ETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO

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1 ETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO In this paper we will explore the evolution of smart beta investing through the advent of academic factor investing and examine how the characteristics sought by the SBRQAM Index can potentially overweight and/or rotate through the most common factors contributing to competitive performance. understood through over-weighting the value and minimum volatility factors. The recent advancements of smart beta are based on the belief that indexes can provide access to competitive returns by either providing exposure to a single factor or by creating a rule set for combing multiple factors. The Sabrient Multi-cap Inside/Analyst Quant-Weighted Index (SBRQAM), is an index that investors can obtain exposure to through the Direxion All Cap Insider Sentiment Shares ETF (ticker: KNOW). For the most recent quarter end performance of the Fund, please see the disclosure page. The SBRQAM Index systematically looks to overweight a combination of characteristics that strives to provide returns with competitive risk/reward results when compared to the broad US equity market (S&P 500). Toroso believes that the intelligent use of business characteristics screens can produce exposures that rotate and align within the four primary factors that drive returns and be more efficient, thereby requiring a smaller allocation of the portfolio to provide meaningful results. The evolution of indexing has accelerated over the last ten years fueled by the growth in ETF assets. Most of the equity categories have been built with traditional market capitalization weighted products. But now both academic and institutional investors are turning to rules-based passive solutions that seek to capture alpha which has traditionally only been available through active management. The term smart beta has become a catchall phrase to describe the practice of systematically seeking enhanced returns through rules based investing. Smart Beta Grew from the need for Income Although the advancement of single factor investing has enhanced the precision of the ETFs available to investors, most still require active intervention. ETF allocators must attempt to over-weight, at the proper time, the appropriate factor. The chart below demonstrates the difficult task of predicting which factor will be dominant in what appears to be a random system. The idea of modifying indexes has been a common practice in active management for years. The smart beta concept started to grow in the passive ETF world because of investors need for income. Dividend tilted ETFs have been very successful in gathering assets because of the low interest rate environment. Now these dividend-weighted indexes are explained through the new lens of factor investing. A Factor by any other name is still Factor investing is based on academic research that shows that most active alpha can be attributed to four factors: minimized volatility, value, momentum and size. Even the success of dividend investing can be regressed and Source: MSCI and Bloomberg as of 12/31/2015. Index representation is as follows: Low Volatility, MSCI World Minimum Volatility Index; Value, MSCI World Value Index; Momentum, MSCI World Momentum Index; 1

2 MSCI World, MSCI World Index; Size, MSCI World Mid Cap Equal Weighted Index; and Average, average of the five MSCI indices mentioned. Index returns are for illustrative purposes and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results. Multi-factor indexes provide the ability to avoid many of the inherent problems within traditional indexing like idiosyncratic sector concentration or unintentional factor participation. However, multi-factor products can often lag in times when a single factor remains irrationally dominant through an extended trend. Additionally, because multi-factor indexes tend to be constructed by tilting an established traditional index they often have significant overlap and low active-share. As a result, adding them to an existing core allocation tends to have little effect. To achieve meaningful multi-factor benefits allocators may have to replace core allocations and accept the potential tax consequences. Factors can Illuminate Attribution Factors can only be observed in hindsight. They are used to describe or attribute performance but it is extremely difficult to predict which one will be dominant in any time period. It is possible that the characteristic screens within the SBRQAM index has provided an enhanced mix of factor combinations that may explain the performance illustrated below: Characteristics that Discover Factors Although most smart beta indexing focuses on one or more factors there is a growing subset of non-traditional indexing that seeks to express business characteristics. At Toroso, we define a subset of this universe as Characteristic Smart Beta because they strive to be predictive by identifying company attributes that may indicate better future performance. This includes companies that are buying back shares, companies with relatively high insider buying, spin-offs, companies that have high conviction buying from hedge funds and companies that exhibit significant barriers to entry or long product lifecycles. These indexes allow investors to target the characteristics that active mutual fund and hedge fund managers look for in equities but do so in a more diversified, transparent, and tax efficient way. We believe the SBRQAM is one such index. Sabrient Multi-cap Inside/Analyst Quant- Weighted Index The SBRQAM index is a business characteristic index that investors can obtain exposure to through the Direxion All Cap Insider Sentiment Shares ETF (ticker: KNOW). For the most recent quarter end performance of the Fund, please see the disclosure page. The Index incorporates four key business characteristics: aggressive accounting practices, corporate insiders behavior, analysts earnings revisions, and a defensive overlay. The process, simplified, is as follows: 1. screen out stocks with aggressive accounting practices; 2. identify top 100 stocks with high, active insider purchasing and positive earnings revisions 3. rank the stocks based on a defensive sentiment screen. SBRQAM did not exist prior to April 4, 2011 and, consequently, performance presented for the period from January 1, 2001 through December 8, 2011 in the charts above and following represents hypothetical back-tested results of the index which was created according to a defined set of rules and cannot be altered. The data from 12/08/ /31/2015 represents live performance of the index. These indexes are the price return indexes. Back tested performance data is based on criteria applied retroactively with the benefit of hindsight and the knowledge of factors that may have affected the actual performance of the Index. The actual performance of the Index may vary significantly from the back-tested index performance. One cannot invest directly in an index. The index performance is not representative of any fund performance. This performance is calculated by the index provider. Fees and expenses are applied afterwards to the performance supplied by the index provider. The chart above shows that an investment of $100 would have grown to be over $434 since January 1, 2002 if invested in the SBRQAM Index; whereas an investment of $100 in the S&P Composite 1500 for the same time period would have only returned $188. Both of these calculations measure the change in prices of the underlying holdings and do not take into account the additional costs of investing. However, for the SBRQAM Index, we reduced the price returns by 65 basis points per year to represent the imputed cost of the KNOW ETF. As stated in the introduction, Toroso believes that the intelligent use of business characteristic screens can produce exposures that rotate and align within the four primary factors driving returns. We will now focus on describing how the characteristic screens of the SBRQAM Index may highlight each of the 4 most followed factor. 2

3 1. Minimum Volatility Factor Let s begin with the factor that has been the highest contributor to equity market returns over the past three years: Minimum Volatility. This factor implies that reducing the volatility of the holdings can enhance the overall return of an index. Ironically, government stimulus has provided investors with one of the lowest realized volatility environments in history. Although the returns of the SBRQAM Index stated above show participation in this dominant factor, the actual overlap to the MSCI US Minimum Volatility index is only 7%. Number of positive analyst revisions Percent increase in analyst expectations For this portion of the analysis, Toroso looks to widely held ETFs that are often used as a core investment to represent the overall market the S&P 500 Index (ETF assets linked to this index represent over $266 billion in assets) and the MSCI Minimum Volatility US Index (ETF assets linked to this index represent over $14.2 billion in assets). We believe the characteristic screens focused on insider purchases and analyst outlook can provide an indication of value as evidenced by the fundamental comparison below, this next chart compares the fundamentals of the SBRQAM Index to these two indexes as of August 31, SBRQAM Index S&P 500 Prem/Disc. MSCI MINVOL Index Prem/Disc. Price-to-earnings 16.6x 18.2x -9.00% 20.2x % Price-to-sales 1.6x 1.9x % 2.0x % Price-to-book value 2.4x 2.6x -8.40% 3.4x % Source: Alta Vista Research The current lack of overlap can be explained by the fact that both assets flows and the strong performance of minimum volatility products has made the equities which comprise this factor quite expensive (as illustrated in the fundamental comparison chart below). Since insiders are unlikely to make significant purchases at times when an equity is expensive it is not surprising that the SBRQAM Index participates less during a dominant bull market in reduced volatility stocks. That said, the forensic accounting screen combined with the defensive sentiment overlay could provide protection in a volatile bear market. The defensive sentiment overlay is used to rank the final 100 stocks. This overlay rewards stocks that historically have performed well in weak markets and have strong free cash flow yield and strong dividend yield. These screens should exclude companies, like Lehman Brothers or Fannie Mae, that represent the potential for permanent loss of capital. Note: See important Definitions of Price to Earnings, Price to Sales, Price to Book in the Disclosures on the last page. Source: AltaVista Research Clearly, across the board the SBRQAM Index exhibits fundamentals that are consistent with the value factor relative to both the broad market and the minimum volatility phenomenon. 3. Momentum Factor The momentum factor is described as investing in wellperforming stocks and is based on the belief that stocks with higher relative performance may continue to produce strong performance in the near term, relative to stocks with weak performance. Toroso believes the analyst (earnings revisions) sentiment screen combined with the high turnover of the SBRQAM Index should provide participation in this factor. The sentiment screen is described below: 2. Value Factor MSCI defines the value factor as: Buying low and selling high, the timeless adage based on the belief that buying stocks that are cheap relative to fundamentals is smarter than buying stocks that are expensive relative to fundamentals The SBRQAM Index applies four quantitative metrics that are used to rank and discover value within the remaining equity universe after the forensic accounting screen is complete. At least one of these four factors must be positive for a stock to make this cut: Number of insiders making open-market purchases Percent increase in the holdings of the purchaser A quantitative overlay ranks the stocks from the first cut to 600 using a forward-looking outlook score. This score rewards strong historical and projected growth trends, low current and projected valuation, high quality of earnings, and favorable dynamics of Wall Street analyst estimates. The top 100 stocks from this second cut are used to populate the index. Additionally, the SBRQAM Index is rebalanced monthly to maximize information timeliness, and there are no limitations with regard to turnover. Although we believe this promotes participation in momentum, turnover is often frowned upon due to tax consequences. One of the key benefits of business characteristic ETFs is their tax efficiency, as compared to mutual funds. This is where the structure of an ETF really makes a difference when compared to the traditional mutual fund structure. According to Morningstar the annualized 3

4 turnover of KNOW is 827%, which would generally result in significant capital gains distributions to shareholders of a mutual fund. However, the unique ability of an ETF to create and redeem shares, allows for the distributed capital gains to be minimized significantly. So far, KNOW has distributed capital gains only in one year, 2012, when it distributed $1.54 in short term gains, or about 3%. No capital gains were distributed in 2013, 2014, or Note: Neither Toroso Investments nor Direxion Investments provide accounting, tax, or legal advice. 4. Size Factor The size factor acknowledges two widely accepted investment beliefs: 1. Small and mid-cap equities present greater opportunities for growth 2. Traditional indexes can overweight large cap sector at the top of bull markets The SBRQAM Index encompasses smaller market capitalization stocks by starting with a broader universe and using a unique weighting process. The screening begins with the 1,500 stocks of the S&P Composite 1500, eliminates stocks of companies with very aggressive accounting practices. The final 100 stocks are weighted in a two-step process: 1. The top 50 stocks are then weighted exponentially so that the top 50 represent a range of 2.67% (for the highest ranked stock) to 0.96% for the 50th ranked stock 2. The bottom 50 stocks are given a flat-weighting of 0.35% in SBRQAM The resulting August 31, 2016 market capitalization exposure shows how the SBRQAM Index provides the tilt towards small and mid-cap equities and is illustrated in the chart below: Active Share Allocations KNOW has, on a daily basis, behaved very much like the S&P 1500 Index, and S&P 500 Index, as evidenced by the common inception correlations being 94% when compared to the S&P 500. Investors should ask themselves, if the correlations are so high, why has KNOW has outperformed broad US equities? The answer can be quantified by evaluating the overlap. We define overlap as the percentage of the ETF that is contained or represented by the Index to which it is being compared. There is a 12% overlap between KNOW and S&P 500 Index. The index methodology behind SBRQAM has systematically chosen factors that have a high correlation to traditional indexing with a portfolio that is 88% different. In the world of active management, the phenomenon of high correlation and low overlap is called positive active-share. This high level of positive active-share could explain at least a portion of the large positive divergence of performance. In contrast to the more common use of tilted factor indexes, Toroso believes a small allocation to KNOW in a portfolio may make a larger impact on the overall performance and factor exposure of a portfolio. Conclusions - The Ultimate Factor Smart Beta and Beyond Smart beta indexes have expanded from a single factor focus on dividends to many other options including multi-factor models, thereby creating more opportunities and need for information among smart beta ETFs. The utilization of these single and multi-factor products requires active intervention to participate most effectively, which is difficult to do and can create potential tax consequences. The SBRQAM Index uses business characteristicsbased screens that strive to be predictive so as to rotate and/or participate in the dominant performance factors. The high correlation and active share of the SBRQAM Index suggest that a satellite allocation to KNOW can meaningfully enhance a portfolio s core US equity exposure. 4

5 Performance as of 6/30/ Month % 3-Month % YTD % 1 Year % 3 Year % Since Inception of the Fund % Inception Date KNOW NAV /8/2011 Market Close S&P 500 Index The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. Performance data current to the most recent month end may be obtained by calling or visiting For additional information, see the prospectus. Short-term performance, in particular, is not a good indication of the fund s future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. For additional information, see the fund s prospectus or summary prospectus. Returns for performance for less than one year are cumulative, not annualized. Index returns are historical and are not representative of any fund performance. One cannot invest directly in an index. * The Net Expense Ratio includes management fee and other operating expenses, but does not include indirect expenses such as Acquired Fund Fees and Expenses, leveraged interest and brokerage commissions. The Fund s advisor, Rafferty Asset Management, LLC has entered into an Operating Expense Limitation Agreement with the Fund. Under this agreement, Rafferty has contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expense through September 1, 2017 to the extent that the Fund s Total Annual Fund Operating Expenses exceed 0.65%. Disclosures - An investor should consider the investment objectives, risks, charges, and expenses of Direxion All Cap Insider Sentiment Shares (ticker: KNOW) carefully before investing the Fund. The prospectus and summary prospectus contain this and other information about the Fund. To obtain a prospectus and summary prospectus visit our website at The prospectus and summary prospectus should be read carefully before investing. Shares of Direxion Shares are bought and sold at the market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally determined) and do not represent the returns you would receive if you traded shares at other times. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense subsidies and waivers in effect during certain periods shown. Absent these waivers, results would have been less favorable. Risks - The Fund is non-diversified and includes risks associated with concentration that results from the Funds investments in a limited number of securities. The Fund may at times use derivatives such as futures contracts, forward contracts, options and swaps which could subject it to market risks that may cause price fluctuation over time. Derivatives may expose the funds to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk. Increased portfolio turnover may result in higher transaction costs and capital gains. For other risks including counterparty risk, tracking error risks and specific risks of exchange traded funds, please read the prospectus. Disclaimer Toroso Investments, LLC ( Toroso ) is an investment adviser registered with the United States Securities & Exchange Commission ( SEC ). Registration with the SEC does not imply any certain level of skill or training. A copy of Toroso s current written disclosure statement (i.e., Form ADV, Part 2A) that discusses Toroso s advisory services and conflicts of interest is available at by searching for CRD Number This research report was commissioned by Direxion Investments; the sponsor of the Direxion All Cap Insider Sentiment Shares, an exchange-traded fund ( ETF ) managed according to the Sabrient Multi-cap Insider/Analyst Quant-weighted Index. Consequently, Toroso has a conflict of interest in compiling this research and in generating the opinions expressed in this report. Toroso, Michael Venuto and David Dziekanski may have positions in securities that they research and follow, including the ETFs discussed in this report and may engage in buying or selling securities contrary to any opinions expressed in this report. Additionally, some of the securities discussed may be or may have been held in advisory client accounts of Toroso. The compensation that Messrs. Venuto and Dziekanski receive from Toroso may be enhanced or otherwise increased as a result of Toroso s profitability, but neither received direct payments for compiling this research. CONTINUED ON NEXT PAGE 5

6 This research report is distributed for informational and educational purposes only. It is not intended to constitute legal, tax, accounting or investment advice. Nothing in this research report constitutes an offer to sell or a solicitation of an offer to buy any security or service and any securities discussed are presented for illustration purposes only. It should not be assumed that any securities discussed herein were or will prove to be profitable or that an investment in any of the securities discussed will result in investment performance equal to that presented. Furthermore, investments or strategies discussed may not be suitable for all investors and nothing herein should be considered a recommendation to purchase or sell any particular security. ETFs are sold by prospectus. Investors should carefully consider the investment objectives, risks, charges and expenses of ETFs, which is disclosed along with other important information in the prospectus. Investors should make their own investment decisions based on their specific investment objectives and financial circumstances and are encouraged to seek professional advice before making any decisions. The market price of an ETF will fluctuate in response to changes in the underlying investments' market prices and can fluctuate due to market supply/demand dynamics. Consequently, ETFs can trade at a discount or premium to their net asset value. Additionally, certain ETFs are more volatile and less liquid than others and thus present greater risks of loss of capital. Toroso has compiled its research from sources that it believes to be reliable, but cannot guarantee that the information presented is accurate or that it is a complete statement of all material factors. Any opinions expressed in this research report are the opinions of Toroso and Messrs. Venuto and Dziekanski and do not reflect the opinions of any other affiliate. Employees and/or affiliates of Toroso may, at times, release written or oral commentary, technical analysis or trading strategies that differ from the opinions expressed in Toroso s research reports. Furthermore, all opinions are current only as of January 8, 2016, do not take into account the particular investment objectives, financial situation or needs of individual investors, and are subject to change without notice. Toroso does not have any obligation to provide revised opinions in the event of changed circumstances. All investment strategies and investments involve risk of loss and nothing within this research report should be construed as a guarantee of any specific outcome or profit. Securities discussed in this research report were selected for presentation because they serve as relevant examples of the respective points being made. Definitions 1. Alpha An indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. 2. Beta The measure of price variability relative to the market. 3. Excess Returns Investment returns from a security or portfolio that exceeds a benchmark or index with a similar level of risk. 4. Price to Earnings The price to earnings ratio is a ratio for valuing a company that measures its current share price relative to its earnings per share. 5. Price to Sales A valuation ratio that compares a company s stock price to its revenues. 6. Price to Book A ratio used to compare a stock's market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter's book value per share. 6

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