Alternative investment manager Direxion has launched a “buy and hold” fund designed to replicate the Auspice Managed Futures ER Index.
The goal of the product, called the Direxion Indexed Managed Futures Strategy Fund, will be to give investors a liquid, transparent and cost-efficient way to invest in managed futures.
"There are very few investable managed futures indices currently available to the retail investor,” said Ed Egilinsky, managing director and head of Alternative Investments at Direxion. “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.”
Direxion describes the Auspice Index as a completely quantitative, rules-based managed futures index made up of 21 futures markets, containing both physical commodities and financials. Its methodology is repeatable and verifiable.
The index stands out from other managed futures index strategies for a number of reasons. For example, it is able to adjust positions intra-month. It also has a monthly rebalance process that assesses volatility levels to control risk. It focuses on shorter term trends in order to be more responsive.
Moreover, the index’s smart contract roll process takes into account two key futures market conditions. The first is contango, when the futures price is above the expected future spot price. The second is backwardation, when the futures price is lower in the distant delivery months than in the near delivery months.
“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," said Egilinsky.
According to Direxion, the managed futures market continues to see inflows of investment capital, having experienced a nearly 20% growth in assets in 2011. The attractions to these investments include their ability to benefit from price trends regardless of the direction in the futures market. They have a track record of generating positive returns during equity bear markets and have low correlation to stocks, bonds as well as other alternative investments