VSPY Direxion S&P 500 Volatility Response Shares ETF

Overview

The Direxion S&P 500 Volatility Response Shares ETF seeks investment results, before fees and expenses, that track the S&P 500® Volatility Response Index.

Fact Sheet  ETF Guide  Prospectus

Key Features of the Fund

Current Exposure Levels (As of 9/18/2014)

  Exposure
Equities 100%
Cash 0%

The Fund aims to provide improved risk/return profile relative to traditional beta1 investing by:

  • Increasing equity exposure during periods of low volatility, to exploit positive trends
  • Employing a downside risk mitigation strategy during periods of high volatility
  • Applying a disciplined strategic index-based methodology to an equity investment strategy

The Strategy at Work

VSPY’s  exposure to equities within the S&P 500 index is determined using a target volatility level.

  • The Index establishes a volatility target which may be set at 12.5%, 15%, or 17.5%, and is determined based on the recent levels of CBOE Volatility Index (VIX®).The Index then reviews several volatility factors of the S&P 500 Index.
  • The volatility factors of the S&P 500 Index are exponentially weighted with more emphasis placed on the most recent historical periods.
  • Those volatility factors, along with the target volatility levels, determine the Index’s exposure to the equity component and the Treasury Bill component.
  • The percentage exposure to the equity component is expected to range between 10% and 100%, and will not exceed 100%. Exposure to the Treasury Bills component is expected to range between 0% and 90%.

Based on certain changes in the volatility factors, the Index may be rebalanced as frequently as daily. However, regardless of whether these changes occur, the Index will rebalance at least monthly.

 

Examples of Exposure Levels Based on Index Volatility

The following tables provide example exposure levels to the Stock Component that the Fund would have at target volatility levels of 12.5%, 15% and 17.5% based on hypothetical volatility calculations.

VSPY Table

The charts above are hypothetical and not representative of Fund holdings. There is not guarantee the fund will meet the stated objective.

1 beta – a number describing the relation of returns with those of the financial market as a whole

Target Index

S&P 500®  Volatility Response Index

The S&P 500 Volatility Response Index (SPXVRT), designed to respond to volatility, is composed of S&P 500 equity securities and U.S. Treasury Bills. The Index responds to volatility by establishing a volatility target which may be set at 12.5%, 15%, or 17.5%, and is determined based on the recent levels of CBOE Volatility Index (VIX®). The Index then reviews several volatility factors of the S&P 500 Index. The volatility factors of the S&P 500 Index are exponentially weighted with more emphasis placed on the most recent historical periods. Those volatility factors, along with the target volatility levels, determine the Index’s exposure to the equity component and the Treasury Bill component. The percentage exposure to the equity component is expected to range between 10% and 100%, and will not exceed 100%. Exposure to the Treasury Bills component is expected to range between 0% and 90%.

Daily Holdings

Fund Symbol VSPY
Bloomberg Index Symbol SPXVRT
CUSIP 25459Y728
ISIN US25459Y7287
Gross Expense Ratio 1.78%
Net Expense Ratio 0.45%*
Inception Date Jan 11, 2012

Pricing and Performance

Price Information
NAVs and market price information as of September 19, 2014

Ticker Fund Name NAV NAV Change $ NAV Change % Market Price Closing Market Price Closing Change($) Market Price Closing Change(%) Premium / Discount
VSPY Direxion S&P 500 Volatility Response Shares 60.71 -0.03 -0.05 60.74 -0.01 -0.02 0.03

Performance
NAVs and market price information as of September 19, 2014

All data as of 8/31/2014
Ticker Fund Name   1 Mo % 3 Mo % YTD 1 YR % 3 YR % 5 YR % 10 YR % Since Inception Inception Date Expense Ratio* (Gross/Net %)
VSPY Direxion S&P 500 Volatility Response Shares NAV 3.94 4.54 9.51 24.52 18.49 1.78 / 0.45
Market Close 3.87 4.60 9.50 24.75 18.50
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 %)
VSPY Direxion S&P 500 Volatility Response Shares NAV 2.01 5.09 6.87 23.55 18.70 1.78 / 0.45
Market Close 2.03 5.06 6.80 23.49 18.69

Rafferty has contractually agreed to waive all or a portion of its fees and/or reimburse the fund for expenses through September 1, 2015, to the extent that the funds net annual operating expenses exceed 0.45%.

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 under 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. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. 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
VSPY Direxion S&P 500 Volatility Response Shares 0.11507
VSPY Direxion S&P 500 Volatility Response Shares 0.22827
VSPY Direxion S&P 500 Volatility Response Shares 0.17728
VSPY Direxion S&P 500 Volatility Response Shares 0.18005
VSPY Direxion S&P 500 Volatility Response Shares 0.20211
VSPY Direxion S&P 500 Volatility Response Shares 0.1884
VSPY Direxion S&P 500 Volatility Response Shares 0.31652
VSPY Direxion S&P 500 Volatility Response Shares 0.23256 0.11733