Direxion Launches Fund Tied To Managed Futures Index

Feb 13 2012 | 11:35am ET

Boston, Mass.-based alternative investment manager Direxion has launched a mutual fund that aims to replicate the Auspice Managed Futures ER Index.

Direxion bills the new Indexed Managed Futures Strategy Fund as its latest “buy and hold” vehicle and “a liquid, transparent, and cost-efficient way to invest in managed futures.”

The Auspice index is a quantitative, rules-based managed futures index made up of 21 futures markets (including both physical commodities and financials). It is distinguished by an ability to adjust positions intra-month, a monthly rebalance process that assesses volatility levels as a means to control risk and a focus on shorter-term trends.

Direxion says the index also employs a “smart contract roll process” to deal with the possibilities of ‘contango’ (a situation arising when the futures price is above the expected future spot price, meaning the price will decline to the spot price prior to the delivery date) and ‘backwardation’ (the opposite of contango, a situation in which, as the futures contract approaches expiration, it will trade at a higher price).

“There are very few investable managed futures indices currently available to the retail investor. We feel that this is a differentiated, cost efficient way for investors to get exposure to the managed futures asset class without the additional layer of underlying managers and the fees associated with them," said Ed Egilinsky, managing director, head of alternative investments at Direxion. "This next generation version of managed futures indexing for the retail investor provides our shareholders with another opportunity to manage risk while pursuing returns in the current market.”

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