Direxion Investments has changed the name of the Direxion S&P 500 DRRC Index Volatility Response Shares, to the Direxion S&P 500 Volatility Response Shares.
The name change reflects the underlying index change to the S&P 500(R) Volatility Response Index.
The Direxion S&P 500(R) Volatility Response Shares ETF (NYSE: VSPY) began following its new index on 1 August, 2014.
"VSPY is a strategic way for investors to seek a smoother ride for their S&P 500 core holdings," says Brian Jacobs, President of Direxion Investments. "Periods of high volatility often coincide with adverse equity markets, while periods of low volatility tend to represent a greater likelihood of favorable market conditions. By tracking the S&P 500(R) Volatility Response Index, which uses volatility to dictate overall equity exposure, VSPY allows investors to gain exposure to large- and mid-cap stocks, with a strategic way to manage risk. We're pleased with the fund's performance since inception, and we anticipate that this index change will allow for continued risk management for investors."
The S&P 500 Volatility Response Index, designed to respond to volatility, is composed of S&P 500 equity securities and U.S. Treasury Bills. The Index responds to volatility by establishing a volatility target which may be set at 12.5%, 15%, or 17.5%, and is determined based on the recent levels of CBOE Volatility Index (VIX). The Index then reviews several volatility factors of the S&P 500 Index. The volatility factors of the S&P 500 Index are exponentially weighted with more emphasis placed on the most recent historical periods. Those volatility factors, along with the target volatility levels, determine the Index's exposure to the equity component and the Treasury Bill component. The percentage exposure to the equity component is expected to range between 10% and 100%, and will not exceed 100%. Exposure to the Treasury Bills component is expected to range between 0% and 90%.
