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) | |
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