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Strategic & Thematic ETFs

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The Direxion Auspice Broad Commodity Strategy ETF seeks to provide total returns that exceed that of the Auspice Broad Commodity Index over a complete market cycle. There is no guarantee the fund will meet its stated investment objectives.

Overall Morningstar RatingTM «««««

Out of 97 US Fund Commodities Broad Basket funds based on risk adjusted returns as of 6/30/2021†.

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Overview

Documents & Downloads

Strategy & Benefits

The Direxion Auspice Broad Commodity Strategy ETF allows investors to take advantage of rising commodity prices, in addition to mitigate risk by going flat (cash) when individual commodities are experiencing downward trends. It seeks to potentially provide commodity investment returns with lower risk characteristics than long-only commodity strategies.

Strategy Description

  • A 40 Act, non K1 generating approach to commodity investing
  • Exposure to 12 commodities that can individually be long or flat (if a short signal is triggered the position is moved to cash)
  • The ability to make position changes intra-month based on trends
  • Monthly rebalance based on risk reduction where the allocation of individual components is reduced if volatility exceeds certain predetermined risk levels
  • A “smart” contract roll approach designed to select cost effective futures contracts to roll into upon expiration of current contract

Why consider long/flat commodities?

Most traditional commodity funds can only benefit if commodity prices rise. However, these long-only commodity strategies have shown to be inconsistent over time because:

  • Commodity returns are typically cyclical and sporadic
  • Individual commodity sub-sectors tend to perform dissimilarly in different market environments
  • Significant draw-downs can be damaging to the long-term performance of a portfolio

Within the inherently volatile commodity markets, a long/flat approach is potentially more adaptive to whip-sawing market conditions.

Fund Details

Component Sectors and Current Positioning

Metals Position (Long/Flat)
Copper Long
Gold Flat
Silver Long
Agriculture Position (Long/Flat)
Corn Long
Cotton Long
Soybeans Long
Sugar Long
Wheat Long
Energy Position (Long/Flat)
Crude Oil Long
Gasoline Long
Heating Oil Long
Natural Gas Long

All data as of 6/30/2021 and is subject to change at any time and are not recommendations to buy or sell any security. When the positions within the various components are flat, they will be invested in cash and U.S. Treasury Bills. Individual components may vary based on risk levels.

 

Index Comparison

The Auspice Broad Commodity ER Index (ABCERI) vs. Long-only Commodity Indexes %

ABCERI S&P GSCI BCOM DBC CI
Annualized Return 1.07 -4.75 -2.98 -2.44
Annualized Standard Dev 8.66 20.79 13.73 17.57
Correlation 1 0.64 0.79 0.72
Max Drawdown -22.14 -76.81 -61.94 -65.71

Source: Bloomberg. Index data as of 6/30/2021. This data begins on 10/01/2010, the inception of the Auspice Broad Commodity ER Index. The three indexes above are composite indexes of commodity sector returns representing unmanaged, unleveraged, long-only investment in commodity futures that are broadly diversified across the spectrum of commodities. Index definitions are listed 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.

Standard Deviation is a measure of the dispersion of a set of data from its mean.

Correlation is a statistical measure of how two securities move in relation to each other.

Maximum Drawdown is the greatest percent decline from a previous high.

S&P GSCI: The S&P GSCI Excess Return Index is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities.

BCOM: Bloomberg Commodity Excess Return Index is a broadly diversified index that allows investors to track 19 commodity futures through a single, simple measure.

DBC CI: Deutsche Banc Liquid Commodity Optimum Yield Index is an index composed of futures contracts on 14 of the most heavily-traded and important physical commodities in the world.

 

Calendar Year Total Returns Since Inception of the Auspice Broad Commodity ER Index Compared to Other Commodity Indexes %

ABCERI S&P GSCI BCOM DBC CI
2012 -1.02 -0.01 -1.06 1.12
2013 -3.27 -1.28 -9.52 -9.02
2014 -8.97 -33.08 -17.01 -25.94
2015 -13.45 -32.90 -24.66 -26.73
2016 8.55 11.00 11.77 8.98
2017 -7.92 4.77 1.7 7.81
2018 -0.98 -15.51 -12.99 -12.91
2019 -3.06 15.17 5.44 10.79
2020 5.93 -24.02 -3.12 -7.87
Total Return  -8.35 -57.33 -40.87 -35.08
Max Drawdown  -43.08 -79.62 -66.09 -64.97
Annualized Standard Deviation 8.39 20.89 13.68 16.51
Annualized Return  -0.85 -7.96 -5.55 -4.12

Source: Bloomberg. All index information is from 10/1/2010 – 12/31/2020.

 

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Pricing & Performance

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




Distributions

Tax Documents

Download the following Tax Reporting Documents