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Strategic Weights ETFs

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The Direxion S&P 500® High minus Low Quality ETF seeks investment results, before fees and expenses, that track the S&P 500® 150/50 Quality 0.30% Decrement Index. There is no guarantee that the fund will achieve its stated investment objective.

Effective March 24, 2020, the methodology of the Direxion S&P 500® High minus Low Quality ETF’s underlying index, the S&P 500® 150/50 Quality 0.30% Decrement Index, will begin to rebalance quarterly rather than monthly.

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Overview

 

The Direxion S&P 500® High minus Low Quality ETF aims to deliver a more complete solution to gaining exposure to the quality factor. By extending the scope of quality scores across the U.S. large cap universe to both high and low quality companies, the ETF seeks to deliver a robust profile of quality exposure.

  • Capital-efficient 150/50 structure captures both high and low quality scores based on three core metrics: return on equity, accruals, and financial leverage
  • Provides a differentiated approach to quality; one rooted in the idea that higher quality companies outperform lower quality ones over the long-term
  • An ETF that aims to deliver access to highly profitable, operationally efficient, and stable companies in a more robust way

Documents & Downloads


Target Index

The S&P 500® 150/50 Quality 0.30% Decrement Index (the “Index”) seeks to measure the performance of a portfolio of long positions in high quality stocks and short positions in low quality stocks, as determined by S&P Dow Jones Indices, LLC, the “Index Provider.” To this end, the Index consists of a portfolio that has 150% long exposure to the S&P 500® Quality Index (the “Long Component”) and 50% short (or inverse) exposure to the S&P 500® Quality – Lowest Quintile Index (the “Short Component”). The Long Component is comprised of stocks selected from the S&P 500® based on their quality score as defined by the Index Provider. The Short Component is comprised of stocks selected from the S&P 500® with the lowest quality scores. One cannot directly invest in an index.

Index Holdings & Sector Weightings

Top 5 Long Holdings %

Microsoft 7.92
Apple 7.92
Visa 7.38
Procter & Gamble 7.30
Johnson & Johnson 7.29

Top 5 Short Holdings %

NETFLIX -2.70
Amazon.com -2.68
Walt Disney -2.35
Salesforce.com -2.27
Broadcom Limited -2.03

Index Sector Weightings %

Information Technology 50.26
Health Care 30.49
Industrials 10.91
Consumer Staples 10.52
Materials 5.53
Energy 4.43
Financials -0.30
Real Estate -0.90
Utilities -1.00
Communication Services -4.39
Consumer Discretionary -5.56

Source: Bloomberg. Index and Sector weightings are net and as of 6/30/2020 and subject to change.

 

Index Construction

The S&P 500® 150/50 Quality 0.30% Decrement Index combines long positions (150%) of 100 securities with the highest quality scores with short positions (-50%) of 100 securities with the lowest quality scores.

  • Securities are selected from the S&P 500
  • Quality metrics are focused on return on equity, accruals, and financial leverage
  • Security weights are based on Market Cap weighted Quality scores

Key Quality Metrics

High Minus Low Quality Extension Delivers Robust Exposure to Quality Metrics

Source: Bloomberg

Free cash flow yield is a financial solvency ratio that compares the free cash flow per share a company is expected to earn against its market value per share.

Return on equity is a measure of financial performance calculated by dividing net income by shareholders’ equity.

Current ratio is a liquidity ratio that measures a company’s ability to pay short-term obligations or those due within one year.

 

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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.




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