QMJ — Direxion S&P 500® High minus Low Quality ETF

QMJ Fund Overview

QMJ — Direxion S&P 500® High minus Low Quality ETF is a US ETF managed by Direxion Shares ETF Trust, categorised as Leveraged. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: Direxion Shares ETF Trust
• Category: Leveraged
• Assets under management: $13.87M
• 1-year return: 36.8%
• Ticker: QMJ
• SEC CIK: 0001424958
• SEC series ID: S000067784
• Share class ID: C000217503

QMJ Investment Objective and Strategy

Direxion S&P 500® High minus Low Quality ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Direxion Shares ETF Trust.

Investment objective

The Direxion S&P 500 High minus Low Quality ETF (the Fund) seeks investment results, before fees and expenses, that track the S&P 500 150/50 Quality 0.30% Decrement Index (the Index).

Principal investment strategy

The Index seeks to measure the performance of a portfolio of long positions in high quality stocks and short positions in low quality stocks, as determined by S&P Dow Jones Indices, LLC, the Index Provider. To this end, the Index consists of a portfolio that has 150% long exposure to the S&P 500 Quality Index (the Long Component) and 50% short (or inverse) exposure to the S&P 500 Quality Lowest Quintile Index (the Short Component). The Long Component is comprised of stocks selected from the S&P 500 based on their quality score as defined by the Index Provider. The Short Component is comprised of stocks selected from the S&P 500 with the lowest quality scores. The Index Provider bases each securitys quality score on the following three fundamental measures: return on equity, accruals ratio, and financial leverage ratio.

Return on equity is calculated as the companys trailing 12-month earnings per share divided by the companys latest book value per share. The accruals ratio is computed using the change of the companys net operating assets over the last year divided by the companys average net operating assets over the last two years. The financial leverage is calculated as the companys latest total debt divided by the companys book value. The Index Provider calculates the quality score of each security in the S&P 500 Index and then selects the 100 stocks with the highest quality score for inclusion in the Long Component and the 100 stocks with the lowest quality score for inclusion in the Short Component. Securities included in both the Long and Short Components are weighted by the quality score assigned to each security multiplied by the float adjusted market capitalization and the Long and Short Components are reconstituted semiannually.

On a quarterly basis, the Index rebalances such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the Index value. The Fund, under normal circumstances, invests at least 80% of its net assets (plus borrowing for investment purposes) in securities that comprise the Long Component of the Index or shares of exchange-traded funds (ETFs) that track the Long Component of the Index. Additionally, the Fund will invest in derivatives, such as swap agreements or futures contracts that provide long and short exposure to Index securities and/or ETFs that track the Long or Short Component of the Index. The Long Component measures the performance of approximately 100 companies. As of December 31, 2020, the Index consisted of 100 holdings, which had a median market capitalization of $35.2 billion, total market capitalizations ranging from $4.6 billion to $2.3 trillion and were concentrated in the information technology and healthcare sectors.

The Short Component measures the performance of approximately 100 companies. As of December 31, 2020, the Index consisted of 100 holdings, which had a median market capitalization of $28.4 billion, total market capitalizations ranging from $3.3 billion to $1.6 trillion and were concentrated in the consumer discretionary and information technology sectors. Derivatives are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund intends to use derivatives to obtain up to 70% of the Funds exposure to the Long Component of the Index and to use derivatives to obtain all of the Funds exposure to the Short Component of the Index. This will result in the Fund having both long and short derivatives positions.

The securities in the Index and the percentages represented by various sectors in the Index may change over time. The Fund will concentrate its investment in a particular industry or group of industries ( i.e. , hold 25% or more of its total assets in the stocks of a particular industry or group of industries) to approximately the same extent as the Index is so concentrated. The Fund, normally replicates (including shorts) the Index securities by purchasing the Index securities and utilizing derivatives such as swap contracts, but may hold a representative sample of the Index securities that have aggregate characteristics similar to those of the Index or a portion of the Index, or an ETF that tracks a portion of the Index or a substantially similar index. Additionally, the Fund intends to utilize derivatives, such as swaps or futures on the Index or on an index that is substantially similar to the Long or Short Component.

The Fund is expected to hold money market funds and/or 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 as collateral for the derivative positions. The Funds investment objective is not a fundamental policy and may be changed by the Funds Board of Trustees without shareholder approval.

QMJ Performance

Total returns for QMJ (as of 2026-10-01), from SEC filings.

QMJ Risk Information

Risk metrics for QMJ, derived from monthly returns in SEC filings.

• 1-year volatility (annualised): 13.6%

QMJ Costs and Fees

QMJ costs about $36 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.36%
• Gross expense ratio: 0.36%
• Portfolio turnover: 106%
• Brokerage commissions: 5.99 bps of average net assets (SEC N-CEN)

QMJ Cashflows

Over the 12 months to 2021-07, Direxion S&P 500® High minus Low Quality ETF had net inflows of $9.55M, from monthly SEC N-PORT filings.

QMJ Debt Constituents

No individual debt constituents are reported in Direxion S&P 500® High minus Low Quality ETF's latest SEC N-PORT filing.

QMJ Prospectus and SEC Filings

Official Direxion S&P 500® High minus Low Quality ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2021-02-26
• Prospectus (485BPOS) — filed 2020-02-12
• Portfolio holdings (N-PORT) — filed 2021-09-27
• Portfolio holdings (N-PORT) — filed 2021-06-28
• Portfolio holdings (N-PORT) — filed 2021-03-31
• Annual census (N-CEN) — filed 2021-01-13

Related Funds

Other Leveraged funds tracked on ABC INVEST:

• ProShares UltraPro QQQ (TQQQ)
• JPMorgan Ultra-Short Income ETF (JPST)
• Ultra Fund (TWCUX)
• Oakmark Fund (OAKMX)
• Ultra Short Income Portfolio (MUIIX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.