Direxion filed paperwork with the SEC for a “Direxion NASDAQ Volatility Index Shares ETF.” The Direxion NASDAQ Volatility Index Shares (the “Fund”) seeks investment results, before fees and expenses, that track the DWS NASDAQ-100® Volatility Target Index. The DWS NASDAQ-100 Volatility Target Index (the “Index”) (NASDAQ: VOLNDX) is designed to provide exposure to the NASDAQ-100 Index (the “NASDAQ-100” or the “Underlying Index”) in a risk controlled manner. The NASDAQ-100 includes 100 of the largest non-financial securities listed on the NASDAQ Stock Market based on market capitalization. The Index integrates a volatility controlled mechanism to provide exposure while limiting risk. Direxion did not specify a trading symbol in the initial filing.
Total Annual Fund Operating Expenses After Expense Waiver/Reimbursement: 0.95%
Principal Investment Strategies
The Fund, under normal circumstances, invests at least 80% of its net assets in the equity securities that comprise the Index and/or: financial instruments (as defined below) that provide exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions, reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments. On a day-to-day basis, the Fund also holds short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.
The Index is designed to respond to the volatility of the NASDAQ-100®, which includes 100 of the largest domestic and international non-financial securities listed on the NASDAQ® Stock Market based on market capitalization.. The Index does this by establishing a specific volatility target that adjusts the Index’s underlying components among a notional allocation to the NASDAQ-100® (“NASDAQ-100 Component”) and a cash investment (the “Cash Component”) based upon realized historical volatility of the NASDAQ- 100®. As volatility increases, exposure to the NASDAQ-100 Component will decrease and exposure to the Cash Component will increase. As volatility decreases, exposure to the NASDAQ-100 Component will increase and exposure to the Cash Component will decrease. The Index began on July 23, 2010 with an Index Value of 1000.00. The Index is calculated on a total return basis which reinvests cash dividends. The Index may be rebalanced daily. The Fund is not sponsored, endorsed, sold, or promoted by the NASDAQ Global Market® and the NASDAQ Global Market® makes no representations regarding the advisability of investing in the Fund.
The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has added or removed a security, the Fund’s portfolio may have to be re-positioned to account for this change to the Index. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated.
For the full prospectus click: HERE