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Strategic Weights ETFs

KNOW

The Direxion All Cap Insider Sentiment Shares ETF seeks investment results, before fees and expenses, that track the S&P Composite 1500® Executive Activity & Analyst Estimate Index (SPTEAEUT). There is no guarantee the fund will meet its stated investment objective.

Effective March 1, 2020, the Direxion All Cap Insider Sentiment Shares’ underlying index changed from the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index to the S&P Composite 1500 Executive Activity & Analyst Estimate Index. Read The FAQ.

Working

Overview

Documents & Downloads

Strategy & Benefits

  • The strategy follows a quantitative rules-based equity approach that allows investors access to stocks that corporate insiders are accumulating
  • The strategy reviews each of the index constituents on a monthly basis, focusing on strong insider buying and favorable analyst ratings
  • The strategy’s sector allocations can vary significantly from traditional cap-weighted equity benchmark weightings for potentially increased diversification

Target Index

The S&P Composite 1500® Executive Activity & Analyst Estimate Index (SPTEAEUT) is designed to identify securities that receive favorable analyst ratings and are being acquired by company insiders, such as top management, directors, and large institutional holders. S&P Dow Jones Indices (the “Index Provider”) starts with the universe of securities in the S&P Composite 1500® Index and selects constituents based on the following criteria: (1) positive earnings per share (“EPS”) estimates from analysts for the current fiscal year; (2) the percentage of upward revisions by analysts of EPS estimates; (3) the percentage change in the EPS as of the prior month end; (4) the percentage of insiders that have increased their holdings in the past month; and (5) the absolute change in insider holdings as of the prior month end. A security’s rank in the Index is calculated as a simple average of each of its above five rankings. The Index selects the top 100 securities by rank and weights them based on float-adjusted market capitalization subject to certain sector and security constraints. In addition, each security weight is capped at 5% with a minimum security weight of 0.05%. The Index is reconstituted and rebalanced monthly. One cannot directly invest in an index.

Fund Details

Fund Statistics
Beta to the S&P 1500 1.03
Correlation to the S&P 1500 0.95
Sharpe Ratio 0.52
Standard Deviation 18.36%
Market Cap Info (%)
Mega Capitalization 5.24
Large Capitalization 70.57
Mid Capitalization 19.82
Small Capitalization 4.33

 

Sharpe Ratio is a measure of excess reward per unit of volatility. The calculation is against the Barclays U.S. Treasury Bills: 1-3 Months TR Index Value Unhedged, a risk free rate reference and the average value for the period.

Standard Deviation is a measure of price variability (risk).

Correlation is a measure of the similarity of performance.

Beta is a measure of price variability relative to the market.

Market Capitalization is the total dollar market value of all of a company’s outstanding shares, and is calculated by multiplying a company’s shares outstanding by the current market price of one share.

S&P 500 is an unmanaged index of 500 stocks used to measure large cap U.S. stock market performance.


Pricing & Performance

NAV and Market Price information as of Invalid date. Line chart shows pricing trend over the last 30 days. The Primary Listing Exchange is the NYSE Arca, Inc.




Distributions

Tax Reporting

Supplemental Tax Documents

  • Ordinary Income from U.S. Government Obligations (2016)