the recent pullback appears to be a sign of this transition as position change occurs in response to shifting trends.

Index Review

The AMFERI index was off 3.50% in March and 5.92% in 2014 year-to-date.

2014 Year-to-Date

  AMFERI BTOP50 S&P DTI ER Newedge CTA
YTD Return (1/1 – 3/31/14) -5.29% -1.45% -0.25% -1.53%
Source: Bloomberg. Indices: Barclay BTOP50 Index (BTOP50), S&P Diversified Trends Indicator (S&P DTI ER) Index, and the Barclay Newedge CTA Index (Newedge CTA). 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 AMFERI BTOP50 S&P DTI ER Newedge CTA
Annualized Return -3.65% -2.06% -6.15% -2.87%
Annualized Standard Deviation1 8.68% 4.61% 6.01% 6.68%
Sharpe Ratio2 -0.42 -0.45 -1.02 -0.43
MAR Ratio3 -0.24 -0.25 -0.28 -0.24
Maximum Drawdown4 14.99% 8.34% 21.98% 11.78%
Source: Bloomberg. Indices: Barclay BTOP50 Index (BTOP50), S&P Diversified Trends Indicator (S&P DTI ER) Index, and the Barclay Newedge CTA Index (Newedge CTA). 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

12/1/2010 – 3/31/2014 AMFERI BTOP50 S&P DTI ER Newedge CTA
Cumulative Return 3.78% -3.80% -9.89% -5.80%
Source: Bloomberg. Indices: Barclay BTOP50 Index (BTOP50), S&P Diversified Trends Indicator (S&P DTI ER) Index, and the Barclay Newedge CTA Index (Newedge CTA). 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.

Portfolio Recap

In March all sectors of the index were off (see chart below). The strategy has added 3 new long components and is now holding 9 components to be long 75% of the possible commodity basket. This is a significant change in exposure from where the index ended 2013. There were no changes in the financial sectors of the index.

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

Energy

The index flipped its Crude Oil exposure and is now long the entire Energy Sector. Energy pulled back modestly after a strong February on both the petroleum side and in Natural Gas.

Metals

Metals continued to struggle throughout March and were the largest contributor to the strategy loss on the month. Although a gain was made in Silver from the short side, it did not offset the transition in Gold and Copper. The long Copper position added late in 2013 was short-lived and the index exited this market as momentum deteriorated to be short. In addition, the index took on a new long position in Gold for the first time in over a year.

Agriculture

The index made a number of changes in the Ag sector resulting in a loss on the month. The Grains sub-sector has continued to move higher and the index added Corn and Wheat to the existing Soybeans position. While we remain long Cotton, which was the strongest and most profitable position within the portfolio during March, this did not offset the loss from moving Wheat from short to long. There remains no Sugar weight at this time.

Interest Rates

The Rates sector suffered a minor loss and continues to hold a long position in US 30 Year Bonds. Rates were fairly steady throughout the month with a small bias towards lower prices (higher rates) where the strategy is long 5 Year Notes as well.

Currencies

Currency performance was slightly negative as modest reversals occurred in most of the long term positions. We continue to hold long positions in the Euro, the British Pound while short the US Dollar Index, Canadian and Aussie dollars, as well as the Japanese Yen. The Yen made a small gain and has been short since late 2012.

 

 

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 BTOP50 Index seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50. In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA Universe.
  • The S&P DTI is an investable long/short strategy that can benefit from trends (in either direction) in the global futures markets. It consists of 24 futures contracts, with a 50% weighting in financial futures and 50% weighting in commodities futures. S&P Indices also offers financials-only and commodities-only subsets of the S&P DTI, providing a flexible way to tailor exposure to these respective asset classes.
  • The Newedge CTA Index provides the market with a reliable daily performance benchmark of major commodity trading advisors (CTAs). The Newedge CTA Index calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment. Selection of the pool of qualified CTAs used in construction of the Index will be conducted annually, with re-balancing on January 1st of each year. A committee of industry professionals has been established to monitor the methodology of the index on a regular basis.

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

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