The fund will seek to outperform the Auspice Broad Commodity Index, which includes 12 commodity futures contracts that are weighted based on historical volatility and drawn from the agriculture, energy and metals sectors. The index also has an optimized roll, with the index replacing contracts at rebalancing by rolling into the most desirable contract expiring over the 13-month period.
Auspice is a Calgary, Canada-based investment firm that specializes in liquid alternative investment strategies.
Direxion, like the other firms that have filed for similar products, will invest up to 25% of the portfolio in a Cayman Islands subsidiary, which will represent the commodity futures portion of the fund. The subsidiary will hold the futures contracts included in the benchmark index, while the onshore portion of the fund will be primarily invested in short-term fixed-income securities. Both buckets of the fund will be actively managed, though the commodity portion can reflect the approximate weights of the benchmark index and will follow a similar rebalancing schedule.
The burst of actively managed commodity ETF filings would seem to indicate that a resurgence in interest in the commodity space lies ahead. Indeed, most of the broad commodity ETFs are up year-to-date, but given the uncertainty around the space, investors may be looking for products where the managers have the potential to avert disaster instead of just letting their funds follow the market down.
The filing did not include a ticker, but it did note that the fund will come with an expense ratio of 0.70% and list on the NYSE Arca.
Contact Heather Bell at email@example.com.