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Non-Leveraged ETFs

COM

The Direxion Auspice Broad Commodity Strategy ETF seeks investment results, before fees and expenses, that track the Auspice Broad Commodity Index. There is no guarantee the fund will meet its stated investment objectives.

Overall Morningstar RatingTM «««««
Overall Morningstar RatingTM out of 101 US Fund Commodities Broad Basket funds based on risk adjusted returns as of 09/30/2022.

 

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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 K-1 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
  • Month-end review where the position size of each component is modified 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 Flat
Cotton Flat
Soybeans Flat
Sugar Long
Wheat Flat
Energy Position (Long/Flat)
Crude Oil Flat
Gasoline Flat
Heating Oil Flat
Natural Gas Flat

All data as of 11/30/2022 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.

 


Target Index

The Auspice Broad Commodity Index (ABCERI) is a rules-based long/flat broad commodity index that seeks to capture the majority of the commodity upside returns, while seeking to mitigate downside risk. The Index is made up of a diversified portfolio of 12 commodities futures contracts (Silver, Gold, Copper, Heating Oil, Natural Gas, Gasoline, Crude Oil, Wheat, Soybeans, Corn, Cotton, and Sugar) that based on price trends can individually be Long or Flat (in Cash). One cannot directly invest in an index.

Index Comparison

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

ABCERI S&P GSCI BCOM DBC CI
Annualized Return 2.04% -2.68% -1.90% 0.55%
Annualized Standard Deviation 9.05% 21.71% 14.71% 17.62%
Max Drawdown -43.08% -79.62% -66.09% -64.99%
Correlation 1.00 0.62 0.72 0.70

Source: Bloomberg, as of 09/30/2022. This data begins on 10/01/2010, the inception of the Auspice Broad Commodity 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. The indexes are further defined on the back page. One cannot invest directly in an index. Past performance is not indicative of future results.

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
2011 0.54 -1.24 -13.4 -2.45
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 -32.9 -24.66 -26.73
2016 8.55 11.00 11.77 8.98
2017 -7.92 4.77 1.70 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
2021 28.84 40.29 27.05 42.53

Source: Bloomberg. All index information is from 01/01/2011 – 12/31/2021.

 

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Pricing & Performance

NAV and Market Price information as of . Line chart shows pricing trend over the last 30 days.




Distributions

Tax Documents

Download the following Tax Reporting Documents