DXMAXDXMCXDXMIX Direxion Indexed Managed Futures Strategy Fund Mutual Fund

Overview

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.

Fact Sheet  Brochure  Prospectus  

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

Monthly Commentary

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

May 2014
Auspice Managed Futures Index Commentary

 

Market Review

The market environment remains challenging as volatility across many asset classes is very low. Equities, Interest Rates, Currencies and several commodities are experiencing the lowest volatility since pre-crisis in 2008. Some markets, like Crude Oil, are at 20 year lows. This is a deceiving blanket of comfort. Historically, these periods of non-volatility are followed by violent market activity. Is this non-volatile environment the proverbial calm before the storm? Institutional asset class rotation hints at potential changes. The momentum from asset class rotation away from Equities and Fixed Income is building.

There may or may not be a storm coming, but time and time again investor complacency has proven dangerous when the unexpected inevitably occurs.

Index Review

The AMFERI pulled back 3.97% in May to be off 8.33% in 2014 year-to-date.

May and 2014 Year-to-Date

 

AMFERI

BTOP50

S&P DTI ER

Newedge CTA

May 2014

-3.97%

1.41%

-1.01%

1.87%

YTD Return (1/1 – 5/31/2014)

-8.33%

0.22%

-0.33%

-0.09%

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 – 5/31/2014

AMFERI

BTOP50

S&P DTI ER

Newedge CTA

Cumulative Return

1.12%

-1.96%

-9.98%

-3.67%

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 May, two sectors of the index were positive. The AMFERI made gains in the Energy and Interest Rates sectors while Ags caused the bulk of overall index correction. Within commodities, the strategy holds 8 components to be long 66% of the possible basket while Currencies are evenly split long and short. During the month a long weight in Cotton was shifted to short while a new long position in US 10 Year Notes added to the long exposure within that sector.

May 2014 Monthly Index Return Attribution
amferi-053114
Source: Auspice Capital Advisors

Energy

The Energy sector continues to move higher in a low volatility fashion led by Crude and Gasoline in May. The index is long all components within the sector.

Metals

The combination of long and short positions did not help Metals this month. The (only) sector long weight in Gold pulled back while Copper moved higher against its short weight. The Silver short offset some of the sector weakness as it softened.

Agriculture

The Ag sector corrected sharply in May after leading the index performance for the past few months. The strategy responded by exiting Cotton to be short. The Grains sub-sector was responsible for the bulk of the weakness with Corn and Wheat pulling back the most. The short Sugar position offset some of the sector weakness.

Interest Rates

The Rates sector provided a gain while adding 10 Year Notes to existing long positions US 30 Year Bonds and 5 Year Notes.

Currencies

Currencies were slightly off as the low volatility environment continued to shelter price trends. Positions were unchanged this month, holding long positions in the Aussie dollar, Euro and the British Pound while short the US Dollar Index, Canadian Dollar and the Japanese Yen.

 

 

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 Symbol DXMAX DXMCX DXMIX
Bloomberg Index Symbol AMFERI AMFERI AMFERI
CUSIP 254939291 254939283 254939275
Gross Expense Ratio 1.45% 2.20% 1.20%
Net Expense Ratio 1.45% 2.20% 1.20%
Inception Date Feb 01, 2012 Feb 01, 2012 Feb 01, 2012

Pricing and Performance

Price Information
NAVs and market price information as of July 29, 2014

Ticker Fund Name NAV NAV Change $ NAV Change % Market Price Closing Market Price Closing Change($) Market Price Closing Change(%) Premium / Discount
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares 35.10 0.14 0.40
DXMCX Direxion Indexed Managed Futures Strategy Fund - C Shares 34.45 0.14 0.41
DXMIX Direxion Indexed Managed Futures Strategy Fund - Institutional 35.31 0.14 0.40

Performance
NAVs and market price information as of July 29, 2014

All data as of 6/30/2014
Ticker Fund Name 1 Mo % 3 Mo % YTD 1 YR % 3 YR % 5 YR % 10 YR % Since Inception Inception Date Expense Ratio* (Gross/Net %)
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares 1.26 -1.59 -7.76 -13.66 -5.74 1.45 / 1.45
DXMCX Direxion Indexed Managed Futures Strategy Fund - C Shares 1.19 -1.76 -8.12 -14.29 -6.45 2.20 / 2.20
DXMIX Direxion Indexed Managed Futures Strategy Fund - Institutional 1.28 -1.50 -7.63 -13.42 -5.51 1.20 / 1.20
All data as of 6/30/2014
Ticker Fund Name 1 Mo % 3 Mo % YTD 1 YR % 3 YR % 5 YR % 10 YR % Since Inception Inception Date Expense Ratio* (Gross/Net %)
DXMAX Direxion Indexed Managed Futures Strategy Fund - A Shares 1.26 -1.59 -7.76 -13.66 -5.74 1.45 / 1.45
DXMCX Direxion Indexed Managed Futures Strategy Fund - C Shares 1.19 -1.76 -8.12 -14.29 -6.45 2.20 / 2.20
DXMIX Direxion Indexed Managed Futures Strategy Fund - Institutional 1.28 -1.50 -7.63 -13.42 -5.51 1.20 / 1.20

The performance data quoted represents past performance; 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 for one year and under 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 additional information, see the fund(s) prospectus or summary prospectus.

Distributions

Ticker Fund Name Record Date Ex Date Pay Date Income Dividend Short-Term Capital Gain Long-Term Capital Gain