20160608智慧型ETF 內部人持股

這檔是上次ETF發行商來介紹,針對內部人買進的資訊,組合成etf,算是SMART BETA的一種

 

過去幾年,內部人確實具有溢價,超越SPX 一定水準

這檔作法是用SPX 1500支股票,依照內部人交易+內部人買進多寡+盈餘超乎預期程度,做設計

從中挑選50支股票,每支給予1~2.6%的權重。

目前持股如下,以下有更多細節!

KNOW ETF: Outperforming S&P 500 index by +1.48% in 3 months - 6th monthly portfolio rebalancing in 2016

 

 

According to the public data, on Friday, 7 June 2016, Direxion All Cap Insider Sentiment Shares (KNOW US) ETF conducted its 6th monthly portfolio rebalancing in 2016. Following a quantitative rules-based monthly rebalance of its benchmark index, which focuses on insider buying and favorable analyst ratings, Health Care and Industrials sectors added weight but Materials and Utilities sectors weighting was reduced in the KNOW ETF's portfolio.

 

Performance update: Direxion All Cap Insider Sentiment Shares (KNOW US) has performed +7.57% in 3 months which is a +1.48% outperformance vs the S&P 500 index as of 7 June 2016.  (Source: Bloomberg, total return, USD)

 

KNOW ETF Description : The Direxion All Cap Insider Sentiment Shares ETF tracks an index of 100 companies chosen from the S&P 1500 based on trading by corporate insiders. 50 stocks are weighted exponentially; 50 are equal weighted.  (source: etf.com)

 

 

KNOW Morningstar rating

http://www.morningstar.com/etfs/ARCX/KNOW/quote.html  

(Source: Morningstar, as of 31 May 2016)

 

 

KNOW ETF update

Performance (total return)

 

KNOW US

Russell 2000 Index

S&P 500 Index

1M

3.74%

5.99%

2.91%

3M

7.57%

8.28%

6.09%

YTD

5.34%

4.52%

4.35%

1YR

4.65%

-5.03%

3.15%

3YR (year annualized return)

15.51%

7.56%

11.01%

Dividend Yield (12M)

1.16%

1.54%

2.16%

Volatility 90D

14.70%

18.16%

12.90%

(Source: Bloomberg, as of Tuesday, June 07, 2016)

 

KNOW Sector weight after rebalancing

Sector

New portfolio*

Previous portfolio**

Difference

Consumer Discretionary

19.13%

17.76%

1.36%

Consumer Staples

7.38%

3.78%

3.60%

Energy

1.67%

3.58%

-1.91%

Financials

27.29%

23.18%

4.11%

Health Care

14.68%

10.47%

4.21%

Industrials

13.34%

7.91%

5.42%

Information Technology

13.94%

14.24%

-0.30%

Materials

1.09%

13.62%

-12.53%

Utilities

1.49%

5.46%

-3.96%

Telecommunication Services

0.00%

0.00%

0.00%

* Beginning of Wednesday, June 08, 2016, ** beginning of Tuesday, June 07, 2016

(Source: Bloomberg)

 

Top 10 added stocks in KNOW after rebalancing

Ticker

Name

Sector

Weight*

5D return**

BA US Equity

BOEING CO/THE

Industrials

2.62%

4.58%

EAT US Equity

BRINKER INTERNATIONAL INC

Consumer Discretionary

2.54%

0.31%

HPQ US Equity

HP INC

Information Technology

2.52%

2.32%

STX US Equity

SEAGATE TECHNOLOGY

Information Technology

2.48%

9.26%

PFE US Equity

PFIZER INC

Health Care

2.44%

0.40%

KEY US Equity

KEYCORP

Financials

2.33%

-1.01%

BGS US Equity

B&G FOODS INC

Consumer Staples

2.29%

3.16%

HBHC US Equity

HANCOCK HOLDING CO

Financials

2.29%

-3.02%

CSCO US Equity

CISCO SYSTEMS INC

Information Technology

2.14%

0.07%

FNFG US Equity

FIRST NIAGARA FINANCIAL GRP

Financials

2.06%

-0.55%

* Beginning of Wednesday, June 08, 2016 ,** As of Tuesday, June 07, 2016

(Source: Bloomberg)

 

 

 

 

 

KNOW ETF summary

Ticker

KNOW US

Security Name

Direxion All Cap Insider Sentiment Shares

Intra-day Indicative Value

KNOWIV

Index Ticker

SBRQAMTR

Index Name

Sabrient M-C I/A Q-wt TR

ISIN

US25459Y7691

CUSIP

25459Y769

SEDOL

B7543S4

Last price

USD 74.48

Market Cap (Mil)

USD 167.59

Creation Unit size (Shs)

50000

Volume (5D avg, shs)

                                                      18,201

Daily trading volume

                                                      50,916

Daily trading notional value (USD)

                                                3,792,224

Inception Date

12/8/2011

Fund Expense Ratio

0.65%

(Source: Bloomberg, As of Tuesday, June 07, 2016)

 

 

Asia Limited is licensed by the Securities and Futures Commission of Hong Kong for the Regulated Activities of Dealing in Securities and Advising on Securities with CE number BAZ386.  © 2016 Direxion Asia Limited, all rights reserved.

 

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