Direxion Launches ‘Insider Sentiment’ ETFs
December 08, 2011
Direxion, the Newton, Mass.-based firm known for its leveraged and inverse funds, today launched two new smart beta ETFs that rely on proprietary methodologies to screen stocks from S&P indexes.
Both of the ETFs utilize a screening methodology to weed out companies from S&P that use aggressive accounting. The surviving list of stocks is further whittled down by screening public company filings and increases in holdings by company insiders, as well as positive earnings analyses.
The funds and their tickers are:
Both ETFs have annual gross expense ratios of 0.69 percent with 0.04 percent expense fee waivers in effect through Dec. 1, 2012.
Direxion has been moving into smart beta in recent months. The two funds that launched today are part of a series of 11 mostly smart beta funds that the company filed registration paperwork for in early November. Other companies—notably Russell—also are planning and marketing funds that utilize special screens to select stocks in an index.
The Large Cap Insider Sentiment Shares ETF will track the Sabrient Large-Cap Insider/Quant-Weighted Index consisting of 100 stocks picked from the S&P 500. The index is “quant weighted,” meaning that the top 50 stocks are weighted exponentially, with the top stock representing 2.6 percent of the index, while the bottom 50 stocks are equal weighted, with each representing 0.35 percent of the index. The index will rebalance monthly.
The Direxion All Cap Insider Sentiment Shares ETF will track the Sabrient Multi-Cap Insider/Analyst Quant-Weight Index, which applies the same quantitative methodology as the Large Cap fund, except that it will select 100 stocks from the S&P 1500 pool, a composite of the S&P 500, S&P 400 and S&P 600. As such, it will include companies of large, mid and small capitalization.
According to the prospectus, the two funds may invest up to 20 percent of their assets in financial instruments that provide exposure to the index, such as futures contracts, swap agreements and short positions.