UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-22201 | |||||||
| ||||||||
Direxion Shares ETF Trust | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
| ||||||||
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, NY |
| 10019 | ||||||
(Address of principal executive offices) |
| (Zip code) | ||||||
| ||||||||
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, NY 10019 | ||||||||
(Name and address of agent for service) | ||||||||
| ||||||||
Registrant’s telephone number, including area code: | 1-800-851-0511 |
| ||||||
| ||||||||
Date of fiscal year end: | October 31, 2019 |
| ||||||
| ||||||||
Date of reporting period: | April 30, 2019 |
| ||||||
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2019
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
www.portfolioplusetfs.com
THEMATIC WEIGHT ETFS
Direxion All Cap Insider Sentiment Shares
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Direxion NASDAQ-100® Equal Weighted Index Shares
Direxion Zacks MLP High Income Index Shares
Direxion FTSE Russell International Over US ETF
Direxion FTSE Russell US Over International ETF
Direxion MSCI Cyclicals Over Defensives ETF
Direxion MSCI Defensives Over Cyclicals ETF
Direxion MSCI Developed Over Emerging Markets ETF
Direxion MSCI Emerging Over Developed Markets ETF
Direxion Russell 1000® Growth Over Value ETF
Direxion Russell 1000® Value Over Growth ETF
Direxion Russell Large Over Small Cap ETF
Direxion Russell Small Over Large Cap ETF
PORTFOLIOPLUS ETFS
PortfolioPlus Developed Markets ETF
PortfolioPlus Emerging Markets ETF
PortfolioPlus S&P 500® ETF
PortfolioPlus S&P® Mid Cap ETF
PortfolioPlus S&P® Small Cap ETF
You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to info@direxionfunds.com.
IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the shareholder reports from your financial intermediary such as a broker-dealer or bank. Instead, annual and semi-annual shareholder reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to continue receive paper copies of shareholder reports through the mail or to otherwise change your delivery method, contact your financial intermediary or follow the instructions included with this disclosure. Your election to receive shareholder reports in paper will apply to all funds that you hold through the financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
Table of Contents
Letter to Shareholders | 4 | ||||||
Expense Example | 14 | ||||||
Allocation of Portfolio Holdings | 16 | ||||||
Schedules of Investments | 17 | ||||||
Statements of Assets and Liabilities | 46 | ||||||
Statements of Operations | 51 | ||||||
Statements of Changes in Net Assets | 56 | ||||||
Financial Highlights | 66 | ||||||
Notes to the Financial Statements | 68 | ||||||
Supplemental Information | 92 | ||||||
Trustees and Officers | 93 | ||||||
Board Review of Investment Advisory Agreement | 96 |
Help Preserve the Environment – Go Green!
Go paperless with Direxion e-Delivery – a service allowing shareholders to reduce clutter with full online access to regulatory documents. Begin the preservation process with e-delivery.
With Direxion e-Delivery, you can:
• Receive email notifications when your most recent shareholder communications are available for review.
• Access prospectuses, annual reports and semi-annual reports online.
It's easy to enroll:
1. Visit www.direxioninvestments.com/edelivery
2. Follow the simple enrollment instructions
If you have questions about Direxion e-Delivery services, contact one of our shareholder representatives at 800-851-0511.
Letter to Shareholders (Unaudited)
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2018 to April 30, 2019 (the "Semi-Annual Period").
Market Review:
U.S. equities entered the Semi-Annual Period amid continued concerns over global trade, as weakness in the technology sector led equity markets lower for the first part of November. Subsequent dovish comments from the Federal Reserve, as it adjusted its language amid slowing global growth and a strengthening dollar, resulted in a positive monthly return for the S&P 500 during November. Volatility returned in Q4 2018, with equity stocks selling off precipitously during the month of December, and continued trade tensions with China leading to concerns of a broader global economic slowdown. A change of tone from the Federal Reserve towards rate flexibility in January 2019 proved a boon to both U.S. and international equities, as emerging markets specifically saw an increased appetite for risk. The topic of tariffs was a key daily market driver from January on. Through February, UK equities struggled on ever-present Brexit concerns, while Asian equities gained on trade deal progress. Stocks continued to perform well through March and into April, with both the NASDAQ 100 and S&P 500 hitting all-time highs. Strong earnings from communication and financial sector stocks helped drive the domestic market higher through the end of the Semi-Annual Period, while developed and emerging country stocks lagged by comparison on lingering concerns, such as U.S.-China trade tensions and political uncertainties.
The fixed income markets began the Semi-Annual Period with the front-end of the Treasury curve moving into a slight inversion. With Personal Consumption Expenditures still hovering below the Federal Reserve's 2% target, the bond market had brushed off inflation expectations apparent in the narrowing spread between TIPS and standard treasury bonds. To start 2019, the Federal Reserve affirmed a neutral policy stance by removing any reference to gradual rate rises in its policy statement. In referencing patience, the FOMC had taken itself out of the interest-rate equation for the foreseeable future. With the Federal Reserve on the sidelines, U.S. and China trade war rhetoric has been the ultimate catalyst for price action in the bond markets. As investors became fearful of a drawn out trade war between the U.S. and China, bond markets continued to rally, pushing yields further down on the front-end and back-end of the treasury curve.
Factors Affecting Thematic Weight ETFs Performance:
Benchmark Performance – The performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. The market conditions that affected the benchmark indexes during the past year are described in the Market Review section above.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index funds' fees, which cause a greater negative impact on ETF performance. Transaction costs are not included in the expense ratio of the ETFs.
Thematic Weight ETFs Performance Review:
The following discussion relates to the performance of the Thematic Weight ETFs for the Semi-Annual Period. The performance of the ETFs for the Semi-Annual Period is important primarily for understanding whether the ETFs meet their investment goals.
Non-Leveraged ETFs
The Direxion All Cap Insider Sentiment Shares seeks investment results, before fees and expenses, that track the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index. The Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index is a quantitatively-weighted index composed of 100 of the top publicly-traded companies selected by Sabrient. The index reflects positive sentiment among those "insiders" closest to a company's financials and business prospects, such as top
DIREXION SEMI-ANNUAL REPORT
4
management, directors, large institutional holders, and the Wall Street research analysts who follow the company. For the Semi-Annual Period, the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index returned 8.40%, while the Direxion All Cap Insider Sentiment Shares returned 7.77%.
The Direxion All Cap Insider Sentiment Shares ETF began the Semi-Annual Period with large allocations to consumer cyclical and financial stocks. During this time global trade concerns were rampant, and the Fund ended up benefitting from its lower exposure to a weakened technology sector, as it outperformed the S&P 500 for the month of November. Into December, the Fund gave back its positive performance from the previous month, and sold off along with the broader equity market, as concerns of a global economic slowdown crept into the conversation. The Fund remained heavily invested in financial stocks, which hurt fund performance along with smaller allocations to and consumer defensive and utilities stocks, which also did not perform well into year-end. Into 2019, the Federal Reserve cited a greater willingness to be flexible in its approach to interest rates, which was a boon for markets. The Fund regained its footing, and was able to outperform the S&P 500 through the end of the Semi-Annual Period. January's outperformance of the S&P 500 was fairly notable, and attributable to positive performance in the consumer discretionary and financial sector positions. Into March, the Fund finally underperformed the S&P 500, as financial stocks performed poorly for the month, with the Fund maintaining a substantial allocation to that sector. Into period-end, the Direxion All Cap Insider Sentiment Shares again benefitted from its exposure to the financial sector, which outperformed the broader equity sector on strong earnings.
The Direxion NASDAQ-100® Equal Weighted Index Shares seeks investment results, before fees and expenses, that track the NASDAQ-100® Equal Weighted Index. The NASDAQ-100® Equal Weighted Index includes 100 of the largest non-financial securities listed on NASDAQ®, but instead of being weighted by market capitalization, each of the constituents is initially set at 1.00%. The index is reviewed and adjusted annually in December, but replacements may be made any time throughout the year. The index is rebalanced quarterly in March, June, September and December. For the Semi-Annual Period, the NASDAQ-100® Equal Weighted Index returned 16.74%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned 16.51%.
For the Semi-Annual Period, the equally-weighted methodology of the Direxion NASDAQ-100® Equal Weighted Index Shares aided returns, as it reduced the reliance upon heavily weighted names in the NASDAQ-100, such as Apple and Microsoft. While the combination only has a 2.1% weighting in the Fund, the two represent over 21% of the NASDAQ-100. The strongest returns for the Fund came during the month of January 2019, outperformed the market-cap weighted NASDAQ-100 index by 2.31%.
The Direxion Zacks MLP High Income Index Shares seeks investment results, before fees and expenses, that track the price and yield performance of the Zacks MLP High Income Index. The Zacks MLP High Income Index is comprised of 25 securities selected from a universe of Master Limited Partnerships (MLP) listed on U.S. exchanges utilizing a methodology proprietary to Zacks. The objective of the Index is to select a group of MLPs with the potential to yield and outperform on a risk adjusted basis the S&P 500 Index and other benchmark indices. For the Semi-Annual Period, the Zacks MLP High Income Index returned 1.61%, while the Direxion Zacks MLP High Income Index Shares returned 1.51%.
The Direxion Zacks MLP High Income Index Shares maintained a large allocation to midstream names such as NuStar Energy, Spectra Energy Partners and Western Gas Partners throughout the Semi-Annual Period. Upstream names were underexposed at just 4% to 8%, while the downstream names had a modest 22% to 26% of the fund exposure. The Fund produced losses to close 2018 due to plummeting oil prices, fears of global economic slowdown, and the ongoing trade war with China. However, renewed optimism in all buoyed performance in 2019.
Actively Managed ETF
The Direxion Auspice Broad Commodity Strategy ETF seeks to provide total returns that exceed that of the Auspice Broad Commodity Index over a complete market cycle. The Auspice Broad Commodity Index attempts to capture upward trends in the commodity markets while minimizing risk during down trends. The Auspice Broad Commodity Index will use a quantitative methodology to track either long or flat positions in a diversified portfolio of twelve commodity futures, which cover the energy, metal, and agricultural sectors. It attempts to incorporate dynamic risk management and contract rolling
DIREXION SEMI-ANNUAL REPORT
5
methods. For the Semi-Annual Period, the Auspice Broad Commodity Index returned -1.44%, while the Direxion Auspice Broad Commodity Strategy ETF returned -0.28%.
In November, the Direxion Auspice Broad Commodity Strategy ETF was long heating oil, natural gas and sugar. During the month, the Fund sold out of heating oil, with upside performance driven by Natural Gas. But, those gains were offset by a slumping crude oil. The Fund continued to struggle through December, and finished the calendar year long gold, natural Gas and sugar. A continued appreciation in price for the Fund's largest holding, sugar, helped drive positive fund performance from January through mid-February. The Fund added a copper position in late February, which helped mitigate negative returns, as it outperformed the other four commodity components through March. An increase in the price of crude help the Direxion Auspice Broad Commodity Strategy ETF remain flat in April, as precious metals slumped. As the Semi-Annual Period came to a close, the Fund was long copper, crude oil, gold, heating oil, RBOB gasoline, silver and sugar.
Relative Weight ETFs
The Direxion FTSE Russell International Over US ETF seeks investment results, before fees and expenses, that track the FTSE All-World ex US/Russell 1000® 150/50 Net Spread Index. The FTSE All-World ex US/Russell 1000® 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the FTSE All-World ex US Index (the "Long Component") and 50% short exposure to the Russell 1000® Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express an international over domestic investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the FTSE All-World ex US/Russell 1000® 150/50 Net Spread Index returned 5.95%, while the Direxion FTSE Russell International Over US ETF returned 6.72%.
The Direxion FTSE Russell US Over International ETF seeks investment results, before fees and expenses, that track the Russell 1000®/FTSE All-World ex US 150/50 Net Spread Index. The Russell 1000®/FTSE All-World ex US 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Index (the "Long Component") and 50% short exposure to the FTSE All-World ex US Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a domestic over international investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the Russell 1000/FTSE All-World ex US 150/50 Net Spread Index returned 16.07%, while the Direxion FTSE Russell US Over International ETF returned 15.66%.
The Direxion MSCI Cyclicals Over Defensives ETF seeks investment results, before fees and expenses, that track the MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index. The MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index measures the performance of a portfolio that has 150% long exposure to the MSCI USA Cyclical Sectors Index (the "Long Component") and 50% short exposure to the MSCI USA Defensive Sectors Index (the "Short Component").On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a cyclicals over defensives investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index returned 22.32%, while the Direxion MSCI Cyclicals Over Defensives ETF returned 22.21%.
The Direxion MSCI Defensives Over Cyclicals ETF seeks investment results, before fees and expenses, that track the MSCI USA Defensive Sectors – USA Cyclical Sectors 150/50 Return Spread Index. The MSCI USA Defensive Sectors – USA Cyclical Sectors 150/50 Return Spread Index measures the performance of a portfolio that has 150% long exposure to the MSCI USA Defensive Sectors Index (the "Long Component") and 50% short exposure to the MSCI USA Cyclical Sectors Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund
DIREXION SEMI-ANNUAL REPORT
6
seeks to provide a vehicle for investors looking to efficiently express a defensives over cyclicals investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the MSCI USA Defensive Sectors – USA Cyclical Sectors 150/50 Return Spread Index returned 0.81%, while the Direxion MSCI Defensives Over Cyclicals ETF returned 0.73%.
The Direxion MSCI Developed Over Emerging Markets ETF seeks investment results, before fees and expenses, that track the MSCI EAFE IMI – Emerging Markets IMI 150/50 Return Spread Index. The MSCI EAFE IMI – Emerging Markets IMI 150/50 Return Spread Index measures the performance of a portfolio that has 150% long exposure to the MSCI EAFE IMI Index (the "Long Component") and 50% short exposure to the MSCI Emerging Markets IMI Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a developed over emerging investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the MSCI EAFE IMI – Emerging Markets IMI 150/50 Return Spread Index returned 9.42%, while the Direxion MSCI Developed Over Emerging Markets ETF returned 9.94%.
The Direxion MSCI Emerging Over Developed Markets ETF seeks investment results, before fees and expenses, that track the MSCI Emerging Markets IMI – EAFE IMI 150/50 Return Spread Index. The MSCI Emerging Markets IMI – EAFE IMI 150/50 Return Spread Index measures the performance of a portfolio that has 150% long exposure to the MSCI Emerging Markets IMI Index (the "Long Component") and 50% short exposure to the MSCI EAFE IMI Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express an emerging over developed investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the MSCI Emerging Markets IMI – EAFE IMI 150/50 Return Spread Index returned 6.71%, while the Direxion MSCI Emerging Over Developed Markets ETF returned 6.74%.
The Direxion Russell 1000® Growth Over Value ETF seeks investment results, before fees and expenses, that track the Russell 1000® Growth/Value 150/50 Net Spread Index. Russell 1000® Growth/Value 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Growth Index (the "Long Component") and 50% short exposure to the Russell 1000® Value Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a growth over value investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the Russell 1000® Growth/Value 150/50 Net Spread Index returned 18.05%, while the Direxion Russell 1000® Growth Over Value ETF returned 17.90%.
The Direxion Russell 1000® Value Over Growth ETF seeks investment results, before fees and expenses, that track the Russel 1000® Value/Growth 150/50 Net Spread Index. The Russell 1000® Value/Growth 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Value Index (the "Long Component") and 50% short exposure to the Russell 1000® Growth Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a value over growth investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the Russell 1000® Value/Growth 150/50 Net Spread Index returned 9.07%, while the Direxion Russell 1000® Value Over Growth ETF returned 8.88%.
The Direxion Russell Large Over Small Cap ETF seeks investment results, before fees and expenses, that track the Russell 1000®/Russell 2000® 150/50 Net Spread Index. The Russell 1000®/Russell 2000® 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Index (the "Long Component") and 50% short exposure to the Russell 2000® Index (the "Short Component"). On a monthly basis, the index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50%
DIREXION SEMI-ANNUAL REPORT
7
of the index value. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a large-capitalization over small-capitalization investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the Russell 1000®/Russell 2000® 150/50 Net Spread Index returned 15.01%, while the Direxion Russell Large Over Small Cap ETF returned 14.86%.
The Direxion Russell Small Over Large Cap ETF seeks investment results, before fees and expenses, that track the Russell 2000®/Russell 1000® 150/50 Net Spread Index. The Russell 2000®/Russell 1000® 150/50 Net Spread Index) measures the performance of a portfolio that has 150% long exposure to the Russell 2000® Index (the "Long Component") and 50% short exposure to the Russell 1000® Index (the "Short Component"). On a monthly basis, the index will rebalance 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. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a small-capitalization over large-capitalization investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Since the Fund's inception on January 16, 2019, the Russell 2000®/Russell 1000® 150/50 Net Spread Index returned 8.83%, while the Direxion Russell Small Over Large Cap ETF returned 8.88%.
PortfolioPlus ETFs Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and, effective March 1, 2019, seek daily investment results, before fees and expenses, of 135% of the performance of a particular benchmark. The ETFs attempt to provide investment results that correlate to 135% of the return of a benchmark, meaning the ETFs attempt to move in the same direction as the benchmark.
Performance prior to March 1, 2019 reflects the ETFs previous daily leveraged investment objective of 125%.
These leveraged ETFs seek returns that are 135% of the return of their respective benchmark index for a single day and should not be expected to provide 1.35 times the return of its benchmark's cumulative return for periods greater than one day. The performance of the ETFs over longer periods may not correlate to the benchmarks performance. Each Fund is intended to be used by investors who intend to monitor their portfolios.
In seeking to achieve each ETF's daily investment results, Direxion Advisors, LLC (the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, the Adviser determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the index or benchmark will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.
Each ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests in derivatives, including swap agreements. The Adviser uses these types of investments to produce economically "leveraged" investment results. Leveraging allows the Adviser to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met
DIREXION SEMI-ANNUAL REPORT
8
its daily investment goals, the Adviser maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.
Factors Affecting PortfolioPlus ETFs Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results of 135% of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
Cost of Financing – In order to attain leveraged exposure, an ETF incurs a cost of LIBOR plus or minus a spread. LIBOR may create a drag on an ETF's performance, so if interest rates increase, the cost of financing will adversely impact an ETF's performance and ability to track its index.
Optimized Baskets – Each ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain ETFs hold only a representative sample, or optimized basket, that tracks closely over time but deviates from its underlying Index in the short-term.
Equity Dividends and Bond Interest – Equity ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Treasury ETFs receive interest, accrued on a daily basis, to account for the Treasury's semi-annual coupon payments.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities.
PortfolioPlus ETFs Performance Review:
The PortfolioPlus Developed Markets ETF sought to provide 125% of the daily return of the FTSE Developed All Cap ex U.S. Index from November 1, 2018 until February 28, 2019. The FTSE Developed All Cap ex US Index is a market-capitalization weighted index representing the performance of large-, mid- and small capitalization companies in developed markets, excluding the USA. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers over 7,400 securities in 47 different countries and captures 98% of the world's investable market capitalization. For the stated period, the FTSE Developed All Cap ex U.S. Index returned 4.26%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus Developed Markets ETF returned 5.00% for the same period, while the model indicated an expected return of 5.23%.
Beginning March 1, 2019, the PortfolioPlus Developed Markets ETF seeks to provide 135% of the daily return of the FTSE Developed All Cap ex U.S. Index. The FTSE Developed All Cap ex US Index is a market-capitalization weighted index representing the performance of large-, mid- and small capitalization companies in developed markets, excluding the USA.
DIREXION SEMI-ANNUAL REPORT
9
The index is derived from the FTSE Global Equity Index Series (GEIS), which covers over 7,400 securities in 47 different countries and captures 98% of the world's investable market capitalization. For the stated period, the FTSE Developed All Cap ex U.S. Index returned 3.46%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus Developed Markets ETF returned 4.51% for the same period, while the model indicated an expected return of 4.66%.
The PortfolioPlus Emerging Markets ETF sought to provide 125% of the daily return of the FTSE Emerging Index from November 1, 2018 until February 28, 2019. The FTSE Emerging Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. For the stated period, the FTSE Emerging Index returned 10.23%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus Emerging Markets ETF returned 12.87% for the same period, while the model indicated an expected return of 12.73%.
Beginning March 1, 2019, the PortfolioPlus Emerging Markets ETF seeks to provide 135% of the daily return of the FTSE Emerging Index. The FTSE Emerging Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. For the stated period, the FTSE Emerging Index returned 4.34%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus Emerging Markets ETF returned 5.69% for the same period, while the model indicated an expected return of 5.82%.
The PortfolioPlus S&P 500® ETF sought to provide 125% of the daily return of the S&P 500® Index from November 1, 2018 until February 28, 2019. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The Index is a float adjusted, market capitalization-weighted index. For the stated period, the S&P 500® Index returned 3.48%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus S&P 500® ETF returned 3.94%, while the model indicated an expected return of 4.16%.
Beginning March 1, 2019, the PortfolioPlus S&P 500® ETF seeks to provide 135% of the daily return of the S&P 500® Index. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The Index is a float adjusted, market capitalization-weighted index. For the stated period, the S&P 500® Index returned 6.07%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus S&P 500® ETF returned 8.00%, while the model indicated an expected return of 8.24%.
The PortfolioPlus S&P® Mid Cap ETF sought to provide 125% of the daily return of the S&P Mid Cap 400® Index from November 1, 2018 until February 28, 2019. The S&P Mid Cap 400® Index measures the performance of 400 mid-sized companies in the U.S. The Index is a float-adjusted market capitalization weighted index composed of liquid common stocks. For the stated period, the S&P Mid Cap 400® Index returned 5.30%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus S&P® Mid Cap ETF returned 6.22% for the same period, while the model indicated an expected return of 6.46%.
Beginning March 1, 2019, the PortfolioPlus S&P® Mid Cap ETF seeks to provide 135% of the daily return of the S&P Mid Cap 400® Index. The S&P Mid Cap 400® Index measures the performance of 400 mid-sized companies in the U.S. The Index is a float-adjusted market capitalization weighted index composed of liquid common stocks. For the stated period, the S&P Mid Cap 400® Index returned 3.43%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance
DIREXION SEMI-ANNUAL REPORT
10
of the Fund. The PortfolioPlus S&P® Mid Cap ETF returned 4.41% for the same period, while the model indicated an expected return of 4.58%.
The PortfolioPlus S&P® Small Cap ETF sought to provide 125% of the daily return of the S&P Small Cap 600® Index from November 1, 2018 until February 28, 2019. The S&P Small Cap 600® Index attempts to measure the performance of 600 small-capitalization companies in the U.S. The Index is a float-adjusted market capitalization weighted index. Standard & Poor's® selects companies with unadjusted market capitalizations of $450 million to $2.1 billion (USD) and based on market values, liquidity, financial viability and industry diversification. For the stated period, the S&P Small Cap 600® Index returned 3.04%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus S&P® Small Cap ETF returned 3.28%, while the model indicated an expected return of 3.58%.
Beginning March 1, 2019, the PortfolioPlus S&P® Small Cap ETF seeks to provide 135% of the daily return of the S&P Small Cap 600® Index. The S&P Small Cap 600® Index attempts to measure the performance of 600 small-capitalization companies in the U.S. The Index is a float-adjusted market capitalization weighted index. Standard & Poor's® selects companies with unadjusted market capitalizations of $450 million to $2.1 billion (USD) and based on market values, liquidity, financial viability and industry diversification. For the stated period, the S&P Small Cap 600® Index returned 0.41%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The PortfolioPlus S&P® Small Cap ETF returned 0.35%, while the model indicated an expected return of 0.46%.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
Patrick Rudnick Principal Executive Officer Principal Financial Officer |
Past performance is not indicative of future results. One cannot invest directly in an index. Recent growth rate in the stock market has helped to produce short-term returns that are not typical, and may not continue in the future.
An investor should carefully consider a Fund's investment objective, risks, charges, and expenses before investing. A Fund's prospectus and summary prospectus contain this and other information about the Direxion Shares. To obtain a Fund's prospectus and summary prospectus call 866-476-7523 or visit our website at direxioninvestments.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense reimbursements or recoupments and fee waivers in effect during certain periods shown. Absent these reimbursements or recoupments and fee waivers, results would have been less favorable.
DIREXION SEMI-ANNUAL REPORT
11
Investing in Leveraged ETFs may be more volatile than investing in broadly diversified funds. The use of leverage by an ETF increases the risk to the ETF. Leveraged ETFs are not suitable for all investors and should be utilized only by sophisticated investors who understand leverage risk, consequences of seeking daily leveraged, or daily inverse leveraged, investment results and intend to actively monitor and manage their investment. The ETFs seek to return a multiple of the benchmark indexes for a single day are not designed to track their respective underlying indices over a period of time longer than one day.
With regard to PortfolioPlus ETFs as long term investment tools, compounding affects all investments, but has more impact on leveraged funds, particularly during periods of higher index volatility and longer holding periods. Due to periods of negative compounding caused by index volatility, a fund's return may be negative in the same period that its index's return is flat or positive.
LIBOR (London Interbank Offered Rate) is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks.
Futures Contract: an agreement traded on an organized exchange to buy or sell assets, especially commodities or shares, at a fixed price but to be delivered and paid for later.
Direxion Auspice Broad Commodity Strategy ETF – Commodities and futures generally are volatile and are not suitable for all investors. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Commodity linked derivatives also may be subject to credit and interest rate risks that in general affect the values of debt securities. The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to leverage, imperfect correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Futures contracts are typically exchange traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. Futures markets are highly volatile and the use of futures may increase the volatility of the Fund. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.
Under amended regulations promulgated by the U.S. Commodities Futures Trading Commission ("CFTC"), the Fund and the Subsidiary are considered commodity pools, and therefore each is subject to regulation under the Commodity Exchange Act and CFTC rules. The Adviser is registered as a commodity pool operator ("CPO") and will manage both the Fund and Subsidiary in accordance with CFTC rules, as well as the rules that apply to registered investment companies, which includes registering both the Fund and the Subsidiary as commodity pools. Registration as a commodity pool subjects the registrant to additional laws, regulations and enforcement policies, all of which may potentially increase compliance costs and may affect the operations and financial performance of the Fund or the Subsidiary. Additionally, the Subsidiary's positions in futures contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC. Such actions may subject the Fund to substantial losses.
Direxion Relative Weight ETFs Risks – Investing involves risk including possible loss of principal. The ETFs' investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in or shorting securities or other investments. There is no guarantee that the returns on an ETF's long or short positions will produce high, or even positive returns and the ETF could lose money if either or both of the ETF's long and short positions produce negative returns. Please see the summary and full prospectuses for a more complete description of these and other risks of the ETFs.
DIREXION SEMI-ANNUAL REPORT
12
Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration that results from an ETF's investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts and swaps are subject to market risks that may cause their price to fluctuate over time. The ETFs do not attempt to, and should not be expected to, provide returns which are a multiple of the return of their respective index for periods other than a single day. For other risks including leverage, correlation, daily compounding, market volatility and risks specific to an industry or sector, please read the prospectus.
The views of this letter were those of the Adviser as of October 31, 2018 and may not necessarily reflect his views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION SEMI-ANNUAL REPORT
13
Expense Example (Unaudited)
April 30, 2019
As a shareholder of the Thematic Weight and PortfolioPlus Funds, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2018 to April 30, 2019).
Actual expenses
The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2018 to April 30, 2019" to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period November 1, 2018 to April 30, 2019* | ||||||||||||||||
Direxion All Cap Insider Sentiment Shares | |||||||||||||||||||
Based on actual fund return | 0.59 | % | $ | 1,000.00 | $ | 1,077.70 | $ | 3.04 | |||||||||||
Based on hypothetical 5% return | 0.59 | % | 1,000.00 | 1,021.87 | 2.96 | ||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||
Based on actual fund return | 0.70 | % | 1,000.00 | 997.20 | 3.47 | ||||||||||||||
Based on hypothetical 5% return | 0.70 | % | 1,000.00 | 1,021.32 | 3.51 | ||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||
Based on actual fund return | 0.35 | % | 1,000.00 | 1,165.10 | 1.88 | ||||||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,023.06 | 1.76 | ||||||||||||||
Direxion Zacks MLP High Income Index Shares | |||||||||||||||||||
Based on actual fund return | 0.65 | % | 1,000.00 | 1,015.10 | 3.25 | ||||||||||||||
Based on hypothetical 5% return | 0.65 | % | 1,000.00 | 1,021.57 | 3.26 |
DIREXION SEMI-ANNUAL REPORT
14
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period November 1, 2018 to April 30, 2019* | ||||||||||||||||
Direxion FTSE Russell International Over US ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | $ | 1,000.00 | $ | 1,067.20 | $ | 1.34 | |||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion FTSE Russell US Over International ETF1 | |||||||||||||||||||
Based on actual fund return | 0.48 | % | 1,000.00 | 1,156.60 | 1.49 | ||||||||||||||
Based on hypothetical 5% return | 0.48 | % | 1,000.00 | 1,013.00 | 1.39 | ||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF1 | |||||||||||||||||||
Based on actual fund return | 0.49 | % | 1,000.00 | 1,222.10 | 1.57 | ||||||||||||||
Based on hypothetical 5% return | 0.49 | % | 1,000.00 | 1,012.97 | 1.42 | ||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,007.30 | 1.30 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,099.40 | 1.36 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,067.40 | 1.34 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion Russell 1000® Growth Over Value ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,179.00 | 1.41 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion Russell 1000® Value Over Growth ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,088.80 | 1.35 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion Russell Large Over Small Cap ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,148.60 | 1.39 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
Direxion Russell Small Over Large Cap ETF1 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,088.80 | 1.35 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,013.09 | 1.30 | ||||||||||||||
PortfolioPlus Developed Markets ETF | |||||||||||||||||||
Based on actual fund return | 0.01 | % | 1,000.00 | 1,097.10 | 0.05 | ||||||||||||||
Based on hypothetical 5% return | 0.01 | % | 1,000.00 | 1,024.75 | 0.05 | ||||||||||||||
PortfolioPlus Emerging Markets ETF | |||||||||||||||||||
Based on actual fund return | 0.04 | % | 1,000.00 | 1,193.20 | 0.22 | ||||||||||||||
Based on hypothetical 5% return | 0.04 | % | 1,000.00 | 1,024.60 | 0.20 | ||||||||||||||
PortfolioPlus S&P 500® ETF | |||||||||||||||||||
Based on actual fund return | 0.02 | % | 1,000.00 | 1,122.50 | 0.11 | ||||||||||||||
Based on hypothetical 5% return | 0.02 | % | 1,000.00 | 1,024.70 | 0.10 | ||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | |||||||||||||||||||
Based on actual fund return | 0.03 | % | 1,000.00 | 1,108.60 | 0.16 | ||||||||||||||
Based on hypothetical 5% return | 0.03 | % | 1,000.00 | 1,024.65 | 0.15 | ||||||||||||||
PortfolioPlus S&P® Small Cap ETF | |||||||||||||||||||
Based on actual fund return | 0.06 | % | 1,000.00 | 1,036.40 | 0.30 | ||||||||||||||
Based on hypothetical 5% return | 0.06 | % | 1,000.00 | 1,024.50 | 0.30 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2018 to April 30, 2019), then divided by 365.
1 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from January 16, 2019 (commencement of operations) to April 30, 2019, multiplied by 105 days (the number of days since commencement of operations to April 30, 2019), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
15
Allocation of Portfolio Holdings (Unaudited)
April 30, 2019
Cash* | Common Stocks | Master Limited Partnerships | Investment Companies | Futures | Swaps | Total | |||||||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | 0 | %** | 100 | % | — | — | — | — | 100 | % | |||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 101 | % | — | — | — | (1 | )% | — | 100 | % | |||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0 | %** | 100 | % | — | — | — | — | 100 | % | |||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | 1 | % | — | 99 | % | — | — | — | 100 | % | |||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | 5 | % | — | — | 97 | % | — | (2 | )% | 100 | % | ||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | 3 | % | — | — | 95 | % | — | 2 | % | 100 | % | ||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 4 | % | 91 | % | — | — | — | 5 | % | 100 | % | ||||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | 9 | % | 95 | % | — | — | — | (4 | )% | 100 | % | ||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 4 | % | — | — | 95 | % | — | 1 | % | 100 | % | ||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 4 | % | — | — | 97 | % | — | (1 | )% | 100 | % | ||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 2 | % | — | — | 96 | % | — | 2 | % | 100 | % | ||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 6 | % | — | — | 95 | % | — | (1 | )% | 100 | % | ||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | 4 | % | — | — | 94 | % | — | 2 | % | 100 | % | ||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | 5 | % | — | — | 96 | % | — | (1 | )% | 100 | % | ||||||||||||||||||||
PortfolioPlus Developed Markets ETF | 0 | %** | — | — | 99 | % | — | 1 | % | 100 | % | ||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | 0 | %** | — | — | 100 | % | — | 0 | %** | 100 | % | ||||||||||||||||||||
PortfolioPlus S&P 500® ETF | (1 | )% | — | — | 99 | % | — | 2 | % | 100 | % | ||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 0 | %** | — | — | 99 | % | — | 1 | % | 100 | % | ||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 1 | % | — | — | 99 | % | — | 0 | %** | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
** Percentage is less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
16
Direxion All Cap Insider Sentiment Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.6% | |||||||||||
Administrative and Support Services - 0.3% | |||||||||||
6,586 | The Brink's Co. | $ | 526,419 | ||||||||
Ambulatory Health Care Services - 1.8% | |||||||||||
37,320 | Select Medical Holdings Corp. (a) | 536,289 | |||||||||
80,686 | Tivity Health, Inc. (a)(b) | 1,744,431 | |||||||||
4,935 | U.S. Physical Therapy, Inc. | 574,878 | |||||||||
2,855,598 | |||||||||||
Apparel Manufacturing - 0.7% | |||||||||||
2,534 | Cintas Corp. | 550,233 | |||||||||
12,788 | G-III Apparel Group, Ltd. (a) | 551,802 | |||||||||
1,102,035 | |||||||||||
Beverage and Tobacco Product Manufacturing - 1.9% | |||||||||||
52,960 | Altria Group, Inc. | 2,877,317 | |||||||||
Broadcasting (except Internet) - 4.4% | |||||||||||
1,521 | Charter Communications, Inc. (a) | 564,580 | |||||||||
60,297 | Comcast Corp. Class A | 2,624,728 | |||||||||
57,720 | Dish Network Corp. (a) | 2,027,126 | |||||||||
68,264 | The E W Scripps Co. Class A | 1,555,737 | |||||||||
6,772,171 | |||||||||||
Chemical Manufacturing - 7.3% | |||||||||||
6,610 | Abbott Laboratories | 525,892 | |||||||||
18,082 | Allergan PLC ADR (Ireland) | 2,658,054 | |||||||||
7,284 | Church & Dwight Co., Inc. | 545,936 | |||||||||
44,193 | Corcept Therapeutics, Inc. (a)(b) | 547,109 | |||||||||
2,896 | Ecolab, Inc. | 533,096 | |||||||||
2,309 | IDEXX Laboratories, Inc. (a) | 535,688 | |||||||||
154,333 | Innoviva, Inc. (a) | 2,165,292 | |||||||||
210,999 | Lannett Co., Inc. (a)(b) | 1,622,582 | |||||||||
35,280 | Sealed Air Corp. | 1,644,754 | |||||||||
20,843 | Tupperware Brands Corp. | 496,063 | |||||||||
11,274,466 | |||||||||||
Clothing and Clothing Accessories Stores - 1.9% | |||||||||||
69,911 | Nordstrom, Inc. | 2,867,749 | |||||||||
Computer and Electronic Product Manufacturing - 2.0% | |||||||||||
2,690 | Apple, Inc. | 539,802 | |||||||||
9,604 | Integra LifeSciences Holdings Corp. (a) | 501,233 | |||||||||
29,290 | KEMET Corp. | 523,412 | |||||||||
17,680 | Methode Electronics, Inc. | 521,737 | |||||||||
1,514 | Roper Technologies, Inc. | 544,586 | |||||||||
1,899 | Thermo Fisher Scientific, Inc. | 526,878 | |||||||||
3,157,648 | |||||||||||
Construction of Buildings - 1.7% | |||||||||||
834 | NVR, Inc. (a) | 2,629,168 | |||||||||
Credit Intermediation and Related Activities - 7.4% | |||||||||||
8,930 | First Financial Bankshares, Inc. | 549,374 | |||||||||
16,628 | JPMorgan Chase & Co. | 1,929,679 | |||||||||
305,056 | New York Community Bancorp, Inc. | 3,547,801 | |||||||||
132,787 | United Community Banks, Inc. | 3,728,659 | |||||||||
30,888 | Walker & Dunlop, Inc. | 1,697,296 | |||||||||
11,452,809 | |||||||||||
Data Processing, Hosting and Related Services - 0.4% | |||||||||||
2,653 | WEX, Inc. (a) | 557,926 |
Shares | Fair Value | ||||||||||
Electronics and Appliance Stores - 2.2% | |||||||||||
45,462 | Best Buy Co., Inc. | $ | 3,382,827 | ||||||||
Food Manufacturing - 3.9% | |||||||||||
127,623 | Flowers Foods, Inc. | 2,774,524 | |||||||||
62,953 | General Mills, Inc. | 3,240,191 | |||||||||
6,014,715 | |||||||||||
Food Services and Drinking Places - 7.0% | |||||||||||
38,062 | Brinker International, Inc. | 1,627,911 | |||||||||
745 | Chipotle Mexican Grill, Inc. (a) | 512,590 | |||||||||
16,378 | Darden Restaurants, Inc. | 1,926,053 | |||||||||
64,660 | Red Robin Gourmet Burgers, Inc. (a) | 2,071,060 | |||||||||
62,182 | The Cheesecake Factory, Inc. (b) | 3,085,471 | |||||||||
15,415 | Yum! Brands, Inc. | 1,609,172 | |||||||||
10,832,257 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 1.6% | |||||||||||
131,505 | ARMOUR Residential REIT, Inc. | 2,509,115 | |||||||||
General Merchandise Stores - 3.2% | |||||||||||
2,167 | Costco Wholesale Corp. | 532,063 | |||||||||
17,786 | Dollar Tree, Inc. (a) | 1,979,226 | |||||||||
31,892 | Target Corp. | 2,469,079 | |||||||||
4,980,368 | |||||||||||
Health and Personal Care Stores - 1.2% | |||||||||||
77,628 | Sally Beauty Holdings, Inc. (a) | 1,374,016 | |||||||||
1,499 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 523,121 | |||||||||
1,897,137 | |||||||||||
Insurance Carriers and Related Activities - 18.1% | |||||||||||
71,904 | Aflac, Inc. | 3,622,523 | |||||||||
35,560 | Cincinnati Financial Corp. | 3,420,161 | |||||||||
73,453 | Hartford Financial Services Group, Inc. | 3,842,326 | |||||||||
77,607 | Mercury General Corp. | 4,173,704 | |||||||||
153,500 | Old Republic International Corp. | 3,432,260 | |||||||||
32,577 | Progressive Corp. | 2,545,893 | |||||||||
19,155 | RenaissanceRe Holdings Ltd. | 2,975,921 | |||||||||
24,640 | Travelers Companies, Inc. | 3,542,000 | |||||||||
32,336 | United Insurance Holdings Corp. | 495,388 | |||||||||
28,050,176 | |||||||||||
Machinery Manufacturing - 2.1% | |||||||||||
5,235 | Alamo Group, Inc. | 542,555 | |||||||||
10,550 | Lam Research Corp. | 2,188,387 | |||||||||
16,006 | Terex Corp. | 533,480 | |||||||||
3,264,422 | |||||||||||
Management of Companies and Enterprises - 4.6% | |||||||||||
136,597 | Berkshire Hills Bancorp, Inc. | 4,096,544 | |||||||||
146,498 | Dime Community Bancshares, Inc. | 2,951,935 | |||||||||
7,048,479 | |||||||||||
Merchant Wholesalers, Durable Goods - 1.2% | |||||||||||
14,410 | KLA-Tencor Corp. | 1,836,987 | |||||||||
Miscellaneous Manufacturing - 1.7% | |||||||||||
2,755 | Edwards Lifesciences Corp. (a) | 485,073 | |||||||||
7,828 | EnPro Industries, Inc. | 581,777 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion All Cap Insider Sentiment Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Miscellaneous Manufacturing (continued) | |||||||||||
2,697 | Stryker Corp. | $ | 509,490 | ||||||||
1,738 | Teleflex, Inc. | 497,381 | |||||||||
4,155 | Zimmer Biomet Holdings, Inc. | 511,730 | |||||||||
2,585,451 | |||||||||||
Nonstore Retailers - 0.4% | |||||||||||
289 | Amazon.com, Inc. (a) | 556,764 | |||||||||
Oil and Gas Extraction - 1.7% | |||||||||||
20,614 | Cabot Oil & Gas Corp. | 533,697 | |||||||||
17,110 | Devon Energy Corp. | 549,915 | |||||||||
5,594 | EOG Resources, Inc. | 537,304 | |||||||||
70,437 | Gulfport Energy Corp. (a) | 461,362 | |||||||||
12,813 | PDC Energy, Inc. (a) | 557,237 | |||||||||
2,639,515 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.7% | |||||||||||
11,028 | Activision Blizzard, Inc. | 531,660 | |||||||||
5,797 | Churchill Downs, Inc. | 584,627 | |||||||||
1,116,287 | |||||||||||
Petroleum and Coal Products Manufacturing - 1.5% | |||||||||||
20,003 | Chevron Corp. | 2,401,560 | |||||||||
Plastics and Rubber Products Manufacturing - 0.3% | |||||||||||
27,802 | Goodyear Tire & Rubber Co. | 534,076 | |||||||||
Primary Metal Manufacturing - 0.3% | |||||||||||
29,570 | Olympic Steel, Inc. | 479,625 | |||||||||
Professional, Scientific, and Technical Services - 2.5% | |||||||||||
2,966 | Accenture PLC Class A ADR (Ireland) | 541,799 | |||||||||
66,013 | Nielsen Holdings PLC | 1,685,312 | |||||||||
54,604 | Perficient, Inc. (a) | 1,607,542 | |||||||||
3,834,653 | |||||||||||
Publishing Industries (except Internet) - 1.4% | |||||||||||
40,559 | Oracle Corp. | 2,244,130 | |||||||||
Real Estate - 0.3% | |||||||||||
10,315 | CBRE Group, Inc. Class A (a) | 537,103 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 5.1% | |||||||||||
43,825 | E*TRADE Financial Corp. | 2,220,175 | |||||||||
113,517 | Invesco Ltd. | 2,493,968 | |||||||||
9,668 | SEI Investments Co. | 526,423 | |||||||||
35,520 | Stifel Financial Corp. | 2,119,478 | |||||||||
73,082 | WisdomTree Investments, Inc. | 526,190 | |||||||||
7,886,234 | |||||||||||
Support Activities for Mining - 0.7% | |||||||||||
47,254 | Diamond Offshore Drilling, Inc. (a)(b) | 458,836 | |||||||||
8,822 | Hess Corp. | 565,667 | |||||||||
1,024,503 | |||||||||||
Telecommunications - 4.2% | |||||||||||
116,956 | AT&T, Inc. | 3,620,958 | |||||||||
49,562 | Verizon Communications, Inc. | 2,834,451 | |||||||||
6,455,409 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing - 1.1% | |||||||||||
1,768 | Lockheed Martin Corp. | $ | 589,328 | ||||||||
5,990 | Polaris Industries, Inc. | 577,436 | |||||||||
1,129 | TransDigm Group, Inc. (a) | 544,765 | |||||||||
1,711,529 | |||||||||||
Utilities - 2.8% | |||||||||||
29,078 | Dominion Resources, Inc. | 2,264,304 | |||||||||
29,752 | ONEOK, Inc. | 2,021,053 | |||||||||
4,285,357 | |||||||||||
TOTAL COMMON STOCKS (Cost $149,421,878) | $ | 154,181,985 | |||||||||
SHORT TERM INVESTMENTS - 1.3% | |||||||||||
Money Market Funds - 1.3% | |||||||||||
2,084,466 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 2,084,466 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,084,466) | $ | 2,084,466 | |||||||||
TOTAL INVESTMENTS (Cost $151,506,344) - 100.9% | $ | 156,266,451 | |||||||||
Liabilities in Excess of Other Assets - (0.9)% | (1,396,989 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 154,869,462 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Recepit
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Direxion Auspice Broad Commodity Strategy ETF
Consolidated Schedule of Investments (Unaudited)
April 30, 2019
Fair Value | |||||||||||
No reportable investments. | |||||||||||
TOTAL INVESTMENTS (Cost $-) - 0.0% | $ | — | |||||||||
Other Assets in Excess of Liabilities - 100.0% (a) | 42,026,913 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 42,026,913 |
Percentages are stated as a percent of net assets.
(a) $1,465,803 of cash is pledged as collateral for futures contracts.
Long Futures Contracts (Unaudited)
April 30, 2019
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable/ (Payable), Net | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Copper | 7/29/2019 | 67 | $ | 4,864,200 | $ | 11,725 | $ | (30,964 | ) | ||||||||||||||
Gasoline | 9/30/2019 | 45 | 3,434,130 | 49,518 | 43,887 | ||||||||||||||||||
Gold | 6/26/2019 | 68 | 8,742,760 | 28,560 | (149,181 | ) | |||||||||||||||||
NY Harbor Ultra-Low Sulfur Diesel | 5/31/2019 | 54 | 4,712,677 | 54,432 | 8,643 | ||||||||||||||||||
Silver | 7/29/2019 | 63 | 4,719,960 | 16,065 | (16,301 | ) | |||||||||||||||||
Sugar | 9/30/2019 | 174 | 2,473,027 | — | (283,754 | ) | |||||||||||||||||
WTI Crude Oil | 2/20/2020 | 60 | 3,718,200 | 23,400 | 17,649 | ||||||||||||||||||
$ | 32,664,954 | $ | 183,700 | $ | (410,021 | ) |
All futures contracts held by Direxion BCS Fund Ltd. See Note 1.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.8% | |||||||||||
Accommodation - 1.1% | |||||||||||
18,269 | Marriott International, Inc. Class A | $ | 2,492,257 | ||||||||
Administrative and Support Services - 4.1% | |||||||||||
14,383 | Automatic Data Processing, Inc. | 2,364,422 | |||||||||
1,279 | Booking Holdings, Inc. (a) | 2,372,532 | |||||||||
28,194 | Paychex, Inc. | 2,377,036 | |||||||||
22,177 | PayPal Holdings, Inc. (a) | 2,500,900 | |||||||||
9,614,890 | |||||||||||
Air Transportation - 2.1% | |||||||||||
71,080 | American Airlines Group, Inc. | 2,429,514 | |||||||||
27,345 | United Continental Holdings, Inc. (a) | 2,429,877 | |||||||||
4,859,391 | |||||||||||
Amusement, Gambling, and Recreation Industries - 1.2% | |||||||||||
19,299 | Wynn Resorts Ltd. | 2,787,740 | |||||||||
Apparel Manufacturing - 2.2% | |||||||||||
10,871 | Cintas Corp. | 2,360,529 | |||||||||
15,758 | Lululemon Athletica Inc. (a) | 2,778,923 | |||||||||
5,139,452 | |||||||||||
Beverage and Tobacco Product Manufacturing - 2.0% | |||||||||||
37,070 | Monster Beverage Corp. (a) | 2,209,372 | |||||||||
19,319 | PepsiCo, Inc. | 2,473,798 | |||||||||
4,683,170 | |||||||||||
Broadcasting (except Internet) - 3.8% | |||||||||||
6,278 | Charter Communications, Inc. (a) | 2,330,331 | |||||||||
55,204 | Comcast Corp. Class A | 2,403,030 | |||||||||
26,424 | FOX Corp. Class A (a) | 1,030,272 | |||||||||
27,068 | FOX Corp. Class B (a) | 1,042,118 | |||||||||
362,102 | Sirius XM Holdings, Inc. (b) | 2,103,812 | |||||||||
8,909,563 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 1.1% | |||||||||||
35,871 | Fastenal Co. | 2,530,699 | |||||||||
Chemical Manufacturing - 9.1% | |||||||||||
16,418 | Alexion Pharmaceuticals, Inc. (a) | 2,234,983 | |||||||||
23,636 | BioMarin Pharmaceutical, Inc. (a) | 2,021,587 | |||||||||
25,255 | Celgene Corp. (a) | 2,390,638 | |||||||||
34,045 | Gilead Sciences, Inc. | 2,214,287 | |||||||||
10,332 | IDEXX Laboratories, Inc. (a) | 2,397,024 | |||||||||
7,212 | Illumina, Inc. (a) | 2,250,144 | |||||||||
26,349 | Incyte Corp. (a) | 2,023,603 | |||||||||
79,533 | Mylan NV (a) | 2,146,596 | |||||||||
5,386 | Regeneron Pharmaceuticals, Inc. (a) | 1,848,152 | |||||||||
11,883 | Vertex Pharmaceuticals, Inc. (a) | 2,007,989 | |||||||||
21,535,003 | |||||||||||
Clothing and Clothing Accessories Stores - 1.0% | |||||||||||
24,854 | Ross Stores, Inc. | 2,427,242 | |||||||||
Computer and Electronic Product Manufacturing - 17.7% | |||||||||||
95,928 | Advanced Micro Devices, Inc. (a)(b) | 2,650,491 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
20,428 | Analog Devices, Inc. | $ | 2,374,551 | ||||||||
12,005 | Apple, Inc. | 2,409,043 | |||||||||
7,696 | Broadcom, Inc. | 2,450,406 | |||||||||
41,991 | Cisco Systems, Inc. | 2,349,397 | |||||||||
41,121 | Intel Corp. | 2,098,816 | |||||||||
41,270 | Maxim Integrated Products, Inc. | 2,476,200 | |||||||||
25,945 | Microchip Technology, Inc. (b) | 2,591,646 | |||||||||
56,504 | Micron Technology, Inc. (a) | 2,376,558 | |||||||||
32,829 | NetApp, Inc. | 2,391,593 | |||||||||
13,155 | NVIDIA Corp. | 2,381,055 | |||||||||
23,926 | NXP Semiconductors NV | 2,527,064 | |||||||||
39,477 | Qualcomm, Inc. | 3,400,154 | |||||||||
26,672 | Skyworks Solutions, Inc. | 2,351,937 | |||||||||
20,175 | Texas Instruments, Inc. | 2,377,220 | |||||||||
46,450 | Western Digital Corp. | 2,374,524 | |||||||||
17,996 | Xilinx, Inc. | 2,162,039 | |||||||||
41,742,694 | |||||||||||
Data Processing, Hosting and Related Services - 1.0% | |||||||||||
25,906 | Fiserv, Inc. (a) | 2,260,039 | |||||||||
Food Manufacturing - 2.0% | |||||||||||
46,740 | Mondelez International, Inc. | 2,376,729 | |||||||||
69,624 | The Kraft Heinz Co. | 2,314,302 | |||||||||
4,691,031 | |||||||||||
Food Services and Drinking Places - 1.0% | |||||||||||
31,616 | Starbucks Corp. | 2,455,931 | |||||||||
General Merchandise Stores - 2.0% | |||||||||||
9,565 | Costco Wholesale Corp. | 2,348,495 | |||||||||
22,369 | Dollar Tree, Inc. (a) | 2,489,222 | |||||||||
4,837,717 | |||||||||||
Health and Personal Care Stores - 1.8% | |||||||||||
6,599 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 2,302,919 | |||||||||
35,672 | Walgreens Boots Alliance Inc. | 1,910,949 | |||||||||
4,213,868 | |||||||||||
Insurance Carriers and Related Activities - 1.0% | |||||||||||
12,865 | Willis Towers Watson PLC | 2,371,534 | |||||||||
Machinery Manufacturing - 3.1% | |||||||||||
55,311 | Applied Materials, Inc. | 2,437,556 | |||||||||
11,583 | ASML Holding NV ADR (Netherlands) | 2,418,762 | |||||||||
12,254 | Lam Research Corp. | 2,541,847 | |||||||||
7,398,165 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.0% | |||||||||||
37,679 | Henry Schein, Inc. (a) | 2,413,717 | |||||||||
18,677 | KLA-Tencor Corp. | 2,380,944 | |||||||||
4,794,661 | |||||||||||
Miscellaneous Manufacturing - 3.2% | |||||||||||
8,851 | Align Technology, Inc. (a) | 2,873,743 | |||||||||
25,760 | Hasbro, Inc. | 2,623,913 | |||||||||
4,006 | Intuitive Surgical, Inc. (a) | 2,045,584 | |||||||||
7,543,240 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Motion Picture and Sound Recording Industries - 1.9% | |||||||||||
6,182 | Netflix, Inc. (a) | $ | 2,290,678 | ||||||||
23,878 | Take-Two Interactive Software, Inc. (a) | 2,312,107 | |||||||||
4,602,785 | |||||||||||
Motor Vehicle and Parts Dealers - 1.0% | |||||||||||
6,035 | O'Reilly Automotive, Inc. (a) | 2,284,670 | |||||||||
Nonstore Retailers - 3.0% | |||||||||||
1,306 | Amazon.com, Inc. (a) | 2,516,035 | |||||||||
61,550 | eBay, Inc. | 2,385,063 | |||||||||
4,574 | MercadoLibre, Inc. (a) | 2,214,456 | |||||||||
7,115,554 | |||||||||||
Other Information Services - 6.1% | |||||||||||
938 | Alphabet, Inc. Class A (a) | 1,124,625 | |||||||||
943 | Alphabet, Inc. Class C (a) | 1,120,737 | |||||||||
13,109 | Baidu, Inc. ADR China (a) | 2,179,109 | |||||||||
13,456 | Facebook, Inc. (a) | 2,602,390 | |||||||||
42,913 | Liberty Global PLC Class A (a) | 1,159,080 | |||||||||
44,030 | Liberty Global PLC Class C (a) | 1,151,385 | |||||||||
9,217 | NetEase.com, Inc. ADR (China) | 2,622,513 | |||||||||
12,301 | VeriSign, Inc. (a) | 2,428,832 | |||||||||
14,388,671 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 1.9% | |||||||||||
50,056 | Activision Blizzard, Inc. | 2,413,200 | |||||||||
22,569 | Electronic Arts, Inc. (a) | 2,136,156 | |||||||||
4,549,356 | |||||||||||
Professional, Scientific, and Technical Services - 5.7% | |||||||||||
11,678 | Amgen, Inc. | 2,094,099 | |||||||||
6,771 | Biogen, Inc. (a) | 1,552,184 | |||||||||
36,629 | Cadence Design Systems, Inc. (a) | 2,541,320 | |||||||||
38,579 | Cerner Corp. (a) | 2,563,575 | |||||||||
30,974 | Cognizant Technology Solutions Corp. Class A | 2,259,863 | |||||||||
17,393 | Verisk Analytics, Inc. Class A | 2,454,848 | |||||||||
13,465,889 | |||||||||||
Publishing Industries (except Internet) - 10.1% | |||||||||||
8,694 | Adobe Systems, Inc. (a) | 2,514,740 | |||||||||
14,573 | Autodesk, Inc. (a) | 2,597,054 | |||||||||
17,778 | Check Point Software Technologies Ltd. (a) | 2,146,871 | |||||||||
22,147 | Citrix Systems, Inc. | 2,235,961 | |||||||||
53,613 | Ctrip.com International Ltd. ADR (China) (a) | 2,361,653 | |||||||||
8,653 | Intuit, Inc. | 2,172,422 | |||||||||
19,271 | Microsoft Corp. | 2,516,793 | |||||||||
97,053 | Symantec Corp. | 2,349,653 | |||||||||
20,465 | Synopsys, Inc. (a) | 2,477,902 | |||||||||
11,969 | Workday, Inc. (a) | 2,461,185 | |||||||||
23,834,234 | |||||||||||
Rail Transportation - 1.0% | |||||||||||
30,686 | CSX Corp. | 2,443,526 | |||||||||
Support Activities for Transportation - 1.0% | |||||||||||
18,381 | Expedia, Inc. | 2,386,589 |
Shares | Fair Value | ||||||||||
Telecommunications - 2.0% | |||||||||||
79,989 | JD.com, Inc. ADR (China) (a) | $ | 2,421,267 | ||||||||
30,413 | T-Mobile US, Inc. (a) | 2,219,845 | |||||||||
4,641,112 | |||||||||||
Transportation Equipment Manufacturing - 1.8% | |||||||||||
33,027 | Paccar, Inc. | 2,367,045 | |||||||||
8,107 | Tesla Motors, Inc. (a)(b) | 1,935,060 | |||||||||
4,302,105 | |||||||||||
Truck Transportation - 0.9% | |||||||||||
21,624 | J.B. Hunt Transport Services, Inc. | 2,043,035 | |||||||||
Utilities - 0.9% | |||||||||||
39,540 | Xcel Energy, Inc. | 2,234,010 | |||||||||
TOTAL COMMON STOCKS (Cost $203,677,569) | $ | 235,579,823 | |||||||||
SHORT TERM INVESTMENTS - 1.3% | |||||||||||
Money Market Funds - 1.3% | |||||||||||
3,113,675 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 3,113,675 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,113,675) | $ | 3,113,675 | |||||||||
TOTAL INVESTMENTS (Cost $206,791,244) - 101.1% | $ | 238,693,498 | |||||||||
Liabilities in Excess of Other Assets - (1.1)% | (2,750,541 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 235,942,957 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan. See Note 2.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral. See Note 2.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Zacks MLP High Income Index Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
MASTER LIMITED PARTNERSHIPS - 98.9% | |||||||||||
Gasoline Stations - 4.6% | |||||||||||
64,657 | Amerigas Partners LP | $ | 2,344,463 | ||||||||
Merchant Wholesalers, Nondurable Goods - 4.7% | |||||||||||
169,704 | NGL Energy Partners LP | 2,419,979 | |||||||||
Mining (except Oil and Gas) - 3.9% | |||||||||||
102,468 | Alliance Resource Partners LP (a) | 1,974,558 | |||||||||
Nonstore Retailers - 8.4% | |||||||||||
62,883 | Crestwood Equity Partners LP | 2,307,177 | |||||||||
85,949 | Suburban Propane Partners LP (a) | 2,005,190 | |||||||||
4,312,367 | |||||||||||
Oil and Gas Extraction - 11.6% | |||||||||||
55,558 | Andeavor Logistics LP | 1,862,860 | |||||||||
72,064 | Enterprise Products Partners LP | 2,063,192 | |||||||||
63,162 | Western Midstream Partners LP | 1,994,656 | |||||||||
5,920,708 | |||||||||||
Pipeline Transportation - 44.9% | |||||||||||
126,927 | BP Midstream Partners LP | 1,835,364 | |||||||||
65,270 | Buckeye Partners LP | 2,183,934 | |||||||||
124,939 | CNX Midstream Partners LP (a) | 1,937,804 | |||||||||
59,470 | DCP Midstream Partners LP | 1,849,517 | |||||||||
43,577 | EQT Midstream Partners LP | 2,004,542 | |||||||||
64,995 | Holly Energy Partners LP (a) | 1,767,214 | |||||||||
32,450 | Magellan Midstream Partners LP | 2,012,225 | |||||||||
56,777 | MPLX LP | 1,831,626 | |||||||||
87,571 | Plains All American Pipeline LP | 2,027,269 | |||||||||
98,131 | Shell Midstream Partners LP | 1,973,414 | |||||||||
149,927 | Summit Midstream Partners LP (a) | 1,244,394 | |||||||||
62,724 | TC Pipelines LP (a) | 2,239,247 | |||||||||
22,906,550 | |||||||||||
Support Activities for Mining - 8.6% | |||||||||||
117,712 | Black Stone Minerals LP (a) | 2,134,118 | |||||||||
134,369 | USA Compression Partners LP (a) | 2,276,211 | |||||||||
4,410,329 | |||||||||||
Utilities - 4.0% | |||||||||||
135,554 | Energy Transfer Equity LP | 2,049,577 | |||||||||
Water Transportation - 8.2% | |||||||||||
148,807 | Golar LNG Partners LP (a) | 1,880,921 | |||||||||
155,057 | Teekay LNG Partners LP (a) | 2,293,293 | |||||||||
4,174,214 | |||||||||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $51,296,847) | $ | 50,512,745 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 21.6% | |||||||||||
Money Market Funds - 21.6% | |||||||||||
11,026,831 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b)(c) | $ | 11,026,831 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $11,026,831) | $ | 11,026,831 | |||||||||
TOTAL INVESTMENTS (Cost $62,323,678) - 120.5% | $ | 61,539,576 | |||||||||
Liabilities in Excess of Other Assets - (20.5)% | (10,476,695 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 51,062,881 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) A portion of this security represents a security on loan.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of this security represents an investment of securities lending collateral.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion FTSE Russell International Over US ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.2% | |||||||||||
276,443 | Vanguard FTSE All-World ex-US ETF (a) | $ | 14,258,930 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,125,448) | $ | 14,258,930 | |||||||||
SHORT TERM INVESTMENTS - 1.8% | |||||||||||
Money Market Funds - 1.8% | |||||||||||
260,000 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 260,000 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $260,000) | $ | 260,000 | |||||||||
TOTAL INVESTMENTS (Cost $13,385,448) - 99.0% (c) | $ | 14,518,930 | |||||||||
Other Assets in Excess of Liabilities - 1.0% | 153,777 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 14,672,707 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,510,574.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of FTSE All-World ex US Index | 2.7374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 150,256 | $ | 7,137,896 | $ | 582,579 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Index | Credit Suisse Capital LLC | 12/20/2019 | 4,496 | $ | 6,499,705 | $ | (827,390 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion FTSE Russell US Over International ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 94.9% | |||||||||||
100,701 | iShares Russell 1000 ETF (a) | $ | 16,464,613 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $14,826,207) | $ | 16,464,613 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
7 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 7 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7) | $ | 7 | |||||||||
TOTAL INVESTMENTS (Cost $14,826,214) - 94.9% (c) | $ | 16,464,620 | |||||||||
Other Assets in Excess of Liabilities - 5.1% | 884,631 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 17,349,251 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,827,495.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 1000® Index | 2.7374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 5,858 | $ | 8,555,140 | $ | 983,652 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of Vanguard FTSE All-World ex-US ETF | Credit Suisse Capital LLC | 12/20/2019 | 168,178 | $ | 8,048,204 | $ | (600,513 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion MSCI Cyclicals Over Defensives ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 90.9% | |||||||||||
Accommodation - 0.5% | |||||||||||
233 | Hilton Worldwide Holdings, Inc. | $ | 20,269 | ||||||||
610 | Host Hotels & Resorts, Inc. | 11,736 | |||||||||
243 | Marriott International, Inc. Class A | 33,150 | |||||||||
420 | MGM Resorts International | 11,185 | |||||||||
33 | Vail Resorts, Inc. | 7,552 | |||||||||
83,892 | |||||||||||
Administrative and Support Services - 4.0% | |||||||||||
360 | Automatic Data Processing, Inc. | 59,180 | |||||||||
39 | Booking Holdings, Inc. (a) | 72,345 | |||||||||
96 | Broadridge Financial Solutions, Inc. | 11,341 | |||||||||
99 | Equifax, Inc. | 12,469 | |||||||||
75 | Gartner, Inc. (a) | 11,923 | |||||||||
322 | IHS Markit Ltd. (a) | 18,438 | |||||||||
224 | Iron Mountain, Inc. | 7,276 | |||||||||
53 | ManpowerGroup, Inc. | 5,090 | |||||||||
142 | Moody's Corp. | 27,920 | |||||||||
266 | Paychex, Inc. | 22,426 | |||||||||
925 | PayPal Holdings, Inc. (a) | 104,312 | |||||||||
101 | Robert Half International, Inc. | 6,271 | |||||||||
121 | Rollins, Inc. | 4,679 | |||||||||
135 | Total System Services, Inc. | 13,802 | |||||||||
152 | TransUnion | 10,587 | |||||||||
87 | TripAdvisor, Inc. (a) | 4,631 | |||||||||
1,461 | Visa, Inc. Class A | 240,232 | |||||||||
353 | Waste Management, Inc. | 37,891 | |||||||||
670,813 | |||||||||||
Air Transportation - 0.1% | |||||||||||
95 | American Airlines Group, Inc. | 3,247 | |||||||||
142 | Delta Air Lines, Inc. | 8,278 | |||||||||
118 | Southwest Airlines Co. | 6,399 | |||||||||
56 | United Continental Holdings, Inc. (a) | 4,976 | |||||||||
22,900 | |||||||||||
Amusement, Gambling, and Recreation Industries - 1.5% | |||||||||||
130 | Global Payments, Inc. | 18,989 | |||||||||
324 | Las Vegas Sands Corp. | 21,724 | |||||||||
1,483 | The Walt Disney Co. | 203,127 | |||||||||
80 | Wynn Resorts Ltd. | 11,556 | |||||||||
255,396 | |||||||||||
Apparel Manufacturing - 0.5% | |||||||||||
123 | Capri Holdings Ltd. (a) | 5,422 | |||||||||
74 | Cintas Corp. | 16,068 | |||||||||
296 | Hanesbrands, Inc. | 5,349 | |||||||||
82 | Lululemon Athletica, Inc. (a) | 14,461 | |||||||||
63 | PVH Corp. | 8,126 | |||||||||
153 | Under Armour, Inc. Class A (a) | 3,533 | |||||||||
157 | Under Armour, Inc. Class C (a) | 3,253 | |||||||||
277 | V F Corp. | 26,151 | |||||||||
82,363 | |||||||||||
Broadcasting (except Internet) - 1.7% | |||||||||||
278 | CBS Corp. Class B | 14,253 | |||||||||
133 | Charter Communications, Inc. (a) | 49,368 | |||||||||
3,760 | Comcast Corp. Class A | 163,673 |
Shares | Fair Value | ||||||||||
Broadcasting (except Internet) (continued) | |||||||||||
128 | Discovery Communications, Inc. Class A (a) | $ | 3,955 | ||||||||
251 | Discovery Communications, Inc. Class C (a) | 7,219 | |||||||||
188 | Dish Network Corp. (a) | 6,603 | |||||||||
289 | FOX Corp. Class A (a) | 11,268 | |||||||||
120 | FOX Corp. Class B (a) | 4,620 | |||||||||
88 | Liberty Broadband Corp. (a) | 8,686 | |||||||||
354 | Qurate Retail, Inc. (a) | 6,036 | |||||||||
1,372 | Sirius XM Holdings, Inc. (b) | 7,971 | |||||||||
283,652 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 1.7% | |||||||||||
236 | Fastenal Co. | 16,650 | |||||||||
667 | Lowe's Companies, Inc. | 75,464 | |||||||||
941 | The Home Depot, Inc. | 191,682 | |||||||||
283,796 | |||||||||||
Chemical Manufacturing - 1.6% | |||||||||||
180 | Air Products & Chemicals, Inc. | 37,042 | |||||||||
89 | Albemarle Corp. | 6,680 | |||||||||
111 | Celanese Corp. | 11,976 | |||||||||
192 | CF Industries Holdings, Inc. | 8,598 | |||||||||
1,897 | DowDuPont, Inc. | 72,940 | |||||||||
116 | Eastman Chemical Co. | 9,150 | |||||||||
214 | Ecolab, Inc. | 39,393 | |||||||||
111 | FMC Corp. | 8,776 | |||||||||
70 | International Flavors & Fragrances, Inc. | 9,645 | |||||||||
272 | LyondellBasell Industries N.V. Class A ADR (Netherlands) | 23,999 | |||||||||
301 | Mosaic Co. | 7,859 | |||||||||
199 | PPG Industries, Inc. | 23,383 | |||||||||
131 | Sealed Air Corp. | 6,107 | |||||||||
145 | The Chemours Co. | 5,221 | |||||||||
32 | Westlake Chemical Corp. | 2,232 | |||||||||
273,001 | |||||||||||
Clothing and Clothing Accessories Stores - 0.7% | |||||||||||
191 | Gap, Inc. | 4,981 | |||||||||
194 | L Brands, Inc. | 4,974 | |||||||||
96 | Nordstrom, Inc. | 3,938 | |||||||||
310 | Ross Stores, Inc. | 30,275 | |||||||||
91 | Tiffany & Co. | 9,812 | |||||||||
1,021 | TJX Companies, Inc. | 56,032 | |||||||||
110,012 | |||||||||||
Computer and Electronic Product Manufacturing - 12.8% | |||||||||||
762 | Advanced Micro Devices, Inc. (a) | 21,054 | |||||||||
247 | Amphenol Corp. Class A | 24,591 | |||||||||
306 | Analog Devices, Inc. | 35,569 | |||||||||
3,924 | Apple, Inc. | 787,429 | |||||||||
43 | Arista Networks, Inc. (a) | 13,428 | |||||||||
342 | Broadcom, Inc. | 108,893 | |||||||||
3,718 | Cisco Systems, Inc. | 208,022 | |||||||||
141 | Cognex Corp. | 7,111 | |||||||||
123 | Dell Tecnologies, Inc. (a) | 8,291 | |||||||||
438 | Flextronics International Ltd. (a) | 4,836 | |||||||||
113 | FLIR System, Inc. | 5,982 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion MSCI Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
247 | Fortive Corp. | $ | 21,326 | ||||||||
93 | Garmin Ltd. | 7,974 | |||||||||
96 | Harris Corp. | 16,176 | |||||||||
1,301 | HP, Inc. | 25,955 | |||||||||
3,792 | Intel Corp. | 193,544 | |||||||||
31 | IPG Photonics Corp. (a) | 5,417 | |||||||||
761 | Johnson Controls International PLC | 28,537 | |||||||||
284 | Juniper Networks, Inc. | 7,887 | |||||||||
154 | Keysight Technologies, Inc. (a) | 13,403 | |||||||||
64 | L3 Technologies, Inc. | 13,989 | |||||||||
511 | Marvell Technology Group Ltd. | 12,785 | |||||||||
229 | Maxim Integrated Products, Inc. | 13,740 | |||||||||
194 | Microchip Technology, Inc. | 19,379 | |||||||||
954 | Micron Technology, Inc. (a) | 40,125 | |||||||||
133 | Motorola Solutions, Inc. | 19,273 | |||||||||
213 | NetApp, Inc. | 15,517 | |||||||||
136 | Northrop Grumman Corp. | 39,428 | |||||||||
475 | NVIDIA Corp. | 85,975 | |||||||||
350 | ON Semiconductor Corp. (a) | 8,071 | |||||||||
103 | Qorvo, Inc. (a) | 7,788 | |||||||||
1,002 | Qualcomm, Inc. | 86,302 | |||||||||
235 | Raytheon Co. | 41,734 | |||||||||
85 | Roper Technologies, Inc. | 30,574 | |||||||||
224 | Seagate Technology PLC | 10,824 | |||||||||
140 | Sensata Technologies Holdings PLC (a) | 6,992 | |||||||||
147 | Skyworks Solutions, Inc. | 12,962 | |||||||||
799 | Texas Instruments, Inc. | 94,146 | |||||||||
206 | Trimble, Inc. (a) | 8,409 | |||||||||
240 | Western Digital Corp. | 12,269 | |||||||||
208 | Xilinx, Inc. | 24,989 | |||||||||
2,150,696 | |||||||||||
Construction of Buildings - 0.3% | |||||||||||
295 | D.R. Horton, Inc. | 13,072 | |||||||||
240 | Lennar Corp. Class A | 12,487 | |||||||||
3 | NVR, Inc. (a) | 9,457 | |||||||||
222 | PulteGroup, Inc. | 6,984 | |||||||||
42,000 | |||||||||||
Couriers and Messengers - 0.6% | |||||||||||
207 | FedEx Corp. | 39,218 | |||||||||
570 | United Parcel Service, Inc. Class B | 60,546 | |||||||||
99,764 | |||||||||||
Credit Intermediation and Related Activities - 10.3% | |||||||||||
347 | Ally Financial, Inc. | 10,309 | |||||||||
602 | American Express Co. | 70,573 | |||||||||
117 | Ameriprise Financial, Inc. | 17,172 | |||||||||
7,701 | Bank of America Corp. | 235,497 | |||||||||
822 | Bank of New York Mellon Corp. | 40,821 | |||||||||
637 | BB&T Corp. | 32,614 | |||||||||
393 | Capital One Financial Corp. | 36,482 | |||||||||
93 | CIT Group, Inc. | 4,954 | |||||||||
2,020 | Citigroup, Inc. | 142,814 | |||||||||
391 | Citizens Financial Group, Inc. | 14,154 | |||||||||
141 | Comerica, Inc. | 11,081 | |||||||||
282 | Discover Financial Services | 22,980 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
119 | East West Bancorp, Inc. | $ | 6,126 | ||||||||
270 | Fidelity National Information Services, Inc. | 31,301 | |||||||||
642 | Fifth Third Bancorp | 18,503 | |||||||||
134 | First Republic Bank | 14,153 | |||||||||
73 | FleetCor Technologies, Inc. (a) | 19,049 | |||||||||
169 | H & R Block, Inc. | 4,599 | |||||||||
908 | Huntington Bancshares, Inc. | 12,639 | |||||||||
2,764 | JPMorgan Chase & Co. | 320,762 | |||||||||
865 | KeyCorp | 15,181 | |||||||||
112 | M&T Bank Corp. | 19,048 | |||||||||
759 | MasterCard, Inc. Class A | 192,968 | |||||||||
174 | Northern Trust Corp. | 17,148 | |||||||||
314 | People's United Financial, Inc. | 5,429 | |||||||||
382 | PNC Financial Services Group, Inc. | 52,307 | |||||||||
907 | Regions Financial Corp. | 14,086 | |||||||||
46 | Signature Bank | 6,075 | |||||||||
312 | State Street Corp. | 21,110 | |||||||||
379 | SunTrust Banks, Inc. | 24,817 | |||||||||
44 | SVB Financial Group (a) | 11,076 | |||||||||
579 | Synchrony Financial | 20,074 | |||||||||
1,273 | U.S. Bancorp | 67,876 | |||||||||
3,698 | Wells Fargo & Co. | 179,020 | |||||||||
368 | Western Union Co. | 7,154 | |||||||||
160 | Zions Bancorp | 7,893 | |||||||||
1,727,845 | |||||||||||
Data Processing, Hosting and Related Services - 0.5% | |||||||||||
101 | CDK Global, Inc. | 6,092 | |||||||||
30 | CoStar Group, Inc. (a) | 14,888 | |||||||||
441 | First Data Corp. (a) | 11,404 | |||||||||
333 | Fiserv, Inc. (a) | 29,051 | |||||||||
1,219 | Hewlett Packard Enterprise Co. | 19,272 | |||||||||
80,707 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.0% | |||||||||||
119 | A.O. Smith Corp. | 6,256 | |||||||||
191 | AMETEK, Inc. | 16,840 | |||||||||
666 | Corning, Inc. | 21,212 | |||||||||
356 | Eaton Corp PLC | 29,484 | |||||||||
517 | Emerson Electric Co. | 36,702 | |||||||||
101 | Rockwell Automation, Inc. | 18,252 | |||||||||
287 | TE Connectivity Ltd. | 27,452 | |||||||||
53 | Whirlpool Corp. | 7,357 | |||||||||
163,555 | |||||||||||
Electronics and Appliance Stores - 0.1% | |||||||||||
207 | Best Buy Co., Inc. | 15,403 | |||||||||
Fabricated Metal Product Manufacturing - 0.4% | |||||||||||
178 | Axalta Coating Systems Ltd. (a) | 4,802 | |||||||||
269 | Ball Corp. | 16,124 | |||||||||
111 | Crown Holdings, Inc. (a) | 6,452 | |||||||||
109 | Parker Hannifin Corp. | 19,738 | |||||||||
137 | Pentair PLC | 5,342 | |||||||||
126 | Stanley Black & Decker, Inc. | 18,472 | |||||||||
70,930 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion MSCI Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Food and Beverage Stores - 0.0% (†) | |||||||||||
74 | Grubhub, Inc. (a) | $ | 4,942 | ||||||||
Food Services and Drinking Places - 1.6% | |||||||||||
21 | Chipotle Mexican Grill, Inc. (a) | 14,449 | |||||||||
102 | Darden Restaurants, Inc. | 11,995 | |||||||||
33 | Domino's Pizza, Inc. | 8,929 | |||||||||
638 | McDonald's Corp. | 126,049 | |||||||||
1,026 | Starbucks Corp. | 79,700 | |||||||||
47 | Wayfair, Inc. (a) | 7,621 | |||||||||
261 | Yum! Brands, Inc. | 27,246 | |||||||||
275,989 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
426 | AGNC Investment Corp. | 7,579 | |||||||||
General Merchandise Stores - 0.7% | |||||||||||
56 | Burlington Stores, Inc. (a) | 9,459 | |||||||||
218 | Dollar General Corp. | 27,487 | |||||||||
196 | Dollar Tree, Inc. (a) | 21,811 | |||||||||
137 | Kohl's Corp. | 9,741 | |||||||||
252 | Macy's, Inc. | 5,932 | |||||||||
411 | Target Corp. | 31,820 | |||||||||
100 | Tractor Supply Co. | 10,350 | |||||||||
116,600 | |||||||||||
Health and Personal Care Stores - 0.1% | |||||||||||
47 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 16,402 | |||||||||
Insurance Carriers and Related Activities - 4.8% | |||||||||||
631 | Aflac, Inc. | 31,790 | |||||||||
12 | Alleghany Corp. (a) | 7,883 | |||||||||
285 | Allstate Corp. | 28,232 | |||||||||
62 | American Financial Group, Inc. | 6,419 | |||||||||
731 | American International Group, Inc. | 34,774 | |||||||||
200 | Aon PLC | 36,028 | |||||||||
333 | Arch Capital Group Ltd. (a) | 11,249 | |||||||||
150 | Arthur J. Gallagher & Co. | 12,543 | |||||||||
44 | Assurant, Inc. | 4,180 | |||||||||
129 | Athene Holding Ltd. (a) | 5,826 | |||||||||
196 | AXA Equitable Holdings, Inc. | 4,447 | |||||||||
1,067 | Berkshire Hathaway, Inc. Class B (a) | 231,230 | |||||||||
89 | Brighthouse Financial, Inc. (a) | 3,719 | |||||||||
381 | Chubb Limited | 55,321 | |||||||||
127 | Cincinnati Financial Corp. | 12,215 | |||||||||
34 | Everest Re Group Ltd. | 8,007 | |||||||||
295 | Hartford Financial Services Group, Inc. | 15,431 | |||||||||
178 | Lincoln National Corp. | 11,876 | |||||||||
221 | Loews Corp. | 11,335 | |||||||||
11 | Markel Corp. (a) | 11,787 | |||||||||
415 | Marsh & McLennan Companies, Inc. | 39,130 | |||||||||
695 | MetLife, Inc. | 32,060 | |||||||||
234 | Principal Financial Group, Inc. | 13,375 | |||||||||
479 | Progressive Corp. | 37,434 | |||||||||
343 | Prudential Financial, Inc. | 36,259 | |||||||||
52 | Reinsurance Group of America, Inc. | 7,878 | |||||||||
33 | RenaissanceRe Holdings Ltd. | 5,127 | |||||||||
88 | Torchmark Corp. | 7,714 |
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
220 | Travelers Companies, Inc. | $ | 31,625 | ||||||||
180 | Unum Group | 6,646 | |||||||||
132 | Voya Financial, Inc. | 7,245 | |||||||||
120 | W.R. Berkley Corp. | 7,356 | |||||||||
108 | Willis Towers Watson PLC | 19,909 | |||||||||
796,050 | |||||||||||
Leather and Allied Product Manufacturing - 0.6% | |||||||||||
1,053 | NIKE, Inc. Class B | 92,485 | |||||||||
237 | Tapestry, Inc. | 7,648 | |||||||||
100,133 | |||||||||||
Machinery Manufacturing - 2.0% | |||||||||||
808 | Applied Materials, Inc. | 35,609 | |||||||||
489 | Caterpillar, Inc. | 68,176 | |||||||||
128 | Cummins, Inc. | 21,285 | |||||||||
251 | Deere & Co. | 41,573 | |||||||||
108 | Flowserve Corp. | 5,295 | |||||||||
7,146 | General Electric Co. | 72,675 | |||||||||
63 | IDEX Corp. | 9,870 | |||||||||
202 | Ingersoll-Rand PLC | 24,767 | |||||||||
130 | Lam Research Corp. | 26,966 | |||||||||
46 | Middleby Corp. (a) | 6,078 | |||||||||
46 | Snap-on, Inc. | 7,741 | |||||||||
148 | Xylem, Inc. | 12,343 | |||||||||
332,378 | |||||||||||
Materials - 0.5% | |||||||||||
453 | Linde PLC | 81,658 | |||||||||
Merchant Wholesalers, Durable Goods - 1.7% | |||||||||||
482 | 3M Co. | 91,344 | |||||||||
72 | Arrow Electronics, Inc. (a) | 6,085 | |||||||||
117 | Fortune Brands Home & Security, Inc. | 6,175 | |||||||||
144 | HD Supply Holdings, Inc. (a) | 6,579 | |||||||||
611 | Honeywell International, Inc. | 106,088 | |||||||||
36 | Huntington Ingalls Industries, Inc. | 8,013 | |||||||||
247 | Jefferies Financial Group, Inc. | 5,081 | |||||||||
134 | KLA-Tencor Corp. | 17,082 | |||||||||
107 | Leggett & Platt, Inc. | 4,212 | |||||||||
30 | Lennox International, Inc. | 8,143 | |||||||||
262 | LKQ Corp. (a) | 7,886 | |||||||||
52 | Mohawk Industries, Inc. (a) | 7,085 | |||||||||
210 | WestRock Co. | 8,060 | |||||||||
189 | Xerox Corp. | 6,305 | |||||||||
288,138 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.5% | |||||||||||
33 | Acuity Brands, Inc. | 4,829 | |||||||||
248 | Illinois Tool Works, Inc. | 38,596 | |||||||||
45 | Ralph Lauren Corp. | 5,921 | |||||||||
69 | The Sherwin Williams Co. | 31,383 | |||||||||
80,729 | |||||||||||
Mining (except Oil and Gas) - 0.4% | |||||||||||
1,132 | Freeport-McMoRan Copper & Gold, Inc. | 13,935 | |||||||||
52 | Martin Marietta Materials, Inc. | 11,539 | |||||||||
674 | Newmont Mining Corp. | 20,934 | |||||||||
109 | Vulcan Materials Co. | 13,746 | |||||||||
60,154 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion MSCI Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
121 | Dover Corp. | $ | 11,863 | ||||||||
99 | Hasbro, Inc. | 10,084 | |||||||||
283 | Mattel, Inc. (a) | 3,450 | |||||||||
204 | Textron, Inc. | 10,812 | |||||||||
36,209 | |||||||||||
Motion Picture and Sound Recording Industries - 0.8% | |||||||||||
358 | Netflix, Inc. (a) | 132,653 | |||||||||
94 | Take-Two Interactive Software, Inc. (a) | 9,102 | |||||||||
141,755 | |||||||||||
Motor Vehicle and Parts Dealers – 0.4% | |||||||||||
61 | Advance Auto Parts, Inc. | 10,145 | |||||||||
22 | AutoZone, Inc. (a) | 22,623 | |||||||||
145 | CarMax, Inc. (a) | 11,290 | |||||||||
66 | O'Reilly Automotive, Inc. (a) | 24,986 | |||||||||
69,044 | |||||||||||
Nonmetallic Mineral Product Manufacturing - 0.0%(†) | |||||||||||
91 | Owens Corning | 4,666 | |||||||||
Nonstore Retailers - 4.4% | |||||||||||
344 | Amazon.com, Inc. (a) | 662,723 | |||||||||
172 | Copart, Inc. (a) | 11,579 | |||||||||
773 | eBay, Inc. | 29,953 | |||||||||
34 | MercadoLibre, Inc. (a) | 16,461 | |||||||||
39 | W.W. Grainger, Inc. | 10,998 | |||||||||
731,714 | |||||||||||
Other Information Services - 6.2% | |||||||||||
246 | Alphabet, Inc. Class A (a) | 294,944 | |||||||||
259 | Alphabet, Inc. Class C (a) | 307,816 | |||||||||
1,983 | Facebook, Inc. (a) | 383,512 | |||||||||
153 | Liberty Global PLC Class A (a) | 4,133 | |||||||||
431 | Liberty Global PLC Class C (a) | 11,271 | |||||||||
561 | Twitter, Inc. (a) | 22,390 | |||||||||
90 | VeriSign, Inc. (a) | 17,770 | |||||||||
1,041,836 | |||||||||||
Paper Manufacturing - 0.1% | |||||||||||
319 | International Paper Co. | 14,932 | |||||||||
78 | Packaging Corp of America | 7,735 | |||||||||
22,667 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.4% | |||||||||||
596 | Activision Blizzard, Inc. | 28,733 | |||||||||
251 | Electronic Arts, Inc. (a) | 23,757 | |||||||||
120 | Live Nation Entertainment, Inc. (a) | 7,841 | |||||||||
291 | Viacom, Inc. Class B | 8,413 | |||||||||
68,744 | |||||||||||
Plastics and Rubber Products Manufacturing - 0.1% | |||||||||||
72 | Avery Dennison Corp. | 7,967 | |||||||||
195 | Goodyear Tire & Rubber Co. | 3,746 | |||||||||
389 | Newell Rubbermaid, Inc. | 5,594 | |||||||||
17,307 |
Shares | Fair Value | ||||||||||
Primary Metal Manufacturing - 0.2% | |||||||||||
357 | Arconic, Inc. | $ | 7,669 | ||||||||
260 | Nucor Corp. | 14,838 | |||||||||
193 | Steel Dynamics, Inc. | 6,114 | |||||||||
28,621 | |||||||||||
Professional, Scientific, and Technical Services - 3.3% | |||||||||||
527 | Accenture PLC Class A ADR (Ireland) | 96,267 | |||||||||
41 | Alliance Data Systems Corp. | 6,564 | |||||||||
233 | Cadence Design Systems, Inc. (a) | 16,165 | |||||||||
124 | CDW Corp. | 13,094 | |||||||||
477 | Cognizant Technology Solutions Corp. Class A | 34,802 | |||||||||
104 | Extra Space Storage, Inc. | 10,784 | |||||||||
50 | F5 Networks, Inc. (a) | 7,845 | |||||||||
116 | Fluor Corp. | 4,609 | |||||||||
136 | GoDaddy, Inc. (a) | 11,084 | |||||||||
751 | International Business Machines Corp. | 105,343 | |||||||||
316 | Interpublic Group of Companies, Inc. | 7,268 | |||||||||
63 | Jack Henry & Associates, Inc. | 9,391 | |||||||||
105 | Jacobs Engineering Group, Inc. | 8,184 | |||||||||
118 | Leidos Holdings, Inc. | 8,671 | |||||||||
167 | Liberty Media Corp.-Liberty Formula One, Class C (a) | 6,481 | |||||||||
72 | Liberty Media Corp.-Liberty SeiriusXM, Class A (a) | 2,876 | |||||||||
143 | Liberty Media Corp.-Liberty SeiriusXM, Class C (a) | 5,743 | |||||||||
292 | Nielsen Holdings PLC | 7,455 | |||||||||
184 | Omnicom Group, Inc. | 14,725 | |||||||||
226 | Sabre Corp. | 4,692 | |||||||||
633 | Salesforce.com, Inc. (a) | 104,666 | |||||||||
146 | ServiceNow, Inc. (a) | 39,640 | |||||||||
129 | Verisk Analytics, Inc. Class A | 18,207 | |||||||||
62 | VMware, Inc. | 12,656 | |||||||||
557,212 | |||||||||||
Publishing Industries (except Internet) - 8.0% | |||||||||||
403 | Adobe Systems, Inc. (a) | 116,568 | |||||||||
139 | Akamai Technologies, Inc. (a) | 11,128 | |||||||||
69 | ANSYS, Inc. (a) | 13,510 | |||||||||
180 | Autodesk, Inc. (a) | 32,078 | |||||||||
112 | Citrix Systems, Inc. | 11,307 | |||||||||
231 | DXC Technology Co. | 15,186 | |||||||||
118 | Fortinet, Inc. (a) | 11,024 | |||||||||
64 | IAC/InterActiveCorp (a) | 14,390 | |||||||||
200 | Intuit, Inc. | 50,212 | |||||||||
6,031 | Microsoft Corp. | 787,649 | |||||||||
315 | News Corp. Class A | 3,912 | |||||||||
2,193 | Oracle Corp. | 121,339 | |||||||||
76 | Palto Alto Networks, Inc. (a) | 18,911 | |||||||||
92 | PTC, Inc. (a) | 8,323 | |||||||||
146 | Red Hat, Inc. (a) | 26,649 | |||||||||
119 | Splunk, Inc. (a) | 16,427 | |||||||||
248 | Square, Inc. (a) | 18,059 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion MSCI Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Publishing Industries (except Internet) (continued) | |||||||||||
177 | SS&C Technologies Holdings, Inc. | $ | 11,976 | ||||||||
511 | Symantec Corp. | 12,371 | |||||||||
122 | Synopsys, Inc. (a) | 14,772 | |||||||||
59 | Tableau Software, Inc. (a) | 7,187 | |||||||||
120 | Workday, Inc. (a) | 24,676 | |||||||||
1,347,654 | |||||||||||
Rail Transportation - 1.3% | |||||||||||
671 | CSX Corp. | 53,432 | |||||||||
84 | Kansas City Southern Railway Co. | 10,344 | |||||||||
230 | Norfolk Southern Corp. | 46,924 | |||||||||
608 | Union Pacific Corp. | 107,640 | |||||||||
218,340 | |||||||||||
Real Estate - 3.2% | |||||||||||
87 | Alexandria Real Estate Equities, Inc. | 12,388 | |||||||||
362 | American Tower Corp. | 70,699 | |||||||||
1,142 | Annaly Capital Management, Inc. | 11,523 | |||||||||
114 | AvalonBay Communities, Inc. | 22,906 | |||||||||
127 | Boston Properties, Inc. | 17,478 | |||||||||
132 | Brookfield Property REIT, Inc. Class A | 2,750 | |||||||||
76 | Camden Property Trust | 7,649 | |||||||||
265 | CBRE Group, Inc. Class A (a) | 13,799 | |||||||||
169 | Digital Realty Trust, Inc. | 19,893 | |||||||||
294 | Duke Realty Corp. | 9,149 | |||||||||
303 | Equity Residential | 23,155 | |||||||||
54 | Essex Property Trust, Inc. | 15,255 | |||||||||
60 | Federal Realty Investment Trust | 8,031 | |||||||||
386 | HCP, Inc. | 11,495 | |||||||||
257 | Invitation Homes, Inc. | 6,389 | |||||||||
37 | Jones Lang LaSalle, Inc. | 5,719 | |||||||||
346 | Kimco Realty Corp. | 6,017 | |||||||||
122 | Liberty Property Trust | 6,056 | |||||||||
87 | Macerich Co. | 3,492 | |||||||||
94 | Mid-America Apartment Communities, Inc. | 10,285 | |||||||||
129 | National Retail Properties, Inc. | 6,788 | |||||||||
518 | Prologis, Inc. | 39,715 | |||||||||
129 | Public Storage | 28,532 | |||||||||
238 | Realty Income Corp. | 16,662 | |||||||||
125 | Regency Centers Corp. | 8,396 | |||||||||
254 | Simon Property Group, Inc. | 44,120 | |||||||||
71 | SL Green Realty Corp. | 6,272 | |||||||||
220 | UDR, Inc. | 9,889 | |||||||||
293 | Ventas, Inc. | 17,905 | |||||||||
796 | VEREIT, Inc. | 6,575 | |||||||||
141 | Vornado Realty Trust | 9,749 | |||||||||
306 | Welltower, Inc. | 22,806 | |||||||||
623 | Weyerhaeuser Co. | 16,696 | |||||||||
132 | WP Carey, Inc. | 10,470 | |||||||||
102 | Zillow Group, Inc. Class C (a) | 3,407 | |||||||||
532,110 | |||||||||||
Rental and Leasing Services - 0.1% | |||||||||||
7 | AMERCO | 2,612 | |||||||||
68 | United Rentals, Inc. (a) | 9,583 | |||||||||
12,195 |
Shares | Fair Value | ||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 3.3% | |||||||||||
44 | Affiliated Managers Group | $ | 4,880 | ||||||||
78 | Allegion Public Ltd. Co. | 7,740 | |||||||||
203 | Aramark Corp. | 6,309 | |||||||||
98 | BlackRock, Inc. | 47,554 | |||||||||
92 | CBOE Holdings, Inc. | 9,348 | |||||||||
1,000 | Charles Schwab Corp. | 45,780 | |||||||||
294 | CME Group, Inc. | 52,597 | |||||||||
158 | CommScope Holding Co., Inc. (a) | 3,915 | |||||||||
632 | DOW, Inc. (a) | 35,853 | |||||||||
214 | E*TRADE Financial Corp. | 10,841 | |||||||||
97 | Eaton Vance Corp. | 4,032 | |||||||||
226 | FNF Group | 9,029 | |||||||||
260 | Franklin Resources, Inc. | 8,993 | |||||||||
277 | Goldman Sachs Group, Inc. | 57,040 | |||||||||
472 | IntercontinentalExchange, Inc. | 38,397 | |||||||||
338 | Invesco Ltd. | 7,426 | |||||||||
400 | KKR & CO, Inc. | 9,780 | |||||||||
1,076 | Morgan Stanley | 51,917 | |||||||||
73 | MSCI, Inc. Class A | 16,453 | |||||||||
95 | NASDAQ OMX Group, Inc. | 8,759 | |||||||||
108 | Raymond James Financial, Inc. | 9,890 | |||||||||
207 | S&P Global, Inc. | 45,677 | |||||||||
110 | SEI Investments Co. | 5,990 | |||||||||
200 | T. Rowe Price Group, Inc. | 21,500 | |||||||||
233 | TD Ameritrade Holding Corp. | 12,251 | |||||||||
248 | Worldpay, Inc. (a) | 29,068 | |||||||||
561,019 | |||||||||||
Support Activities for Transportation - 0.2% | |||||||||||
114 | C.H. Robinson Worldwide, Inc. | 9,234 | |||||||||
101 | Expedia, Inc. | 13,114 | |||||||||
143 | Expeditors International of Washington, Inc. | 11,357 | |||||||||
104 | XPO Logistics, Inc. (a)(b) | 7,080 | |||||||||
40,785 | |||||||||||
Telecommunications – 3.1% | |||||||||||
270 | ALTICE USA, Inc. | 6,361 | |||||||||
5,971 | AT&T, Inc. | 184,862 | |||||||||
799 | CenturyLink, Inc. | 9,125 | |||||||||
341 | Crown Castle International Corp. | 42,891 | |||||||||
65 | Equinix, Inc. | 29,555 | |||||||||
94 | SBA Communications Corp. (a) | 19,151 | |||||||||
669 | Sprint Corp. (a) | 3,733 | |||||||||
279 | T-Mobile US, Inc. (a) | 20,364 | |||||||||
3,398 | Verizon Communications, Inc. | 194,332 | |||||||||
172 | Zayo Group Holdings, Inc. (a) | 5,382 | |||||||||
515,756 | |||||||||||
Transportation Equipment Manufacturing - 3.5% | |||||||||||
218 | Aptiv PLC | 18,683 | |||||||||
72 | Autoliv, Inc. | 5,651 | |||||||||
449 | Boeing Co. | 169,583 | |||||||||
172 | BorgWarner, Inc. | 7,184 | |||||||||
3,058 | Ford Motor Co. | 31,956 | |||||||||
207 | General Dynamics Corp. | 36,995 | |||||||||
1,044 | General Motors Co. | 40,664 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion MSCI Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing (continued) | |||||||||||
137 | Harley-Davidson, Inc. | $ | 5,100 | ||||||||
54 | Lear Corp. | 7,722 | |||||||||
211 | Lockheed Martin Corp. | 70,333 | |||||||||
288 | Paccar, Inc. | 20,641 | |||||||||
49 | Polaris Industries, Inc. | 4,724 | |||||||||
88 | Spirit AeroSystems Holdings, Inc. | 7,647 | |||||||||
105 | Tesla Motors, Inc. (a)(b) | 25,062 | |||||||||
39 | TransDigm Group, Inc. (a) | 18,818 | |||||||||
673 | United Technologies Corp. | 95,977 | |||||||||
44 | WABCO Holdings, Inc. (a) | 5,827 | |||||||||
109 | Wabtec Corp. | 8,074 | |||||||||
580,641 | |||||||||||
Truck Transportation - 0.1% | |||||||||||
72 | J.B. Hunt Transport Services, Inc. | 6,803 | |||||||||
110 | Knight-Swift Transportation Holdings, Inc. Class A | 3,668 | |||||||||
51 | Old Dominion Freight Line, Inc. | 7,613 | |||||||||
18,084 | |||||||||||
Waste Management and Remediation Services - 0.2% | |||||||||||
187 | Republic Services, Inc. | 15,487 | |||||||||
217 | Waste Connections, Inc. | 20,131 | |||||||||
35,618 | |||||||||||
Water Transportation - 0.3% | |||||||||||
349 | Carnival Corp. | 19,146 | |||||||||
181 | Norwegian Cruise Line Holdings Ltd. (a) | 10,206 | |||||||||
137 | Royal Caribbean Cruises Ltd. ADR (Liberia) | 16,569 | |||||||||
45,921 | |||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.1% | |||||||||||
121 | Genuine Parts Co. | 12,407 | |||||||||
Wood Product Manufacturing - 0.1% | |||||||||||
253 | Masco Corp. | 9,882 | |||||||||
TOTAL COMMON STOCKS (Cost $13,100,285) | $ | 15,227,664 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
32,688 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 32,688 | ||||||||
2,162 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 2,162 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $34,850) | $ | 34,850 | |||||||||
TOTAL INVESTMENTS (Cost $13,135,135) - 91.1% (e) | $ | 15,262,514 | |||||||||
Other Assets in Excess of Liabilities - 8.9% | 1,497,171 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 16,759,685 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,877,246.
ADR - American Depository Recepit
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of MSCI USA Cyclical Sectors Index | 2.7874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 3,924 | $ | 8,662,154 | $ | 1,226,643 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion MSCI Cyclicals Over Defensives ETF
Short Total Return Swap Contracts, continued (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of MSCI USA Defensive Sectors Index | Credit Suisse Capital LLC | 12/20/2019 | 4,252 | $ | 8,009,717 | $ | (367,354 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion MSCI Defensives Over Cyclicals ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 95.4% | |||||||||||
Ambulatory Health Care Services - 0.5% | |||||||||||
237 | DaVita, Inc. (a) | $ | 13,092 | ||||||||
181 | Laboratory Corp. of America Holdings (a) | 28,946 | |||||||||
243 | Quest Diagnostics, Inc. | 23,420 | |||||||||
65,458 | |||||||||||
Beverage and Tobacco Product Manufacturing - 9.0% | |||||||||||
3,341 | Altria Group, Inc. | 181,516 | |||||||||
470 | Brown Forman Corp. Class B | 25,046 | |||||||||
7,160 | Coca-Cola Co. | 351,270 | |||||||||
297 | Constellation Brands, Inc. Class A | 62,866 | |||||||||
335 | Molson Coors Brewing Co. Class B | 21,504 | |||||||||
735 | Monster Beverage Corp. (a) | 43,806 | |||||||||
2,507 | PepsiCo, Inc. | 321,021 | |||||||||
2,755 | Philip Morris International, Inc. | 238,473 | |||||||||
1,245,502 | |||||||||||
Chemical Manufacturing - 24.7% | |||||||||||
3,109 | Abbott Laboratories | 247,352 | |||||||||
2,684 | AbbVie, Inc. | 213,083 | |||||||||
394 | Alexion Pharmaceuticals, Inc. (a) | 53,635 | |||||||||
275 | Alkermes PLC ADR (Ireland) (a) | 8,338 | |||||||||
602 | Allergan PLC ADR (Ireland) | 88,494 | |||||||||
160 | Alnylam Pharmaceuticals, Inc. (a) | 14,294 | |||||||||
314 | BioMarin Pharmaceutical, Inc. (a) | 26,856 | |||||||||
2,891 | Bristol-Myers Squibb Co. | 134,229 | |||||||||
1,247 | Celgene Corp. (a) | 118,041 | |||||||||
435 | Church & Dwight Co., Inc. | 32,603 | |||||||||
227 | Clorox Co. | 36,259 | |||||||||
1,461 | Colgate-Palmolive Co. | 106,346 | |||||||||
864 | COTY, Inc. Class A | 9,349 | |||||||||
480 | Elanco Animal Health, Inc. (a) | 15,120 | |||||||||
1,589 | Eli Lilly & Co. | 185,977 | |||||||||
2,298 | Gilead Sciences, Inc. | 149,462 | |||||||||
154 | IDEXX Laboratories, Inc. (a) | 35,728 | |||||||||
261 | Illumina, Inc. (a) | 81,432 | |||||||||
320 | Incyte Corp. (a) | 24,576 | |||||||||
107 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 13,885 | |||||||||
4,754 | Johnson & Johnson | 671,265 | |||||||||
616 | Kimberly-Clark Corp. | 79,082 | |||||||||
4,624 | Merck & Co., Inc. | 363,955 | |||||||||
913 | Mylan NV (a) | 24,642 | |||||||||
306 | Nektar Therapeutics (a) | 9,798 | |||||||||
230 | Perrigo Co. PLC ADR (Ireland) | 11,022 | |||||||||
10,280 | Pfizer, Inc. | 417,471 | |||||||||
141 | Regeneron Pharmaceuticals, Inc. (a) | 48,383 | |||||||||
197 | Seattle Genetics, Inc. (a) | 13,353 | |||||||||
77 | United Therapeutics Corp. (a) | 7,898 | |||||||||
453 | Vertex Pharmaceuticals, Inc. (a) | 76,548 | |||||||||
854 | Zoetis, Inc. | 86,971 | |||||||||
3,405,447 | |||||||||||
Computer and Electronic Product Manufacturing - 3.7% | |||||||||||
565 | Agilent Technologies, Inc. | 44,352 | |||||||||
1,116 | Danaher Corp. | 147,803 | |||||||||
157 | DexCom, Inc. (a) | 19,008 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
481 | Hologic, Inc. (a) | $ | 22,309 | ||||||||
45 | Mettler-Toledo International, Inc. (a) | 33,537 | |||||||||
253 | ResMed, Inc. | 26,441 | |||||||||
714 | Thermo Fisher Scientific, Inc. | 198,099 | |||||||||
162 | Varian Medical Systems, Inc. (a) | 22,060 | |||||||||
513,609 | |||||||||||
Food and Beverage Stores - 0.3% | |||||||||||
1,412 | Kroger Co. | 36,401 | |||||||||
Food Manufacturing - 3.8% | |||||||||||
991 | Archer-Daniels-Midland Co. | 44,199 | |||||||||
250 | Bunge Ltd. | 13,103 | |||||||||
320 | Campbell Soup Co. | 12,381 | |||||||||
861 | ConAgra Brands, Inc. | 26,502 | |||||||||
1,056 | General Mills, Inc. | 54,352 | |||||||||
517 | Hormel Foods Corp. | 20,649 | |||||||||
126 | Ingredion, Inc. | 11,938 | |||||||||
460 | Kellogg Co. | 27,738 | |||||||||
260 | Lamb Weston Holdings, Inc. | 18,213 | |||||||||
215 | McCormick & Co, Inc. | 33,104 | |||||||||
2,600 | Mondelez International, Inc. | 132,210 | |||||||||
250 | The Hershey Co. | 31,212 | |||||||||
202 | The J.M. Smucker Co. | 24,771 | |||||||||
1,080 | The Kraft Heinz Co. | 35,899 | |||||||||
524 | Tyson Foods, Inc. Class A | 39,305 | |||||||||
525,576 | |||||||||||
General Merchandise Stores - 3.3% | |||||||||||
778 | Costco Wholesale Corp. | 191,022 | |||||||||
2,583 | Wal-Mart Stores, Inc. | 265,636 | |||||||||
456,658 | |||||||||||
Health and Personal Care Stores - 1.8% | |||||||||||
2,291 | CVS Health Corp. | 124,584 | |||||||||
355 | McKesson Corp. | 42,334 | |||||||||
1,435 | Walgreens Boots Alliance Inc. | 76,873 | |||||||||
243,791 | |||||||||||
Hospitals - 0.6% | |||||||||||
491 | HCA Healthcare, Inc. | 62,470 | |||||||||
153 | Universal Health Services, Inc. Class B | 19,411 | |||||||||
81,881 | |||||||||||
Insurance Carriers and Related Activities - 5.4% | |||||||||||
461 | Anthem, Inc. | 121,257 | |||||||||
728 | Centene Corp. (a) | 37,536 | |||||||||
673 | Cigna Corp. | 106,899 | |||||||||
245 | Humana, Inc. | 62,576 | |||||||||
1,706 | UnitedHealth Group, Inc. | 397,617 | |||||||||
89 | WellCare Health Plans, Inc. (a) | 22,993 | |||||||||
748,878 | |||||||||||
Machinery Manufacturing - 0.4% | |||||||||||
891 | Baker Hughes, A GE Co. | 21,402 | |||||||||
678 | National Oilwell Varco, Inc. | 17,723 | |||||||||
765 | TechnipFMC PLC ADR (England) | 18,811 | |||||||||
57,936 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion MSCI Defensives Over Cyclicals ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Management of Companies and Enterprises - 0.2% | |||||||||||
1,173 | AES Corp. | $ | 20,082 | ||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
271 | Henry Schein, Inc. (a) | 17,360 | |||||||||
Merchant Wholesalers, Nondurable Goods - 4.2% | |||||||||||
288 | AmerisourceBergen Corp. | 21,531 | |||||||||
548 | Cardinal Health, Inc. | 26,693 | |||||||||
4,411 | Procter & Gamble Co. | 469,683 | |||||||||
875 | Sysco Corp. | 61,574 | |||||||||
579,481 | |||||||||||
Miscellaneous Manufacturing - 7.4% | |||||||||||
75 | Abiomed, Inc. (a) | 20,806 | |||||||||
136 | Align Technology, Inc. (a) | 44,157 | |||||||||
900 | Baxter International, Inc. | 68,670 | |||||||||
474 | Becton, Dickinson & Co. | 114,111 | |||||||||
2,451 | Boston Scientific Corp. (a) | 90,981 | |||||||||
394 | Dentsply Sirona, Inc. | 20,145 | |||||||||
371 | Edwards Lifesciences Corp. (a) | 65,322 | |||||||||
398 | Estee Lauder Companies, Inc. Class A | 68,380 | |||||||||
202 | Intuitive Surgical, Inc. (a) | 103,147 | |||||||||
2,393 | Medtronic PLC ADR (Ireland) | 212,522 | |||||||||
596 | Stryker Corp. | 112,590 | |||||||||
81 | Teleflex, Inc. | 23,181 | |||||||||
87 | The Cooper Companies, Inc. | 25,223 | |||||||||
361 | Zimmer Biomet Holdings, Inc. | 44,461 | |||||||||
1,013,696 | |||||||||||
Oil and Gas Extraction - 4.2% | |||||||||||
908 | Anadarko Petroleum Corp. | 66,148 | |||||||||
678 | Apache Corp. | 22,313 | |||||||||
782 | Cabot Oil & Gas Corp. | 20,246 | |||||||||
180 | Cimarex Energy Co. | 12,359 | |||||||||
355 | Concho Resources, Inc. | 40,960 | |||||||||
166 | Continental Resources, Inc. (a) | 7,634 | |||||||||
905 | Devon Energy Corp. | 29,087 | |||||||||
276 | Diamondback Energy, Inc. | 29,364 | |||||||||
1,027 | EOG Resources, Inc. | 98,643 | |||||||||
193 | Helmerich & Payne, Inc. | 11,295 | |||||||||
856 | Noble Energy, Inc. | 23,163 | |||||||||
1,356 | Occidental Petroleum Corp. | 79,841 | |||||||||
446 | Parsley Energy, Inc. (a) | 8,902 | |||||||||
782 | Phillips 66 | 73,719 | |||||||||
302 | Pioneer Natural Resources Co. | 50,271 | |||||||||
573,945 | |||||||||||
Petroleum and Coal Products Manufacturing - 8.7% | |||||||||||
3,396 | Chevron Corp. | 407,724 | |||||||||
7,503 | Exxon Mobil Corp. | 602,341 | |||||||||
297 | HollyFrontier Corp. | 14,176 | |||||||||
1,516 | Marathon Oil Corp. | 25,832 | |||||||||
1,225 | Marathon Petroleum Corp. | 74,566 | |||||||||
758 | Valero Energy Corp. | 68,720 | |||||||||
1,193,359 |
Shares | Fair Value | ||||||||||
Pipeline Transportation - 0.6% | |||||||||||
265 | Plains GP Holdings LP | $ | 6,254 | ||||||||
399 | Targa Resources Corp. | 16,020 | |||||||||
2,145 | Williams Companies, Inc. | 60,768 | |||||||||
83,042 | |||||||||||
Professional, Scientific, and Technical Services - 2.8% | |||||||||||
1,133 | Amgen, Inc. | 203,169 | |||||||||
357 | Biogen, Inc. (a) | 81,839 | |||||||||
524 | Cerner Corp. (a) | 34,820 | |||||||||
288 | IQVIA Holdings, Inc. (a) | 40,003 | |||||||||
137 | Waters Corp. (a) | 29,255 | |||||||||
389,086 | |||||||||||
Publishing Industries (except Internet) - 0.2% | |||||||||||
214 | Veeva Systems, Inc. (a) | 29,932 | |||||||||
Support Activities for Mining - 2.2% | |||||||||||
2,060 | ConocoPhillips | 130,027 | |||||||||
1,559 | Halliburton Co. | 44,167 | |||||||||
478 | Hess Corp. | 30,649 | |||||||||
2,453 | Schlumberger Ltd. (a) | 104,694 | |||||||||
309,537 | |||||||||||
Utilities - 11.3% | |||||||||||
414 | Alliant Energy Corp. | 19,553 | |||||||||
433 | Ameren Corp. | 31,509 | |||||||||
874 | American Electric Power Co., Inc. | 74,771 | |||||||||
320 | American Water Works Co., Inc. | 34,621 | |||||||||
196 | Atmos Energy Corp. | 20,059 | |||||||||
871 | CenterPoint Energy, Inc. | 27,001 | |||||||||
373 | Cheniere Energy, Inc. (a) | 24,003 | |||||||||
502 | CMS Energy Corp. | 27,886 | |||||||||
551 | Consolidated Edison, Inc. | 47,474 | |||||||||
1,328 | Dominion Energy, Inc. | 103,411 | |||||||||
322 | DTE Energy Co. | 40,479 | |||||||||
1,263 | Duke Energy Corp. | 115,085 | |||||||||
577 | Edison International | 36,795 | |||||||||
321 | Entergy Corp. | 31,105 | |||||||||
482 | Evergy, Inc. | 27,869 | |||||||||
562 | Eversource Energy | 40,273 | |||||||||
1,712 | Exelon Corp. | 87,226 | |||||||||
860 | FirstEnergy Corp. | 36,146 | |||||||||
3,520 | Kinder Morgan, Inc. | 69,942 | |||||||||
850 | NextEra Energy, Inc. | 165,274 | |||||||||
643 | NiSource, Inc. | 17,863 | |||||||||
539 | NRG Energy, Inc. | 22,191 | |||||||||
354 | OGE Energy Corp. | 14,988 | |||||||||
729 | ONEOK, Inc. | 49,521 | |||||||||
199 | Pinnacle West Capital Corp. | 18,959 | |||||||||
1,238 | PPL Corp. | 38,638 | |||||||||
895 | Public Service Enterprise Group, Inc. | 53,387 | |||||||||
484 | Sempra Energy | 61,928 | |||||||||
1,796 | Southern Co. | 95,583 | |||||||||
309 | UGI Corp. | 16,844 | |||||||||
598 | Vistra Energy Corp. | 16,295 | |||||||||
559 | WEC Energy Group, Inc. | 43,842 | |||||||||
901 | Xcel Energy, Inc. | 50,906 | |||||||||
1,561,427 | |||||||||||
TOTAL COMMON STOCKS (Cost $12,480,720) | $ | 13,152,084 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion MSCI Defensives Over Cyclicals ETF
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 4.6% | |||||||||||
Money Market Funds - 4.6% | |||||||||||
637,525 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 637,525 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $637,525) | $ | 637,525 | |||||||||
TOTAL INVESTMENTS (Cost $13,118,245) - 100.0% (c) | $ | 13,789,609 | |||||||||
Liabilities in Excess of Other Assets - (0.0)% (†) | (363 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 13,789,246 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,231,629.
ADR - American Depository Recepit
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of MSCI USA Defensive Sectors Index | 2.7874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 3,822 | $ | 7,167,781 | $ | 358,494 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of MSCI USA Cyclical Sectors Index | Credit Suisse Capital LLC | 12/20/2019 | 2,730 | $ | 5,929,774 | $ | (951,813 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion MSCI Developed Over Emerging Markets ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 94.8% | |||||||||||
229,000 | iShares Core MSCI EAFE ETF (a) | $ | 14,326,240 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,094,220) | $ | 14,326,240 | |||||||||
TOTAL INVESTMENTS (Cost $13,094,220) - 94.8% (b) | $ | 14,326,240 | |||||||||
Other Assets in Excess of Liabilities - 5.2% | 789,238 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 15,115,478 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,719,042.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares Core MSCI EAFE ETF | 2.7874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 133,424 | $ | 7,655,532 | $ | 630,986 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of iShares Core MSCI Emerging Markets ETF | Credit Suisse Capital LLC | 12/20/2019 | 143,031 | $ | 7,032,023 | $ | (476,343 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion MSCI Emerging Over Developed Markets ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.1% | |||||||||||
269,700 | iShares Core MSCI Emerging Markets ETF (a) | $ | 14,250,948 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,225,206) | $ | 14,250,948 | |||||||||
TOTAL INVESTMENTS (Cost $13,225,206) - 97.1% (b) | $ | 14,250,948 | |||||||||
Other Assets in Excess of Liabilities - 2.9% | 426,860 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 14,677,808 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,663,295.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares Core MSCI Emerging Markets ETF | 2.7874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 146,968 | $ | 7,211,770 | $ | 495,576 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of iShares Core MSCI EAFE ETF | Credit Suisse Capital LLC | 12/20/2019 | 117,310 | $ | 6,717,145 | $ | (573,409 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Russell 1000® Growth Over Value ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.9% | |||||||||||
187,648 | iShares Russell 1000 Growth ETF (a) | $ | 29,663,396 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $27,073,491) | $ | 29,663,396 | |||||||||
TOTAL INVESTMENTS (Cost $27,073,491) - 95.9% (b) | $ | 29,663,396 | |||||||||
Other Assets in Excess of Liabilities - 4.1% | 1,283,336 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 30,946,732 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,989,953.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 1000® Growth Index | 2.7874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/2/2019 | 10,545 | $ | 15,228,612 | $ | 1,483,438 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Value Index | UBS Securities LLC | 12/2/2019 | 12,309 | $ | 14,475,228 | $ | (996,891 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Russell 1000® Value Over Growth ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.4% | |||||||||||
203,235 | iShares Russell 1000 Value ETF (a) | $ | 25,963,271 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $24,226,668) | $ | 25,963,271 | |||||||||
SHORT TERM INVESTMENTS - 1.0% | |||||||||||
Money Market Funds - 1.0% | |||||||||||
260,162 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 260,162 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $260,162) | $ | 260,162 | |||||||||
TOTAL INVESTMENTS (Cost $24,486,830) - 96.4% (c) | $ | 26,223,433 | |||||||||
Other Assets in Excess of Liabilities - 3.6% | 998,329 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 27,221,762 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,065,989.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 1000® Value Index | 2.7874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/2/2019 | 11,828 | $ | 13,902,133 | $ | 968,085 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Growth Index | UBS Securities LLC | 12/2/2019 | 8,565 | $ | 12,338,986 | $ | (1,242,520 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Russell Large Over Small Cap ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 93.8% | |||||||||||
90,600 | iShares Russell 1000 ETF (a) | $ | 14,813,100 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,098,948) | $ | 14,813,100 | |||||||||
TOTAL INVESTMENTS (Cost $13,098,948) - 93.8% (b) | $ | 14,813,100 | |||||||||
Other Assets in Excess of Liabilities - 6.2% | 980,726 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 15,793,826 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,355,020.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 1000® Index | 2.6874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/2/2019 | 5,440 | $ | 7,901,973 | $ | 959,276 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | UBS Securities LLC | 12/2/2019 | 4,963 | $ | 7,205,316 | $ | (669,395 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Russell Small Over Large Cap ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 96.4% | |||||||||||
91,200 | iShares Russell 2000 ETF (a) | $ | 14,436,048 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,082,640) | $ | 14,436,048 | |||||||||
TOTAL INVESTMENTS (Cost $13,082,640) - 96.4% (b) | $ | 14,436,048 | |||||||||
Other Assets in Excess of Liabilities - 3.6% | 534,521 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 14,970,569 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,282,460.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.7874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/2/2019 | 5,040 | $ | 7,312,321 | $ | 677,900 |
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Index | UBS Securities LLC | 12/2/2019 | 4,587 | $ | 6,648,295 | $ | (825,133 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
PortfolioPlus Developed Markets ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.2% | |||||||||||
54,600 | Vanguard FTSE Developed Markets ETF (a) | $ | 2,294,837 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $2,206,908) | $ | 2,294,837 | |||||||||
SHORT TERM INVESTMENTS - 0.1% | |||||||||||
Money Market Funds - 0.1% | |||||||||||
3,247 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 3,247 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,247) | $ | 3,247 | |||||||||
TOTAL INVESTMENTS (Cost $2,210,155) - 99.3% (c) | $ | 2,298,084 | |||||||||
Other Assets in Excess of Liabilities - 0.7% | 14,335 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,312,419 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,239,243.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Vanguard FTSE Developed Markets ETF | 2.7374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 19,675 | $ | 805,621 | $ | 18,100 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
PortfolioPlus Emerging Markets ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.6% | |||||||||||
123,640 | Schwab Emerging Markets Equity ETF (a)(b) | $ | 3,299,952 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,045,545) | $ | 3,299,952 | |||||||||
SHORT TERM INVESTMENTS - 14.6% | |||||||||||
Money Market Funds - 14.6% | |||||||||||
483,006 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 483,006 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $483,006) | $ | 483,006 | |||||||||
TOTAL INVESTMENTS (Cost $3,528,551) - 114.2% (e) | $ | 3,782,958 | |||||||||
Liabilities in Excess of Other Assets - (14.2)% | (468,219 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,314,739 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,285,999.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of FTSE Emerging Index | 2.6374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 44,022 | $ | 1,162,929 | $ | 8,666 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
PortfolioPlus S&P 500® ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.4% | |||||||||||
67,791 | iShares Core S&P 500 ETF (a) | $ | 20,062,068 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $17,145,273) | $ | 20,062,068 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
47 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 47 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $47) | $ | 47 | |||||||||
TOTAL INVESTMENTS (Cost $17,145,320) - 99.4% (c) | $ | 20,062,115 | |||||||||
Other Assets in Excess of Liabilities - 0.6% | 123,971 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,186,086 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,577,239.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P 500® Index | 2.6874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/13/2019 | 2,412 | $ | 6,731,629 | $ | 364,094 | |||||||||||||||||||
Total return of S&P 500® Index | 2.8374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 28 | 79,350 | 3,033 | |||||||||||||||||||||
$ | 6,810,979 | $ | 367,127 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
PortfolioPlus S&P® Mid Cap ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.1% | |||||||||||
13,330 | iShares Core S&P Mid-Cap ETF (a) | $ | 2,624,543 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $2,320,470) | $ | 2,624,543 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
3 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 3 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3) | $ | 3 | |||||||||
TOTAL INVESTMENTS (Cost $2,320,473) - 99.1% (c) | $ | 2,624,546 | |||||||||
Other Assets in Excess of Liabilities - 0.9% | 23,972 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,648,518 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,595,013.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.6374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2019 | 483 | $ | 923,341 | $ | 27,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
PortfolioPlus S&P® Small Cap ETF
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.2% | |||||||||||
91,249 | iShares Core S&P Small-Cap ETF (a) | $ | 7,311,782 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $7,134,745) | $ | 7,311,782 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
56 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 56 | ||||||||
3 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 3 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $59) | $ | 59 | |||||||||
TOTAL INVESTMENTS (Cost $7,134,804) - 99.2% (c) | $ | 7,311,841 | |||||||||
Other Assets in Excess of Liabilities - 0.8% | 60,407 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,372,248 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $7,207,672.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P SmallCap 600® Index | 2.6874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 2,708 | $ | 2,626,034 | $ | 9,852 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion All Cap Insider Sentiment Shares | Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion Zacks MLP High Income Index Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 156,266,451 | $ | — | $ | 238,693,498 | $ | 61,539,576 | |||||||||||
Cash equivalents | 695,354 | 40,477,616 | 439,791 | 129,992 | |||||||||||||||
Receivable for investments sold | — | — | — | 255,350 | |||||||||||||||
Deposit at broker for futures contracts | — | 1,465,803 | — | — | |||||||||||||||
Dividend and interest receivable | 172,163 | 78,739 | 73,766 | 19,120 | |||||||||||||||
Variation margin receivable, net | — | 183,700 | — | — | |||||||||||||||
Tax reclaim receivable | — | — | — | 162,760 | |||||||||||||||
Prepaid expenses and other assets | 27,126 | 5,419 | 12,358 | 52,394 | |||||||||||||||
Total Assets | 157,161,094 | 42,211,277 | 239,219,413 | 62,159,192 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 2,084,466 | — | 3,113,675 | 11,026,831 | |||||||||||||||
Payable for Fund shares redeemed | 1,685 | — | — | — | |||||||||||||||
Due to investment adviser, net (Note 6) | 35,473 | 12,070 | 30,635 | 16,342 | |||||||||||||||
Due to broker for futures contracts | — | 119,795 | — | — | |||||||||||||||
Accrued expenses and other liabilities | 170,008 | 52,499 | 132,146 | 53,138 | |||||||||||||||
Total Liabilities | 2,291,632 | 184,364 | 3,276,456 | 11,096,311 | |||||||||||||||
Net Assets | $ | 154,869,462 | $ | 42,026,913 | $ | 235,942,957 | $ | 51,062,881 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 160,800,328 | $ | 42,796,539 | $ | 203,371,408 | $ | 101,511,329 | |||||||||||
Total distributable earnings (loss) | (5,930,866 | ) | (769,626 | ) | 32,571,549 | (50,448,448 | ) | ||||||||||||
Net Assets | $ | 154,869,462 | $ | 42,026,913 | $ | 235,942,957 | $ | 51,062,881 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 154,869,462 | $ | 42,026,913 | $ | 235,942,957 | $ | 51,062,881 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 3,850,218 | 1,750,001 | 4,700,002 | 3,750,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 40.22 | $ | 24.02 | $ | 50.20 | $ | 13.62 | |||||||||||
Cost of Investments | $ | 151,506,344 | $ | — | $ | 206,791,244 | $ | 62,323,678 |
* Securities loaned with values of $2,588,655,$–,$7,886,145 and $11,205,946, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion FTSE Russell International Over US ETF | Direxion FTSE Russell US Over International ETF | Direxion MSCI Cyclicals Over Defensives ETF | Direxion MSCI Defensives Over Cyclicals ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 14,518,930 | $ | 16,464,620 | $ | 15,262,514 | $ | 13,789,609 | |||||||||||
Cash equivalents | 410,615 | 790,096 | 1,568,618 | 638,981 | |||||||||||||||
Dividend and interest receivable | 1,389 | 1,310 | 12,638 | 16,081 | |||||||||||||||
Due from broker for swap contracts | 10,706 | — | — | 36,303 | |||||||||||||||
Unrealized appreciation on swap contracts | 582,579 | 983,652 | 1,226,643 | 358,494 | |||||||||||||||
Prepaid expenses and other assets | 5,988 | 5,982 | 16,457 | 16,579 | |||||||||||||||
Total Assets | 15,530,207 | 18,245,660 | 18,086,870 | 14,856,047 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | 32,688 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 827,390 | 600,513 | 367,354 | 951,813 | |||||||||||||||
Due to investment adviser, net (Note 6) | 1,674 | 2,100 | 1,235 | 595 | |||||||||||||||
Due to broker for swap contracts | 14,826 | 280,000 | 910,002 | 98,916 | |||||||||||||||
Accrued expenses and other liabilities | 13,610 | 13,796 | 15,906 | 15,477 | |||||||||||||||
Total Liabilities | 857,500 | 896,409 | 1,327,185 | 1,066,801 | |||||||||||||||
Net Assets | $ | 14,672,707 | $ | 17,349,251 | $ | 16,759,685 | $ | 13,789,246 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 13,675,207 | $ | 15,032,776 | $ | 13,750,050 | $ | 13,750,050 | |||||||||||
Total distributable earnings | 997,500 | 2,316,475 | 3,009,635 | 39,196 | |||||||||||||||
Net Assets | $ | 14,672,707 | $ | 17,349,251 | $ | 16,759,685 | $ | 13,789,246 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 14,672,707 | $ | 17,349,251 | $ | 16,759,685 | $ | 13,789,246 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 275,001 | 300,001 | 275,001 | 275,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 53.36 | $ | 57.83 | $ | 60.94 | $ | 50.14 | |||||||||||
Cost of Investments | $ | 13,385,448 | $ | 14,826,214 | $ | 13,135,135 | $ | 13,118,245 |
* Securities loaned with values of $–,$–,$32,013 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion MSCI Developed Over Emerging Markets ETF | Direxion MSCI Emerging Over Developed Markets ETF | Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 14,326,240 | $ | 14,250,948 | $ | 29,663,396 | $ | 26,223,433 | |||||||||||
Cash equivalents | 633,270 | 504,393 | 1,419,375 | 1,291,442 | |||||||||||||||
Dividend and interest receivable | 1,255 | 1,007 | 2,735 | 3,407 | |||||||||||||||
Due from broker for swap contracts | — | 6,750 | — | 19,923 | |||||||||||||||
Unrealized appreciation on swap contracts | 630,986 | 495,576 | 1,483,438 | 968,085 | |||||||||||||||
Prepaid expenses and other assets | 16,575 | 16,574 | 5,619 | 5,632 | |||||||||||||||
Total Assets | 15,608,326 | 15,275,248 | 32,574,563 | 28,511,922 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 476,343 | 573,409 | 996,891 | 1,242,520 | |||||||||||||||
Due to investment adviser, net (Note 6) | 874 | 854 | 5,411 | 4,663 | |||||||||||||||
Due to broker for swap contracts | — | 7,539 | 610,000 | 27,864 | |||||||||||||||
Accrued expenses and other liabilities | 15,631 | 15,638 | 15,529 | 15,113 | |||||||||||||||
Total Liabilities | 492,848 | 597,440 | 1,627,831 | 1,290,160 | |||||||||||||||
Net Assets | $ | 15,115,478 | $ | 14,677,808 | $ | 30,946,732 | $ | 27,221,762 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 13,750,050 | $ | 13,750,050 | $ | 27,546,633 | $ | 25,536,348 | |||||||||||
Total distributable earnings | 1,365,428 | 927,758 | 3,400,099 | 1,685,414 | |||||||||||||||
Net Assets | $ | 15,115,478 | $ | 14,677,808 | $ | 30,946,732 | $ | 27,221,762 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 15,115,478 | $ | 14,677,808 | $ | 30,946,732 | $ | 27,221,762 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 275,001 | 275,001 | 525,001 | 500,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 54.97 | $ | 53.37 | $ | 58.95 | $ | 54.44 | |||||||||||
Cost of Investments | $ | 13,094,220 | $ | 13,225,206 | $ | 27,073,491 | $ | 24,486,830 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Russell Large Over Small Cap ETF | Direxion Russell Small Over Large Cap ETF | PortfolioPlus Developed Markets ETF | PortfolioPlus Emerging Markets ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 14,813,100 | $ | 14,436,048 | $ | 2,298,084 | $ | 3,782,958 | |||||||||||
Cash equivalents | 968,430 | 690,427 | 21,975 | 15,805 | |||||||||||||||
Due from investment adviser, net (Note 6) | — | — | 1,707 | 1,359 | |||||||||||||||
Dividend and interest receivable | 1,881 | 1,404 | 347 | 971 | |||||||||||||||
Due from broker for swap contracts | — | 6,851 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 959,276 | 677,900 | 18,100 | 8,666 | |||||||||||||||
Prepaid expenses and other assets | 5,683 | 5,685 | 13,431 | 8,840 | |||||||||||||||
Total Assets | 16,748,370 | 15,818,315 | 2,353,644 | 3,818,599 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 483,006 | |||||||||||||||
Unrealized depreciation on swap contracts | 669,395 | 825,133 | — | — | |||||||||||||||
Due to investment adviser, net (Note 6) | 1,726 | 1,554 | — | — | |||||||||||||||
Due to broker for swap contracts | 270,000 | 7,696 | 20,000 | — | |||||||||||||||
Accrued expenses and other liabilities | 13,423 | 13,363 | 21,225 | 20,854 | |||||||||||||||
Total Liabilities | 954,544 | 847,746 | 41,225 | 503,860 | |||||||||||||||
Net Assets | $ | 15,793,826 | $ | 14,970,569 | $ | 2,312,419 | $ | 3,314,739 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 13,750,050 | $ | 13,750,050 | $ | 5,207,208 | $ | 7,053,505 | |||||||||||
Total distributable earnings (loss) | 2,043,776 | 1,220,519 | (2,894,789 | ) | (3,738,766 | ) | |||||||||||||
Net Assets | $ | 15,793,826 | $ | 14,970,569 | $ | 2,312,419 | $ | 3,314,739 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 15,793,826 | $ | 14,970,569 | $ | 2,312,419 | $ | 3,314,739 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 275,001 | 275,001 | 100,001 | 150,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 57.43 | $ | 54.44 | $ | 23.12 | $ | 22.10 | |||||||||||
Cost of Investments | $ | 13,098,948 | $ | 13,082,640 | $ | 2,210,155 | $ | 3,528,551 |
* Securities loaned with values of $–,$–,$– and $472,903, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
PortfolioPlus S&P 500® ETF | PortfolioPlus S&P® Mid Cap ETF | PortfolioPlus S&P® Small Cap ETF | |||||||||||||
Assets: | |||||||||||||||
Investments, at fair value (Note 2) | $ | 20,062,115 | $ | 2,624,546 | $ | 7,311,841 | |||||||||
Cash equivalents | 30,566 | 8,538 | 45,564 | ||||||||||||
Due from investment adviser, net (Note 6) | 930 | 2,236 | 1,895 | ||||||||||||
Dividend and interest receivable | 132 | 352 | 218 | ||||||||||||
Due from broker for swap contracts | — | 60 | 12 | ||||||||||||
Unrealized appreciation on swap contracts | 367,127 | 27,002 | 9,852 | ||||||||||||
Prepaid expenses and other assets | 16,399 | 11,356 | 17,253 | ||||||||||||
Total Assets | 20,477,269 | 2,674,090 | 7,386,635 | ||||||||||||
Liabilities: | |||||||||||||||
Due to broker for swap contracts | 230,001 | 3 | — | ||||||||||||
Accrued expenses and other liabilities | 61,182 | 25,569 | 14,387 | ||||||||||||
Total Liabilities | 291,183 | 25,572 | 14,387 | ||||||||||||
Net Assets | $ | 20,186,086 | $ | 2,648,518 | $ | 7,372,248 | |||||||||
Net Assets Consist of: | |||||||||||||||
Capital stock | $ | 12,177,710 | $ | 2,963,693 | $ | 7,317,769 | |||||||||
Total distributable earnings (loss) | 8,008,376 | (315,175 | ) | 54,479 | |||||||||||
Net Assets | $ | 20,186,086 | $ | 2,648,518 | $ | 7,372,248 | |||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||
Net assets | $ | 20,186,086 | $ | 2,648,518 | $ | 7,372,248 | |||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 500,000 | 100,001 | 200,000 | ||||||||||||
Net assets value, redemption price and offering price per share | $ | 40.37 | $ | 26.48 | $ | 36.86 | |||||||||
Cost of Investments | $ | 17,145,320 | $ | 2,320,473 | $ | 7,134,804 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion All Cap Insider Sentiment Shares | Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion Zacks MLP High Income Index Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 2,267,254 | $ | — | $ | 1,105,292 | $ | 173,359 | |||||||||||
Interest income | 7,642 | 508,000 | 4,132 | 4,494 | |||||||||||||||
Securities lending income | 15,100 | — | 19,426 | 137,968 | |||||||||||||||
Total investment income | 2,289,996 | 508,000 | 1,128,850 | 315,821 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 324,123 | 114,233 | 274,288 | 124,466 | |||||||||||||||
Licensing fees | 129,649 | 37,697 | 54,857 | 24,893 | |||||||||||||||
Fund servicing fees | 42,549 | 12,363 | 47,819 | 13,395 | |||||||||||||||
Management service fees (Note 6) | 20,767 | 5,857 | 23,425 | 6,379 | |||||||||||||||
Professional fees | 16,400 | 8,222 | 17,910 | 8,495 | |||||||||||||||
Reports to shareholders | 13,854 | 3,918 | 15,554 | 4,247 | |||||||||||||||
Trustees' fees and expenses | 3,207 | 917 | 3,655 | 996 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 3,720 | 2,480 | 2,480 | |||||||||||||||
Insurance fees | 2,061 | 583 | 2,314 | 632 | |||||||||||||||
Other | 3,532 | 1,836 | 4,902 | 1,083 | |||||||||||||||
Total Expenses | 561,598 | 192,322 | 450,180 | 190,042 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (83,516 | ) | (32,395 | ) | (130,177 | ) | (28,235 | ) | |||||||||||
Net Expenses | 478,082 | 159,927 | 320,003 | 161,807 | |||||||||||||||
Net investment income | 1,811,914 | 348,073 | 808,847 | 154,014 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (9,981,814 | ) | — | (3,070,023 | ) | (2,978,595 | ) | ||||||||||||
In-kind redemptions | (793,597 | ) | — | 7,474,376 | 20,786 | ||||||||||||||
Futures contracts | — | (478,600 | ) | — | — | ||||||||||||||
Net realized gain (loss) | (10,775,411 | ) | (478,600 | ) | 4,404,353 | (2,957,809 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 19,512,394 | — | 21,744,927 | 2,798,545 | |||||||||||||||
Futures contracts | — | (47,791 | ) | — | — | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 19,512,394 | (47,791 | ) | 21,744,927 | 2,798,545 | ||||||||||||||
Net realized and unrealized gain (loss) | 8,736,983 | (526,391 | ) | 26,149,280 | (159,264 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 10,548,897 | $ | (178,318 | ) | $ | 26,958,127 | $ | (5,250 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Statements of Operations (Unaudited)
For the Period Ended April 30, 20191
Direxion FTSE Russell International Over US ETF | Direxion FTSE Russell US Over International ETF | Direxion MSCI Cyclicals Over Defensives ETF | Direxion MSCI Defensives Over Cyclicals ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 53,857 | $ | 56,901 | $ | 71,116 | $ | 94,412 | |||||||||||
Interest income | 4,753 | 5,803 | 6,251 | 4,854 | |||||||||||||||
Securities lending income | 17 | 4 | 7 | 621 | |||||||||||||||
Total investment income | 58,627 | 62,708 | 77,374 | 99,887 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 17,604 | 18,157 | 17,506 | 16,125 | |||||||||||||||
Professional fees | 3,481 | 3,499 | 3,477 | 3,430 | |||||||||||||||
Fund servicing fees | 2,595 | 2,665 | 2,582 | 2,407 | |||||||||||||||
Licensing fees | 2,200 | 2,270 | — | — | |||||||||||||||
Pricing fees | 1,722 | 1,722 | 1,722 | 1,722 | |||||||||||||||
Exchange listing fees | 1,709 | 1,709 | 1,708 | 1,709 | |||||||||||||||
Offering fees | 1,708 | 1,709 | 4,468 | 4,468 | |||||||||||||||
Management service fees (Note 6) | 1,125 | 1,161 | 1,119 | 1,031 | |||||||||||||||
Reports to shareholders | 725 | 747 | 721 | 664 | |||||||||||||||
Trustees' fees and expenses | 175 | 180 | 174 | 160 | |||||||||||||||
Insurance fees | 108 | 111 | 107 | 99 | |||||||||||||||
Interest expense | — | 1,351 | 1,801 | — | |||||||||||||||
Other | 185 | 191 | 1,935 | 1,782 | |||||||||||||||
Total Expenses | 33,337 | 35,472 | 37,320 | 33,597 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (13,533 | ) | (13,694 | ) | (15,825 | ) | (15,456 | ) | |||||||||||
Net Expenses | 19,804 | 21,778 | 21,495 | 18,141 | |||||||||||||||
Net investment income | 38,823 | 40,930 | 55,879 | 81,746 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | — | 6,945 | 18,320 | |||||||||||||||
In-kind redemptions | 92,141 | 225,414 | — | — | |||||||||||||||
Swap contracts | (22,135 | ) | 28,586 | 2,122 | (75,252 | ) | |||||||||||||
Net realized gain (loss) | 70,006 | 254,000 | 9,067 | (56,932 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,133,482 | 1,638,406 | 2,127,379 | 671,364 | |||||||||||||||
Swap contracts | (244,811 | ) | 383,139 | 859,289 | (593,319 | ) | |||||||||||||
Change in net unrealized appreciation | 888,671 | 2,021,545 | 2,986,668 | 78,045 | |||||||||||||||
Net realized and unrealized gain | 958,677 | 2,275,545 | 2,995,735 | 21,113 | |||||||||||||||
Net increase in net assets resulting from operations | $ | 997,500 | $ | 2,316,475 | $ | 3,051,614 | $ | 102,859 |
1 Represents the period from January 16, 2019 (commencement of operations) to April 30, 2019.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Statements of Operations (Unaudited)
For the Period Ended April 30, 20191
Direxion MSCI Developed Over Emerging Markets ETF | Direxion MSCI Emerging Over Developed Markets ETF | Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | — | $ | 44,730 | $ | 82,428 | |||||||||||
Interest income | 4,397 | 3,725 | 6,228 | 7,010 | |||||||||||||||
Securities lending income | — | — | — | 1 | |||||||||||||||
Total investment income | 4,397 | 3,725 | 50,958 | 89,439 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 16,615 | 16,645 | 23,278 | 22,048 | |||||||||||||||
Offering fees | 4,468 | 4,468 | 1,708 | 1,708 | |||||||||||||||
Professional fees | 3,447 | 3,448 | 3,672 | 3,630 | |||||||||||||||
Fund servicing fees | 2,469 | 2,473 | 3,314 | 3,158 | |||||||||||||||
Pricing fees | 1,722 | 1,722 | 1,722 | 1,722 | |||||||||||||||
Exchange listing fees | 1,708 | 1,709 | 1,709 | 1,709 | |||||||||||||||
Management service fees (Note 6) | 1,062 | 1,064 | 1,488 | 1,409 | |||||||||||||||
Reports to shareholders | 684 | 686 | 955 | 905 | |||||||||||||||
Trustees' fees and expenses | 165 | 165 | 230 | 218 | |||||||||||||||
Insurance fees | 102 | 102 | 142 | 135 | |||||||||||||||
Licensing fees | — | — | 2,910 | 2,756 | |||||||||||||||
Other | 1,837 | 1,839 | 243 | 231 | |||||||||||||||
Total Expenses | 34,279 | 34,321 | 41,371 | 39,629 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (15,587 | ) | (15,595 | ) | (15,183 | ) | (14,825 | ) | |||||||||||
Net Expenses | 18,692 | 18,726 | 26,188 | 24,804 | |||||||||||||||
Net investment income (loss) | (14,295 | ) | (15,001 | ) | 24,770 | 64,635 | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: In-kind redemptions | — | — | 255,096 | 189,372 | |||||||||||||||
Swap contracts | (6,940 | ) | (5,150 | ) | 43,781 | (30,761 | ) | ||||||||||||
Net realized gain (loss) | (6,940 | ) | (5,150 | ) | 298,877 | 158,611 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,232,020 | 1,025,742 | 2,589,905 | 1,736,603 | |||||||||||||||
Swap contracts | 154,643 | (77,833 | ) | 486,547 | (274,435 | ) | |||||||||||||
Change in net unrealized appreciation | 1,386,663 | 947,909 | 3,076,452 | 1,462,168 | |||||||||||||||
Net realized and unrealized gain | 1,379,723 | 942,759 | 3,375,329 | 1,620,779 | |||||||||||||||
Net increase in net assets resulting from operations | $ | 1,365,428 | $ | 927,758 | $ | 3,400,099 | $ | 1,685,414 |
1 Represents the period from January 16, 2019 (commencement of operations) to April 30, 2019.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Russell Large Over Small Cap ETF1 | Direxion Russell Small Over Large Cap ETF1 | PortfolioPlus Developed Markets ETF | PortfolioPlus Emerging Markets ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 56,846 | $ | 37,579 | $ | 194,300 | $ | 508,991 | |||||||||||
Interest income | 5,154 | 4,572 | 20,292 | 4,794 | |||||||||||||||
Securities lending income | 94 | 694 | 302 | 68,587 | |||||||||||||||
Total investment income | 62,094 | 42,845 | 214,894 | 582,372 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 17,025 | 16,857 | 37,201 | 35,702 | |||||||||||||||
Professional fees | 3,461 | 3,455 | 6,146 | 6,098 | |||||||||||||||
Fund servicing fees | 2,521 | 2,500 | 4,498 | 4,051 | |||||||||||||||
Licensing fees | 2,128 | 2,107 | 2,483 | 2,385 | |||||||||||||||
Pricing fees | 1,722 | 1,722 | 2,968 | 2,968 | |||||||||||||||
Offering fees | 1,709 | 1,709 | — | — | |||||||||||||||
Exchange listing fees | 1,709 | 1,709 | 2,480 | 2,480 | |||||||||||||||
Management service fees (Note 6) | 1,088 | 1,078 | 2,120 | 2,034 | |||||||||||||||
Reports to shareholders | 701 | 694 | 1,425 | 1,368 | |||||||||||||||
Trustees' fees and expenses | 169 | 167 | 333 | 319 | |||||||||||||||
Insurance fees | 104 | 103 | 212 | 204 | |||||||||||||||
Interest expense | — | — | 94 | 1,728 | |||||||||||||||
Other | 179 | 177 | 896 | 878 | |||||||||||||||
Total Expenses | 32,516 | 32,278 | 60,856 | 60,215 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (13,362 | ) | (13,314 | ) | (55,781 | ) | (53,293 | ) | |||||||||||
Less: Investment advisory fees waived (Note 6) | — | — | (4,133 | ) | (3,967 | ) | |||||||||||||
Net Expenses | 19,154 | 18,964 | 942 | 2,955 | |||||||||||||||
Net investment income | 42,940 | 23,881 | 213,952 | 579,417 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | — | (2,124,255 | ) | (2,719,334 | ) | |||||||||||||
Swap contracts | (3,197 | ) | (9,537 | ) | (316,998 | ) | (281,978 | ) | |||||||||||
Net realized loss | (3,197 | ) | (9,537 | ) | (2,441,253 | ) | (3,001,312 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,714,152 | 1,353,408 | 2,688,506 | 4,186,000 | |||||||||||||||
Swap contracts | 289,881 | (147,233 | ) | 543,838 | 734,068 | ||||||||||||||
Change in net unrealized appreciation | 2,004,033 | 1,206,175 | 3,232,344 | 4,920,068 | |||||||||||||||
Net realized and unrealized gain | 2,000,836 | 1,196,638 | 791,091 | 1,918,756 | |||||||||||||||
Net increase in net assets resulting from operations | $ | 2,043,776 | $ | 1,220,519 | $ | 1,005,043 | $ | 2,498,173 |
1 Represents the period from January 16, 2019 (commencement of operations) to April 30, 2019.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
PortfolioPlus S&P 500® ETF | PortfolioPlus S&P® Mid Cap ETF | PortfolioPlus S&P® Small Cap ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividend income | $ | 773,181 | $ | 143,772 | $ | 49,862 | |||||||||
Interest income | 11,558 | 9,946 | 5,741 | ||||||||||||
Securities lending income | — | — | 64 | ||||||||||||
Total investment income | 784,739 | 153,718 | 55,667 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 136,004 | 41,753 | 15,589 | ||||||||||||
Fund servicing fees | 15,255 | 4,621 | 2,291 | ||||||||||||
Licensing fees | 13,186 | 4,960 | 6,757 | ||||||||||||
Professional fees | 9,297 | 6,290 | 5,451 | ||||||||||||
Management service fees (Note 6) | 7,750 | 2,379 | 887 | ||||||||||||
Reports to shareholders | 5,209 | 1,598 | 590 | ||||||||||||
Pricing fees | 2,976 | 2,968 | 2,975 | ||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | ||||||||||||
Trustees' fees and expenses | 1,216 | 368 | 139 | ||||||||||||
Insurance fees | 775 | 238 | 88 | ||||||||||||
Interest expense | — | 1,774 | 41 | ||||||||||||
Other | 1,459 | 940 | 152 | ||||||||||||
Total Expenses | 195,607 | 70,369 | 37,440 | ||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (145,075 | ) | (53,863 | ) | (30,118 | ) | |||||||||
Less: Investment advisory fees waived (Note 6) | (45,335 | ) | (13,918 | ) | (5,196 | ) | |||||||||
Net Expenses | 5,197 | 2,588 | 2,126 | ||||||||||||
Net investment income | 779,542 | 151,130 | 53,541 | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||
Net realized gain (loss) on: Investment securities | 4,417,600 | (396,851 | ) | (83,378 | ) | ||||||||||
In-kind redemptions | (39,441 | ) | — | — | |||||||||||
Swap contracts | 476,493 | (204,223 | ) | (2,566 | ) | ||||||||||
Net realized gain (loss) | 4,854,652 | (601,074 | ) | (85,944 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | (1,310,979 | ) | 986,743 | 228,254 | |||||||||||
Swap contracts | 497,050 | 217,797 | 52,289 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (813,929 | ) | 1,204,540 | 280,543 | |||||||||||
Net realized and unrealized gain | 4,040,723 | 603,466 | 194,599 | ||||||||||||
Net increase in net assets resulting from operations | $ | 4,820,265 | $ | 754,596 | $ | 248,140 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Statements of Changes in Net Assets
Direxion All Cap Insider Sentiment Shares | Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,811,914 | $ | 3,999,383 | $ | 348,073 | $ | 355,583 | |||||||||||
Net realized gain (loss) | (10,775,411 | ) | 19,209,607 | (478,600 | ) | 1,222,931 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 19,512,394 | (19,577,632 | ) | (47,791 | ) | (567,844 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 10,548,897 | 3,631,358 | (178,318 | ) | 1,010,670 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,833,070 | ) | (24,202,420 | ) | (945,972 | ) | (306,471 | ) | |||||||||||
Total distributions | (1,833,070 | ) | (24,202,420 | ) | (945,972 | ) | (306,471 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 5,925,838 | 232,432,581 | 1,208,832 | 48,695,469 | |||||||||||||||
Cost of shares redeemed | (63,780,408 | ) | (235,980,061 | ) | (10,907,299 | ) | (8,469,823 | ) | |||||||||||
Transaction fees (Note 4) | — | — | 2,302 | 6,564 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (57,854,570 | ) | (3,547,480 | ) | (9,696,165 | ) | 40,232,210 | ||||||||||||
Total increase (decrease) in net assets | (49,138,743 | ) | (24,118,542 | ) | (10,820,455 | ) | 40,936,409 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 204,008,205 | 228,126,747 | 52,847,368 | 11,910,959 | |||||||||||||||
End of year/period | $ | 154,869,462 | $ | 204,008,205 | $ | 42,026,913 | $ | 52,847,368 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 5,400,218 | 5,500,218 | 2,150,001 | 500,001 | |||||||||||||||
Shares sold | 150,000 | 5,550,000 | 50,000 | 2,000,000 | |||||||||||||||
Shares repurchased | (1,700,000 | ) | (5,650,000 | ) | (450,000 | ) | (350,000 | ) | |||||||||||
Shares outstanding, end of year/period | 3,850,218 | 5,400,218 | 1,750,001 | 2,150,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Statements of Changes in Net Assets
Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion Zacks MLP High Income Index Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 808,847 | $ | 1,132,492 | $ | 154,014 | $ | 93,708 | |||||||||||
Net realized gain (loss) | 4,404,353 | 7,403,765 | (2,957,809 | ) | (2,690,637 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 21,744,927 | (5,127,653 | ) | 2,798,545 | 1,106,587 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 26,958,127 | 3,408,604 | (5,250 | ) | (1,490,342 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (721,796 | ) | (1,143,088 | ) | — | — | |||||||||||||
Return of capital | — | — | (2,900,000 | ) | (5,900,000 | ) | |||||||||||||
Total distributions | (721,796 | ) | (1,143,088 | ) | (2,900,000 | ) | (5,900,000 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 69,835,756 | 58,833,323 | 9,738,646 | 14,017,304 | |||||||||||||||
Cost of shares redeemed | (39,703,396 | ) | (26,085,810 | ) | (7,880,843 | ) | (18,297,167 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 30,132,360 | 32,747,513 | 1,857,803 | (4,279,863 | ) | ||||||||||||||
Total increase (decrease) in net assets | 56,368,691 | 35,013,029 | (1,047,447 | ) | (11,670,205 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 179,574,266 | 144,561,237 | 52,110,328 | 63,780,533 | |||||||||||||||
End of year/period | $ | 235,942,957 | $ | 179,574,266 | $ | 51,062,881 | $ | 52,110,328 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 4,150,002 | 3,450,002 | 3,650,000 | 3,950,000 | |||||||||||||||
Shares sold | 1,500,000 | 1,300,000 | 700,000 | 850,000 | |||||||||||||||
Shares repurchased | (950,000 | ) | (600,000 | ) | (600,000 | ) | (1,150,000 | ) | |||||||||||
Shares outstanding, end of year/period | 4,700,002 | 4,150,002 | 3,750,000 | 3,650,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Statements of Changes in Net Assets
Direxion FTSE Russell International Over US ETF | Direxion FTSE Russell US Over International ETF | ||||||||||
For the Period January 16, 20191 through April 30, 2019 (Unaudited) | For the Period January 16, 20191 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 38,823 | $ | 40,930 | |||||||
Net realized gain | 70,006 | 254,000 | |||||||||
Change in net unrealized appreciation | 888,671 | 2,021,545 | |||||||||
Net increase in net assets resulting from operations | 997,500 | 2,316,475 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | — | — | |||||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 15,005,958 | 17,800,632 | |||||||||
Cost of shares redeemed | (1,331,268 | ) | (2,770,055 | ) | |||||||
Transaction fees (Note 4) | 517 | 2,199 | |||||||||
Net increase in net assets resulting from capital transactions | 13,675,207 | 15,032,776 | |||||||||
Total increase in net assets | 14,672,707 | 17,349,251 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 14,672,707 | $ | 17,349,251 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 300,001 | 350,001 | |||||||||
Shares repurchased | (25,000 | ) | (50,000 | ) | |||||||
Shares outstanding, end of period | 275,001 | 300,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Statements of Changes in Net Assets
Direxion MSCI Cyclicals Over Defensives ETF | Direxion MSCI Defensives Over Cyclicals ETF | ||||||||||
For the Period January 16, 20191 through April 30, 2019 (Unaudited) | For the Period January 16, 20191 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 55,879 | $ | 81,746 | |||||||
Net realized gain (loss) | 9,067 | (56,932 | ) | ||||||||
Change in net unrealized appreciation | 2,986,668 | 78,045 | |||||||||
Net increase in net assets resulting from operations | 3,051,614 | 102,859 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (41,979 | ) | (63,663 | ) | |||||||
Total distributions | (41,979 | ) | (63,663 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 13,750,050 | 13,750,050 | |||||||||
Cost of shares redeemed | — | — | |||||||||
Net increase in net assets resulting from capital transactions | 13,750,050 | 13,750,050 | |||||||||
Total increase in net assets | 16,759,685 | 13,789,246 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 16,759,685 | $ | 13,789,246 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 275,001 | 275,001 | |||||||||
Shares repurchased | — | — | |||||||||
Shares outstanding, end of period | 275,001 | 275,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Statements of Changes in Net Assets
Direxion MSCI Developed Over Emerging Markets ETF | Direxion MSCI Emerging Over Developed Markets ETF | ||||||||||
For the Period January 16, 20191 through April 30, 2019 (Unaudited) | For the Period January 16, 20191 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment loss | $ | (14,295 | ) | $ | (15,001 | ) | |||||
Net realized loss | (6,940 | ) | (5,150 | ) | |||||||
Change in net unrealized appreciation | 1,386,663 | 947,909 | |||||||||
Net increase in net assets resulting from operations | 1,365,428 | 927,758 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | — | — | |||||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 13,750,050 | 13,750,050 | |||||||||
Cost of shares redeemed | — | — | |||||||||
Net increase in net assets resulting from capital transactions | 13,750,050 | 13,750,050 | |||||||||
Total increase in net assets | 15,115,478 | 14,677,808 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 15,115,478 | $ | 14,677,808 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 275,001 | 275,001 | |||||||||
Shares repurchased | — | — | |||||||||
Shares outstanding, end of period | 275,001 | 275,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Statements of Changes in Net Assets
Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||||||
For the Period January 16, 20191 through April 30, 2019 (Unaudited) | For the Period January 16, 20191 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 24,770 | $ | 64,635 | |||||||
Net realized gain | 298,877 | 158,611 | |||||||||
Change in net unrealized appreciation | 3,076,452 | 1,462,168 | |||||||||
Net increase in net assets resulting from operations | 3,400,099 | 1,685,414 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | — | — | |||||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 30,337,230 | 28,207,559 | |||||||||
Cost of shares redeemed | (2,797,013 | ) | (2,676,621 | ) | |||||||
Transaction fees (Note 4) | 6,416 | 5,410 | |||||||||
Net increase in net assets resulting from capital transactions | 27,546,633 | 25,536,348 | |||||||||
Total increase in net assets | 30,946,732 | 27,221,762 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 30,946,732 | $ | 27,221,762 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 575,001 | 550,001 | |||||||||
Shares repurchased | (50,000 | ) | (50,000 | ) | |||||||
Shares outstanding, end of period | 525,001 | 500,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Statements of Changes in Net Assets
Direxion Russell Large Over Small Cap ETF | Direxion Russell Small Over Large Cap ETF | ||||||||||
For the Period January 16, 20191 through April 30, 2019 (Unaudited) | For the Period January 16, 20191 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 42,940 | $ | 23,881 | |||||||
Net realized loss | (3,197 | ) | (9,537 | ) | |||||||
Change in net unrealized appreciation | 2,004,033 | 1,206,175 | |||||||||
Net increase in net assets resulting from operations | 2,043,776 | 1,220,519 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | — | — | |||||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 13,750,050 | 13,750,050 | |||||||||
Cost of shares redeemed | — | — | |||||||||
Net increase in net assets resulting from capital transactions | 13,750,050 | 13,750,050 | |||||||||
Total increase in net assets | 15,793,826 | 14,970,569 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 15,793,826 | $ | 14,970,569 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 275,001 | 275,001 | |||||||||
Shares repurchased | — | — | |||||||||
Shares outstanding, end of period | 275,001 | 275,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Statements of Changes in Net Assets
PortfolioPlus Developed Markets ETF | PortfolioPlus Emerging Markets ETF | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | For the Period February 15, 20181 through October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | For the Period February 15, 20181 through October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 213,952 | $ | 476,432 | $ | 579,417 | $ | 56,182 | |||||||||||
Net realized loss | (2,441,253 | ) | (588,988 | ) | (3,001,312 | ) | (1,045,736 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 3,232,344 | (3,126,315 | ) | 4,920,068 | (4,656,995 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,005,043 | (3,238,871 | ) | 2,498,173 | (5,646,549 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (270,954 | ) | (392,041 | ) | (604,333 | ) | (30,004 | ) | |||||||||||
Total distributions | (270,954 | ) | (392,041 | ) | (604,333 | ) | (30,004 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 25,000,025 | — | 26,065,190 | |||||||||||||||
Cost of shares redeemed | (19,790,783 | ) | — | (17,761,157 | ) | (1,206,581 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (19,790,783 | ) | 25,000,025 | (17,761,157 | ) | 24,858,609 | |||||||||||||
Total increase (decrease) in net assets | (19,056,694 | ) | 21,369,113 | (15,867,317 | ) | 19,182,056 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 21,369,113 | — | 19,182,056 | — | |||||||||||||||
End of year/period | $ | 2,312,419 | $ | 21,369,113 | $ | 3,314,739 | $ | 19,182,056 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,000,001 | — | 1,000,001 | — | |||||||||||||||
Shares sold | — | 1,000,001 | — | 1,050,001 | |||||||||||||||
Shares repurchased | (900,000 | ) | — | (850,000 | ) | (50,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 100,001 | 1,000,001 | 150,001 | 1,000,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Statements of Changes in Net Assets
PortfolioPlus S&P 500® ETF | PortfolioPlus S&P® Mid Cap ETF | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | For the Period February 15, 20181 through October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 779,542 | $ | 1,417,085 | $ | 151,130 | $ | 321,051 | |||||||||||
Net realized gain (loss) | 4,854,652 | 2,451,559 | (601,074 | ) | (129,219 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (813,929 | ) | 1,606,540 | 1,204,540 | (873,465 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,820,265 | 5,475,184 | 754,596 | (681,633 | ) | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (851,759 | ) | (1,878,554 | ) | (178,047 | ) | (212,200 | ) | |||||||||||
Total distributions | (851,759 | ) | (1,878,554 | ) | (178,047 | ) | (212,200 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 42,434,428 | — | 25,000,025 | |||||||||||||||
Cost of shares redeemed | (60,243,704 | ) | (36,629,645 | ) | (22,034,223 | ) | — | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (60,243,704 | ) | 5,804,783 | (22,034,223 | ) | 25,000,025 | |||||||||||||
Total increase (decrease) in net assets | (56,275,198 | ) | 9,401,413 | (21,457,674 | ) | 24,106,192 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 76,461,284 | 67,059,871 | 24,106,192 | — | |||||||||||||||
End of year/period | $ | 20,186,086 | $ | 76,461,284 | $ | 2,648,518 | $ | 24,106,192 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,100,000 | 1,950,000 | 1,000,001 | — | |||||||||||||||
Shares sold | — | 1,150,000 | — | 1,000,001 | |||||||||||||||
Shares repurchased | (1,600,000 | ) | (1,000,000 | ) | (900,000 | ) | — | ||||||||||||
Shares outstanding, end of year/period | 500,000 | 2,100,000 | 100,001 | 1,000,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Statements of Changes in Net Assets
PortfolioPlus S&P® Small Cap ETF | |||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 53,541 | $ | 101,762 | |||||||
Net realized gain (loss) | (85,944 | ) | 552,573 | ||||||||
Change in net unrealized appreciation (depreciation) | 280,543 | (625,993 | ) | ||||||||
Net increase in net assets resulting from operations | 248,140 | 28,342 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (64,314 | ) | (205,530 | ) | |||||||
Total distributions | (64,314 | ) | (205,530 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | — | 15,911,243 | |||||||||
Cost of shares redeemed | — | (15,520,320 | ) | ||||||||
Net increase in net assets resulting from capital transactions | — | 390,923 | |||||||||
Total increase in net assets | 183,826 | 213,735 | |||||||||
Net assets: | |||||||||||
Beginning of year/period | 7,188,422 | 6,974,687 | |||||||||
End of year/period | $ | 7,372,248 | $ | 7,188,422 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of year/period | 200,000 | 200,000 | |||||||||
Shares sold | — | 400,000 | |||||||||
Shares repurchased | — | (400,000 | ) | ||||||||
Shares outstanding, end of year/period | 200,000 | 200,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1 | Net Investment Income (Loss)1,2 | Net Realized and Unrealized Gain (Loss) on Investments3 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return4 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses5 | Total Expenses | Net Investment Income (Loss) After Expense Reimbursement | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) After Expense Reimbursement2 | Portfolio Turnover Rate7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 37.78 | $ | 0.42 | $ | 0.42 | $ | 2.46 | $ | 2.88 | $ | (0.44 | ) | $ | — | $ | — | $ | (0.44 | ) | $ | 40.22 | 7.77 | % | $ | 154,869 | 0.59 | % | 0.69 | % | 2.24 | % | 0.59 | % | 0.69 | % | 2.24 | % | 457 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 41.48 | 0.72 | 0.76 | (0.05 | ) | 0.67 | (0.79 | ) | (3.58 | ) | — | (4.37 | ) | $ | 37.78 | 1.04 | % | $ | 204,008 | 0.67 | % | 0.76 | % | 1.74 | % | 0.59 | % | 0.68 | % | 1.82 | % | 919 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 36.93 | 0.51 | 0.51 | 6.01 | 6.52 | (0.48 | ) | (1.49 | ) | — | (1.97 | ) | $ | 41.48 | 18.07 | % | $ | 228,127 | 0.64 | % | 0.74 | % | 1.30 | % | 0.64 | % | 0.74 | % | 1.30 | % | 932 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 35.47 | 0.60 | 0.60 | 1.40 | 2.00 | (0.54 | ) | — | — | (0.54 | ) | $ | 36.93 | 5.66 | % | $ | 173,551 | 0.65 | % | 0.77 | % | 1.66 | % | 0.65 | % | 0.77 | % | 1.66 | % | 890 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 33.36 | 0.34 | 0.34 | 2.05 | 2.39 | (0.28 | ) | — | — | (0.28 | ) | $ | 35.47 | 7.16 | % | $ | 134,797 | 0.65 | % | 0.78 | % | 0.97 | % | 0.65 | % | 0.78 | % | 0.97 | % | 827 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 27.73 | 0.40 | 0.41 | 5.56 | 5.96 | (0.33 | ) | — | — | (0.33 | ) | $ | 33.36 | 21.60 | % | $ | 30,024 | 0.66 | % | 0.91 | % | 1.33 | % | 0.65 | % | 0.91 | % | 1.34 | % | 835 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 24.58 | 0.18 | 0.18 | (0.25 | ) | (0.07 | ) | (0.49 | ) | — | — | (0.49 | ) | $ | 24.02 | (0.28 | )% | $ | 42,027 | 0.70 | % | 0.84 | % | 1.52 | % | 0.70 | % | 0.84 | % | 1.52 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 23.82 | 0.20 | 0.20 | 0.72 | 0.92 | (0.16 | ) | — | — | (0.16 | ) | $ | 24.58 | 3.84 | % | $ | 52,847 | 0.70 | % | 0.84 | % | 0.80 | % | 0.70 | % | 0.84 | % | 0.80 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period March 30, 20178 through October 31, 2017 | $ | 25.00 | 0.01 | 0.01 | (1.19 | ) | (1.18 | ) | — | — | — | — | $ | 23.82 | (4.72 | )% | $ | 11,911 | 0.70 | % | 1.35 | % | 0.07 | % | 0.70 | % | 1.35 | % | 0.07 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 43.27 | 0.20 | 0.20 | 6.91 | 7.11 | (0.18 | ) | — | — | (0.18 | ) | $ | 50.20 | 16.51 | % | $ | 235,943 | 0.35 | % | 0.49 | % | 0.88 | % | 0.35 | % | 0.49 | % | 0.88 | % | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 41.90 | 0.31 | 0.31 | 1.37 | 1.68 | (0.31 | ) | — | — | (0.31 | ) | $ | 43.27 | 3.98 | % | $ | 179,574 | 0.35 | % | 0.49 | % | 0.68 | % | 0.35 | % | 0.49 | % | 0.68 | % | 27 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 33.44 | 0.28 | 0.28 | 8.44 | 8.72 | (0.26 | ) | — | — | (0.26 | ) | $ | 41.90 | 26.16 | % | $ | 144,561 | 0.35 | % | 0.52 | % | 0.73 | % | 0.35 | % | 0.52 | % | 0.73 | % | 31 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 32.60 | 0.35 | 0.35 | 0.83 | 1.18 | (0.34 | ) | — | — | (0.34 | ) | $ | 33.44 | 3.68 | % | $ | 83,589 | 0.35 | % | 0.55 | % | 1.11 | % | 0.35 | % | 0.55 | % | 1.11 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 30.69 | 0.30 | 0.30 | 1.90 | 2.20 | (0.29 | ) | — | — | (0.29 | ) | $ | 32.60 | 7.16 | % | $ | 84,744 | 0.35 | % | 0.52 | % | 0.91 | % | 0.35 | % | 0.52 | % | 0.91 | % | 50 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 25.58 | 0.32 | 0.32 | 5.11 | 5.43 | (0.32 | ) | — | — | (0.32 | ) | $ | 30.69 | 21.35 | % | $ | 33,755 | 0.35 | % | 0.62 | % | 1.16 | % | 0.35 | % | 0.61 | % | 1.17 | % | 80 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 14.28 | 0.04 | 0.04 | 0.10 | 0.14 | — | — | (0.80 | ) | (0.80 | ) | $ | 13.62 | 1.51 | % | $ | 51,063 | 0.65 | % | 0.76 | % | 0.62 | % | 0.65 | % | 0.76 | % | 0.62 | % | 63 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 16.15 | 0.03 | 0.01 | (0.30 | ) | (0.27 | ) | — | — | (1.60 | ) | (1.60 | ) | $ | 14.28 | (1.74 | )% | $ | 52,110 | 0.65 | %9 | 0.76 | % | (0.08 | )% | 0.65 | % | 0.76 | % | (0.08 | )% | 115 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 18.04 | 0.12 | 0.02 | (0.41 | ) | (0.29 | ) | — | — | (1.60 | ) | (1.60 | ) | $ | 16.15 | (1.90 | )% | $ | 63,781 | 0.65 | %9 | 0.94 | % | 0.13 | % | 0.65 | % | 0.94 | % | 0.13 | % | 86 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 23.28 | 0.05 | (0.05 | ) | (3.69 | ) | (3.64 | ) | — | — | (1.60 | ) | (1.60 | ) | $ | 18.04 | (15.11 | )% | $ | 64,039 | 0.65 | %9 | 0.99 | % | (0.27 | )% | 0.65 | % | 0.99 | % | (0.27 | )% | 151 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 40.24 | (0.02 | ) | 0.02 | (14.03 | ) | (14.05 | ) | — | — | (2.91 | ) | (2.91 | ) | $ | 23.28 | (36.20 | )% | $ | 74,496 | 0.65 | %9 | 0.89 | % | 0.07 | % | 0.65 | % | 0.89 | % | 0.07 | % | 171 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period January 23, 20148 through October 31, 2014 | $ | 40.00 | (0.08 | ) | (0.14 | ) | 2.39 | 2.31 | — | — | (2.07 | ) | (2.07 | ) | $ | 40.24 | 5.73 | % | $ | 54,328 | 0.65 | %9 | 1.23 | % | (0.43 | )% | 0.65 | % | 1.23 | % | (0.43 | )% | 92 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | 0.13 | 0.13 | 3.23 | 3.36 | — | — | — | — | $ | 53.36 | 6.72 | % | $ | 14,673 | 0.45 | % | 0.76 | % | 0.88 | % | 0.45 | % | 0.76 | % | 0.88 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | 0.14 | 0.15 | 7.69 | 7.83 | — | — | — | — | $ | 57.83 | 15.66 | % | $ | 17,349 | 0.48 | % | 0.78 | % | 0.90 | % | 0.45 | % | 0.75 | % | 0.93 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | 0.20 | 0.21 | 10.89 | 11.09 | (0.15 | ) | — | — | (0.15 | ) | $ | 60.94 | 22.21 | % | $ | 16,760 | 0.49 | % | 0.85 | % | 1.28 | % | 0.45 | % | 0.81 | % | 1.32 | % | 1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | 0.30 | 0.30 | 0.07 | 0.37 | (0.23 | ) | — | — | (0.23 | ) | $ | 50.14 | 0.73 | % | $ | 13,789 | 0.45 | % | 0.83 | % | 2.03 | % | 0.45 | % | 0.83 | % | 2.03 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | (0.05 | ) | (0.05 | ) | 5.02 | 4.97 | — | — | — | — | $ | 54.97 | 9.94 | % | $ | 15,115 | 0.45 | % | 0.83 | % | (0.34 | )% | 0.45 | % | 0.83 | % | (0.34 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | (0.05 | ) | (0.05 | ) | 3.42 | 3.37 | — | — | — | �� | — | $ | 53.37 | 6.74 | % | $ | 14,678 | 0.45 | % | 0.82 | % | (0.36 | )% | 0.45 | % | 0.82 | % | (0.36 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | 0.07 | 0.07 | 8.88 | 8.95 | — | — | — | — | $ | 58.95 | 17.90 | % | $ | 30,947 | 0.45 | % | 0.71 | % | 0.43 | % | 0.45 | % | 0.71 | % | 0.43 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through April 30, 2019 | $ | 50.00 | 0.18 | 0.18 | 4.26 | 4.44 | — | — | — | — | $ | 54.44 | 8.88 | % | $ | 27,222 | 0.45 | % | 0.72 | % | 1.17 | % | 0.45 | % | 0.72 | % | 1.17 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20199 through April 30, 2019 | $ | 50.00 | 0.16 | 0.16 | 7.27 | 7.43 | — | — | — | — | $ | 57.43 | 14.86 | % | $ | 15,794 | 0.45 | % | 0.76 | % | 1.01 | % | 0.45 | % | 0.76 | % | 1.01 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20199 through April 30, 2019 | $ | 50.00 | 0.09 | 0.09 | 4.35 | 4.44 | — | — | — | — | $ | 54.44 | 8.88 | % | $ | 14,971 | 0.45 | % | 0.77 | % | 0.57 | % | 0.45 | % | 0.77 | % | 0.57 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1 | Net Investment Income (Loss)1,2 | Net Realized and Unrealized Gain (Loss) on Investments3 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return4 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses5 | Total Expenses | Net Investment Income (Loss) After Expense Reimbursement | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) After Expense Reimbursement2 | Portfolio Turnover Rate7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 21.37 | $ | 0.28 | $ | 0.28 | $ | 1.77 | $ | 2.05 | $ | (0.30 | ) | $ | — | $ | — | $ | (0.30 | ) | $ | 23.12 | 9.71 | % | $ | 2,312 | 0.01 | % | 0.74 | % | 2.59 | % | 0.01 | %11 | 0.74 | % | 2.59 | % | 19 | % | |||||||||||||||||||||||||||||||||||||||
For the Period February 15, 20188 through October 31, 2018 | $ | 25.00 | 0.48 | 0.48 | (3.72 | ) | (3.24 | ) | (0.39 | ) | — | — | (0.39 | ) | $ | 21.37 | (13.13 | )% | $ | 21,369 | 0.00 | %10 | 0.72 | % | 2.77 | % | 0.00 | %11 | 0.72 | % | 2.77 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 19.18 | 0.74 | 0.74 | 2.85 | 3.59 | (0.67 | ) | — | — | (0.67 | ) | $ | 22.10 | 19.32 | % | $ | 3,315 | 0.04 | % | 0.76 | % | 7.30 | % | 0.02 | %11 | 0.74 | % | 7.32 | % | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 15, 20188 through October 31, 2018 | $ | 25.00 | 0.06 | 0.06 | (5.85 | ) | (5.79 | ) | (0.03 | ) | — | — | (0.03 | ) | $ | 19.18 | (23.17 | )% | $ | 19,182 | 0.00 | %10 | 0.74 | % | 0.37 | % | 0.00 | %11 | 0.74 | % | 0.37 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 36.41 | 0.46 | 0.46 | 3.91 | 4.37 | (0.41 | ) | — | — | (0.41 | ) | $ | 40.37 | 12.25 | % | $ | 20,186 | 0.02 | % | 0.65 | % | 2.58 | % | 0.02 | %11 | 0.65 | % | 2.58 | % | 9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 34.39 | 0.67 | 0.68 | 2.24 | 2.91 | (0.64 | ) | (0.25 | ) | — | (0.89 | ) | $ | 36.41 | 8.36 | % | $ | 76,461 | 0.04 | % | 0.67 | % | 1.80 | % | 0.00 | %11 | 0.63 | % | 1.84 | % | 30 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 26.76 | 0.83 | 0.83 | 7.03 | 7.86 | (0.23 | ) | — | — | (0.23 | ) | $ | 34.39 | 29.43 | % | $ | 67,060 | 0.22 | % | 0.81 | % | 2.61 | % | 0.22 | % | 0.81 | % | 2.61 | % | 92 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 26.46 | 0.51 | 0.52 | 0.70 | 1.21 | (0.89 | ) | — | (0.02 | ) | (0.91 | ) | $ | 26.76 | 4.74 | % | $ | 6,690 | 0.39 | % | 1.16 | % | 1.97 | % | 0.35 | % | 1.12 | % | 2.01 | % | 50 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 7, 20158 through October 31, 2015 | $ | 25.00 | 0.20 | 0.20 | 1.36 | 1.56 | (0.10 | ) | — | — | (0.10 | ) | $ | 26.46 | 6.23 | % | $ | 1,323 | 0.43 | % | 2.34 | % | 0.91 | % | 0.43 | % | 2.34 | % | 0.91 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 24.11 | 0.20 | 0.20 | 2.37 | 2.57 | (0.20 | ) | — | — | (0.20 | ) | $ | 26.48 | 10.86 | % | $ | 2,649 | 0.03 | % | 0.76 | % | 1.63 | % | 0.01 | %11 | 0.74 | % | 1.65 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 15, 20188 through October 31, 2018 | $ | 25.00 | 0.32 | 0.32 | (1.00 | ) | (0.68 | ) | (0.21 | ) | — | — | (0.21 | ) | $ | 24.11 | (2.81 | )% | $ | 24,106 | 0.01 | % | 0.73 | % | 1.73 | % | 0.00 | %11 | 0.72 | % | 1.74 | % | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 35.94 | 0.27 | 0.27 | 0.97 | 1.24 | (0.32 | ) | — | — | (0.32 | ) | $ | 36.86 | 3.64 | % | $ | 7,372 | 0.06 | % | 1.08 | % | 1.55 | % | 0.06 | %11 | 1.08 | % | 1.55 | % | 8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 34.87 | 0.50 | 0.52 | 1.46 | 1.96 | (0.41 | ) | (0.48 | ) | — | (0.89 | ) | $ | 35.94 | 5.37 | % | $ | 7,188 | 0.06 | % | 1.06 | % | 1.30 | % | 0.00 | %11 | 1.00 | % | 1.36 | % | 235 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 26.05 | 0.28 | 0.28 | 8.82 | 9.10 | (0.28 | ) | — | — | (0.28 | ) | $ | 34.87 | 35.01 | % | $ | 6,975 | 0.21 | % | 1.44 | % | 0.89 | % | 0.20 | % | 1.43 | % | 0.90 | % | 300 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 25.17 | 0.27 | 0.27 | 0.79 | 1.06 | (0.18 | ) | — | — | (0.18 | ) | $ | 26.05 | 4.23 | % | $ | 5,211 | 0.35 | % | 2.28 | % | 1.08 | % | 0.35 | % | 2.28 | % | 1.08 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 7, 20158 through October 31, 2015 | $ | 25.00 | 0.10 | 0.10 | 0.07 | 0.17 | — | — | — | — | $ | 25.17 | 0.68 | % | $ | 1,259 | 0.43 | % | 4.38 | % | 0.46 | % | 0.43 | % | 4.38 | % | 0.46 | % | 0 | % |
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Excludes interest expense and extraordinary expenses which comprise of tax and litigation expenses.
3 Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain (loss) per share will not equal the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures and swaps for the period.
4 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived or recouped by the investment advisor.
5 For periods less than a year, these ratios are annualized.
6 Net expenses include effects of any reimbursement/waiver or recoupment.
7 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio. Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.
8 Commencement of investment operations.
9 This ratio excludes current and deferred tax benefits/expenses for all components of the Statement of Operations. Had these amounts been included, the ratio for the period ended October 31, 2014 and years ended October 31, 2015, October 31, 2016, October 31, 2017 and October 31, 2018 would be 1.63%, 0.39%, 2.41%, 0.13% and 0.41%, respectively.
10 Less than 0.005%.
11 This ratio includes the voluntary waiver of expenses by the Adviser. Excluding the voluntary waiver of expenses, these ratios would have been 0.45% for the PortfolioPlus Developed Markets ETF, 0.45% for the PortfolioPlus Emerging Markets ETF, 0.30% for the PortfolioPlus S&P 500® ETF, 0.38% for the PortfolioPlus S&P® Mid Cap ETF and 0.33% for the PortfolioPlus S&P® Small Cap ETF.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2019
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 93 separate series (each, a "Fund" and together the "Funds"). Nineteen of these Funds are included in this report:
Thematic Weight ETFs | PortfolioPlus ETFs | ||||||
Direxion All Cap Insider Sentiment Shares | PortfolioPlus Developed Markets ETF | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | PortfolioPlus Emerging Markets ETF | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | PortfolioPlus S&P 500® ETF | ||||||
Direxion Zacks MLP High Income Index Shares | PortfolioPlus S&P® Mid Cap ETF | ||||||
Direxion FTSE Russell International Over US ETF | PortfolioPlus S&P® Small Cap ETF | ||||||
Direxion FTSE Russell US Over International ETF | |||||||
Direxion MSCI Cyclicals Over Defensives ETF | |||||||
Direxion MSCI Defensives Over Cyclicals ETF | |||||||
Direxion MSCI Developed Over Emerging Markets ETF | |||||||
Direxion MSCI Emerging Over Developed Markets ETF | |||||||
Direxion Russell 1000® Growth Over Value ETF | |||||||
Direxion Russell 1000® Value Over Growth ETF | |||||||
Direxion Russell Large Over Small Cap ETF | |||||||
Direxion Russell Small Over Large Cap ETF |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.
Rafferty Asset Management, LLC ("Rafferty") serves as investment adviser to the Thematic Weight ETFs and Direxion Advisors LLC, a wholly-owned subsidiary of Rafferty, serves as investment adviser to the PortfolioPlus ETFs (the "Adviser"). Each Adviser has registered as a commodity pool operator ("CPO") and the Funds, with the exception of Direxion All Cap Insider Sentiment Shares, Direxion NASDAQ-100® Equal Weighted Index Shares and Direxion Zacks MLP High Income Index Shares, are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, each Adviser is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Thematic Weight ETF seeks investment results, before fees and expenses, that track the performance of the underlying index as listed below:
Funds | Index or Benchmark | ||||||
Direxion All Cap Insider Sentiment Shares | Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index | ||||||
Direxion Auspice Broad Commodity Strategy ETF | Auspice Broad Commodity Index | ||||||
Direxion NASDAQ-100® Equal Weighted Index | NASDAQ-100® Equal Weighted Index | ||||||
Direxion Zacks MLP High Income Index Shares | Zacks MLP High Income Index | ||||||
Direxion FTSE Russell International Over US ETF | FTSE All-World ex US/Russell 1000® 150/50 Net Spread Index | ||||||
Direxion FTSE Russell US Over International ETF | Russell 1000®/FTSE All-World ex US 150/50 Net Spread Index | ||||||
Direxion MSCI Cyclicals Over Defensives ETF | MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 |
DIREXION SEMI-ANNUAL REPORT
68
Funds | Index or Benchmark | ||||||
Direxion MSCI Defensives Over Cyclicals ETF | MSCI USA Defensive Sectors – USA Cyclical Sectors 150/50 | ||||||
Direxion MSCI Developed Over Emerging Markets ETF | MSCI EAFE IMI – Emerging Markets IMI 150/50 | ||||||
Direxion MSCI Emerging Over Developed Markets ETF | MSCI Emerging Markets IMI – EAFE IMI 150/50 | ||||||
Direxion Russell 1000® Growth Over Value ETF | Russell 1000® Growth/Value 150/50 Net Spread Index | ||||||
Direxion Russell 1000® Value Over Growth ETF | Russell 1000®Value/Growth 150/50 Net Spread Index | ||||||
Direxion Russell Large Over Small Cap ETF | Russell 1000®/Russell 2000® 150/50 Net Spread Index | ||||||
Direxion Russell Small Over Large Cap ETF | Russell 2000®/Russell 1000® 150/50 Net Spread Index |
Each PortfolioPlus ETF seeks daily investment results, before fees and expenses, of 135% of the daily performance of the underlying index as listed below:
Funds | Index or Benchmark | ||||||
PortfolioPlus Developed Markets ETF | FTSE Developed All Cap ex U.S. Index | ||||||
PortfolioPlus Emerging Markets ETF | FTSE Emerging Index | ||||||
PortfolioPlus S&P 500® ETF | S&P 500® Index | ||||||
PortfolioPlus S&P® Mid Cap ETF | S&P Mid Cap 400® Index | ||||||
PortfolioPlus S&P® Small Cap ETF | S&P Small Cap 600® Index |
Prior to March 1, 2019, each PortfolioPlus ETF sought daily investment results, before fees and expenses, of 125% of the daily performance of each Fund's respective underlying index.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Cash Equivalents – The Funds consider investments in the Bank of New York Mellon Cash Reserve, a U.S. dollar-denominated deposit account offered through the Bank of New York Mellon, to be cash equivalents. The Funds are exposed to the credit risk of Bank of New York Mellon through these holdings of cash equivalents. These cash equivalents are presented on the Statements of Assets and Liabilities as "Cash equivalents" and were classified as Level 1 assets as of April 30, 2019.
b) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time ("Valuation Time")), each day the NYSE is open for business. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over-the-counter ("OTC") securities held by a Fund are valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities or; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation Time will be used. Securities and swap contracts are fair valued as determined by the Rafferty under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities;
DIREXION SEMI-ANNUAL REPORT
69
c) the Funds' pricing service provides a valuation that in the judgment of the Rafferty does not represent fair value; or d) the Fund or Rafferty believes the market price is stale.
c) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivative contracts and related cash collateral on the Statements of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. Each Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Funds' custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps".
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their investment objectives.
Accounting Standards Update No. 2013-01, "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013 – 01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope recognize derivative instruments accounted for under ASC 815, Derivatives and Hedging, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement of similar agreement.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
DIREXION SEMI-ANNUAL REPORT
70
Collateral requirements generally differ by type of derivative. Collateral terms are contract specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of April 30, 2019, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at April 30, 2019 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.
Description: Swap Contract
Counterparty: Credit Suisse Capital LLC
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | $ | 582,579 | $ | 582,579 | $ | — | $ | — | $ | 827,390 | $ | 582,579 | $ | 244,8111 | $ | — | |||||||||||||||||||
Direxion FTSE Russell US Over International ETF | 983,652 | 600,513 | 280,000 | 103,139 | 600,513 | 600,513 | — | — | |||||||||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 1,226,643 | 367,354 | 859,2891 | — | 367,354 | 367,354 | — | — | |||||||||||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | 358,494 | 358,494 | — | — | 951,813 | 358,494 | 593,3191 | — | |||||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 630,986 | 476,343 | — | 154,643 | 476,343 | 476,343 | — | — |
DIREXION SEMI-ANNUAL REPORT
71
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | $ | 495,576 | $ | 495,576 | $ | — | $ | — | $ | 573,409 | $ | 495,576 | $ | 77,8331 | $ | — | |||||||||||||||||||
PortfolioPlus Developed Markets ETF | 18,100 | — | 18,1001 | — | — | — | — | — | |||||||||||||||||||||||||||
Portfolio+ Emerging Markets ETF | 8,666 | — | — | 8,666 | — | — | — | — | |||||||||||||||||||||||||||
Portfolio+ S&P 500® ETF | 3,033 | — | — | 3,033 | — | — | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 27,002 | — | — | 27,002 | — | — | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 9,852 | — | — | 9,852 | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | $ | 1,483,438 | $ | 996,891 | $ | 486,5471 | $ | — | $ | 996,891 | $ | 996,891 | $ | — | $ | — | |||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 968,085 | 968,085 | — | — | 1,242,520 | 968,085 | 274,4351 | — | |||||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | 959,276 | 669,395 | 270,000 | 19,881 | 669,395 | 669,395 | — | — | |||||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | 677,900 | 677,900 | — | — | 825,133 | 677,900 | 147,2331 | — | |||||||||||||||||||||||||||
Portfolio+ S&P 500® ETF | 364,094 | — | 230,000 | 134,094 | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
d) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the
DIREXION SEMI-ANNUAL REPORT
72
transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) was invested in futures contracts as of the period ended April 30, 2019.
e) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended April 30, 2019.
f) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
g) Basis for Consolidation – The Direxion Auspice Broad Commodity Strategy ETF may invest up to 25% of its total assets in the Direxion BCS Fund Ltd. ("BCS Fund"). The BCS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Auspice Broad Commodity Strategy ETF. The BCS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Auspice Broad Commodity Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of April 30, 2019, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $42,026,913, of which $7,730,619, or approximately 18.39%, represented the Direxion Auspice Broad Commodity Strategy ETF's ownership of all issued shares and voting rights of the BCS Fund. All intercompany balances, revenues and expenses have been eliminated in consolidation.
h) Risks of Investing Commodity-Linked Derivatives – The Direxion Auspice Broad Commodity Strategy ETF, through its investments in the subsidiary, may hold commodity-linked derivatives. Commodity-linked derivatives provide exposure, which may include long and/or short exposure, to the investment returns of physical commodities that trade in the commodities markets without investing directly in physical commodities. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity (such as heating oil, precious metals, livestock, or agricultural products), a commodity futures contract or commodity index, or some other readily measurable economic variable. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, volatility of the underlying benchmark, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The value of commodity-linked derivatives will rise or fall in response to changes in the underlying commodity or related index. Investments in commodity-linked derivatives may be subject to greater volatility than non-derivative based investments. A highly liquid secondary market may not exist for certain commodity-linked derivatives, and there can be no assurance that one will develop. Commodity-linked derivatives were held during the period ended April 30, 2019.
DIREXION SEMI-ANNUAL REPORT
73
i) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.
j) Securities Lending – Each Fund may lend up to 331/3% of the value of the securities in their portfolios to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, cash equivalents, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. Government securities held as collateral, net of fee rebates paid to borrower and net of fees paid to the lending agent. The amount of fees depends on a number of factors including the security type and the length of the loan. In addition, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. No more than 99% of the value of any security may be on loan at any time.
As of April 30, 2019, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.
As of April 30, 2019, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:
Funds | Market Value of Securities Loaned | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | |||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | 2,588,655 | $ | 2,084,466 | $ | 603,357 | $ | 2,687,823 | |||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 7,886,145 | 3,113,675 | 4,940,055 | 8,053,730 | |||||||||||||||
Direxion Zacks MLP High Income Index Shares | 11,205,946 | 11,026,831 | 453,248 | 11,480,079 | |||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 32,013 | 32,688 | — | 32,688 | |||||||||||||||
PortfolioPlus Emerging Markets ETF | 472,903 | 483,006 | — | 483,006 |
k) Federal Income Taxes – Each Fund, with the exception of the Direxion Zacks MLP High Income Index Shares, intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company and to make the requisite distributions of net investment income and net realized capital gains to its shareholders sufficient to relieve it from all or substantially all U.S. Federal income and excise taxes. No provision for U.S. Federal income has been made by the Funds. Certain Funds paid U.S. excise taxes during the period ended April 30, 2019.
The Direxion Zacks MLP High Income Index Shares intends to invest primarily in Master Limited Partnerships ("MLPs"), which generally are treated as qualified publicly traded partnerships for U.S. Federal income tax purposes. As such, the Direxion Zacks MLP High Income Index Shares does not intend to qualify as a regulated investment company pursuant to Subchapter M of the Internal Revenue Code of 1986, but is taxed as a regular C-corporation. As a regular C-corporation, the Fund is obligated to pay U.S. Federal, state and local income tax on its taxable income. In addition, current tax laws prevent the
DIREXION SEMI-ANNUAL REPORT
74
Fund from qualifying as a regulated investment company due to the Fund's concentration in MLPs. The Tax Cuts and Jobs Act was signed into law on December 22, 2017. This new legislation provides a reduction of the U.S. corporate tax rate from 35% to 21%. The Fund is currently using an estimated 23.88% tax rate for U.S. Federal, state and local tax, which is composed of a 21% marginal U.S. Federal tax rate and an assumed 2.88% rate attributable to state taxes. In addition, Zacks has revalued the deferred tax assets and liabilities using the new reduced rate.
The Direxion Zacks MLP High Income Index Shares deferred tax expense is included in the Statement of Operations based on the component of income or gain (losses) to which the expenses relate. Deferred income taxes reflect the net tax effects of temporary differences between carrying amounts of assets and liabilities for financial reporting and the amounts used for income tax purposes. A valuation allowance is recognized if, based on the weight of available evidence, it is more likely than not that some portion or all of a deferred income tax asset will not be realized.
The Direxion Zacks MLP High Income Index Shares recognizes in the financial statements the impact of a tax position, if that position is more likely than not to be sustained on examination by the taxing authorities, based on the technical merits of the position. Tax benefits resulting from such a position are measured as the amount that has a greater than fifty percent likelihood on a cumulative basis to be sustained on examination.
l) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date. Distributions received from investments in MLPs are generally comprised of ordinary income, capital gains and return of capital from the MLPs. For financial statement purposes, the Funds use return of capital and income estimates to allocate the dividend income received. These estimates are assumptions based on the MLPs election to be taxed as partnership or as corporation. Distributions received from MLPs taxed as partnerships are assumed to be 100% return of capital while distributions received from MLPs taxed as corporations are assumed to be 100% income. These estimates may subsequently be revised based on information received from the MLPs after their respective tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end. The Direxion Zacks MLP High Income Index Shares estimates the allocation of investment income and return of capital for the distributions received from MLPs within the Statement of Operations. For the year ended October 31, 2018, the Fund has estimated approximately 96% of the distributions from MLPs to be return of capital.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets.
m) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.
n) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon the occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.
o) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the period ended April 30, 2019 are presented in the following table. The tax character of distributions to shareholders made during the period may differ from their ultimate characterization for U.S. Federal income tax purposes.
DIREXION SEMI-ANNUAL REPORT
75
Period Ended April 30, 2019 (Unaudited) | Year/Period Ended October 31, 2018 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | 1,833,070 | $ | — | $ | — | $ | 24,202,420 | $ | — | $ | — | |||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 945,972 | — | — | 306,471 | — | — | |||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 721,796 | — | — | 1,143,088 | — | — | |||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | — | — | 2,900,000 | — | — | 5,900,000 | |||||||||||||||||||||
Direxion FTSE Russell International Over US ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion FTSE Russell US Over International ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF2 | 41,979 | — | — | — | — | — | |||||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF2 | 63,663 | — | — | — | — | — | |||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF2 | — | — | — | — | — | — | |||||||||||||||||||||
PortfolioPlus Developed Markets ETF1 | 270,954 | — | — | 392,041 | — | — | |||||||||||||||||||||
PortfolioPlus Emerging Markets ETF1 | 604,333 | — | — | 30,004 | — | — | |||||||||||||||||||||
PortfolioPlus S&P 500® ETF | 851,759 | — | — | 1,878,554 | — | — | |||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF1 | 178,047 | — | — | 212,200 | — | — | |||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 64,314 | — | — | 205,530 | — | — |
1 Commenced operations on February 15, 2018.
2 Commenced operations on January 16, 2019.
DIREXION SEMI-ANNUAL REPORT
76
At October 31, 2018, the components of accumulated earnings/(losses) on a tax-basis were as follows:
Funds | Net Unrealized Appreciation (Depreciation) | Undistributed Ordinary Income | Undistributed Capital Gain | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | (14,992,524 | ) | $ | 345,831 | $ | — | $ | — | $ | (14,646,693 | ) | |||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | (362,230 | ) | 721,802 | — | (4,908 | ) | 354,664 | ||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 8,628,648 | 4,811 | — | (2,298,241 | ) | 6,335,218 | |||||||||||||||||
Direxion FTSE Russell International Over US ETF | — | — | — | — | — | ||||||||||||||||||
Direxion FTSE Russell US Over International ETF | — | — | — | — | — | ||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | — | — | — | — | — | ||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | — | — | — | — | — | ||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | — | — | — | — | — | ||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | — | — | — | — | — | ||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | — | — | — | — | — | ||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | — | — | — | — | ||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | — | — | — | — | — | ||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | — | — | — | — | — | ||||||||||||||||||
PortfolioPlus Developed Markets ETF | (3,258,407 | ) | 86,425 | — | (456,896 | ) | (3,628,878 | ) | |||||||||||||||
PortfolioPlus Emerging Markets ETF | (5,579,441 | ) | 28,287 | — | (81,452 | ) | (5,632,606 | ) | |||||||||||||||
PortfolioPlus S&P 500® ETF | 3,678,873 | 360,997 | — | — | 4,039,870 | ||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | (914,329 | ) | 110,960 | — | (88,355 | ) | (891,724 | ) | |||||||||||||||
PortfolioPlus S&P® Small Cap ETF | (163,084 | ) | 33,737 | — | — | (129,347 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover.
DIREXION SEMI-ANNUAL REPORT
77
At April 30, 2019, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | 151,506,344 | $ | 6,396,343 | $ | (1,636,236 | ) | $ | 4,760,107 | ||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 206,791,244 | 38,677,088 | (6,774,834 | ) | 31,902,254 | ||||||||||||||
Direxion FTSE Russell International Over US ETF | 13,385,448 | 1,133,482 | — | 1,133,482 | |||||||||||||||
Direxion FTSE Russell US Over International ETF | 14,826,214 | 1,638,406 | — | 1,638,406 | |||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 13,135,135 | 2,165,987 | (38,608 | ) | 2,127,379 | ||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | 13,118,245 | 1,020,960 | (349,596 | ) | 671,364 | ||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 13,094,220 | 1,232,020 | — | 1,232,020 | |||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 13,225,206 | 1,025,742 | — | 1,025,742 | |||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 27,073,491 | 2,589,905 | — | 2,589,905 | |||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 24,486,830 | 1,736,603 | — | 1,736,603 | |||||||||||||||
Direxion Russell Large Over Small Cap ETF | 13,098,948 | 1,714,152 | — | 1,714,152 | |||||||||||||||
Direxion Russell Small Over Large Cap ETF | 13,082,640 | 1,353,408 | — | 1,353,408 | |||||||||||||||
PortfolioPlus Developed Markets ETF | 2,210,156 | 87,929 | — | 87,929 | |||||||||||||||
PortfolioPlus Emerging Markets ETF | 3,528,551 | 254,407 | — | 254,407 | |||||||||||||||
PortfolioPlus S&P 500 ETF | 17,145,320 | 2,916,795 | — | 2,916,795 | |||||||||||||||
PortfolioPlus S&P Mid Cap ETF | 2,320,473 | 304,073 | — | 304,073 | |||||||||||||||
PortfolioPlus S&P Small Cap ETF | 7,134,804 | 177,037 | — | 177,037 |
The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales and basis adjustments on investments in real estate investment trusts ("REITs").
Net investment income/(loss) and realized gains and losses for U.S. Federal income tax purposes may differ from those reported on the financial statements because of permanent book-to-tax differences. GAAP requires that permanent differences distributable earnings due to differences between financial reporting and tax reporting be classified between various components of net assets. The permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses, distribution reclasses, sales of REITS, and utilization of earnings and profits distributed to shareholders on redemption of shares.
In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2018. At October 31, 2018, no Funds deferred any qualified late year losses.
Under current law, each Fund, with the exception of the Direxion Zacks MLP High Income Index Shares, may carry forward net capital losses indefinitely to use to offset capital gains realized in future years. Previous law limited the carryforward of capital losses to the eight tax years following the year the capital loss was realized. If a Fund has capital losses that are subject to current law and also has capital losses subject to prior law, the losses realized under current law will be utilized to offset capital gains before any of the losses governed by prior law can be used. As a result of these ordering rules, capital losses realized under previous law may be more likely to expire unused. Capital losses realized under current law will carry forward retaining their classification as long-term or short-term losses; as compared to under prior law in which all capital losses were carried forward as short-term capital losses.
DIREXION SEMI-ANNUAL REPORT
78
At October 31, 2018, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Utilized in Current Year | Expiring 10/31/2019 | Unlimited ST | Unlimited LT | |||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | — | $ | — | $ | — | $ | — | |||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 1,057,880 | — | — | 2,298,241 | |||||||||||||||
Direxion FTSE Russell International Over US ETF | — | — | — | — | |||||||||||||||
Direxion FTSE Russell US Over International ETF | — | — | — | — | |||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | — | — | — | — | |||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | — | — | — | — | |||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | — | — | — | — | |||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | — | — | — | — | |||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | — | — | — | — | |||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | — | — | — | |||||||||||||||
Direxion Russell Large Over Small Cap ETF | — | — | — | — | |||||||||||||||
Direxion Russell Small Over Large Cap ETF | — | — | — | — | |||||||||||||||
PortfolioPlus Developed Markets ETF | — | — | 456,896 | — | |||||||||||||||
PortfolioPlus Emerging Markets ETF | — | — | 81,452 | — | |||||||||||||||
PortfolioPlus S&P 500® ETF | — | — | — | — | |||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | — | — | 88,355 | — | |||||||||||||||
PortfolioPlus S&P® Small Cap ETF | — | — | — | — |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As April 30, 2019, open U.S. Federal and state income tax years include the tax years ended October 31, 2016 through October 31, 2018. The Funds have no examinations in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax purposes. Components of the Direxion Zacks MLP High Income Index Shares deferred tax asset as of April 30, 2019 are as follows:
Deferred tax assets: | |||||||
Net operating loss carryforward | $ | 185,885 | |||||
Capital loss carryforward | 11,276,946 | ||||||
Net unrealized depreciation on investments in securities | 173,232 | ||||||
Total deferred tax assets before valuation allowance | 11,636,063 | ||||||
Valuation allowance | (11,636,063 | ) | |||||
Total deferred tax assets after valuation allowance | — | ||||||
Less: Deferred tax liabilities | — | ||||||
Net deferred tax asset | $ | — |
As of April 30, 2019 a valuation allowance of $11,636,063 was deemed necessary, as Direxion Zacks MLP High Income Index Shares does not believe that there is an ability to realize this portion of the deferred tax asset through future taxable income.
DIREXION SEMI-ANNUAL REPORT
79
The net operating loss carryforward and capital loss carryforward is available to offset future taxable income. The Direxion Zacks MLP High Income Index Shares has the following capital loss and net operating loss amounts:
Capital loss | Amount | Expiration | |||||||||
Fiscal year ended October 31, 2019 | $ | 2,783,513 | October 31, 2024 | ||||||||
Fiscal year ended October 31, 2018 | 2,110,342 | October 31, 2023 | |||||||||
Fiscal year ended October 31, 2017 | — | October 31, 2022 | |||||||||
Fiscal year ended October 31, 2016 | 22,254,486 | October 31, 2021 | |||||||||
Fiscal year ended October 31, 2015 | 20,242,025 | October 31, 2020 | |||||||||
Net operating loss | Amount | Expiration | |||||||||
Fiscal year ended October 31, 2019 | $ | 171,208 | Indefinite | ||||||||
Fiscal year ended October 31, 2018 | 609,959 | Indefinite |
For corporations, capital losses can only be used to offset capital gains and cannot be used to offset ordinary income. Net operating losses may be carried indefinitely. Capital losses may be carried forward for 5 years and, accordingly, would begin to expire as of October 31, 2020.
Total income tax benefit (current and deferred) differs from the amount computed by applying the U.S. federal statutory income tax rate of 21% to net investment income/(loss) and realized and unrealized gains (losses) on investments before taxes for the period ended April 30, 2019 is as follows:
Income tax provision (benefit) at the federal statutory rate of 21% | $ | (1,102 | ) | ||||
State income tax (benefit), net of federal benefit | (147 | ) | |||||
Tax (benefit) expense on permanent items | 125,780 | ||||||
Change in valuation allowance | (124,531 | ) | |||||
Total tax (benefit) expense | $ | — |
Total income taxes are computed by applying the U.S. federal statutory rate plus a blended U.S. state income tax rate. During the year, the Direxion Zacks MLP High Income Index Shares re-evaluated its blended state income tax rate, decreasing the overall rate from 23.88% to 23.80% due to anticipated state apportionment of income and gains.
At April 30, 2019, the tax cost of investments, gross unrealized appreciation and depreciation of investments for U.S. federal income tax purposes of the Direxion Zacks MLP High Income Index Shares were as follows:
Tax cost of investments | $ | 58,316,035 | |||||
Gross unrealized appreciation | 6,160,788 | ||||||
Gross unrealized depreciation | (2,937,247 | ) | |||||
Net unrealized appreciation/(depreciation) | $ | 3,223,541 |
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
DIREXION SEMI-ANNUAL REPORT
80
Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2019. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | 751,241,878 | $ | 751,346,988 | $ | 5,929,621 | $ | 63,768,304 | |||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 33,715,230 | 33,666,653 | 69,856,592 | 39,701,264 | |||||||||||||||
Direxion Zacks MLP High Income Index Shares | 30,878,347 | 31,574,325 | 9,732,455 | 7,880,292 | |||||||||||||||
Direxion FTSE Russell International Over US ETF1 | 13,109,533 | — | 1,191,203 | 1,267,429 | |||||||||||||||
Direxion FTSE Russell US Over International ETF1 | 16,026,069 | — | 1,205,227 | 2,630,503 | |||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF1 | 13,216,905 | 123,337 | — | — | |||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF1 | 13,111,505 | 649,105 | — | — | |||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF1 | 13,094,220 | — | — | — | |||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF1 | 13,225,206 | — | — | — | |||||||||||||||
Direxion Russell 1000® Growth Over Value ETF1 | 21,766,093 | — | 7,710,734 | 2,658,432 | |||||||||||||||
Direxion Russell 1000® Value Over Growth ETF1 | 19,119,915 | — | 7,459,020 | 2,541,639 | |||||||||||||||
Direxion Russell Large Over Small Cap ETF1 | 13,098,948 | — | — | — | |||||||||||||||
Direxion Russell Small Over Large Cap ETF1 | 13,082,640 | — | — | — | |||||||||||||||
PortfolioPlus Developed Markets ETF | 2,545,829 | 20,254,069 | — | — | |||||||||||||||
PortfolioPlus Emerging Markets ETF | 2,552,501 | 19,871,686 | — | — | |||||||||||||||
PortfolioPlus S&P 500® ETF | 5,191,442 | 61,353,640 | — | 3,234,807 | |||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 3,567,958 | 23,493,999 | — | — | |||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 1,174,069 | 543,772 | — | — |
1 Represents the period from January 16, 2019 (commencement of operations) to April 30, 2019.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2019.
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between each Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory
DIREXION SEMI-ANNUAL REPORT
81
Agreement, each Fund pays their respective Adviser an investment advisory fees at an annual rate based on its average daily net assets. These rates are as follows:
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 0.50 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.30 | % | |||||
Direxion Zacks MLP High Income Index Shares | 0.50 | % | |||||
Direxion FTSE Russell International Over US ETF | 0.40 | % | |||||
Direxion FTSE Russell US Over International ETF | 0.40 | % | |||||
Direxion MSCI Cyclicals Over Defensives ETF | 0.40 | % | |||||
Direxion MSCI Defensives Over Cyclicals ETF | 0.40 | % | |||||
Direxion MSCI Developed Over Emerging Markets ETF | 0.40 | % | |||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.40 | % | |||||
Direxion Russell 1000® Growth Over Value ETF | 0.40 | % | |||||
Direxion Russell 1000® Value Over Growth ETF | 0.40 | % | |||||
Direxion Russell Large Over Small Cap ETF | 0.40 | % | |||||
Direxion Russell Small Over Large Cap ETF | 0.40 | % | |||||
PortfolioPlus Developed Markets ETF | 0.45 | % | |||||
PortfolioPlus Emerging Markets ETF | 0.45 | % | |||||
PortfolioPlus S&P 500® ETF | 0.45 | % | |||||
PortfolioPlus S&P® Mid Cap ETF | 0.45 | % | |||||
PortfolioPlus S&P® Small Cap ETF | 0.45 | % |
The Direxion All Cap Insider Sentiment Shares ETF pays its Adviser investment advisory fees based an annual rate of 0.40% of the Fund's respective average daily net assets up to $500,000,000 and 0.31% of average daily net assets in excess of $500,000,000.
The Adviser has agreed to waive the investment advisory fee for the PortfolioPlus ETFs at least until September 1, 2020. The fee waived is not subject to recoupment. The amount of the waiver is based on a Fund's average daily net assets multiplied by the following rates:
PortfolioPlus Developed Markets ETF | 0.05 | % | |||||
PortfolioPlus Emerging Markets ETF | 0.05 | % | |||||
PortfolioPlus S&P 500® ETF | 0.15 | % | |||||
PortfolioPlus S&P® Mid Cap ETF | 0.15 | % | |||||
PortfolioPlus S&P® Small Cap ETF | 0.15 | % |
Additionally, the Trust has entered into a Management Services Agreement with the Rafferty. Under the Management Services Agreement, the Trust pays Rafferty management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Rafferty for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. Under the Operating Expense Limitation Agreement, each respective Adviser has contractually agreed to waive its fees and/or reimburse the Funds' operating expenses to the extent that they exceed the following rates multiplied by the Fund's respective average daily net assets at least until September 1, 2020. Any expense waiver is subject to recoupment by the Adviser, as applicable, within the following three years if overall expenses fall below these percentage limitations.
Direxion All Cap Insider Sentiment Shares | 0.59 | % | |||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 0.70 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.35 | % | |||||
Direxion Zacks MLP High Income Index Shares | 0.65 | % | |||||
Direxion FTSE Russell International Over US ETF | 0.45 | % | |||||
Direxion FTSE Russell US Over International ETF | 0.45 | % | |||||
Direxion MSCI Cyclicals Over Defensives ETF | 0.45 | % | |||||
Direxion MSCI Defensives Over Cyclicals ETF | 0.45 | % | |||||
Direxion MSCI Developed Over Emerging Markets ETF | 0.45 | % | |||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.45 | % | |||||
Direxion Russell 1000® Growth Over Value ETF | 0.45 | % | |||||
Direxion Russell 1000® Value Over Growth ETF | 0.45 | % | |||||
Direxion Russell Large Over Small Cap ETF | 0.45 | % |
DIREXION SEMI-ANNUAL REPORT
82
Direxion Russell Small Over Large Cap ETF | 0.45 | % | |||||
PortfolioPlus Developed Markets ETF | 0.45 | % | |||||
PortfolioPlus Emerging Markets ETF | 0.45 | % | |||||
PortfolioPlus S&P 500® ETF | 0.32 | % | |||||
PortfolioPlus S&P® Mid Cap ETF | 0.38 | % | |||||
PortfolioPlus S&P® Small Cap ETF | 0.35 | % |
During the period ended April 30, 2019, the Adviser agreed to voluntarily waive additional expenses of the PortfolioPlus ETFs. The amounts of these voluntary waiver of expenses are presented below. These amounts are not subject to recoupment as disclosed in the table that follows.
PortfolioPlus Developed Markets ETF | $ | 36,353 | |||||
PortfolioPlus Emerging Markets ETF | 34,476 | ||||||
PortfolioPlus S&P 500® ETF | 91,517 | ||||||
PortfolioPlus S&P® Mid Cap ETF | 34,444 | ||||||
PortfolioPlus S&P® Small Cap ETF | 10,040 |
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | — | $ | 83,516 | $ | 103,432 | $ | 224,008 | $ | 220,951 | $ | 83,516 | $ | 631,907 | |||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | 32,395 | — | 51,480 | 60,552 | 32,395 | 144,427 | ||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | 130,177 | 73,825 | 209,738 | 231,625 | 130,177 | 645,365 | ||||||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | — | 28,235 | 117,184 | 213,526 | 105,972 | 28,235 | 464,917 | ||||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | — | 13,533 | — | — | — | 13,533 | 13,533 | ||||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | — | 13,694 | — | — | — | 13,694 | 13,694 | ||||||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | — | 15,825 | — | — | — | 15,825 | 15,825 | ||||||||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | — | 15,456 | — | — | — | 15,456 | 15,456 | ||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | — | 15,587 | — | — | — | 15,587 | 15,587 | ||||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | — | 15,595 | — | — | — | 15,595 | 15,595 | ||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | — | 15,183 | — | — | — | 15,183 | 15,183 | ||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | 14,825 | — | — | — | 14,825 | 14,825 | ||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | — | 13,362 | — | — | — | 13,362 | 13,362 | ||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | — | 13,314 | — | — | — | 13,314 | 13,314 | ||||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | — | 19,428 | — | — | 38,560 | 19,428 | 57,988 | ||||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | — | 18,817 | — | — | 36,879 | 18,817 | 55,696 |
DIREXION SEMI-ANNUAL REPORT
83
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | $ | — | $ | 53,558 | $ | 21,979 | $ | 40,973 | $ | 123,253 | $ | 53,558 | $ | 239,763 | |||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | — | 19,419 | — | — | 36,253 | 19,419 | 55,672 | ||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | — | 20,078 | 31,171 | 59,399 | 40,112 | 20,078 | 150,760 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2019 is presented on the Statement of Assets and Liabilities as Due from (to) investment adviser, net.
The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair valuation accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' investments at April 30, 2019:
Asset Class | Liability Class | ||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 1 | Level 2 | ||||||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Futures Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | — | $ | 154,181,985 | $ | — | $ | 2,084,466 | $ | 695,354 | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | 40,477,616 | — | (410,021 | ) | — | ||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | 235,579,823 | — | 3,113,675 | 439,791 | — | — | — | |||||||||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | — | — | 50,512,745 | 11,026,831 | 129,992 | — | — | — | |||||||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | 14,258,930 | — | — | 260,000 | 410,615 | 582,579 | — | (827,390 | ) | ||||||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | 16,464,613 | — | — | 7 | 790,096 | 983,652 | — | (600,513 | ) |
DIREXION SEMI-ANNUAL REPORT
84
Asset Class | Liability Class | ||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 1 | Level 2 | ||||||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Futures Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | $ | — | $ | 15,227,664 | $ | — | $ | 34,850 | $ | 1,568,618 | $ | 1,226,643 | $ | — | $ | (367,354 | ) | ||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | — | 13,152,084 | — | 637,525 | 638,981 | 358,494 | — | (951,813 | ) | ||||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 14,326,240 | — | — | — | 633,270 | 630,986 | — | (476,343 | ) | ||||||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 14,250,948 | — | — | — | 504,393 | 495,576 | — | (573,409 | ) | ||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 29,663,396 | — | — | — | 1,419,375 | 1,483,438 | — | (996,891 | ) | ||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 25,963,271 | — | — | 260,162 | 1,291,442 | 968,085 | — | (1,242,520 | ) | ||||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | 14,813,100 | — | — | — | 968,430 | 959,276 | — | (669,395 | ) | ||||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | 14,436,048 | — | — | — | 690,427 | 677,900 | — | (825,133 | ) | ||||||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | 2,294,837 | — | — | 3,247 | 21,975 | 18,100 | — | — | |||||||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | 3,299,952 | — | — | 483,006 | 15,805 | 8,666 | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | 20,062,068 | — | — | 47 | 30,566 | 367,127 | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 2,624,543 | — | — | 3 | 8,538 | 27,002 | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 7,311,782 | — | — | 59 | 45,564 | 9,852 | — | — |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Futures contracts and total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
There were no Level 3 securities held by the Funds during period ended April 30, 2019. It is the Funds' policy to recognize transfers between levels at the value as of the beginning of the period, if applicable.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
DIREXION SEMI-ANNUAL REPORT
85
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of April 30, 2019, certain Funds were invested in swap contracts. At April 30, 2019, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion FTSE Russell International Over US ETF | $ | 582,579 | $ | — | $ | 582,579 | |||||||||
Direxion FTSE Russell US Over International ETF | 983,652 | — | 983,652 | ||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 1,226,643 | — | 1,226,643 | ||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | 358,494 | — | 358,494 | ||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 630,986 | — | 630,986 | ||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 495,576 | — | 495,576 | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 1,483,438 | — | 1,483,438 | ||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 968,085 | — | 968,085 | ||||||||||||
Direxion Russell Large Over Small Cap ETF | 959,276 | — | 959,276 | ||||||||||||
Direxion Russell Small Over Large Cap ETF | 677,900 | — | 677,900 | ||||||||||||
PortfolioPlus Developed Markets ETF | 18,100 | — | 18,100 | ||||||||||||
PortfolioPlus Emerging Markets ETF | 8,666 | — | 8,666 | ||||||||||||
PortfolioPlus S&P 500® ETF | 367,127 | — | 367,127 | ||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 27,002 | — | 27,002 | ||||||||||||
PortfolioPlus S&P® Small Cap ETF | 9,852 | — | 9,852 |
Futures Contracts* Fund | Equity Risk | Interest Rate Risk | Commodity Risk | Total | |||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | 70,179 | $ | 70,179 |
Liability Derivatives2 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion FTSE Russell International Over US ETF | $ | 827,390 | $ | — | $ | 827,390 | |||||||||
Direxion FTSE Russell US Over International ETF | 600,513 | — | 600,513 | ||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 367,354 | — | 367,354 | ||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | 951,813 | — | 951,813 | ||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 476,343 | — | 476,343 | ||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 573,409 | — | 573,409 | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 996,891 | — | 996,891 | ||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 1,242,520 | — | 1,242,520 | ||||||||||||
Direxion Russell Large Over Small Cap ETF | 669,395 | — | 669,395 | ||||||||||||
Direxion Russell Small Over Large Cap ETF | 825,133 | — | 825,133 |
Futures Contracts* Fund | Equity Risk | Interest Rate Risk | Commodity Risk | Total | |||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | 480,200 | $ | 480,200 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
* Cumulative appreciation(depreciation) of futures contracts as reported in the Schedule of Investments.
Only current day's variation margin, if any, is reported in the Statements of Assets and Liabilities.
DIREXION SEMI-ANNUAL REPORT
86
Transactions in derivative instruments during the period ended April 30, 2019, by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Commodity Risk | Equity Risk | Interest Rate Risk | Commodity Risk | |||||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Futures Contracts | $ | — | $ | — | $ | (478,600 | ) | $ | — | $ | — | $ | (47,791 | ) | ||||||||||||||||
Direxion FTSE Russell International Over US ETF | Swap Contracts | (22,135 | ) | — | — | (244,811 | ) | — | — | ||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | Swap Contracts | 28,586 | — | — | 383,139 | — | — | ||||||||||||||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | Swap Contracts | 2,122 | — | — | 859,289 | — | — | ||||||||||||||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | Swap Contracts | (75,252 | ) | — | — | (593,319 | ) | — | — | ||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | Swap Contracts | (6,940 | ) | — | — | 154,643 | — | — | |||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | Swap Contracts | (5,150 | ) | — | — | (77,833 | ) | — | — | ||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | Swap Contracts | 43,781 | — | — | 486,547 | — | — | ||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | Swap Contracts | (30,761 | ) | — | — | (274,435 | ) | — | — | ||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | Swap Contracts | (3,197 | ) | — | — | 289,881 | — | — | |||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | Swap Contracts | (9,537 | ) | — | — | (147,233 | ) | — | — | ||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | Swap Contracts | (316,998 | ) | — | — | 543,838 | — | — | |||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | Swap Contracts | (281,978 | ) | — | — | 734,068 | — | — | |||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | Swap Contracts | 476,493 | — | — | 497,050 | — | — | ||||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | Swap Contracts | (204,223 | ) | — | — | 217,797 | — | — | |||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | Swap Contracts | (2,566 | ) | — | — | 52,289 | — | — |
1 Statements of Operations location: Net realized gain (loss) on swap and futures contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap and futures contracts.
For the period ended April 30, 2019, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts | |||||||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | Long Futures Contracts | |||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | 25,753,223 | |||||||||
Direxion FTSE Russell International Over US ETF | 5,097,193 | 4,652,290 | — | ||||||||||||
Direxion FTSE Russell US Over International ETF | 5,601,977 | 5,201,824 | — | ||||||||||||
Direxion MSCI Cyclicals Over Defensives ETF | 5,439,878 | 5,011,891 | — |
DIREXION SEMI-ANNUAL REPORT
87
Quarterly Average Gross Notional Amounts | |||||||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | Long Futures Contracts | |||||||||||||
Direxion MSCI Defensives Over Cyclicals ETF | $ | 4,857,472 | $ | 4,222,915 | $ | — | |||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 4,965,679 | 4,543,005 | — | ||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 4,965,695 | 4,627,152 | — | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 8,066,485 | 7,563,680 | — | ||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 7,588,582 | 6,803,436 | — | ||||||||||||
Direxion Russell Large Over Small Cap ETF | 5,143,415 | 4,694,370 | — | ||||||||||||
Direxion Russell Small Over Large Cap ETF | 4,955,471 | 4,513,271 | — | ||||||||||||
PortfolioPlus Developed Markets ETF | 5,213,023 | — | — | ||||||||||||
PortfolioPlus Emerging Markets ETF | 3,738,663 | — | — | ||||||||||||
PortfolioPlus S&P 500® ETF | 14,093,059 | — | — | ||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 4,904,636 | — | — | ||||||||||||
PortfolioPlus S&P® Small Cap ETF | 2,522,049 | — | — |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of each respective Fund.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index
DIREXION SEMI-ANNUAL REPORT
88
performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and futures contracts may be used to create leverage. Certain Funds employ leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
DIREXION SEMI-ANNUAL REPORT
89
10. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date of the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On June 24, 2019, certain Funds declared income distributions with an ex-date of June 25, 2019 and payable date of July 2, 2019. The per share distribution amounts for each Fund was as follows:
Funds | Per Share Income Distribution | ||||||
Direxion All Cap Insider Sentiment Shares | $ | 0.26226 | |||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 0.07356 | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.10367 | ||||||
Direxion Zacks MLP High Income Index Shares | 0.40000 | ||||||
Direxion FTSE Russell International Over US ETF | 0.70848 | ||||||
Direxion FTSE Russell US Over International ETF | 0.43388 | ||||||
Direxion MSCI Cyclicals Over Defensives ETF | 0.19907 | ||||||
Direxion MSCI Defensives Over Cyclicals ETF | 0.29652 | �� | |||||
Direxion MSCI Developed Over Emerging Markets ETF | 0.94351 | ||||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.41899 | ||||||
Direxion Russell 1000® Growth Over Value ETF | 0.18876 | ||||||
Direxion Russell 1000® Value Over Growth ETF | 0.41040 | ||||||
Direxion Russell Large Over Small Cap ETF | 0.42994 | ||||||
Direxion Russell Small Over Large Cap ETF | 0.24307 | ||||||
PortfolioPlus Developed Markets ETF | 0.52229 | ||||||
PortfolioPlus Emerging Markets ETF | 0.01721 | ||||||
PortfolioPlus S&P 500® ETF | 0.74933 | ||||||
PortfolioPlus S&P® Mid Cap ETF | 0.94099 | ||||||
PortfolioPlus S&P® Small Cap ETF | 0.21256 |
Effective June 28, 2019, the Funds will change from an Operating Expense Limitation Agreement to an Operating Services Agreement. Under the new Operating Services Agreements, Rafferty and, for the PortfolioPlus ETFs, Direxion Advisors, LLC, will pay all of the expenses (with certain exceptions such as the Management Fees and Rule 12b-1 fees) of the Funds in exchange for a fee based on the net assets of each Fund. The total net expenses of each Fund will not change under the Operating Services Agreements. The table below shows the proposed operating services fees.
Direxion All Cap Insider Sentiment Shares | 0.19 | % | |||||
Direxion Auspice Broad Commodity Strategy ETF | 0.20 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.05 | % | |||||
Direxion Zacks MLP High Income Index Shares | 0.15 | % | |||||
Direxion FTSE Russell International Over US ETF | 0.05 | % | |||||
Direxion FTSE Russell US Over International ETF | 0.05 | % | |||||
Direxion MSCI Cyclicals Over Defensives ETF | 0.05 | % | |||||
Direxion MSCI Defensives Over Cyclicals ETF | 0.05 | % | |||||
Direxion MSCI Developed Over Emerging Markets ETF | 0.05 | % | |||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.05 | % | |||||
Direxion Russell 1000® Growth Over Value ETF | 0.05 | % | |||||
Direxion Russell 1000® Value Over Growth ETF | 0.05 | % | |||||
Direxion Russell Large Over Small Cap ETF | 0.05 | % | |||||
Direxion Russell Small Over Large Cap ETF | 0.05 | % | |||||
PortfolioPlus Developed Markets ETF | 0.05 | % | |||||
PortfolioPlus Emerging Markets ETF | 0.05 | % | |||||
PortfolioPlus S&P 500® ETF | 0.02 | % | |||||
PortfolioPlus S&P® Mid Cap ETF | 0.08 | % | |||||
PortfolioPlus S&P® Small Cap ETF | 0.05 | % |
DIREXION SEMI-ANNUAL REPORT
90
Effective June 28, 2019, the names of the following Funds will change to align with the name of their respective underlying indices.
Current Name | Proposed Name | ||||||
Direxion MSCI Cyclicals Over Defensives ETF | Direxion MSCI USA Cyclicals Over Defensives ETF | ||||||
Direxion MSCI Defensives Over Cyclicals ETF | Direxion MSCI USA Defensives Over Cyclicals ETF |
DIREXION SEMI-ANNUAL REPORT
91
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION SEMI-ANNUAL REPORT
92
Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Daniel D. O'Neill(1) Age: 51 | Chairman of the Board of Trustees | Lifetime of Trust until removal or resignation; Since 2008 | Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. | 135 | None. |
Independent Trustees
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Gerald E. Shanley III Age: 75 | Trustee | Lifetime of Trust until removal or resignation; Since 2008 | Retired, since 2002; Business Consultant, 1985 – present; Trustee of Trust Under Will of Charles S. Payson, 1987 – present; C.P.A., 1979 – present. | 135 | None. | ||||||||||||||||||
John A. Weisser Age: 77 | Trustee | Lifetime of Trust until removal or resignation; Since 2008 | Retired, since 1995; Salomon Brothers, Inc., 1971 – 1995, most recently as Managing Director. | 135 | Director until December 2016: The MainStay Funds Trust, The MainStay Funds, MainStay VP Fund Series, Mainstay Defined Term Municipal Opportunities Fund; Private Advisors Alternative Strategy Fund; Private Advisors Alternative Strategies Master Fund. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
93
Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
David L. Driscoll Age: 49 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Partner, King Associates, LLP, since 2004; Board Advisor, University Common Real Estate, since 2012; Principal, Grey Oaks LLP since 2003; Member, Kendrick LLC, since 2006. | 135 | None. | ||||||||||||||||||
Jacob C. Gaffey Age: 71 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. | 135 | None. | ||||||||||||||||||
Henry W. Mulholland Age: 56 | Trustee | Lifetime of Trust until removal or resignation; Since 2017 | Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. | 135 | None. |
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
94
Direxion Shares ETF Trust
Trustees and Officers
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(1) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Robert D. Nestor Age: 50 | President | One Year; Since 2018 | President, Rafferty Asset Management, LLC and Direxion Advisors, LLC, since April 2018; Blackrock, Inc. (May 2007 – April 2018), most recently as Managing Director. | N/A | N/A | ||||||||||||||||||
Patrick J. Rudnick Age: 45 | Principal Executive Officer Principal Financial Officer | One Year; Since 2018 One Year; Since 2010 | Senior Vice President, since March 2013, Rafferty Asset Management, LLC; Senior Vice President, since November 2017, Direxion Advisors, LLC. | N/A | N/A | ||||||||||||||||||
Angela Brickl Age: 43 | Chief Compliance Officer Secretary | One Year; Since 2018 One Year; Since 2011 | General Counsel, Rafferty Asset Management LLC, since October 2010 and Direxion Advisors, LLC, since November 2017; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012 and Direxion Advisors, LLC, since November 2017. | N/A | N/A |
(1) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
95
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Provided below is a summary of certain of the factors the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust"), including the trustees who are not "interested persons" as defined in the Investment Company Act of 1940, (the "Independent Trustees"), considered in approving the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC ("Rafferty") and the ETF Trust, on behalf of the Direxion Russell 1000® Value Over Growth ETF, Direxion Russell 1000® Growth Over Value ETF, Direxion Russell Large Over Small Cap ETF, Direxion Russell Small Over Large Cap ETF, Direxion MSCI Cyclicals Over Defensive ETF, Direxion MSCI Defensives Over Cyclical ETF, Direxion MSCI Emerging Over Developed Markets ETF, Direxion MSCI Developed Over Emerging Markets ETF, Direxion FTSE Russell US Over International ETF, and the Direxion FTSE Russell International Over US ETF at its November 20, 2018 meeting, each a series of the ETF Trust. On various dates, the Trustees approved Rafferty's recommended changes to the names and index names of certain of the Funds, and as a result, the Funds and/or their underlying indexes were renamed accordingly. Each series of the ETF Trust listed above is referred to herein as a "Fund" and collectively as the "Funds." In evaluating the Agreement, the Board reviewed materials furnished by Rafferty in response to inquiries circulated on behalf of the Board prior to the meeting.
The Board did not identify any particular information as most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight to the various factors discussed below. In determining whether to approve the Agreement, the Board considered the best interests of each Fund separately. The Board received a memorandum from counsel regarding the responsibilities of the Board with respect to the approval of the Agreement and participated in a question and answer session with representatives of Rafferty. The Board noted that the Funds had not yet commenced operations. Accordingly, the Board primarily considered the nature, extent and quality of the services to be provided by Rafferty, the advisory fee rates to be paid to Rafferty, the net expense ratio and break-even analysis with respect to each Fund.
Nature, Extent and Quality of Services Provided. The Board considered the nature, extent and quality of the services to be provided under the Agreement by Rafferty. The Board noted that Rafferty has provided services to the ETF Trust since its inception date and has developed an expertise in managing funds with investment strategies similar to the Funds, including strategies that depend on the effective and timely implementation of long and short positions. The Board considered Rafferty's representations that it has the financial resources and appropriate staffing to manage the Funds and to meet its contractual fee waiver and/or expense reimbursement obligations proposed. The Board considered that Rafferty currently effectively oversees all aspects of the operation of the other series of the ETF Trust, including such series' service providers, and provides high-quality compliance services to such series, and that Rafferty will provide the same suite and quality of services to the Funds. The Board acknowledged that the Funds did not have any prior performance history as they had not yet commenced operations.
Costs of Services Provided to the Funds and Profits Realized. The Board considered the fairness and reasonableness of the investment advisory fee rates proposed to be paid to Rafferty by the Funds, including in light of the investment advisory services to be provided by Rafferty under the Agreement. In this regard, the Board considered the advisory fee rate proposed for the Funds and the contractual fee waivers proposed for the Funds, pursuant to which Rafferty would waive fees and reimburse Fund expenses to cap each Fund's expense ratio, subject to certain exclusions. The Board considered Rafferty's presentation regarding the comparability of the advisory fee rate proposed for the Funds to the advisory fee rates charged to comparable exchange-traded funds and to the advisory fee rates charged to comparable series of the ETF Trust, allowing for certain management differences applicable to the Funds. The Board also considered the net expense ratios proposed for each Fund as compared to the net expense ratios of comparable exchange-traded funds, as well as the profitability of Rafferty. Because the Funds had not commenced operations, however, and Rafferty did not have any profit data specific to each Fund, the Board considered the break-even analysis provided by Rafferty for each Fund and noted that, as new series of the ETF Trust, it was unclear whether any Fund would reach break-even or be profitable to Rafferty. The Board considered the significant drivers of cost for Rafferty including, but not limited to, intellectual capital, portfolio rebalancing expertise, regulatory compliance, and entrepreneurial risk. The Board further considered the significant, and potentially prohibitive, costs that investors would likely incur if they independently sought to implement the investment strategies of the Funds.
DIREXION SEMI-ANNUAL REPORT
96
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Economies of Scale. The Board considered whether economies of scale may be realized by each Fund as it grows larger and the extent to which any such economies of scale are reflected in the Fund's contractual advisory fee rate. The Board acknowledged, however, that the Funds had not yet commenced operations and therefore did not yet have any assets, making any assessment of economies of scale premature.
Other Benefits. The Board considered Rafferty's representation that its relationship with the Funds may enable it to attract business to the other series of the ETF Trust and other funds managed by Rafferty. The Board also considered that Rafferty's relationship with brokerage firms may be enhanced by its management of the Funds and result in Rafferty's clients receiving better execution. The Board acknowledged that, for the same reasons, the Funds could benefit from Rafferty's management of other accounts, including other series of the ETF Trust.
Conclusion. Based on, but not limited to, the above considerations, the Board determined that the Agreement with respect to the Funds was fair and reasonable in light of the services to be performed by Rafferty, the fees and expenses to be incurred by the Funds, and such other matters as the Board considered relevant in the exercise of its reasonable business judgment. On this basis, the Board unanimously voted to approve the Agreement.
DIREXION SEMI-ANNUAL REPORT
97
SEMI–ANNUAL REPORT APRIL 30,2019
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com
www.portfolioplusetfs.com
Investment Advisers
Rafferty Asset Management, LLC
Direxion Advisors, LLC
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019
Administrator
U.S. Bancorp Fund Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York Mellon
101 Barclay Street
New York, New York 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
220 South 6th Street
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2019
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
1X BEAR FUNDS
Direxion Daily CSI 300 China A Share Bear 1X Shares
Direxion Daily S&P 500® Bear 1X Shares
Direxion Daily Total Bond Market Bear 1X Shares
Direxion Daily 7-10 Year Treasury Bear 1X Shares
Direxion Daily 20+ Year Treasury Bear 1X Shares
2X BULL FUNDS | 2X BEAR FUNDS | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
| ||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
| ||||||
Direxion Daily High Yield Bear 2X Shares | |||||||
Direxion Daily MSCI European Financials Bull 2X Shares |
| ||||||
Direxion Daily S&P 500® Bull 2X Shares |
| ||||||
Direxion Daily Small Cap Bull 2X Shares |
|
You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to info@direxionfunds.com.
IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the shareholder reports from your financial intermediary such as a broker-dealer or bank. Instead, annual and semi-annual shareholder reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to continue receive paper copies of shareholder reports through the mail or to otherwise change your delivery method, contact your financial intermediary or follow the instructions included with this disclosure. Your election to receive shareholder reports in paper will apply to all funds that you hold through the financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
Table of Contents
Letter to Shareholders | 4 | ||||||
Expense Example | 11 | ||||||
Allocation of Portfolio Holdings | 13 | ||||||
Schedules of Investments | 14 | ||||||
Statements of Assets and Liabilities | 26 | ||||||
Statements of Operations | 29 | ||||||
Statements of Changes in Net Assets | 32 | ||||||
Financial Highlights | 38 | ||||||
Notes to the Financial Statements | 40 | ||||||
Supplemental Information | 57 | ||||||
Trustees and Officers | 58 |
Help Preserve the Environment – Go Green!
Go paperless with Direxion e-Delivery – a service allowing shareholders to reduce clutter with full online access to regulatory documents. Begin the preservation process with e-delivery.
With Direxion e-Delivery, you can:
• Receive email notifications when your most recent shareholder communications are available for review.
• Access prospectuses, annual reports and semi-annual reports online.
It's easy to enroll:
1. Visit www.direxioninvestments.com/edelivery
2. Follow the simple enrollment instructions
If you have questions about Direxion e-Delivery services, contact one of our shareholder representatives at 800-851-0511.
Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2018 to April 30, 2019 (the "Semi-Annual Period").
Market Review:
U.S. equities entered the Semi-Annual Period amid continued concerns over global trade, as weakness in the technology sector led equity markets lower for the first part of November. Subsequent, dovish comments from the Federal Reserve, as it adjusted its language amid slowing global growth and a strengthening dollar, resulted in a positive monthly return for the S&P 500 during November. Volatility returned in Q4 2018, with equity stocks selling off precipitously during the month of December, with continued trade tensions with China leading to concerns of a broader global economic slowdown. A change of tone from the Federal Reserve towards rate flexibility in January 2019 proved a boon to both U.S. and international equities, as emerging markets specifically saw an increased appetite for risk. The topic of tariffs was a key, daily market driver from January on. Through February, UK equities struggled on ever-present Brexit concerns, while Asian equities gained on trade deal progress. Stocks continued to perform well through March and into April, with both the NASDAQ 100 and S&P 500 hitting all-time highs. Strong earnings from communication and financial sector stocks helped drive the domestic market higher through the end of the Semi-Annual Period, while developed and emerging country stocks lagged by comparison on lingering concerns, such as U.S.-China trade tensions and political uncertainties.
The fixed income markets began the Semi-Annual Period with the front-end of the Treasury curve moving into a slight inversion. With Personal Consumption Expenditures still hovering below the Federal Reserve's 2% target, the bond market had brushed off inflation expectations apparent in the narrowing spread between TIPS and standard treasury bonds. To start 2019, the Federal Reserve affirmed a neutral policy stance by removing any reference to gradual rate rises in its policy statement. In referencing patience, the FOMC had taken itself out of the interest-rate equation for the foreseeable future. With the Federal Reserve on the sidelines, U.S. and China trade war rhetoric has been the ultimate catalyst for price action in the bond markets. As investors became fearful of a drawn out trade war between the U.S. and China, bond markets continued to rally, pushing yields further down on the front-end and back-end of the treasury curve.
Factors Affecting Performance of Bear ETFs:
The following exchange-traded funds are considered the Bear ETFs: – Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® Bear 1X Shares, Direxion Daily Total Bond Market Bear 1X Shares, Direxion Daily 7-10 Year Treasury Bear 1X Shares and Direxion Daily 20+ Year Treasury Bear 1X Shares.
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described in the Market Review section.
Volatility and Compounding – The goal of the Bear ETFs is to provide the inverse of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide the inverse of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
Cost of Financing – In order to attain inverse exposure, a Bear ETF receives LIBOR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bear ETFs, the financing costs will have a positive effect
DIREXION SEMI-ANNUAL REPORT
4
on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
Equity Dividends and Bond Interest – The Bear ETFs are negatively impacted by bond interest as they are obligated to pay interest, accrued on a daily basis. The Bear ETFs are also negatively impacted by index dividends as they are obligated to pay the dividends.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index funds' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of derivatives, shorting securities, frequent creation and redemption activity, or trading securities that are comparatively less liquid.
Bear ETFs Performance Review:
The next discussion relates to the performance of the Bear ETFs for the Semi-Annual Period. The Bear ETFs seek daily investment results, before fees and expenses, of -100% of the performance of a particular benchmark, meaning that the Bear ETFs attempt to move in the opposite direction, or inverse, of the benchmark.
In seeking to achieve each Bear ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each Bear ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with a Bear ETF's objective. As a consequence, if a Bear ETF is performing as designed, the return of the benchmark will dictate the return of that ETF. Each Bear ETF pursues its investment objectives regardless of market conditions and does not take defensive positions.
The Bear ETFs, as stated above, seek daily investment results. They do not seek to track of 100% of the inverse (or opposite) of their respective benchmarks for periods longer than one day and the performance of the ETFs over longer periods may not correlate to the benchmarks performance. The Bear ETFs should not be held by investors for long periods. The Bear ETFs should be used as short-term trading vehicles. These products are not suitable for all investors and should be utilized only by sophisticated investors who understand the risks associated with the inverse ETFs, such as risks related to shorting and cash transactions, and intend to actively monitor and manage their investments.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives, in general, are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each Bear ETF seeks daily investment results of its respective benchmark, a comparison of the annual return of the Bear ETF to the respective benchmark tells you little about whether a Bear ETF has met its investment objective. To determine if the Bear ETFs have met their daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the Bear ETF's expense ratio or any transaction or trading fees associated with creating or maintaining a Bear ETF's portfolio. A brief comparison of the actual returns versus the expected returns for each of the Bear ETFs during the Semi-Annual Period follows below.
The Direxion Daily CSI 300 China A Share Bear 1X Shares seeks to provide -100% of the daily return of the CSI 300 Index. The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. For the Semi-Annual Period, the CSI 300 Index
DIREXION SEMI-ANNUAL REPORT
5
returned 26.41%. The Direxion Daily CSI 300 China A Share Bear 1X Shares returned -23.14%, while the model indicated an expected return of -23.90%.
The Direxion Daily S&P 500® Bear 1X Shares seeks to provide -100% of the daily return of the S&P 500® Index. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted, market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned 9.76%. The Direxion Daily S&P 500® Bear 1X Shares returned -8.17%, while the model indicated an expected return of -10.22%.
The Direxion Daily Total Bond Market Bear 1X Shares seeks to provide -100% of the daily return of the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays U.S. Aggregate Bond Index measures the performance of the investment grade, U.S. Dollar denominated, fixed-rate taxable bond market, and is composed of U.S. Treasury bonds, government-related bonds, investment-grade corporate bonds, mortgage pass-through securities, commercial mortgage-backed securities and asset-backed securities. For the Semi-Annual Period, the Bloomberg Barclays U.S. Aggregate Bond Index returned 5.49%. The Direxion Daily Total Bond Market Bear 1X Shares returned -3.27%, while the model indicated an expected return of -5.40%.
The Direxion Daily 7-10 Year Treasury Bear 1X Shares seeks to provide -100% of the daily return of the ICE U.S. Treasury 7-10 Year Bond Index. The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 7-10 Year Bond Index returned 6.64%. The Direxion Daily 7-10 Year Treasury Bear 1X Shares returned -4.58%, while the model indicated an expected return of -6.27%.
The Direxion Daily 20+ Year Treasury Bear 1X Shares seeks to provide -100% of the daily return of the ICE U.S. Treasury 20+ Year Bond Index. The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 20+ Year Bond Index returned 10.60%. The Direxion Daily 20+ Year Treasury Bear 1X Shares returned -8.11%, while the model indicated an expected return of -9.80%.
Leveraged ETFs Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 200% or -200% of the performance of a particular benchmark.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods of longer than one day and the performance of the ETFs over longer periods may not correlate to the benchmarks performance. The ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors and should be utilized only by sophisticated investors who understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.
DIREXION SEMI-ANNUAL REPORT
6
The ETFs with the word "Bull" in their name (the "Bull ETFs") attempt to provide investment results that correlate to 200% of the return of an index or benchmark, meaning the Bull Funds attempt to move in the same direction as the target index or benchmark.
The Funds with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -200% of the return of an index or benchmark, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of the target index or benchmark.
In seeking to achieve each ETF's daily investment results, Rafferty relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the index or benchmark will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.
Each ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if the ETFs have met their daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.
Factors Affecting Leveraged ETF Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results (before fees and expenses) of 200% (for the Bull ETFs) or -200% (for the Bear ETFs) of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
DIREXION SEMI-ANNUAL REPORT
7
Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of LIBOR plus or minus a spread and a Bear ETF receives LIBOR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bear ETFs, the financing costs will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time but deviates from its underlying index in the short-term.
Equity Dividends and Bond Interest – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Equity Bear ETFs are negatively impacted as they are obligated to pay the dividends. Treasury Bull ETFs receive interest, accrued on a daily basis, to account for the Treasury's annual coupon payments while the Treasury Bear ETFs pay interest, accrued on a daily basis.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.
Leveraged ETFs Performance Review:
The Direxion Daily CSI 300 China A Share Bull 2X Shares seeks to provide 200% of the daily return of the CSI 300 Index. The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. For the Semi-Annual Period, the CSI 300 Index returned 26.41%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily CSI 300 China A Share Bull 2X Shares returned 53.56%, while the model indicated an expected return 53.87%.
The Direxion Daily CSI China Internet Index Bull 2X Shares seeks to provide 200% of the daily return of the CSI Overseas China Internet Index. The CSI Overseas China Internet Index is provided by China Securities Index Co., LTD. The index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the internet and internet-related sectors, as defined by the index sponsor, China Securities Index Co., Ltd. A China-based company is a company that meets at least one of the following criteria: 1) the company is incorporated in mainland China; 2) its headquarters are in mainland China; or 3) at least 50% of the revenue from goods produced or sold, or services performed in mainland China. The index provider then removes securities that during the past year had a daily average trading value of less than $500,000 or a daily average market capitalization of less than $500 million. For the Semi-Annual Period, the CSI Overseas China Internet Index returned 20.76%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily CSI China Internet Index Bull 2X Shares returned 34.54% for the same period, while the model indicated an expected return of 37.68%.
The Direxion Daily High Yield Bear 2X Shares seeks to provide -200% of the daily return of the Bloomberg Barclays U.S. High Yield Very Liquid Index. The Bloomberg Barclays U.S. High Yield Very Liquid Index measures the performance of publicly issued U.S. Dollar-denominated, non-investment grade or high-yield, fixed-rate, taxable corporate bonds, also known as "junk bonds." The index includes bonds that have a remaining maturity of at least one year, are rated high-yield (Ba1/BB+/BB+ or below) using the middle rating of Moody's, Fitch or Standard & Poor's, respectively, and have $500 million or more of outstanding face value. A bond must have been issued within the past five years. For the Semi-Annual Period,
DIREXION SEMI-ANNUAL REPORT
8
the Bloomberg Barclays U.S. High Yield Very Liquid Index returned 6.18%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily High Yield Bear 2X Shares returned -10.97%, while the model indicated an expected return of -11.81%.
The Direxion Daily MSCI European Financials Bull 2X Shares seeks to provide 200% of the daily return of the MSCI Europe Financials Index. The MSCI Europe Financials Index is provided by MSCI Inc. and is a free float-adjusted, market capitalization-weighted index and represents securities of large-capitalization and mid-capitalization companies across developed market countries in Europe. All component securities in the index are classified in the financials sector per the Global Industry Classification Standards. For the Semi-Annual Period, the MSCI Europe Financials Index returned 7.67%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily MSCI European Financials Bull 2X Shares returned 11.76%, while the model indicated an expected return of 13.93%.
The Direxion Daily S&P 500® Bull 2X Shares seek to provide 200% of the daily return of the S&P 500® Index. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted. For the Semi-Annual Period, the S&P 500® Index returned 9.76%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily S&P 500® Bull 2X Shares returned 16.91%, while the model indicated an expected return of 18.75%.
The Direxion Daily Small Cap Bull 2X Shares seeks to provide 200% of the daily return of the Russell 2000® Index. The Russell 2000® Index measures the performance of approximately 2,000 small-capitalization companies in the Russell 3000® Index, based on a combination of their market capitalization and current index membership. For the Semi-Annual Period, the Russell 2000® Index returned 6.06%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Small Cap Bull 2X Shares returned 8.70%, while the model indicated an expected return of 10.27%.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
Patrick Rudnick Principal Executive Officer Principal Financial Officer |
Past performance is not indicative of future results. One cannot invest directly in an index. Recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Carefully consider the investment objectives, risks, and charges and expenses of the ETFs before investing. This and other information can be found in the ETFs' statutory and summary prospectus. To obtain a prospectus, please visit www.direxioninvestments.com or call 1.866.476.7523.
DIREXION SEMI-ANNUAL REPORT
9
There is no guarantee the ETFs will achieve their intended objective. Investing in the ETFs may be more volatile than investing in broadly diversified ETFs. The use of leverage by an ETF means the ETFs are riskier than alternatives which do not use leverage.
Short-term performance, in particular, is not a good indication of the ETF's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, ETF performance may be subject to substantial short-term changes. For additional information, see the ETF's prospectus.
The ETFs are designed to be utilized only by sophisticated investors, such as traders and active investors employing dynamic strategies. Such investors are expected to monitor and manage their portfolios frequently. Investors in the ETFs should (a) understand the consequences of seeking daily investment results, (b) understand the risk of shorting, and (c) intend to actively monitor and manage their investments.
Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense reimbursements or recoupments and fee waivers in effect during certain periods shown. Absent these reimbursements or recoupments and fee waivers, results would have been less favorable.
LIBOR (London Interbank Offered Rate) is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks.
Futures Contract: an agreement traded on an organized exchange to buy or sell assets, especially commodities or shares, at a fixed price but to be delivered and paid for later.
Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration risk that results from the ETFs' investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts, forward contracts, options and swaps are subject to market risks that may cause their price to fluctuate over time. The ETF does not attempt to, and should not be expected to; provide returns which are a multiple of the return of the Index for periods other than a single day. For other risks including correlation, leverage, compounding, market volatility and specific risks regarding each sector, please read the prospectus.
The views of this letter were those of the Adviser as of April 30, 2019 and may not necessarily reflect his views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION SEMI-ANNUAL REPORT
10
Expense Example (Unaudited)
April 30, 2019
As a shareholder of the Direxion Shares ETF Trust, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2018 to April 30, 2019).
Actual expenses
The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2018 to April 30, 2019" to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period November 1, 2018 to April 30, 2019* | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.94 | % | $ | 1,000.00 | $ | 768.60 | $ | 4.12 | |||||||||||
Based on hypothetical 5% return | 0.94 | % | 1,000.00 | 1,020.13 | 4.71 | ||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.46 | % | 1,000.00 | 918.30 | 2.19 | ||||||||||||||
Based on hypothetical 5% return | 0.46 | % | 1,000.00 | 1,022.51 | 2.31 | ||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 967.30 | 2.20 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.56 | 2.26 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.46 | % | 1,000.00 | 954.20 | 2.23 | ||||||||||||||
Based on hypothetical 5% return | 0.46 | % | 1,000.00 | 1,022.51 | 2.31 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.48 | % | 1,000.00 | 918.90 | 2.28 | ||||||||||||||
Based on hypothetical 5% return | 0.48 | % | 1,000.00 | 1,022.41 | 2.41 |
DIREXION SEMI-ANNUAL REPORT
11
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period November 1, 2018 to April 30, 2019* | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.13 | % | $ | 1,000.00 | $ | 1,535.60 | $ | 7.10 | |||||||||||
Based on hypothetical 5% return | 1.13 | % | 1,000.00 | 1,019.19 | 5.66 | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | 1,000.00 | 1,345.40 | 5.87 | ||||||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.79 | 5.06 | ||||||||||||||
Direxion Daily High Yield Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.80 | % | 1,000.00 | 890.30 | 3.75 | ||||||||||||||
Based on hypothetical 5% return | 0.80 | % | 1,000.00 | 1,020.83 | 4.01 | ||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.83 | % | 1,000.00 | 1,117.60 | 4.36 | ||||||||||||||
Based on hypothetical 5% return | 0.83 | % | 1,000.00 | 1,020.68 | 4.16 | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.31 | % | 1,000.00 | 1,169.10 | 1.67 | ||||||||||||||
Based on hypothetical 5% return | 0.31 | % | 1,000.00 | 1,023.26 | 1.56 | ||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.43 | % | 1,000.00 | 1,087.00 | 2.23 | ||||||||||||||
Based on hypothetical 5% return | 0.43 | % | 1,000.00 | 1,022.66 | 2.16 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2018 to April 30, 2019), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
12
Allocation of Portfolio Holdings (Unaudited)
April 30, 2019
Cash* | Investment Companies | Swaps | Total | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | 115 | % | — | (15 | )% | 100 | % | ||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 111 | % | — | (11 | )% | 100 | % | ||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | 103 | % | — | (3 | )% | 100 | % | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | 102 | % | — | (2 | )% | 100 | % | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 104 | % | — | (4 | )% | 100 | % | ||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 44 | % | 41 | % | 15 | % | 100 | % | |||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 64 | % | 32 | % | 4 | % | 100 | % | |||||||||||
Direxion Daily High Yield Bear 2X Shares | 116 | % | — | (16 | )% | 100 | % | ||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 26 | % | 68 | % | 6 | % | 100 | % | |||||||||||
Direxion Daily S&P 500® Bull 2X Shares | (6 | )% | 98 | % | 8 | % | 100 | % | |||||||||||
Direxion Daily Small Cap Bull 2X Shares | (2 | )% | 94 | % | 8 | % | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
DIREXION SEMI-ANNUAL REPORT
13
Direxion Daily CSI 300 China A Share Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 38.3% | |||||||||||
Money Market Funds - 38.3% | |||||||||||
1,877,124 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 1,877,124 | ||||||||
6,495,123 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 6,495,123 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,372,247) (b) | $ | 8,372,247 | |||||||||
TOTAL INVESTMENTS (Cost $8,372,247) - 38.3% | $ | 8,372,247 | |||||||||
Other Assets in Excess of Liabilities - 61.7% | 13,491,456 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 21,863,703 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $8,372,247.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.7809% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | Bank of America Merrill Lynch | 12/9/2019 | 249,180 | $ | 7,349,421 | $ | 131,200 | |||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | Credit Suisse Capital LLC | 12/10/2019 | 112,438 | 2,521,010 | (725,819 | ) | ||||||||||||||||||||
2.1374% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | Citibank N.A. | 12/11/2019 | 121,161 | 2,789,126 | (707,723 | ) | ||||||||||||||||||||
1.7574% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 1/15/2020 | 61,248 | 1,362,387 | (922,980 | ) | ||||||||||||||||||||
1.7574% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 2/19/2020 | 209,896 | 4,925,411 | (1,143,477 | ) | ||||||||||||||||||||
$ | 18,947,355 | $ | (3,368,799 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
14
Direxion Daily S&P 500® Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 26.0% | |||||||||||
Money Market Funds - 26.0% | |||||||||||
3,518,408 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 3,518,408 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,518,408) (b) | $ | 3,518,408 | |||||||||
TOTAL INVESTMENTS (Cost $3,518,408) - 26.0% | $ | 3,518,408 | |||||||||
Other Assets in Excess of Liabilities - 74.0% | 10,010,827 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 13,529,235 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,518,408.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.6174% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Credit Suisse Capital LLC | 12/13/2019 | 4,593 | $ | 11,995,574 | $ | (1,515,933 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
15
Direxion Daily Total Bond Market Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 21.4% | |||||||||||
Money Market Funds - 21.4% | |||||||||||
663,887 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 663,887 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $663,887) (b) | $ | 663,887 | |||||||||
TOTAL INVESTMENTS (Cost $663,887) - 21.4% | $ | 663,887 | |||||||||
Other Assets in Excess of Liabilities - 78.6% | 2,436,537 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,100,424 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $663,887.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.0374% representing 1 month LIBOR rate + spread | Total return of iShares Core U.S. Aggregate Bond ETF | Credit Suisse Capital LLC | 12/10/2019 | 28,552 | $ | 3,019,073 | $ | (86,472 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
16
Direxion Daily 7-10 Year Treasury Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 14.9% | |||||||||||
Money Market Funds - 14.9% | |||||||||||
206,598 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 206,598 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $206,598) (b) | $ | 206,598 | |||||||||
TOTAL INVESTMENTS (Cost $206,598) - 14.9% | $ | 206,598 | |||||||||
Other Assets in Excess of Liabilities - 85.1% | 1,178,600 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,385,198 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $206,598.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.0874% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/09/2019 | 13,080 | $ | 1,362,433 | $ | (26,302 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Daily 20+ Year Treasury Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 15.5% | |||||||||||
Money Market Funds - 15.5% | |||||||||||
615,838 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 615,838 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $615,838) (b) | $ | 615,838 | |||||||||
TOTAL INVESTMENTS (Cost $615,838) - 15.5% | $ | 615,838 | |||||||||
Other Assets in Excess of Liabilities - 84.5% | 3,364,165 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,980,003 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $615,838.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
1.8674% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Citibank N.A. | 10/17/2019 | 2,071 | $ | 233,184 | $ | (23,795 | ) | ||||||||||||||||||
2.3074% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/10/2019 | 30,117 | 3,611,237 | (115,749 | ) | ||||||||||||||||||||
$ | 3,844,421 | $ | (139,544 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Direxion Daily CSI 300 China A Share Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 40.8% | |||||||||||
2,434,779 | Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF (a)(b) | $ | 70,608,591 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $71,128,396) | $ | 70,608,591 | |||||||||
SHORT TERM INVESTMENTS - 41.1% | |||||||||||
Money Market Funds - 41.1% | |||||||||||
48,285,171 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 48,285,171 | ||||||||
22,721,395 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 22,721,395 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $71,006,566) | $ | 71,006,566 | |||||||||
TOTAL INVESTMENTS (Cost $142,134,962) - 81.9% (e) | $ | 141,615,157 | |||||||||
Other Assets in Excess of Liabilities - 18.1% | 31,245,382 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 172,860,539 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $79,918,451.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 7/17/2019 | 393,129 | $ | 10,282,667 | $ | 1,496,584 | |||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 8/21/2019 | 474,837 | 11,869,998 | 2,085,520 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 9/18/2019 | 589,818 | 14,443,193 | 2,869,393 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 10/16/2019 | 184,725 | 4,561,116 | 853,476 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 11/20/2019 | 602,819 | 14,303,023 | 3,338,734 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.9574% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2019 | 1,466,846 | 33,567,291 | 8,729,918 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion Daily CSI 300 China A Share Bull 2X Shares
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.4674% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2019 | 576,263 | $ | 13,181,228 | $ | 3,502,638 | |||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.8809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/10/2019 | 3,962,853 | 117,474,643 | (2,794,302 | ) | ||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 427,872 | 10,067,985 | 2,388,317 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 29,659 | 676,360 | 181,121 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.6774% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 777,839 | 18,709,166 | 3,738,987 | |||||||||||||||||||||
$ | 249,136,670 | $ | 26,390,386 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily CSI China Internet Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 32.1% | |||||||||||
500,214 | KraneShares CSI China Internet ETF (a)(b) | $ | 24,385,432 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $23,442,590) | $ | 24,385,432 | |||||||||
SHORT TERM INVESTMENTS - 59.2% | |||||||||||
Money Market Funds - 59.2% | |||||||||||
18,795,550 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 18,795,550 | ||||||||
26,174,601 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 26,174,601 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $44,970,151) | $ | 44,970,151 | |||||||||
TOTAL INVESTMENTS (Cost $68,412,741) - 91.3% (e) | $ | 69,355,583 | |||||||||
Other Assets in Excess of Liabilities - 8.7% | 6,558,922 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 75,914,505 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,757,358.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.1374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/13/2019 | 290,304 | $ | 11,900,460 | $ | 2,144,391 | |||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.0374% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 1,611,444 | 78,010,004 | 179,314 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.0374% representing 1 month LIBOR rate + spread | BNP Paribas | 9/16/2020 | 110,055 | 5,156,007 | 187,418 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.0374% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 405,651 | 19,196,138 | 526,469 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.0374% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 105,189 | 5,166,962 | (47,331 | ) | ||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.0374% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 53,810 | 2,616,972 | 5,000 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 3.0374% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 37,774 | 1,853,585 | (13,152 | ) | ||||||||||||||||||||
$ | 123,900,128 | $ | 2,982,109 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily High Yield Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 50.7% | |||||||||||
Money Market Funds - 50.7% | |||||||||||
1,694,748 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 1,694,748 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,694,748) (b) | $ | 1,694,748 | |||||||||
TOTAL INVESTMENTS (Cost $1,694,748) - 50.7% | $ | 1,694,748 | |||||||||
Other Assets in Excess of Liabilities - 49.3% | 1,649,686 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,344,434 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,694,748.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.2374% representing 1 month LIBOR rate + spread | Total return of SPDR Bloomberg Barclays High Yield Bond ETF | Credit Suisse Capital LLC | 12/13/2019 | 184,419 | $ | 6,249,085 | $ | (523,165 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily MSCI European Financials Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 67.6% | |||||||||||
324,802 | iShares MSCI Europe Financials ETF (a)(b) | $ | 6,356,375 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $6,778,560) | $ | 6,356,375 | |||||||||
SHORT TERM INVESTMENTS - 33.9% | |||||||||||
Money Market Funds - 33.9% | |||||||||||
1,866,010 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 1,866,010 | ||||||||
1,319,073 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 1,319,073 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,185,083) | $ | 3,185,083 | |||||||||
TOTAL INVESTMENTS (Cost $9,963,643) - 101.5% (e) | $ | 9,541,458 | |||||||||
Liabilities in Excess of Other Assets - (1.5)% | (144,475 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,396,983 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,667,473.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI Europe Financials ETF | 2.9374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/13/2019 | 272,880 | $ | 4,736,147 | $ | 559,573 | |||||||||||||||||||
Total return of iShares MSCI Europe Financials ETF | 2.9874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2019 | 362,664 | 7,091,888 | (3,044 | ) | ||||||||||||||||||||
$ | 11,828,035 | $ | 556,529 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.7% | |||||||||||
24,859 | iShares Core S&P 500 ETF (a) | $ | 7,356,772 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $6,405,322) | $ | 7,356,772 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
14 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 14 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14) | $ | 14 | |||||||||
TOTAL INVESTMENTS (Cost $6,405,336) - 97.7% (c) | $ | 7,356,786 | |||||||||
Other Assets in Excess of Liabilities - 2.3% | 175,056 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,531,842 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,653,096.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P 500® Index | 2.7874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2019 | 2,418 | $ | 6,508,333 | $ | 604,084 | |||||||||||||||||||
Total return of S&P 500® Index | 2.8374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 198 | 571,998 | 10,776 | |||||||||||||||||||||
$ | 7,080,331 | $ | 614,860 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily Small Cap Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 94.2% | |||||||||||
19,625 | iShares Russell 2000 ETF (a) | $ | 3,106,441 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $2,768,743) | $ | 3,106,441 | |||||||||
SHORT TERM INVESTMENTS - 4.2% | |||||||||||
Money Market Funds - 4.2% | |||||||||||
138,754 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 138,754 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $138,754) | $ | 138,754 | |||||||||
TOTAL INVESTMENTS (Cost $2,907,497) - 98.4% (c) | $ | 3,245,195 | |||||||||
Other Assets in Excess of Liabilities - 1.6% | 51,460 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,296,655 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,994,863.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.7274% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2019 | 407 | $ | 639,166 | $ | 7,779 | |||||||||||||||||||
Total return of Russell 2000® Index | 2.7574% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/26/2019 | 1,784 | 2,583,979 | 243,965 | |||||||||||||||||||||
$ | 3,223,145 | $ | 251,744 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily Total Bond Market Bear 1X Shares | Direxion Daily 7-10 Year Treasury Bear 1X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 8,372,247 | $ | 3,518,408 | $ | 663,887 | $ | 206,598 | |||||||||||
Cash equivalents | 17,020,871 | 11,492,504 | 2,532,027 | 1,203,703 | |||||||||||||||
Due from investment adviser, net (Note 6) | — | 51 | 3,200 | 3,220 | |||||||||||||||
Dividend and interest receivable | 47,237 | 26,501 | 6,127 | 2,730 | |||||||||||||||
Due from broker for swap contracts | 655 | 31 | — | 7 | |||||||||||||||
Unrealized appreciation on swap contracts | 131,200 | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 12,236 | 30,286 | 1,225 | 21,189 | |||||||||||||||
Total Assets | 25,584,446 | 15,067,781 | 3,206,466 | 1,437,447 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 3,499,999 | 1,515,933 | 86,472 | 26,302 | |||||||||||||||
Due to investment adviser, net (Note 6) | 6,179 | — | — | — | |||||||||||||||
Due to broker for swap contracts | 150,773 | 4,758 | 107 | 69 | |||||||||||||||
Accrued expenses and other liabilities | 63,792 | 17,855 | 19,463 | 25,878 | |||||||||||||||
Total Liabilities | 3,720,743 | 1,538,546 | 106,042 | 52,249 | |||||||||||||||
Net Assets | $ | 21,863,703 | $ | 13,529,235 | $ | 3,100,424 | $ | 1,385,198 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 39,804,617 | $ | 25,892,566 | $ | 5,727,561 | $ | 2,305,774 | |||||||||||
Total distributable loss | (17,940,914 | ) | (12,363,331 | ) | (2,627,137 | ) | (920,576 | ) | |||||||||||
Net Assets | $ | 21,863,703 | $ | 13,529,235 | $ | 3,100,424 | $ | 1,385,198 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 21,863,703 | $ | 13,529,235 | $ | 3,100,424 | $ | 1,385,198 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 750,000 | 499,983 | 100,001 | 50,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 29.15 | $ | 27.06 | $ | 31.00 | $ | 27.70 | |||||||||||
Cost of Investments | $ | 8,372,247 | $ | 3,518,408 | $ | 663,887 | $ | 206,598 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily 20+ Year Treasury Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily High Yield Bear 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 615,838 | $ | 141,615,157 | $ | 69,355,583 | $ | 1,694,748 | |||||||||||
Cash equivalents | 3,500,229 | 49,144,970 | 25,030,607 | 2,185,144 | |||||||||||||||
Due from investment adviser, net (Note 6) | 2,540 | — | — | 2,158 | |||||||||||||||
Dividend and interest receivable | 7,941 | 199,627 | 101,432 | 7,401 | |||||||||||||||
Due from broker for swap contracts | — | — | 73,098 | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | 29,184,688 | 3,042,592 | — | |||||||||||||||
Prepaid expenses and other assets | 12,347 | 5,375 | 15,621 | 11,862 | |||||||||||||||
Total Assets | 4,138,895 | 220,149,817 | 97,618,933 | 3,901,313 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 16,010,917 | 18,795,550 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 139,544 | 2,794,302 | 60,483 | 523,165 | |||||||||||||||
Due to investment adviser, net (Note 6) | — | 115,070 | 47,601 | — | |||||||||||||||
Due to broker for swap contracts | 1,769 | 28,310,000 | 2,752,000 | 1,026 | |||||||||||||||
Accrued expenses and other liabilities | 17,579 | 58,989 | 48,794 | 32,688 | |||||||||||||||
Total Liabilities | 158,892 | 47,289,278 | 21,704,428 | 556,879 | |||||||||||||||
Net Assets | $ | 3,980,003 | $ | 172,860,539 | $ | 75,914,505 | $ | 3,344,434 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 8,166,958 | $ | 190,900,688 | $ | 114,542,487 | $ | 5,259,430 | |||||||||||
Total distributable loss | (4,186,955 | ) | (18,040,149 | ) | (38,627,982 | ) | (1,914,996 | ) | |||||||||||
Net Assets | $ | 3,980,003 | $ | 172,860,539 | $ | 75,914,505 | $ | 3,344,434 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 3,980,003 | $ | 172,860,539 | $ | 75,914,505 | $ | 3,344,434 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 200,001 | 7,100,000 | 2,500,001 | 200,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 19.90 | $ | 24.35 | $ | 30.37 | $ | 16.72 | |||||||||||
Cost of Investments | $ | 615,838 | $ | 142,134,962 | $ | 68,412,741 | $ | 1,694,748 |
* Securities loaned with values of $–,$15,660,860,$18,398,860 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily MSCI European Financials Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Small Cap Bull 2X Shares | |||||||||||||
Assets: | |||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 9,541,458 | $ | 7,356,786 | $ | 3,245,195 | |||||||||
Cash equivalents | 1,776,037 | 105,114 | 57,744 | ||||||||||||
Due from investment adviser, net (Note 6) | — | — | 728 | ||||||||||||
Dividend and interest receivable | 7,672 | 410 | — | ||||||||||||
Due from broker for swap contracts | 3,951 | — | 1,445 | ||||||||||||
Unrealized appreciation on swap contracts | 559,573 | 614,860 | 251,744 | ||||||||||||
Prepaid expenses and other assets | 12,934 | 3,447 | 3,705 | ||||||||||||
Total Assets | 11,901,625 | 8,080,617 | 3,560,561 | ||||||||||||
Liabilities: | |||||||||||||||
Collateral for securities loaned (Note 2) | 1,866,010 | — | — | ||||||||||||
Unrealized depreciation on swap contracts | 3,044 | — | — | ||||||||||||
Due to investment adviser, net (Note 6) | 3,044 | 1,187 | — | ||||||||||||
Due to broker for swap contracts | 607,290 | 530,000 | 250,044 | ||||||||||||
Accrued expenses and other liabilities | 25,254 | 17,588 | 13,862 | ||||||||||||
Total Liabilities | 2,504,642 | 548,775 | 263,906 | ||||||||||||
Net Assets | $ | 9,396,983 | $ | 7,531,842 | $ | 3,296,655 | |||||||||
Net Assets Consist of: | |||||||||||||||
Capital stock | $ | 12,654,304 | $ | 5,384,043 | $ | 2,888,893 | |||||||||
Total distributable earnings (loss) | (3,257,321 | ) | 2,147,799 | 407,762 | |||||||||||
Net Assets | $ | 9,396,983 | $ | 7,531,842 | $ | 3,296,655 | |||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||
Net assets | $ | 9,396,983 | $ | 7,531,842 | $ | 3,296,655 | |||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 300,002 | 133,236 | 66,644 | ||||||||||||
Net assets value, redemption price and offering price per share | $ | 31.32 | $ | 56.53 | $ | 49.47 | |||||||||
Cost of Investments | $ | 9,963,643 | $ | 6,405,336 | $ | 2,907,497 |
* Securities loaned with values of $1,828,680,$– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily Total Bond Market Bear 1X Shares | Direxion Daily 7-10 Year Treasury Bear 1X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Interest income | $ | 572,170 | $ | 173,462 | $ | 35,987 | $ | 15,941 | |||||||||||
Total investment income | 572,170 | 173,462 | 35,987 | 15,941 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 148,268 | 25,059 | 5,488 | 2,456 | |||||||||||||||
Interest expense | 36,772 | 788 | — | 40 | |||||||||||||||
Fund servicing fees | 13,392 | 4,276 | 1,309 | 849 | |||||||||||||||
Licensing fees | 9,672 | 9,917 | 13,497 | 10,797 | |||||||||||||||
Professional fees | 8,548 | 5,987 | 5,183 | 5,059 | |||||||||||||||
Management service fees (Note 6) | 6,341 | 1,812 | 402 | 180 | |||||||||||||||
Reports to shareholders | 4,311 | 1,235 | 268 | 120 | |||||||||||||||
Pricing fees | 2,976 | 2,975 | 2,976 | 2,975 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 992 | 290 | 63 | 28 | |||||||||||||||
Insurance fees | 641 | 184 | 40 | 18 | |||||||||||||||
Other | 1,190 | 315 | 68 | 31 | |||||||||||||||
Total Expenses | 235,583 | 55,318 | 31,774 | 25,033 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 1,573 | — | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (5,090 | ) | (22,311 | ) | (24,718 | ) | (21,835 | ) | |||||||||||
Net Expenses | 232,066 | 33,007 | 7,056 | 3,198 | |||||||||||||||
Net investment income | 340,104 | 140,455 | 28,931 | 12,743 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Swap contracts | 2,618,235 | (195,360 | ) | (14,755 | ) | (16,370 | ) | ||||||||||||
Net realized gain (loss) | 2,618,235 | (195,360 | ) | (14,755 | ) | (16,370 | ) | ||||||||||||
Change in net unrealized depreciation on: | |||||||||||||||||||
Swap contracts | (11,045,945 | ) | (1,613,921 | ) | (119,343 | ) | (62,871 | ) | |||||||||||
Change in net unrealized depreciation | (11,045,945 | ) | (1,613,921 | ) | (119,343 | ) | (62,871 | ) | |||||||||||
Net realized and unrealized loss | (8,427,710 | ) | (1,809,281 | ) | (134,098 | ) | (79,241 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (8,087,606 | ) | $ | (1,668,826 | ) | $ | (105,167 | ) | $ | (66,498 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily 20+ Year Treasury Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily High Yield Bear 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 164,589 | $ | 6,425 | $ | — | |||||||||||
Interest income | 54,608 | 945,466 | 545,431 | 43,197 | |||||||||||||||
Securities lending income | — | 23,838 | 5,772 | — | |||||||||||||||
Total investment income | 54,608 | 1,133,893 | 557,628 | 43,197 | |||||||||||||||
Expenses: | |||||||||||||||||||
Licensing fees | 10,797 | 15,878 | 9,205 | 13,497 | |||||||||||||||
Investment advisory fees (Note 6) | 8,253 | 396,977 | 228,468 | 10,893 | |||||||||||||||
Professional fees | 5,296 | 12,391 | 9,259 | 5,219 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Fund servicing fees | 1,722 | 27,790 | 16,243 | 1,439 | |||||||||||||||
Interest expense | 661 | 96,345 | 23,802 | — | |||||||||||||||
Management service fees (Note 6) | 604 | 13,553 | 7,803 | 465 | |||||||||||||||
Reports to shareholders | 405 | 8,925 | 5,164 | 311 | |||||||||||||||
Trustees' fees and expenses | 95 | 2,110 | 1,217 | 73 | |||||||||||||||
Insurance fees | 59 | 1,328 | 768 | 46 | |||||||||||||||
Other | 102 | 2,997 | 1,791 | 79 | |||||||||||||||
Total Expenses | 33,450 | 583,750 | 309,176 | 37,478 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 16,111 | 618 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (22,178 | ) | (677 | ) | (618 | ) | (22,955 | ) | |||||||||||
Net Expenses | 11,272 | 599,184 | 309,176 | 14,523 | |||||||||||||||
Net investment income | 43,336 | 534,709 | 248,452 | 28,674 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | — | 540,329 | — | |||||||||||||||
In-kind redemptions | — | 3,915,543 | 272,696 | — | |||||||||||||||
Swap contracts | (105,518 | ) | (4,880,044 | ) | (6,907,592 | ) | 28,923 | ||||||||||||
Net realized gain (loss) | (105,518 | ) | (964,501 | ) | (6,094,567 | ) | 28,923 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | (538,874 | ) | 2,319,287 | — | ||||||||||||||
Swap contracts | (368,614 | ) | 41,772,157 | 21,626,895 | (469,691 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (368,614 | ) | 41,233,283 | 23,946,182 | (469,691 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (474,132 | ) | 40,268,782 | 17,851,615 | (440,768 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (430,796 | ) | $ | 40,803,491 | $ | 18,100,067 | $ | (412,094 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily MSCI European Financials Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Small Cap Bull 2X Shares | |||||||||||||
Investment Income: | |||||||||||||||
Dividend income | $ | 88,147 | $ | 93,415 | $ | 16,546 | |||||||||
Interest income | 34,892 | 3,382 | 2,335 | ||||||||||||
Securities lending income | 7,784 | — | — | ||||||||||||
Total investment income | 130,823 | 96,797 | 18,881 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 24,318 | 20,667 | 7,396 | ||||||||||||
Professional fees | 5,534 | 5,547 | 5,169 | ||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | ||||||||||||
Fund servicing fees | 2,596 | 2,641 | 1,261 | ||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | ||||||||||||
Interest expense | 1,142 | — | 1,691 | ||||||||||||
Management service fees (Note 6) | 1,038 | 1,059 | 379 | ||||||||||||
Reports to shareholders | 690 | 705 | 252 | ||||||||||||
Trustees' fees and expenses | 162 | 167 | 59 | ||||||||||||
Insurance fees | 103 | 105 | 37 | ||||||||||||
Licensing fees | — | 2,440 | 1,107 | ||||||||||||
Other | 1,886 | 199 | 93 | ||||||||||||
Total Expenses | 42,925 | 38,986 | 22,900 | ||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (9,360 | ) | (26,007 | ) | (16,578 | ) | |||||||||
Net Expenses | 33,565 | 12,979 | 6,322 | ||||||||||||
Net investment income | 97,258 | 83,818 | 12,559 | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investment securities | (355,807 | ) | (140,939 | ) | (66,129 | ) | |||||||||
In-kind redemptions | — | 483,570 | — | ||||||||||||
Swap contracts | (1,002,156 | ) | 287,326 | (102,308 | ) | ||||||||||
Net realized gain (loss) | (1,357,963 | ) | 629,957 | (168,437 | ) | ||||||||||
Change in net unrealized appreciation on: | |||||||||||||||
Investment securities | 582,485 | 497,145 | 194,529 | ||||||||||||
Swap contracts | 1,605,004 | 600,180 | 220,024 | ||||||||||||
Change in net unrealized appreciation | 2,187,489 | 1,097,325 | 414,553 | ||||||||||||
Net realized and unrealized gain | 829,526 | 1,727,282 | 246,116 | ||||||||||||
Net increase in net assets resulting from operations | $ | 926,784 | $ | 1,811,100 | $ | 258,675 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Statements of Changes in Net Assets
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 340,104 | $ | 761,762 | $ | 140,455 | $ | 216,398 | |||||||||||
Net realized gain (loss) | 2,618,235 | (1,332,395 | ) | (195,360 | ) | (2,997,549 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 23 | — | 6 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (11,045,945 | ) | 18,775,016 | (1,613,921 | ) | 968,748 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (8,087,606 | ) | 18,204,406 | (1,668,826 | ) | (1,812,397 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (425,441 | ) | (598,809 | ) | (134,542 | ) | (213,414 | ) | |||||||||||
Total distributions | (425,441 | ) | (598,809 | ) | (134,542 | ) | (213,414 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 6,268,026 | 58,055,462 | 12,587,917 | 39,103,913 | |||||||||||||||
Cost of shares redeemed | (91,687,437 | ) | (60,859,177 | ) | (10,635,236 | ) | (57,202,665 | ) | |||||||||||
Transaction fees (Note 4) | 45,844 | 30,429 | — | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (85,373,567 | ) | (2,773,286 | ) | 1,952,681 | (18,098,752 | ) | ||||||||||||
Total increase (decrease) in net assets | (93,886,614 | ) | 14,832,311 | 149,313 | (20,124,563 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 115,750,317 | 100,918,006 | 13,379,922 | 33,504,485 | |||||||||||||||
End of year/period | $ | 21,863,703 | $ | 115,750,317 | $ | 13,529,235 | $ | 13,379,922 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 3,000,000 | 3,150,000 | 449,983 | 1,049,983 | |||||||||||||||
Shares sold | 200,000 | 1,750,000 | 400,000 | 1,300,000 | |||||||||||||||
Shares repurchased | (2,450,000 | ) | (1,900,000 | ) | (350,000 | ) | (1,900,000 | ) | |||||||||||
Shares outstanding, end of year/period | 750,000 | 3,000,000 | 499,983 | 449,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Statements of Changes in Net Assets
Direxion Daily Total Bond Market Bear 1X Shares | Direxion Daily 7-10 Year Treasury Bear 1X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 28,931 | $ | 34,087 | $ | 12,743 | $ | 14,978 | |||||||||||
Net realized gain (loss) | (14,755 | ) | 67,483 | (16,370 | ) | 18,946 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (119,343 | ) | 40,492 | (62,871 | ) | 31,645 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (105,167 | ) | 142,062 | (66,498 | ) | 65,569 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (26,579 | ) | (29,132 | ) | (11,664 | ) | (12,804 | ) | |||||||||||
Total distributions | (26,579 | ) | (29,132 | ) | (11,664 | ) | (12,804 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | — | — | — | |||||||||||||||
Cost of shares redeemed | — | — | — | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | — | — | — | — | |||||||||||||||
Total increase (decrease) in net assets | (131,746 | ) | 112,930 | (78,162 | ) | 52,765 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,232,170 | 3,119,240 | 1,463,360 | 1,410,595 | |||||||||||||||
End of year/period | $ | 3,100,424 | $ | 3,232,170 | $ | 1,385,198 | $ | 1,463,360 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 100,001 | 100,001 | 50,001 | 50,001 | |||||||||||||||
Shares sold | — | — | — | — | |||||||||||||||
Shares repurchased | — | — | — | — | |||||||||||||||
Shares outstanding, end of year/period | 100,001 | 100,001 | 50,001 | 50,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Statements of Changes in Net Assets
Direxion Daily 20+ Year Treasury Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 43,336 | $ | 57,208 | $ | 534,709 | $ | 472,976 | |||||||||||
Net realized gain (loss) | (105,518 | ) | 10,118 | (964,501 | ) | (2,840,303 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 1 | — | 15 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (368,614 | ) | 356,060 | 41,233,283 | (32,930,435 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (430,796 | ) | 423,387 | 40,803,491 | (35,297,747 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (41,816 | ) | (49,218 | ) | (576,489 | ) | (232,436 | ) | |||||||||||
Total distributions | (41,816 | ) | (49,218 | ) | (576,489 | ) | (232,436 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 1,027,765 | 90,396,579 | 77,058,552 | |||||||||||||||
Cost of shares redeemed | (1,012,678 | ) | (1,049,560 | ) | (34,318,708 | ) | (35,057,897 | ) | |||||||||||
Transaction fees (Note 4) | — | — | 3,432 | 3,506 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (1,012,678 | ) | (21,795 | ) | 56,081,303 | 42,004,161 | |||||||||||||
Total increase (decrease) in net assets | (1,485,290 | ) | 352,374 | 96,308,305 | 6,473,978 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 5,465,293 | 5,112,919 | 76,552,234 | 70,078,256 | |||||||||||||||
End of year/period | $ | 3,980,003 | $ | 5,465,293 | $ | 172,860,539 | $ | 76,552,234 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 250,001 | 250,001 | 4,800,000 | 2,450,000 | |||||||||||||||
Shares sold | — | 50,000 | 3,950,000 | 3,550,000 | |||||||||||||||
Shares repurchased | (50,000 | ) | (50,000 | ) | (1,650,000 | ) | (1,200,000 | ) | |||||||||||
Shares outstanding, end of year/period | 200,001 | 250,001 | 7,100,000 | 4,800,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Statements of Changes in Net Assets
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily High Yield Bear 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 248,452 | $ | 488,331 | $ | 28,674 | $ | 28,256 | |||||||||||
Net realized gain (loss) | (6,094,567 | ) | (32,732,044 | ) | 28,923 | (54,948 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 2 | — | 1 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 23,946,182 | (21,135,642 | ) | (469,691 | ) | 99,628 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 18,100,067 | (53,379,353 | ) | (412,094 | ) | 72,937 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (272,035 | ) | (3,391,631 | ) | (25,822 | ) | (21,486 | ) | |||||||||||
Total distributions | (272,035 | ) | (3,391,631 | ) | (25,822 | ) | (21,486 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 16,833,904 | 77,789,755 | — | 1,918,316 | |||||||||||||||
Cost of shares redeemed | (8,684,932 | ) | (56,960,474 | ) | — | (1,913,666 | ) | ||||||||||||
Transaction fees (Note 4) | 565 | — | — | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | 8,149,537 | 20,829,281 | — | 4,650 | |||||||||||||||
Total increase (decrease) in net assets | 25,977,569 | (35,941,703 | ) | (437,916 | ) | 56,101 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 49,936,936 | 85,878,639 | 3,782,350 | 3,726,249 | |||||||||||||||
End of year/period | $ | 75,914,505 | $ | 49,936,936 | $ | 3,344,434 | $ | 3,782,350 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,200,001 | 1,750,001 | 200,001 | 200,001 | |||||||||||||||
Shares sold | 650,000 | 1,650,000 | — | 100,000 | |||||||||||||||
Shares repurchased | (350,000 | ) | (1,200,000 | ) | — | (100,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 2,500,001 | 2,200,001 | 200,001 | 200,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Statements of Changes in Net Assets
Direxion Daily MSCI European Financials Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 97,258 | $ | 126,612 | $ | 83,818 | $ | 103,586 | |||||||||||
Net realized gain (loss) | (1,357,963 | ) | (1,799,267 | ) | 629,957 | 678,688 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 2,187,489 | (2,202,592 | ) | 1,097,325 | (459,841 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 926,784 | (3,875,247 | ) | 1,811,100 | 322,433 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (94,506 | ) | (335,461 | ) | (83,849 | ) | (276,477 | ) | |||||||||||
Total distributions | (94,506 | ) | (335,461 | ) | (83,849 | ) | (276,477 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,464,730 | 8,765,950 | 4,270,662 | 8,182,169 | |||||||||||||||
Cost of shares redeemed | — | (7,087,300 | ) | (4,980,441 | ) | (5,561,110 | ) | ||||||||||||
Transaction fees (Note 4) | — | 1,882 | 271 | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,464,730 | 1,680,532 | (709,508 | ) | 2,621,059 | ||||||||||||||
Total increase (decrease) in net assets | 2,297,008 | (2,530,176 | ) | 1,017,743 | 2,667,015 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 7,099,975 | 9,630,151 | 6,514,099 | 3,847,084 | |||||||||||||||
End of year/period | $ | 9,396,983 | $ | 7,099,975 | $ | 7,531,842 | $ | 6,514,099 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 250,001 | 200,001 | 133,236 | 83,236 | |||||||||||||||
Shares sold | 50,001 | 200,000 | 100,000 | 150,000 | |||||||||||||||
Shares repurchased | — | (150,000 | ) | (100,000 | ) | (100,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 300,002 | 250,001 | 133,236 | 133,236 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Statements of Changes in Net Assets
Direxion Daily Small Cap Bull 2X Shares | |||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 12,559 | $ | 33,140 | |||||||
Net realized gain (loss) | (168,437 | ) | 230,663 | ||||||||
Change in net unrealized appreciation (depreciation) | 414,553 | (297,274 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 258,675 | (33,471 | ) | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (17,376 | ) | (192,231 | ) | |||||||
Total distributions | (17,376 | ) | (192,231 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | — | 7,563,156 | |||||||||
Cost of shares redeemed | — | (7,519,147 | ) | ||||||||
Net increase in net assets resulting from capital transactions | — | 44,009 | |||||||||
Total increase (decrease) in net assets | 241,299 | (181,693 | ) | ||||||||
Net assets: | |||||||||||
Beginning of year/period | 3,055,356 | 3,237,049 | |||||||||
End of year/period | $ | 3,296,655 | $ | 3,055,356 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of year/period | 66,644 | 66,644 | |||||||||
Shares sold | — | 150,000 | |||||||||
Shares repurchased | — | (150,000 | ) | ||||||||
Shares outstanding, end of year/period | 66,644 | 66,644 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1 | Net Investment Income (Loss)1,2 | Net Realized and Unrealized Gain (Loss) on Investments3 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return4 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses6 | Total Expenses | Net Investment Income (Loss) After Expense Reimbursement | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Portfolio Turnover Rate7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 38.58 | $ | 0.25 | $ | 0.28 | $ | (9.15 | ) | $ | (8.90 | ) | $ | (0.53 | ) | $ | — | $ | — | $ | (0.53 | ) | $ | 29.15 | (23.14 | )% | $ | 21,864 | 0.94 | % | 0.95 | % | 1.38 | % | 0.79 | % | 0.80 | % | 1.53 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 32.04 | 0.24 | 0.26 | 6.50 | 6.74 | (0.20 | ) | — | — | (0.20 | ) | $ | 38.58 | 21.11 | % | $ | 115,750 | 0.85 | % | 0.81 | % | 0.72 | % | 0.80 | % | 0.76 | % | 0.77 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 41.32 | (0.05 | ) | (0.05 | ) | (9.23 | ) | (9.28 | ) | — | — | — | — | $ | 32.04 | (22.46 | )% | $ | 100,918 | 0.80 | % | 0.79 | % | (0.12 | )% | 0.80 | % | 0.79 | % | (0.12 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 45.36 | (0.29 | ) | (0.29 | ) | (3.75 | ) | (4.04 | ) | — | — | — | — | $ | 41.32 | (8.91 | )% | $ | 86,765 | 0.81 | % | 0.84 | % | (0.66 | )% | 0.80 | % | 0.83 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period June 17, 20158 through October 31, 2015 | $ | 40.00 | (0.14 | ) | (0.14 | ) | 5.50 | 5.36 | — | — | — | — | $ | 45.36 | 13.40 | % | $ | 147,409 | 0.80 | % | 0.84 | % | (0.76 | )% | 0.80 | % | 0.83 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 29.73 | 0.29 | 0.29 | (2.70 | ) | (2.41 | ) | (0.26 | ) | — | — | (0.26 | ) | $ | 27.06 | (8.17 | )% | $ | 13,529 | 0.46 | % | 0.77 | % | 1.96 | % | 0.45 | % | 0.76 | % | 1.97 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 31.91 | 0.30 | 0.30 | (2.14 | ) | (1.84 | ) | (0.34 | ) | — | — | (0.34 | ) | $ | 29.73 | (5.74 | )% | $ | 13,380 | 0.45 | % | 0.65 | % | 0.99 | % | 0.45 | % | 0.65 | % | 0.99 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 39.30 | 0.07 | 0.08 | (7.31 | ) | (7.24 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 31.91 | (18.62 | )% | $ | 33,504 | 0.45 | % | 0.60 | % | 0.21 | % | 0.45 | % | 0.60 | % | 0.21 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period June 8, 20168 through October 31, 2016 | $ | 40.00 | 0.02 | 0.02 | (0.72 | ) | (0.70 | ) | — | — | — | — | $ | 39.30 | (1.75 | )% | $ | 47,153 | 0.09 | % | 0.66 | % | 0.17 | % | 0.09 | % | 0.66 | % | 0.17 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 32.32 | 0.29 | 0.29 | (1.34 | ) | (1.05 | ) | (0.27 | ) | — | — | (0.27 | ) | $ | 31.00 | (3.27 | )% | $ | 3,100 | 0.45 | % | 2.03 | % | 1.85 | % | 0.45 | % | 2.03 | % | 1.85 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 31.19 | 0.34 | 0.34 | 1.08 | 1.42 | (0.29 | ) | — | — | (0.29 | ) | $ | 32.32 | 4.57 | % | $ | 3,232 | 0.45 | % | 2.02 | % | 1.07 | % | 0.45 | % | 2.02 | % | 1.07 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 31.25 | 0.06 | 0.06 | (0.12 | ) | (0.06 | ) | — | — | — | — | $ | 31.19 | (0.19 | )% | $ | 3,119 | 0.45 | % | 2.33 | % | 0.19 | % | 0.45 | % | 2.33 | % | 0.19 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 32.76 | (0.15 | ) | (0.15 | ) | (1.36 | ) | (1.51 | ) | — | — | — | — | $ | 31.25 | (4.61 | )% | $ | 3,125 | 0.63 | % | 2.38 | % | (0.47 | )% | 0.63 | % | 2.38 | % | (0.47 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 33.73 | (0.21 | ) | (0.21 | ) | (0.76 | ) | (0.97 | ) | — | — | — | — | $ | 32.76 | (2.88 | )% | $ | 3,276 | 0.65 | % | 2.34 | % | (0.62 | )% | 0.65 | % | 2.34 | % | (0.62 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 35.52 | (0.22 | ) | (0.22 | ) | (1.57 | ) | (1.79 | ) | — | — | — | — | $ | 33.73 | (5.04 | )% | $ | 3,373 | 0.65 | % | 1.25 | % | (0.65 | )% | 0.65 | % | 1.25 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 29.27 | 0.25 | 0.26 | (1.59 | ) | (1.34 | ) | (0.23 | ) | — | — | (0.23 | ) | $ | 27.70 | (4.58 | )% | $ | 1,385 | 0.46 | % | 3.57 | % | 1.81 | % | 0.45 | % | 3.56 | % | 1.82 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 28.21 | 0.30 | 0.30 | 1.02 | 1.32 | (0.26 | ) | — | — | (0.26 | ) | $ | 29.27 | 4.67 | % | $ | 1,463 | 0.45 | % | 3.51 | % | 1.04 | % | 0.45 | % | 3.51 | % | 1.04 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 27.82 | 0.06 | 0.06 | 0.33 | 0.39 | — | — | — | — | $ | 28.21 | 1.40 | % | $ | 1,411 | 0.45 | % | 4.25 | % | 0.20 | % | 0.45 | % | 4.25 | % | 0.20 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 29.60 | (0.13 | ) | (0.13 | ) | (1.65 | ) | (1.78 | ) | — | — | — | — | $ | 27.82 | (6.01 | )% | $ | 1,391 | 0.63 | % | 4.14 | % | (0.47 | )% | 0.63 | % | 4.14 | % | (0.47 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 31.42 | (0.19 | ) | (0.19 | ) | (1.63 | ) | (1.82 | ) | — | — | — | — | $ | 29.60 | (5.79 | )% | $ | 1,480 | 0.65 | % | 3.24 | % | (0.62 | )% | 0.65 | % | 3.24 | % | (0.62 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 33.38 | (0.21 | ) | (0.21 | ) | (1.75 | ) | (1.96 | ) | — | — | — | — | $ | 31.42 | (5.87 | )% | $ | 1,571 | 0.65 | % | 3.85 | % | (0.65 | )% | 0.65 | % | 3.85 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 21.86 | 0.19 | 0.19 | (1.96 | ) | (1.77 | ) | (0.19 | ) | — | — | (0.19 | ) | $ | 19.90 | (8.11 | )% | $ | 3,980 | 0.48 | % | 1.42 | % | 1.84 | % | 0.45 | % | 1.39 | % | 1.87 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 20.45 | 0.22 | 0.23 | 1.39 | 1.61 | (0.20 | ) | — | — | (0.20 | ) | $ | 21.86 | 7.90 | % | $ | 5,465 | 0.46 | % | 1.31 | % | 1.08 | % | 0.45 | % | 1.30 | % | 1.09 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 20.04 | 0.04 | 0.04 | 0.37 | 0.41 | — | — | — | — | $ | 20.45 | 2.05 | % | $ | 5,113 | 0.45 | % | 1.46 | % | 0.18 | % | 0.45 | % | 1.46 | % | 0.18 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 22.45 | (0.10 | ) | (0.10 | ) | (2.31 | ) | (2.41 | ) | — | — | — | — | $ | 20.04 | (10.73 | )% | $ | 12,026 | 0.63 | % | 0.96 | % | (0.48 | )% | 0.63 | % | 0.96 | % | (0.48 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 24.61 | (0.14 | ) | (0.14 | ) | (2.02 | ) | (2.16 | ) | — | — | — | — | $ | 22.45 | (8.78 | )% | $ | 14,594 | 0.65 | % | 0.95 | % | (0.62 | )% | 0.65 | % | 0.95 | % | (0.62 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 28.83 | (0.18 | ) | (0.18 | ) | (4.04 | ) | (4.22 | ) | — | — | — | — | $ | 24.61 | (14.64 | )% | $ | 8,613 | 0.65 | % | 1.21 | % | (0.65 | )% | 0.65 | % | 1.21 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 15.95 | 0.10 | 0.12 | 8.40 | 8.50 | (0.10 | ) | — | — | (0.10 | ) | $ | 24.35 | 53.56 | % | $ | 172,861 | 1.13 | % | 1.10 | % | 1.01 | % | 0.95 | % | 0.92 | % | 1.19 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 28.60 | 0.17 | 0.19 | (12.76 | ) | (12.59 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 15.95 | (44.05 | )% | $ | 76,552 | 1.05 | % | 1.03 | % | 0.68 | % | 0.95 | % | 0.93 | % | 0.78 | % | 339 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 18.53 | (0.08 | ) | (0.06 | ) | 10.15 | 10.07 | — | — | — | — | $ | 28.60 | 54.34 | % | $ | 70,078 | 1.03 | % | 1.05 | % | (0.36 | )% | 0.95 | % | 0.97 | % | (0.28 | )% | 1,747 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 21.71 | (0.15 | ) | (0.15 | ) | (3.03 | ) | (3.18 | ) | — | — | — | — | $ | 18.53 | (14.65 | )% | $ | 60,228 | 0.96 | % | 1.01 | % | (0.81 | )% | 0.95 | % | 1.00 | % | (0.80 | )% | 2,606 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period April 16, 20158 through October 31, 2015 | $ | 40.00 | (0.13 | ) | (0.13 | ) | (18.16 | ) | (18.29 | ) | — | — | — | — | $ | 21.71 | (45.73 | )% | $ | 62,968 | 0.95 | % | 1.09 | % | (0.93 | )% | 0.95 | % | 1.09 | % | (0.93 | )% | 1,592 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 22.70 | 0.10 | 0.11 | 7.68 | 7.78 | (0.11 | ) | — | — | (0.11 | ) | $ | 30.37 | 34.54 | % | $ | 75,915 | 1.01 | % | 1.01 | % | 0.81 | % | 0.94 | % | 0.94 | % | 0.88 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 49.07 | 0.22 | 0.28 | (24.87 | ) | (24.65 | ) | (0.20 | ) | (1.52 | ) | — | (1.72 | ) | $ | 22.70 | (52.04 | )% | $ | 49,937 | 1.06 | % | 1.03 | % | 0.46 | % | 0.95 | % | 0.92 | % | 0.57 | % | 189 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period November 2, 20168 through October 31, 2017 | $ | 25.00 | (0.21 | ) | (0.21 | ) | 24.28 | 24.07 | — | — | — | — | $ | 49.07 | 96.28 | % | $ | 85,879 | 0.97 | % | 1.13 | % | (0.48 | )% | 0.95 | % | 1.11 | % | (0.46 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily High Yield Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 18.91 | 0.14 | 0.14 | (2.20 | ) | (2.06 | ) | (0.13 | ) | — | — | (0.13 | ) | $ | 16.72 | (10.97 | )% | $ | 3,344 | 0.80 | % | 2.06 | % | 1.58 | % | 0.80 | % | 2.06 | % | 1.58 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 18.63 | 0.14 | 0.14 | 0.25 | 0.39 | (0.11 | ) | — | — | (0.11 | ) | $ | 18.91 | 2.09 | % | $ | 3,782 | 0.80 | % | 1.99 | % | 0.76 | % | 0.80 | % | 1.99 | % | 0.76 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 22.05 | (0.03 | ) | (0.03 | ) | (3.39 | ) | (3.42 | ) | — | — | — | — | $ | 18.63 | (15.51 | )% | $ | 3,726 | 0.80 | % | 2.06 | % | (0.16 | )% | 0.80 | % | 2.06 | % | (0.16 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period June 16, 20168 through October 31, 2016 | $ | 25.00 | (0.05 | ) | (0.05 | ) | (2.90 | ) | (2.95 | ) | — | — | — | — | $ | 22.05 | (11.80 | )% | $ | 5,512 | 0.80 | % | 2.32 | % | (0.56 | )% | 0.80 | % | 2.32 | % | (0.56 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1 | Net Investment Income (Loss)1,2 | Net Realized and Unrealized Gain (Loss) on Investments3 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return4 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses6 | Total Expenses | Net Investment Income (Loss) After Expense Reimbursement | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Portfolio Turnover Rate7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 28.40 | $ | 0.33 | $ | 0.33 | $ | 2.91 | $ | 3.24 | $ | (0.32 | ) | $ | — | $ | — | $ | (0.32 | ) | $ | 31.32 | 11.76 | % | $ | 9,397 | 0.83 | % | 1.06 | % | 2.40 | % | 0.80 | % | 1.03 | % | 2.43 | % | 13 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 48.15 | 0.84 | 0.84 | (15.85 | ) | (15.01 | ) | (1.70 | ) | (3.04 | ) | — | (4.74 | ) | $ | 28.40 | (34.53 | )% | $ | 7,100 | 0.80 | % | 1.14 | % | 2.14 | % | 0.80 | % | 1.14 | % | 2.14 | % | 38 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 30.35 | 0.42 | 0.43 | 20.17 | 20.59 | — | (2.79 | ) | — | (2.79 | ) | $ | 48.15 | 72.58 | % | $ | 9,630 | 0.82 | % | 1.30 | % | 1.02 | % | 0.80 | % | 1.28 | % | 1.04 | % | 190 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period July 27, 20168 through October 31, 2016 | $ | 25.00 | (0.04 | ) | (0.04 | ) | 5.39 | 5.35 | — | — | — | — | $ | 30.35 | 21.40 | % | $ | 3,035 | 0.80 | % | 3.32 | % | (0.59 | )% | 0.80 | % | 3.32 | % | (0.59 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 48.89 | 0.49 | 0.49 | 7.61 | 8.10 | (0.46 | ) | — | — | (0.46 | ) | $ | 56.53 | 16.91 | % | $ | 7,532 | 0.31 | % | 0.94 | % | 2.03 | % | 0.31 | %9 | 0.94 | % | 2.03 | % | 53 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 46.22 | 0.89 | 0.98 | 4.02 | 4.91 | (0.87 | ) | (1.37 | ) | — | (2.24 | ) | $ | 48.89 | 10.13 | % | $ | 6,514 | 0.18 | % | 1.24 | % | 1.71 | % | 0.00 | %9 | 1.06 | % | 1.89 | % | 59 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 36.00 | 0.17 | 0.30 | 16.07 | 16.24 | (0.08 | ) | (5.94 | ) | — | (6.02 | ) | $ | 46.22 | 48.62 | % | $ | 3,847 | 0.82 | % | 1.87 | % | 0.40 | % | 0.49 | % | 1.54 | % | 0.73 | % | 363 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 34.19 | (0.15 | ) | (0.14 | ) | 1.96 | 1.81 | — | — | — | — | $ | 36.00 | 5.29 | % | $ | 2,996 | 0.64 | % | 1.33 | % | (0.44 | )% | 0.60 | % | 1.29 | % | (0.40 | )% | 419 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 33.58 | (0.21 | ) | (0.21 | ) | 2.28 | 2.07 | (0.50 | ) | (0.96 | ) | — | (1.46 | ) | $ | 34.19 | 6.81 | % | $ | 11,394 | 0.60 | % | 0.92 | % | (0.59 | )% | 0.60 | % | 0.92 | % | (0.59 | )% | 208 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20148 through October 31, 2014 | $ | 30.00 | 0.18 | 0.18 | 3.40 | 3.58 | — | — | — | — | $ | 33.58 | 11.92 | % | $ | 31,336 | 0.60 | % | 0.93 | % | 1.34 | % | 0.60 | % | 0.93 | % | 1.34 | % | 91 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 45.85 | 0.19 | 0.21 | 3.69 | 3.88 | (0.26 | ) | — | — | (0.26 | ) | $ | 49.47 | 8.70 | % | $ | 3,297 | 0.43 | % | 1.55 | % | 0.84 | % | 0.31 | %9 | 1.43 | % | 0.96 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 48.57 | 0.49 | 0.64 | (0.33 | ) | 0.16 | (0.56 | ) | (2.32 | ) | — | (2.88 | ) | $ | 45.85 | (0.89 | )% | $ | 3,055 | 0.28 | % | 2.14 | % | 0.92 | % | 0.00 | %9 | 1.86 | % | 1.20 | % | 119 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 30.66 | 0.11 | 0.13 | 17.80 | 17.91 | — | — | — | — | $ | 48.57 | 58.41 | % | $ | 3,237 | 0.54 | % | 2.63 | % | 0.26 | % | 0.49 | % | 2.58 | % | 0.31 | % | 109 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 30.51 | (0.03 | ) | (0.02 | ) | 1.13 | 1.10 | — | (0.95 | ) | — | (0.95 | ) | $ | 30.66 | 3.79 | % | $ | 2,044 | 0.63 | % | 3.47 | % | (0.09 | )% | 0.60 | % | 3.44 | % | �� | (0.06 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 31.73 | (0.17 | ) | (0.16 | ) | (0.65 | ) | (0.82 | ) | — | (0.40 | ) | — | (0.40 | ) | $ | 30.51 | (2.54 | )% | $ | 2,033 | 0.61 | % | 1.52 | % | (0.49 | )% | 0.60 | % | 1.51 | % | (0.48 | )% | 289 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Period July 29, 20148 through October 31, 2014 | $ | 30.00 | (0.05 | ) | (0.05 | ) | 1.78 | 1.73 | — | — | — | — | $ | 31.73 | 5.76 | % | $ | 4,230 | 0.60 | % | 2.86 | % | (0.60 | )% | 0.60 | % | 2.86 | % | (0.60 | )% | 503 | % |
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Excludes interest expense and extraordinary expenses which comprise of tax and litigation expenses.
3 Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain (loss) per share will not equal the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures and swaps for the period.
4 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.
The total return would have been lower if certain expenses had not been reimbursed/waived or recouped by the investment advisor.
5 For periods less than a year, these ratios are annualized.
6 Net expenses include effects of any reimbursement/waiver or recoupment.
7 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio.
Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.
8 Commencement of investment operations.
9 This ratio includes the voluntary waiver of expenses by the Adviser. Excluding the voluntary waiver, the net expense ratio would have been 0.60%.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2019
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008, and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 93 separate series (each, a "Fund" and together the "Funds"). Eleven of these Funds are included in this report:
Bear Funds | Bull Funds | ||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||
Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily CSI China Internet Index Bull 2X Shares | ||||||
Direxion Daily Total Bond Market Bear 1X Shares | Direxion Daily MSCI European Financials Bull 2X Shares | ||||||
Direxion Daily 7-10 Year Bear 1X Shares | Direxion Daily S&P 500® Bull 2X Shares | ||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | Direxion Daily Small Cap Bull 2X Shares | ||||||
Direxion Daily High Yield Bear 2X Shares |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.
Rafferty Asset Management, LLC (the "Adviser") has registered as a commodity pool operator ("CPO"). All Funds presented in this report are considered commodity pools under the Commodity Exchange Act (the "CEA). Accordingly, the Adviser is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Fund's investment objective is to seek daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word "Bull" in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word "Bear" in their name attempt to provide investment results that correlate negatively to the return of an index or benchmark. The correlations sought by the Bull Funds are a multiple of 200% of the return of the target index or benchmark and a multiple of -100% or -200% of the return of the target index or benchmark for the Bear Funds.
Funds | Index or Benchmark | Daily Target | |||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | CSI 300 Index | -100 | % | ||||||||
Direxion Daily S&P 500® Bear 1X Shares | S&P 500® Index | -100 | % | ||||||||
Direxion Daily Total Bond Market Bear 1X Shares | Bloomberg Barclays U.S. Aggregate Bond Index | -100 | % | ||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | ICE U.S. Treasury 7-10 Year Bond Index | -100 | % | ||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | ICE U.S. Treasury 20+ Year Bond Index | -100 | % | ||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | CSI 300 Index | 200 | % | ||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | CSI Overseas China Internet Index | 200 | % | ||||||||
Direxion Daily High Yield Bear 2X Shares | Bloomberg Barclays U.S. High Yield Very Liquid Index | -200 | % | ||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | MSCI Europe Financials Index | 200 | % | ||||||||
Direxion Daily S&P 500® Bull 2X Shares | S&P 500® Index | 200 | % | ||||||||
Direxion Daily Small Cap Bull 2X Shares | Russell 2000® Index | 200 | % |
DIREXION SEMI-ANNUAL REPORT
40
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Cash Equivalents – The Funds consider investments in the Bank of New York Mellon Cash Reserve, a U.S. dollar-denominated deposit account offered through the Bank of New York Mellon, to be cash equivalents. The Funds are exposed to the credit risk of Bank of New York Mellon through these holdings of cash equivalents. These cash equivalents are presented on the Statements of Assets and Liabilities as "Cash equivalents" and were classified as Level 1 assets as of April 30, 2019.
b) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time ("Valuation Time")), each day the NYSE is open for business. On days that the Securities Industry and Financial Markets Association ("SIFMA") recommends that the bond markets close all day, the Direxion Daily Total Bond Market Bear 1X Shares, Direxion Daily 7-10 Year Treasury Bear 1X Shares, Direxion Daily 20+ Year Treasury Bear 1X Shares and Direxion High Yield Bear 2X Shares (the "Fixed Income Funds") do not calculate their NAVs, even if the NYSE is open for business. Similarly, on days that SIFMA recommends that the bond markets close early, each of the Fixed Income Funds calculate its NAV as of the time of the recommended close, usually 2:00 p.m. Eastern Time, rather than the close of regular trading on the NYSE. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over-the-counter ("OTC") securities held by a Fund are valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities or; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. Futures contracts are valued at the settlement price established on the exchange on which they are traded, if that settlement price reflects trading prior to the Valuation Time. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation Time will be used. Securities, swap or futures contracts are fair valued as determined by the Adviser under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities; c) the Funds' pricing service provides a valuation that in the judgment of the Adviser does not represent fair value; or d) the Fund or Adviser believes the market price is stale.
c) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivative contracts and related cash collateral on the Statements of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. Each Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate
DIREXION SEMI-ANNUAL REPORT
41
net asset value at least equal to such accrued excess is maintained in a segregated account by the Funds' custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps".
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their investment objectives.
Accounting Standards Update No. 2013-01, "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope recognize derivative instruments accounted for under ASC 815, Derivatives and Hedging, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement of similar agreement.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of April 30, 2019, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features
DIREXION SEMI-ANNUAL REPORT
42
at April 30, 2019 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.
Description: Swap Contract
Counterparty: Bank of America Merrill Lynch
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 131,200 | $ | — | $ | 131,2001 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | — | — | — | — | 2,794,302 | — | 2,794,3021 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: BNP Paribas
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 2,066,457 | $ | — | $ | 2,066,4571 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 16,952,132 | — | 16,370,000 | 582,132 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 898,201 | 60,483 | 730,000 | 107,718 | 60,483 | 60,483 | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION SEMI-ANNUAL REPORT
43
Description: Swap Contract
Counterparty: Citibank N.A.
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 707,723 | $ | — | $ | 707,7231 | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | — | — | — | 23,795 | — | 23,7951 | — | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 3,502,638 | — | 3,450,000 | 52,638 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 2,144,391 | — | 2,022,000 | 122,391 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 559,573 | — | 559,5731 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 7,779 | — | — | 7,779 | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Credit Suisse Capital LLC
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 725,819 | $ | — | $ | 725,8191 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | — | — | 1,515,933 | — | 1,515,9331 | — | |||||||||||||||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | — | — | — | — | 86,472 | — | 86,4721 | — |
DIREXION SEMI-ANNUAL REPORT
44
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 26,302 | $ | — | $ | 26,3021 | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | — | — | — | 115,749 | — | 115,7491 | — | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 8,729,918 | — | 8,490,000 | 239,918 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily High Yield Bear 2X Shares | — | — | — | — | 523,165 | — | 523,1651 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 10,776 | — | — | 10,776 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 243,965 | — | 243,9651 | — | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 3,044 | $ | — | $ | 3,0441 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 604,084 | — | 530,000 | 74,084 | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
d) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
DIREXION SEMI-ANNUAL REPORT
45
As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts
e) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the six months ended April 30, 2019.
f) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
g) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.
h) Securities Lending – Each Fund may lend up to 331/3% of the value of the securities in their portfolios to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, cash equivalents, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. Government securities held as collateral, net of fee rebates paid to borrower and net of fees paid to the lending agent. The amount of fees depends on a number of factors including the security type and the length of the loan. In addition, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. No more than 99% of the value of any security may be on loan at any time.
As of April 30, 2019, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.
DIREXION SEMI-ANNUAL REPORT
46
As of April 30, 2019, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:
Funds | Market Value of Securities Loaned | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | $ | 15,660,860 | $ | 16,010,917 | $ | — | $ | 16,010,917 | |||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 18,398,860 | 18,795,550 | — | 18,795,550 | |||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 1,828,680 | 1,866,010 | — | 1,866,010 |
i) Federal Income Taxes – Each Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company and to make the requisite distributions of net investment income and net realized capital gains to its shareholders sufficient to relieve it from all or substantially all U.S. Federal income and excise taxes. No provision for U.S. Federal income has been made by the Funds. Certain Funds paid U.S. excise taxes during the six months ended April 30, 2019.
j) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets.
k) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.
l) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon the occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.
m) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the six months ended April 30, 2019 and year ended October 31, 2019 are presented in the following table. The tax character of distributions to shareholders made during the period may differ from their ultimate characterization for U.S. Federal income tax purposes.
Six Months Ended April 30, 3019 (Unaudited) | Year/Period Ended October 31, 2018 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 425,441 | $ | — | $ | — | $ | 598,809 | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 134,542 | — | — | 213,414 | — | — | |||||||||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | 26,579 | — | — | 29,132 | — | — |
DIREXION SEMI-ANNUAL REPORT
47
Six Months Ended April 30, 3019 (Unaudited) | Year/Period Ended October 31, 2018 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | $ | 11,664 | $ | — | $ | — | $ | 12,804 | $ | — | $ | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 41,816 | — | — | 49,218 | — | — | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 576,489 | — | — | 232,436 | — | — | |||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 272,035 | — | — | 3,391,631 | — | — | |||||||||||||||||||||
Direxion Daily High Yield Bear 2X Shares | 25,822 | — | — | 21,486 | — | — | |||||||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 94,506 | — | — | 335,461 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 83,849 | — | — | 276,477 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 17,376 | — | — | 192,231 | — | — |
At October 31, 2018 the components of accumulated earnings/(losses) on a tax-basis were as follows:
Funds | Net Unrealized Appreciation (Depreciation) | Undistributed Ordinary Income | Undistributed Capital Gain | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | (2,605,830 | ) | $ | 134,071 | $ | — | $ | (6,956,108 | ) | $ | (9,427,867 | ) | ||||||||||
Direxion Daily S&P 500® Bear 1X Shares | (1,052,345 | ) | 25,975 | — | (9,533,593 | ) | (10,559,963 | ) | |||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | 32,122 | 4,955 | — | (2,532,468 | ) | (2,495,391 | ) | ||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | (53,764 | ) | 2,174 | — | (790,824 | ) | (842,414 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | (100,423 | ) | 7,990 | — | (3,621,910 | ) | (3,714,343 | ) | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | (44,398,914 | ) | 84,523 | — | (13,952,760 | ) | (58,267,151 | ) | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | (29,014,835 | ) | 72,299 | — | (27,513,478 | ) | (56,456,014 | ) | |||||||||||||||
Direxion Daily High Yield Bear 2X Shares | (63,742 | ) | 4,742 | — | (1,418,080 | ) | (1,477,080 | ) | |||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | (3,291,507 | ) | — | — | (798,092 | ) | (4,089,599 | ) | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 388,833 | 31,715 | — | — | 420,548 | ||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 158,146 | 8,317 | — | — | 166,463 |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover and organizational cost.
At April 30, 2019, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 8,372,247 | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 3,518,408 | — | — | — | |||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | 663,887 | — | — | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | 206,598 | — | — | — |
DIREXION SEMI-ANNUAL REPORT
48
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | $ | 615,838 | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 142,134,962 | — | (519,805 | ) | (519,805 | ) | |||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 68,412,741 | 942,842 | — | 942,842 | |||||||||||||||
Direxion Daily High Yield Bear 2X Shares | 1,694,748 | — | — | — | |||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 9,963,643 | — | (422,185 | ) | (422,185 | ) | |||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 6,405,336 | 951,450 | — | 951,450 | |||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 2,907,497 | 337,698 | — | 337,698 |
The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales.
Net investment income/(loss) and realized gains and losses for U.S. Federal income tax purposes may differ from those reported on the financial statements because of permanent book-to-tax differences. GAAP requires that permanent differences in distributable earnings due to differences between financial reporting and tax reporting be classified between various components of net assets. The permanent differences primarily relate to tax treatment of redemptions in-kind, and utilization of earnings and profits distributed to shareholders on redemption of shares.
In order to meet certain U.S. excise tax distribution requirements, each Fund, with the exception of the Direxion Zacks MLP High Income Index Shares, is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2018.
At October 31, 2018, the Funds deferred no qualified late year losses.
Under current law, each Fund may carry forward net capital losses indefinitely to use to offset capital gains realized in future years. Previous law limited the carryforward of capital losses to the eight tax years following the year the capital loss was realized. If a Fund has capital losses that are subject to current law and also has capital losses subject to prior law, the losses realized under current law will be utilized to offset capital gains before any of the losses governed by prior law can be used. As a result of these ordering rules, capital losses realized under previous law may be more likely to expire unused. Capital losses realized under current law will carry forward retaining their classification as long-term or short-term losses; as compared to under prior law in which all capital losses were carried forward as short-term capital losses.
At October 31, 2018, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Utilized in Current Year | Expiring 10/31/19 | Unlimited ST | Unlimited LT | |||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | 6,956,108 | $ | — | |||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | 9,533,593 | — | |||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | 61,259 | 72,234 | 2,460,234 | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | — | 67,332 | 723,492 | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 282,257 | 3,339,653 | — | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 4,871,759 | — | 13,952,760 | — | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | 27,513,478 | — | |||||||||||||||
Direxion Daily High Yield Bear 2X Shares | — | — | 1,418,080 | — | |||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | — | — | 798,092 | — | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | — | — | — | — |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from
DIREXION SEMI-ANNUAL REPORT
49
unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of April 30, 2019, open U.S. Federal and state income tax years include the tax years ended October 31, 2016 through October 31, 2018. The Funds have no examinations in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in creation units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees payable to the Trust are imposed to compensate the Trust for the transfer and other transaction costs of a Fund associated with the issuance and redemption of creation units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is applicable to each creation or redemption transaction, regardless of the number of creation units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each creation unit purchased or redeemed is applicable to each creation or redemption transaction. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the six months ended April 30, 2019. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 1,206,450 | — | 86,539,051 | 34,327,020 | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 1,136,725 | — | 15,710,800 | 7,046,782 | |||||||||||||||
Direxion Daily High Yield Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 1,790,138 | 688,012 | — | — | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 7,085,754 | 4,272,828 | — | 2,719,428 | |||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 779,051 | 632,826 | — | — |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the six months ended April 30, 2019.
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between the Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory
DIREXION SEMI-ANNUAL REPORT
50
Agreement, each Fund pays the Adviser investment advisory fees at an annual rate based on its average daily net assets. These rates are as follows:
Direxion Daily CSI 300 China A Share Bear 1X Shares | 0.60 | % | |||||
Direxion Daily S&P 500® Bear 1X Shares | 0.35 | % | |||||
Direxion Daily Total Bond Market Bear 1X Shares | 0.35 | % | |||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | 0.35 | % | |||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 0.35 | % | |||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 0.75 | % | |||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 0.75 | % | |||||
Direxion Daily High Yield Bear 2X Shares | 0.60 | % | |||||
Direxion Daily MSCI European Financials Bull 2X Shares | 0.60 | % | |||||
Direxion Daily S&P 500® Bull 2X Shares | 0.50 | % | |||||
Direxion Daily Small Cap Bull 2X Shares | 0.50 | % |
During the period ended April 30, 2019, the Adviser agreed to voluntarily waive its investment advisory fee for Direxion Daily S&P 500® Bull 2X Shares and Direxion Daily Small Cap Bull 2X Shares. The amount of this voluntary waiver was $11,822 in Direxion Daily S&P 500® Bull 2X Shares and $4,256 in Direxion Daily Small Cap Bull 2X Shares.
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse the Funds' operating expenses to the extent that they exceed the following rates multiplied by the Fund's respective average daily net assets at least until September 1, 2020. Any expense waiver is subject to recoupment by the Adviser, as applicable, within the following three years if overall expenses fall below these percentage limitations.
Direxion Daily CSI 300 China A Share Bear 1X Shares | 0.80 | % | |||||
Direxion Daily S&P 500® Bear 1X Shares | 0.45 | % | |||||
Direxion Daily Total Bond Market Bear 1X Shares | 0.45 | % | |||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | 0.45 | % | |||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 0.45 | % | |||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 0.95 | % | |||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 0.95 | % | |||||
Direxion Daily High Yield Bear 2X Shares | 0.80 | % | |||||
Direxion Daily MSCI European Financials Bull 2X Shares | 0.80 | % | |||||
Direxion Daily S&P 500® Bull 2X Shares | 0.60 | % | |||||
Direxion Daily Small Cap Bull 2X Shares | 0.60 | % |
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 1,573 | $ | 5,090 | $ | — | $ | 7,725 | $ | — | $ | 5,090 | $ | 12,815 | |||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 22,311 | 80,286 | 57,082 | 49,159 | 22,311 | 208,838 | ||||||||||||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | — | 24,718 | 26,869 | 59,244 | 52,256 | 24,718 | 163,087 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | — | 21,835 | 24,384 | 54,053 | 46,671 | 21,835 | 146,943 | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 22,178 | 21,003 | 55,559 | 47,120 | 22,178 | 145,860 | ||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 16,111 | 677 | 19,526 | 13,658 | 2,021 | 677 | 35,882 |
DIREXION SEMI-ANNUAL REPORT
51
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | $ | 618 | $ | 618 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Direxion Daily High Yield Bear 2X Shares | — | 22,955 | 29,536 | 53,191 | 46,972 | 22,955 | 152,654 | ||||||||||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | — | 9,360 | 17,647 | 26,726 | 22,170 | 9,360 | 75,903 | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | 14,185 | 16,621 | 33,068 | 29,764 | 14,185 | 93,638 | ||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | — | 12,322 | 27,085 | 55,905 | 47,880 | 12,322 | 143,192 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2019 is presented on the Statement of Assets and Liabilities as Due from (to) investment adviser, net.
The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair valuation accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' investments at April 30, 2019:
Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | 8,372,247 | $ | 17,020,871 | $ | 131,200 | $ | (3,499,999 | ) | ||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 3,518,408 | 11,492,504 | — | (1,515,933 | ) | |||||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | — | 663,887 | 2,532,027 | — | (86,472 | ) | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | — | 206,598 | 1,203,703 | — | (26,302 | ) | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 615,838 | 3,500,229 | — | (139,544 | ) |
DIREXION SEMI-ANNUAL REPORT
52
Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | $ | 70,608,591 | $ | 71,006,566 | $ | 49,144,970 | $ | 29,184,688 | $ | (2,794,302 | ) | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 24,385,432 | 44,970,151 | 25,030,607 | 3,042,592 | (60,483 | ) | |||||||||||||||||
Direxion Daily High Yield Bear 2X Shares | — | 1,694,748 | 2,185,144 | — | (523,165 | ) | |||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 6,356,375 | 3,185,083 | 1,776,037 | 559,573 | (3,044 | ) | |||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 7,356,772 | 14 | 105,114 | 614,860 | — | ||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 3,106,441 | 138,754 | 57,744 | 251,744 | — |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
There were no Level 3 securities held by the Funds during the six months ended April 30, 2019. It is the Funds' policy to recognize transfers between levels at the value as of the beginning of the period, if applicable.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of April 30, 2019, the Funds were invested in swap contracts. At April 30, 2019, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 131,200 | $ | — | $ | 131,200 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 29,184,688 | — | 29,184,688 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 3,042,592 | — | 3,042,592 | ||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 559,573 | — | 559,573 | ||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 614,860 | — | 614,860 | ||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 251,744 | — | 251,744 | ||||||||||||
Liability Derivatives2 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 3,499,999 | $ | — | $ | 3,499,999 | |||||||||
Direxion Daily S&P 500® Bear 1X Shares | 1,515,933 | — | 1,515,933 | ||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | — | 86,472 | 86,472 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | — | 26,302 | 26,302 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 139,544 | 139,544 |
DIREXION SEMI-ANNUAL REPORT
53
Liability Derivatives2 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | $ | 2,794,302 | $ | — | $ | 2,794,302 | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 60,483 | — | 60,483 | ||||||||||||
Direxion Daily High Yield Bear 2X Shares | 523,165 | — | 523,165 | ||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 3,044 | — | 3,044 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended April 30, 2019, by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Commodity Risk | Equity Risk | Interest Rate Risk | Commodity Risk | |||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | Swap Contracts | $ | 2,618,235 | $ | — | $ | — | $ | (11,045,945 | ) | $ | — | $ | — | |||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | Swap Contracts | (195,360 | ) | — | — | (1,613,921 | ) | — | — | ||||||||||||||||||||||
Direxion Daily Total Bond Market Bear 1X Shares | Swap Contracts | — | (14,755 | ) | — | — | (119,343 | ) | — | ||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | Swap Contracts | — | (16,370 | ) | — | — | (62,871 | ) | — | ||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | Swap Contracts | — | (105,518 | ) | — | — | (368,614 | ) | — | ||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | Swap Contracts | (4,880,044 | ) | — | — | 41,772,157 | — | — | |||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | Swap Contracts | (6,907,592 | ) | — | — | 21,626,895 | — | — | |||||||||||||||||||||||
Direxion Daily High Yield Bear 2X Shares | Swap Contracts | 28,923 | — | — | (469,691 | ) | — | — | |||||||||||||||||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | Swap Contracts | (1,002,156 | ) | — | — | 1,605,004 | — | — | |||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | Swap Contracts | 287,326 | — | — | 600,180 | — | — | ||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | Swap Contracts | (102,308 | ) | — | — | 220,024 | — | — |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the six months ended April 30, 2019, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts | |||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | ||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | 56,693,432 | |||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 12,478,080 | |||||||||
Direxion Daily Total Bond Market Bear 1X Shares | — | 3,130,339 | |||||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | — | 1,423,633 | |||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 4,825,974 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 186,280,126 | — | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 108,770,926 | — | |||||||||
Direxion Daily High Yield Bear 2X Shares | — | 6,955,518 | |||||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 10,921,198 | — | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 7,506,621 | — | |||||||||
Direxion Daily Small Cap Bull 2X Shares | 3,155,788 | — |
DIREXION SEMI-ANNUAL REPORT
54
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of -100%, 200%, or -200% daily performance of their respective index.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
DIREXION SEMI-ANNUAL REPORT
55
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and futures contracts may be used to create leverage. Certain Funds employ leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
10. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date of the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On June 24, 2019, certain Funds declared income distributions with an ex-date of June 25, 2019 and payable date of July 2, 2019. The per share distribution amounts for each Fund was as follows:
Funds | Per Share Income Distribution | ||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 0.02323 | |||||
Direxion Daily S&P 500® Bear 1X Shares | 0.12215 | ||||||
Direxion Daily Total Bond Market Bear 1X Shares | 0.15776 | ||||||
Direxion Daily 7-10 Year Treasury Bear 1X Shares | 0.14010 | ||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 0.10168 | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 0.01010 | ||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 0.03626 | ||||||
Direxion Daily High Yield Bear 2X Shares | 0.08023 | ||||||
Direxion Daily MSCI European Financials Bull 2X Shares | 0.71715 | ||||||
Direxion Daily S&P 500® Bull 2X Shares | 0.46744 | ||||||
Direxion Daily Small Cap Bull 2X Shares | 0.16620 |
DIREXION SEMI-ANNUAL REPORT
56
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION SEMI-ANNUAL REPORT
57
Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Daniel D. O'Neill(1) Age: 51 | Chairman of the Board of Trustees | Lifetime of Trust until removal or resignation; Since 2008 | Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. | 135 | None. |
Independent Trustees
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Gerald E. Shanley III Age: 75 | Trustee | Lifetime of Trust until removal or resignation; Since 2008 | Retired, since 2002; Business Consultant, 1985 – present; Trustee of Trust Under Will of Charles S. Payson, 1987 – present; C.P.A., 1979 – present. | 135 | None. | ||||||||||||||||||
John A. Weisser Age: 77 | Trustee | Lifetime of Trust until removal or resignation; Since 2008 | Retired, since 1995; Salomon Brothers, Inc., 1971 – 1995, most recently as Managing Director. | 135 | Director until December 2016: The MainStay Funds Trust, The MainStay Funds, MainStay VP Fund Series, Mainstay Defined Term Municipal Opportunities Fund; Private Advisors Alternative Strategy Fund; Private Advisors Alternative Strategies Master Fund. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
David L. Driscoll Age: 49 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Partner, King Associates, LLP, since 2004; Board Advisor, University Common Real Estate, since 2012; Principal, Grey Oaks LLP since 2003; Member, Kendrick LLC, since 2006. | 135 | None. | ||||||||||||||||||
Jacob C. Gaffey Age: 71 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. | 135 | None. | ||||||||||||||||||
Henry W. Mulholland Age: 56 | Trustee | Lifetime of Trust until removal or resignation; Since 2017 | Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. | 135 | None. |
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Shares ETF Trust
Trustees and Officers
Principal Officers of the Trust
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(1) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Robert D. Nestor Age: 50 | President | One Year; Since 2018 | President, Rafferty Asset Management, LLC and Direxion Advisors, LLC, since April 2018; Blackrock, Inc. (May 2007 – April 2018), most recently as Managing Director. | N/A | N/A | ||||||||||||||||||
Patrick J. Rudnick Age: 45 | Principal Executive Officer Principal Financial Officer | One Year; Since 2018 One Year; Since 2010 | Senior Vice President, since March 2013, Rafferty Asset Management, LLC; Senior Vice President, since November 2017, Direxion Advisors, LLC. | N/A | N/A | ||||||||||||||||||
Angela Brickl Age: 43 | Chief Compliance Officer Secretary | One Year; Since 2018 One Year; Since 2011 | General Counsel, Rafferty Asset Management LLC, since October 2010 and Direxion Advisors, LLC, since November 2017; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012 and Direxion Advisors, LLC, since November 2017. | N/A | N/A |
(1) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
60
THIS PAGE INTENTIONALLY LEFT BLANK
61
SEMI-ANNUAL REPORT APRIL 30, 2019
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com
Investment Adviser
Rafferty Asset Management, LLC
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019
Administrator
U.S. Bancorp Fund Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York Mellon
101 Barclay Street
New York, New York 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
220 South 6th Street
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' website, www.direxioninvestments.com or by calling (800) 851-0511.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2019
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
3X BULL FUNDS | 3X BEAR FUNDS | ||||||
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily Mid Cap Bear 3X Shares | ||||||
Direxion Daily S&P 500® Bull 3X Shares | Direxion Daily S&P 500® Bear 3X Shares | ||||||
Direxion Daily Small Cap Bull 3X Shares | Direxion Daily Small Cap Bear 3X Shares | ||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | |||||||
Direxion Daily FTSE China Bull 3X Shares | Direxion Daily FTSE China Bear 3X Shares | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||
Direxion Daily Latin America Bull 3X Shares | |||||||
Direxion Daily MSCI Brazil Bull 3X Shares | |||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Developed Markets Bear 3X Shares | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||
Direxion Daily MSCI India Bull 3X Shares | |||||||
Direxion Daily MSCI Japan Bull 3X Shares | |||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||
Direxion Daily Russia Bull 3X Shares | Direxion Daily Russia Bear 3X Shares | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||
Direxion Daily Communication Services Index Bull 3X Shares | Direxion Daily Communication Services Index Bear 3X Shares | ||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | Direxion Daily Consumer Discretionary Bear 3X Shares | ||||||
Direxion Consumer Staples Bull 3X Shares | Direxion Daily Consumer Staples Bear 3X Shares | ||||||
Direxion Daily Energy Bull 3X Shares | Direxion Daily Energy Bear 3X Shares | ||||||
Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | ||||||
Direxion Daily Gold Miners Index Bull 3X Shares | Direxion Daily Gold Miners Index Bear 3X Shares | ||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||
Direxion Daily Industrials Bull 3X Shares | |||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | Direxion Daily Junior Gold Miners Index Bear 3X Shares | ||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||
Direxion Daily Natural Gas Related Bull 3X Shares | Direxion Daily Natural Gas Related Bear 3X Shares | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Regional Banks Bear 3X Shares | ||||||
Direxion Daily Retail Bull 3X Shares | |||||||
Direxion Daily Robotics, Artificial Intelligence & | |||||||
Automation Index Bull 3X Shares | |||||||
Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | ||||||
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | ||||||
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | ||||||
Direxion Daily Transportation Bull 3X Shares | |||||||
Direxion Daily Utilities Bull 3X Shares | |||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bear 3X Shares | ||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares |
You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to info@direxionfunds.com.
IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the shareholder reports from your financial intermediary such as a broker-dealer or bank. Instead, annual and semi-annual shareholder reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to continue receive paper copies of shareholder reports through the mail or to otherwise change your delivery method, contact your financial intermediary or follow the instructions included with this disclosure. Your election to receive shareholder reports in paper will apply to all funds that you hold through the financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
Table of Contents
Letter to Shareholders | 4 | ||||||
Expense Example | 16 | ||||||
Allocation of Portfolio Holdings | 21 | ||||||
Schedules of Investments | 23 | ||||||
Statements of Assets and Liabilities | 103 | ||||||
Statements of Operations | 119 | ||||||
Statements of Changes in Net Assets | 135 | ||||||
Financial Highlights | 167 | ||||||
Notes to the Financial Statements | 178 | ||||||
Supplemental Information | 227 | ||||||
Trustees and Officers | 228 | ||||||
Board Review of Investment Advisory Agreement | 231 |
Help Preserve the Environment – Go Green!
Go paperless with Direxion e-Delivery – a service allowing shareholders to reduce clutter with full online access to regulatory documents. Begin the preservation process with e-delivery.
With Direxion e-Delivery, you can:
• Receive email notifications when your most recent shareholder communications are available for review.
• Access prospectuses, annual reports and semi-annual reports online.
It's easy to enroll:
1. Visit www.direxioninvestments.com/edelivery
2. Follow the simple enrollment instructions
If you have questions about Direxion e-Delivery services, contact one of our shareholder representatives at 800-851-0511.
Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2018 to April 30, 2019 (the "Semi-Annual Period").
Market Review:
U.S. equities entered the Semi-Annual Period amid continued concerns over global trade, as weakness in the technology sector led equity markets lower for the first part of November. Subsequent, dovish comments from the Federal Reserve, as it adjusted its language amid slowing global growth and a strengthening dollar, resulted in a positive monthly return for the S&P 500 during November. Volatility returned in Q4 2018, with equity stocks selling off precipitously during the month of December, with continued trade tensions with China leading to concerns of a broader global economic slowdown. A change of tone from the Federal Reserve towards rate flexibility in January 2019 proved a boon to both U.S. and international equities, as emerging markets specifically saw an increased appetite for risk. The topic of tariffs was a key, daily market driver from January on. Through February, UK equities struggled on ever-present Brexit concerns, while Asian equities gained on trade deal progress. Stocks continued to perform well through March and into April, with both the NASDAQ 100 and S&P 500 hitting all-time highs. Strong earnings from communication and financial sector stocks helped drive the domestic market higher through the end of the Semi-Annual Period, while developed and emerging country stocks lagged by comparison on lingering concerns, such as U.S.-China trade tensions and political uncertainties.
The fixed income markets began the Semi-Annual Period with the front-end of the Treasury curve moving into a slight inversion. With Personal Consumption Expenditures still hovering below the Federal Reserve's 2% target, the bond market had brushed off inflation expectations apparent in the narrowing spread between TIPS and standard treasury bonds. To start 2019, the Federal Reserve affirmed a neutral policy stance by removing any reference to gradual rate rises in its policy statement. In referencing patience, the FOMC had taken itself out of the interest-rate equation for the foreseeable future. With the Federal Reserve on the sidelines, U.S. and China trade war rhetoric has been the ultimate catalyst for price action in the bond markets. As investors became fearful of a drawn out trade war between the U.S. and China, bond markets continued to rally, pushing yields further down on the front-end and back-end of the treasury curve.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 300% or -300% of the performance of a particular benchmark.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods of longer than one day and the performance of the ETFs over longer periods may not correlate to their benchmarks' performance. The ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.
The ETFs with the word "Bull" in their name (the "Bull ETFs") attempt to provide investment results that correlate to 300% of the return of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
The Funds with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -300% of the return of a benchmark index, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target benchmark index.
In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in
DIREXION SEMI-ANNUAL REPORT
4
accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the index or benchmark will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.
Each ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models and a description of how they work are available on the Direxion Investments website (www.direxioninvestments.com) under Tools/Exposure Level. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.
Factors Affecting Direxion Shares Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results (before fees and expenses) of either 300% (for the Bull ETFs) or -300% (for the Bear ETFs) of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of LIBOR plus or minus a spread and a Bear ETF receives LIBOR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
DIREXION SEMI-ANNUAL REPORT
5
Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time but deviates from its underlying Index in the short-term.
Equity Dividends and Bond Interest – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Equity Bear ETFs are negatively impacted as they are obligated to pay the dividends. Treasury Bull ETFs receive interest, accrued on a daily basis, to account for the Treasury's semi-annual coupon payments while the Treasury Bear ETFs pay interest, accrued on a daily basis.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.
Direxion Shares Performance Review:
The Direxion Daily Mid Cap Bull 3X Shares and the Direxion Daily Mid Cap Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Mid Cap 400® Index. The S&P Mid Cap 400® Index measures the performance of the mid-capitalization segment of the U.S. equity universe. The index is a capitalization-weighted index composed of 400 domestic common stocks. For the Semi-Annual Period, the S&P Mid Cap 400® Index returned 8.91%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Mid Cap Bull 3X Shares returned 19.14%, while the model indicated an expected return of 23.36%. The Direxion Daily Mid Cap Bear 3X Shares returned -26.50%, while the model indicated an expected return of -29.47%.
The Direxion Daily S&P 500® Bull 3X Shares and the Direxion Daily S&P 500® 3X Bear Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® Index. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The Index is a float-adjusted, market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned 9.76%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® Bull 3X Shares returned 22.42%, while the model indicated an expected return of 26.61%. The Direxion Daily S&P 500® Bear 3X Shares returned -27.72%, while the model indicated an expected return of -30.80%.
The Direxion Daily Small Cap Bull 3X Shares and the Direxion Daily Small Cap Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 2000® Index. The Russell 2000® Index measures the performance of approximately 2,000 small-capitalization companies in the Russell 3000® Index, based on a combination of their market capitalization and current index membership. For the Semi-Annual Period, the Russell 2000® Index returned 6.06%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Small Cap Bull 3X Shares returned 8.81%, while the model indicated an expected return of 12.36%. The Direxion Daily Small Cap Bear 3X Shares returned -22.55%, while the model indicated an expected return of -25.67%.
The Direxion Daily EURO STOXX 50® Bull 3X Shares seeks to provide 300% of the daily return of the EURO STOXX 50® Index. The EURO STOXX 50® Index is part of the STOXX blue-chip index family and represents the performance of the 50 largest companies among the 19 supersectors in terms of free-float market capitalization in 11 Eurozone countries. These countries have historically included Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The index captures approximately 60% of the free-float market capitalization of the EURO STOXX TMI Supersector Index. For the Semi-Annual Period, the EURO STOXX 50® Index returned 10.39%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index
DIREXION SEMI-ANNUAL REPORT
6
alone should not generate expectations of annual performance of the Fund. The Direxion Daily EURO STOXX 50® Bull 3X Shares returned 24.98% for the same period, while the model indicated an expected return of 29.94%.
The Direxion Daily FTSE China Bull 3X Shares and the Direxion Daily FTSE China Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the FTSE China 50 Index. The FTSE China 50 Index consists of the 50 largest and most liquid public Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the index are weighted based on the total market value of their shares, so that securities with higher total market values will generally have a higher representation in the index. Index constituents are screened for liquidity and weightings and are capped to prevent the index from being overly concentrated in any one stock. For the Semi-Annual Period, the FTSE China 50 Index returned 14.50%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily FTSE China Bull 3X Shares returned 36.52%, while the model indicated an expected return of 41.36%. The Direxion Daily FTSE China Bear 3X Shares returned -38.56%, while the model indicated an expected return of -41.06%.
The Direxion Daily FTSE Europe Bull 3X Shares seeks to provide 300% of the daily return of the FTSE Developed Europe All Cap Index. The FTSE Developed Europe All Cap Index is a market capitalization weighted index that is designed to measure the equity market performance of large-, mid- and small-cap companies in developed markets in Europe. For the Semi-Annual Period, the FTSE Developed Europe All Cap Index returned 8.92%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily FTSE Europe Bull 3X Shares returned 20.68%, while the model indicated an expected return of 25.49%.
The Direxion Daily Latin America Bull 3X Shares seeks to provide 300% of the daily return of the S&P Latin America 40 Index. The S&P Latin America 40 Index is an equity index or issuers drawn from five major Latin American markets: Brazil, Chile, Columbia, Mexico and Perú. It is designed for investors seeking broad market exposure through an index that is efficient to replicate. The index constituents are leading, large, liquid, blue-chip companies from the Latin American markets, and capturing 70% of their total market capitalization. For the Semi-Annual Period, the S&P Latin America 40 Index returned 3.47%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Latin America Bull 3X Shares returned -3.49%, while the model indicated an expected return of 0.24%.
The Direxion Daily MSCI Brazil Bull 3X Shares seeks to provide 300% of the daily return of the MSCI Brazil 25/50 Index. The MSCI Brazil 25/50 Index is designed to measure the performance of the large- and mid-capitalization segments of the Brazilian equity market, covering approximately 85% of the free float-adjusted market capitalization of Brazilian issuers. For the Semi-Annual Period, the MSCI Brazil 25/50 Index returned 4.66%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Brazil Bull 3X Shares returned -3.01%, while the model indicated an expected return of 0.53%.
The Direxion Daily MSCI Developed Markets Bull 3X Shares and the Direxion Daily MSCI Developed Markets Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI EAFE® Index. The MSCI EAFE® Index is a free float-adjusted market capitalization index that is designed to measure the performance of large- and mid-capitalization companies from developed market countries, excluding the U.S. and Canada. For the Semi-Annual Period, the MSCI EAFE® Index returned 8.03%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Developed Markets Bull 3X Shares returned 18.48%, while the model indicated an expected return of 22.86%. The Direxion Daily Developed Markets Bear 3X Shares returned -21.41%, while the model indicated an expected return of -24.71%.
The Direxion Daily MSCI Emerging Markets Bull 3X Shares and the Direxion Daily MSCI Emerging Markets Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI Emerging Markets IndexSM. The MSCI Emerging Market IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market
DIREXION SEMI-ANNUAL REPORT
7
performance in the global emerging markets. For the Semi-Annual Period, the MSCI Emerging Market IndexSM returned 13.85%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Emerging Markets MSCI Bull 3X Shares returned 35.85%, while the model indicated an expected return of 40.43%. The Direxion Daily MSCI Emerging Markets Bear 3X Shares returned -36.26%, while the model indicated an expected return of -38.75%.
The Direxion Daily MSCI India Bull 3X Shares seeks to provide 300% of the daily return of the MSCI India Index. The MSCI India Index is designed to measure the performance of the large- and mid-capitalization segments of the Indian market, covering approximately 85% of companies in the Indian equity securities market. For the Semi-Annual Period, the MSCI India Index returned 18.57%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI India Bull 3X Shares returned 50.45%, while the model indicated an expected return of 56.28%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily MSCI Japan Bull 3X Shares seeks to provide 300% of the MSCI Japan Index. The MSCI Japan Index is designed to measure the performance of the large- and mid-capitalization segments of the Japanese equity market, covering approximately 85% of the free float-adjusted market capitalization of Japanese issuers. For the Semi-Annual Period, the MSCI Japan Index returned 1.84%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Japan Bull 3X Shares returned -1.44%, while the model indicated an expected return of 2.29%.
The Direxion Daily MSCI Mexico Bull 3X Shares seeks to provide 300% of the daily return of the MSCI Mexico IMI 25/50 Index. The MSCI Mexico IMI 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the Mexican equity market, covering approximately 99% of the free float-adjusted market capitalization in Mexico. The index consists of stocks traded primarily on the Mexican Stock Market. For the Semi-Annual Period, the MSCI Mexico IMI 25/50 Index returned 10.69%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily MSCI Mexico Bull 3X Shares returned 19.74%, while the model indicated an expected return of 24.14%.
The Direxion Daily MSCI South Korea Bull 3X Shares seeks to provide 300% of the MSCI Korea 25/50 Index. The MSCI Korea 25/50 Index is designed to measure the performance of the large- and mid-cap segments of the South Korean equity market, covering approximately 85% of the free float-adjusted market capitalization of South Korean issuers. For the Semi-Annual Period, the MSCI Korea 25/50 Index returned 6.94%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI South Korea Bull 3X Shares returned 10.61%, while the model indicated an expected return of 14.82%.
The Direxion Daily Russia Bull 3X Shares and the Direxion Daily Russia Bear 3X Shares seek to provide 300% and -300% of the daily return of the MVIS Russia Index, respectively. The MVIS Russia Index is a rules-based index, intended to represent the overall performance of publicly traded companies that are domiciled and primarily listed on an exchange in Russia or that are not Russian companies, but nonetheless generate at least 50% of their revenues in Russia. For the Semi-Annual Period, the MVIS Russia Index returned 8.83%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Russia Bull 3X Shares returned 16.64%, while the model indicated an expected return of 21.51%. The Direxion Daily Russia Bear 3X Shares returned -27.80%, while the model indicated an expected return of -31.05%.
The Direxion Daily Aerospace & Defense Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Aerospace & Defense Index. The Dow Jones U.S. Select Aerospace & Defense Index is provided by Dow Jones U.S.
DIREXION SEMI-ANNUAL REPORT
8
Index. The index attempts to measure the performance of the aerospace and defense industry of the U.S. equity market. The index provider selects the stocks comprising the index from the aerospace and defense sector on the basis of the float-adjusted, market capitalization-weight of each constituent. Aerospace companies include manufacturers, assemblers and distributors of aircraft and aircraft parts. Defense companies include producers of components and equipment for the defense industry, such as military aircraft, radar equipment and weapons. For the Semi-Annual Period, the Dow Jones U.S. Select Aerospace & Defense Index returned 10.26%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Aerospace & Defense Bull 3X Shares returned 21.34% for the same period, while the model indicated an expected return of 25.85%.
The Direxion Daily Communication Services Index Bull 3X Shares and the Direxion Daily Communication Services Index Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Communication Services Select Sector Index. The Communication Services Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the communication services sector, which includes the following industries: diversified telecommunications services, wireless communication services, media, entertainment, and interactive media and services. Since the Funds' inception on January 14, 2019, the Communication Services Select Sector Index returned 14.42%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Communication Services Index Bull 3X Shares returned 41.86% for the same period, while the model indicated an expected return of 46.69%. The Direxion Daily Communication Services Index Bear 3X Shares returned -33.50% for the same period, while the model indicated an expected return of -36.09%.
The Direxion Daily Consumer Discretionary Bull 3X Shares and the Direxion Daily Consumer Discretionary Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Consumer Discretionary Select Sector Index. The Consumer Discretionary Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the consumer discretionary sector which includes the following industries: media; retail (specialty, multiline, internet & catalog); hotels, restaurants & leisure; textiles, apparel & luxury goods; household durables; automobiles; automobile components; distributors; leisure equipment & products; and diversified consumer services. Since the Funds' inception on November 29, 2018, the Consumer Discretionary Select Sector Index returned 12.36%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Consumer Discretionary Bull 3X Shares returned 31.42% for the same period, while the model indicated an expected return of 35.36%. The Direxion Daily Consumer Discretionary Bear 3X Shares returned -33.76% for the same period, while the model indicated an expected return of -35.98%.
The Direxion Daily Consumer Staples Bull 3X Shares and the Direxion Daily Consumer Staples Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Consumer Staples Select Sector Index. The Consumer Staples Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the consumer staples sector which includes the following industries: food and staples retailing; household products; food products; beverages; tobacco; and personal products. Since the Funds' inception on November 29, 2018, the Consumer Staples Select Sector Index returned 4.98%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Consumer Staples Bull 3X Shares returned 9.85% for the same period, while the model indicated an expected return of 13.14%. The Direxion Daily Consumer Staples Bear 3X Shares returned -14.39% for the same period, while the model indicated an expected return of -17.34%.
The Direxion Daily Energy Bull 3X Shares and the Direxion Daily Energy Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Energy Select Sector Index. The Energy Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the energy sector which includes the following industries: oil, gas and consumable fuels; and energy equipment and services. For the Semi-Annual Period, the Energy Select Sector Index returned 0.26%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Energy
DIREXION SEMI-ANNUAL REPORT
9
Bull 3X Shares returned -10.16%, while the model indicated an expected return of -6.85%. The Direxion Daily Energy Bear 3X Shares returned -11.58%, while the model indicated an expected return of -15.40%.
The Direxion Daily Financial Bull 3X Shares and the Direxion Daily Financial Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 1000® Financial Services Index. The Russell 1000® Financial Services Index is a subset of the Russell 1000® Index that measures the performance of the securities classified in the financial services sector of the large-capitalization U.S. equity market. For the Semi-Annual Period, the Russell 1000® Financial Services Index returned 11.20%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Financial Bull 3X Shares returned 27.45%, while the model indicated an expected return of 32.17%. The Direxion Daily Financial Bear 3X Shares returned -29.77%, while the model indicated an expected return of -32.95%.
The Direxion Daily Gold Miners Index Bull 3X Shares and the Direxion Daily Gold Miners Index Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the NYSE Arca Gold Miners Index. The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies that operate globally in both developed and emerging markets, and are involved primarily in mining for gold and, to a lesser extent, in mining for silver. The index will limit the weight of companies whose revenues are more significantly exposed to silver mining to less than 20% of the index at each rebalance date. The index may include small- and mid-capitalization companies and foreign issuers. For the Semi-Annual Period, the NYSE Arca Gold Miners Index returned 10.91%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Gold Miners Index Bull 3X Shares returned 18.85%, while the model indicated an expected return of 24.20%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Gold Miners Index Bear 3X Shares returned -36.70%, while the model indicated an expected return of -39.39%.
The Direxion Daily Healthcare Bull 3X Shares seeks to provide 300% of the daily return of the Health Care Select Sector Index. The Health Care Select Sector Index is provided by Standard & Poor's and includes domestic companies from the healthcare sector, which includes the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care technology. For the Semi-Annual Period, the Health Care Select Sector Index returned 1.54%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Healthcare Bull 3X Shares returned -4.00%, while the model indicated an expected return of -0.47%.
The Direxion Daily Homebuilders & Supplies 3X Bull Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Home Construction Index. The Dow Jones U.S. Select Home Construction Index measures U.S companies in the home construction sector that provide a wide range of products and services related to homebuilding, including home construction and producers, sellers and suppliers of building materials, furnishings and fixtures and also home improvement retailers. The index may include large-, mid- or small-capitalization companies. For the Semi-Annual Period, the Dow Jones U.S. Select Home Construction Index returned 22.44%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Homebuilders & Supplies 3X Bull Shares 63.76%, while the model indicated an expected return of 69.79%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Industrials Bull 3X Shares seeks to provide 300% of the daily return of the Industrials Select Sector Index. The Industrials Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the industrials sector which includes the following industries: aerospace and defense: industry conglomerates; and machinery. For the Semi-Annual Period, the Industrials Select Sector Index returned 13.15%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Industrials Bull 3X Shares returned 31.58%, while the model indicated an expected return of 36.53%.
DIREXION SEMI-ANNUAL REPORT
10
The Direxion Daily Junior Gold Miners Index Bull 3X Shares and the Direxion Daily Junior Gold Miners Index Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MVIS Global Junior Gold Miners Index. The MVIS Global Junior Gold Miners Index tracks the performance of foreign and domestic micro-, small- and mid-capitalization companies that generate, or demonstrate the potential to generate, at least 50% of their revenues from, or have at least 50% of their assets related to, gold mining and/or silver mining, hold real property or have mining projects that have the potential to produce at least 50% of the company's revenue from gold or silver mining when developed, or primarily invest in gold or silver. For the Semi-Annual Period, the MVIS Global Junior Gold Miners Index returned 7.86%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Junior Gold Miners Index Bull 3X Shares returned 5.83%, while the model indicated an expected return of 10.64%. The Direxion Daily Junior Gold Miners Index Bear 3X Shares returned -35.74%, while the model indicated an expected return of -38.33%.
The Direxion Daily MSCI Real Estate Bull 3X Shares and the Direxion Daily MSCI Real Estate Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI U.S. REIT IndexSM. The MSCI U.S. REIT IndexSM is a free float-adjusted market capitalization weighted index that is comprised of equity real estate investment trusts ("REITs") that are included in the MSCI U.S. Investable Market 2500 Index, with the exception of specialty equity REITs that do not generate a majority of their revenue and income from real estate rental and leasing operations. The index represents approximately 99% of the U.S. REIT universe. For the Semi-Annual Period, the MSCI U.S. REIT IndexSM returned 11.52%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Real Estate Bull 3X Shares returned 28.44%, while the model indicated an expected return of 33.02%. The Direxion Daily MSCI Real Estate Bear 3X Shares returned -30.45%, while the model indicated an expected return of -33.30%.
The Direxion Daily Natural Gas Related Bull 3X Shares and the Direxion Daily Natural Gas Related Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ISE-Revere Natural Gas IndexTM. The ISE-Revere Natural Gas IndexTM is developed and owned by ISE and is designed to take advantage of both event-driven news and long term trends in the natural gas industry. Equity securities are selected for inclusion in the index using a quantitative ranking and screening system that begins with the universe of equity securities of issuers that are involved in the exploration and production of natural gas and that satisfy market capitalization, liquidity and weighting concentration requirements. After the screens are applied, the remaining equity securities are divided into equity securities issued by MLPs and equity securities issued by non-MLPs, allocated to the index 15% and 85%, respectively. The index uses a linear-based capitalization-weighted methodology to rank the equity securities. For this Semi-Annual Period, the ISE-Revere Natural Gas IndexTM returned -13.39%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Natural Gas Related Bull 3X Shares returned -47.00%, while the model indicated an expected return of -45.05%. The Direxion Daily Natural Gas Related Bear 3X Shares returned 13.23%, while the model indicated an expected return of 9.40%.
The Direxion Daily Pharmaceutical & Medical Bull 3X Shares seeks to provide 300% of the daily return of the Dynamic Pharmaceutical IntellidexSM Index. The Dynamic Pharmaceutical IntellidexSM Index consists of common shares of companies that are principally engaged in research, development, manufacture, sale or distribution of pharmaceuticals and drugs of all types. The index may include pharmaceutical companies and other companies that facilitate the testing or regulatory approval of drugs. For the Semi-Annual Period, the Dynamic Pharmaceutical IntellidexSM Index returned -4.58%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Pharmaceutical & Medical Bull 3X Shares returned -21.12%, while the model indicated an expected return of -17.15%.
The Direxion Daily Regional Banks Bull 3X Shares and the Direxion Daily Regional Banks Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Regional Banks Select Industry Index. The S&P Regional Banks Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising
DIREXION SEMI-ANNUAL REPORT
11
the S&P Total Market Index that are classified in the Global Industry Classification Standard regional banks sub-industry. For the Semi-Annual Period, the S&P Regional Banks Select Industry Index returned 4.75%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Regional Banks Bull 3X Shares returned 2.48%, while the model indicated an expected return of 6.11%. The Direxion Daily Regional Banks Bear 3X Shares returned -22.18%, while the model indicated an expected return of -25.56%.
The Direxion Daily Retail Bull 3X Shares seeks to provide 300% of the daily return of the S&P Retail Select Industry Index, respectively. The S&P Retail Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard retail sub-industry. For the Semi-Annual Period, the S&P Retail Select Industry Index returned -2.32%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Retail Bull 3X Shares returned -16.11%, while the model indicated an expected return of -13.21%.
The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares seeks to provide 300% of the daily return of the Indxx Global Robotics and Artificial Intelligence Thematic Index. The Indxx Global Robotics and Artificial Intelligence Thematic Index is designed to provide exposure to exchange-listed companies in developed markets that are expected to benefit from the adoption and utilization of robotics and/or artificial intelligence, including companies involved in developing industrial robots and production systems, automated inventory management, unmanned vehicles, voice/image/text recognition, and medical robots or robotic instruments, as defined by the index provider, Indxx. Companies must have a minimum market capitalization of $100 million and a minimum average daily turnover for the last 6 months greater than, or equal to, $2 million in order to be eligible for inclusion in the Index. For the Semi-Annual Period, the Indxx Global Robotics and Artificial Intelligence Thematic Index returned 10.65%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares returned 19.61%, while the model indicated an expected return of 24.29%.
The Direxion Daily S&P Biotech Bull 3X Shares and the Direxion Daily S&P Biotech Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Biotechnology Select Industry Index. The S&P Biotechnology Select Industry Index is provided by Standard & Poor's and includes domestic companies from the biotechnology industry. The index is designed to measure the performance of the biotechnology sub-industry based on the Global Industry Classification Standards. For the Semi-Annual Period, the S&P Biotechnology Select Industry Index returned 7.55%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Biotech Bull 3X Shares returned -1.15%, while the model indicated an expected return of 1.93%. The Direxion Daily S&P Biotech Bear 3X Shares returned -44.80%, while the model indicated an expected return of -46.70%.
The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares and the Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Oil & Gas Exploration & Production Select Industry Index. The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's Index Provider and includes domestic companies from the oil and gas exploration and production sub-industry. The index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards. For the Semi-Annual Period, the S&P Oil & Gas Exploration & Production Select Industry Index returned -13.86%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares returned -49.42%, while the model indicated an expected return of -47.72%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares returned 6.83%, while the model indicated an expected return of 3.04%.
The Direxion Daily Semiconductor Bull 3X Shares and the Direxion Daily Semiconductor Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the PHLX Semiconductor Sector Index. The PHLX Semiconductor
DIREXION SEMI-ANNUAL REPORT
12
Sector Index measures the performance of domestic companies engaged in the design, distribution, manufacture and sale of semiconductors. For the Semi-Annual Period, the PHLX Semiconductor Index returned 30.66%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Semiconductor Bull 3X Shares returned 88.06%, while the model indicated an expected return of 94.25%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Semiconductor Bear 3X Shares returned -64.73%, while the model indicated an expected return of -66.12%.
The Direxion Daily Technology Bull 3X Shares and the Direxion Daily Technology Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Technology Select Sector Index. The Technology Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the technology sector which includes the following industries: computers and peripherals; software; diversified telecommunications services; communications equipment; semiconductors and semi-conductor equipment; internet software and services; IT services; electronic equipment, instruments and components; wireless telecommunication services; and office electronics. For the Semi-Annual Period, the Technology Select Sector Index returned 14.58%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Technology Bull 3X Shares returned 32.62%, while the model indicated an expected return of 37.58%. The Direxion Daily Technology Bear 3X Shares returned -41.99%, while the model indicated an expected return of -44.41%.
The Direxion Daily Transportation Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones Transportation Average. The Dow Jones Transportation Average is provided by Dow Jones U.S. Index and measures the performance of large, well-known companies within the transportation industry (e.g. shipping, railroad companies, airlines, etc.). For the Semi-Annual Period, the Dow Jones Transportation Average returned 7.28%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Transportation Bull 3X Shares returned 11.00%, while the model indicated an expected return of 15.18%.
The Direxion Daily Utilities Bull 3X Shares seeks to provide 300% of the daily return of the Utilities Select Sector Index. The Utilities Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the utilities sector which includes the following industries: electric utilities; multi-utilities; water utilities; independent power producers and energy trades; and gas utilities. For the Semi-Annual Period, the Utilities Select Sector Index returned 11.21%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Utilities Bull 3X Shares returned 28.97%, while the model indicated an expected return of 33.53%.
The Direxion Daily 7-10 Year Treasury Bull 3X Shares and the Direxion Daily 7-10 Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 7-10 Year Bond Index. The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 7-10 Year Bond Index returned 6.64%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 7-10 Year Treasury Bull 3X Shares returned -17.41%, while the model indicated an expected return of 20.78%. The Direxion Daily 7-10 Year Treasury Bear 3X Shares returned -15.65%, while the model indicated and an expected return of -17.89%.
The Direxion Daily 20+ Year Treasury Bull 3X Shares and the Direxion Daily 20+ Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 20+ Year Bond Index. The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining
DIREXION SEMI-ANNUAL REPORT
13
maturity of greater than 20 years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 20+ Year Bond Index returned 10.62%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 20+ Year Treasury Bull 3X Shares returned 29.48%, while the model indicated an expected return of 33.19%. The Direxion Daily 20+ Year Treasury Bear 3X Shares returned -24.99%, while the model indicated an expected return of -27.44%.
As always, we thank you for using the Direxion Shares and we look forward to our mutual success.
Best Regards,
Patrick Rudnick Principal Executive Officer Principal Financial Officer |
Past performance is not indicative of future results. One cannot invest directly in an Index. Recent growth rate in the stock market has helped to produce short-term returns that are not typical, and may not continue in the future. Carefully consider the investment objectives, risks, and charges and expenses of the ETFs before investing. This and other information can be found in the ETFs' statutory and summary prospectus. To obtain a prospectus, please visit www.direxioninvestments.com or call 1.866.476.7523.
There is no guarantee the ETFs will achieve their intended objective. Investing in the ETFs may be more volatile than investing in broadly diversified ETFs. The use of leverage by an ETF means the ETFs are riskier than alternatives which do not use leverage.
Short-term performance, in particular, is not a good indication of the ETF's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, ETF performance may be subject to substantial short-term changes. For additional information, see the ETF's prospectus.
The ETFs are designed to be utilized only by sophisticated investors, such as traders and active investors employing dynamic strategies. Such investors are expected to monitor and manage their portfolios frequently. Investors in the ETFs should (a) understand the consequences of seeking daily investment results, (b) understand the risk of shorting, and (c) intend to actively monitor and manage their investments.
Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense reimbursements or recoupments and fee waivers in effect during certain periods shown. Absent these reimbursements or recoupments and fee waivers, results would have been less favorable.
LIBOR (London Interbank Offered Rate) is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks. REIT (Real Estate Investment Trust).
DIREXION SEMI-ANNUAL REPORT
14
Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration risk that results from the ETFs' investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts, forward contracts, options and swaps are subject to market risks that may cause their price to fluctuate over time. The ETF does not attempt to, and should not be expected to; provide returns which are a multiple of the return of the Index for periods other than a single day. For other risks including correlation, leverage, compounding, market volatility and specific risks regarding each sector, please read the prospectus.
The views of this letter were those of the Adviser as of April 30, 2019 and may not necessarily reflect his views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION SEMI-ANNUAL REPORT
15
Expense Example (Unaudited)
April 30, 2019
As a shareholder of the Direxion Shares ETF Trust, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2018 to April 30, 2019).
Actual Expenses
The first line under each Fund in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2018 to April 30, 2019" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the following table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.08 | % | $ | 1,000.00 | $ | 1,191.40 | $ | 5.87 | |||||||||||
Based on hypothetical 5% return | 1.08 | % | 1,000.00 | 1,019.44 | 5.41 | ||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 735.00 | 4.69 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.39 | 5.46 | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 1,224.20 | 5.79 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 722.80 | 4.10 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.03 | 4.81 | ||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 1,088.10 | 5.75 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.29 | 5.56 |
DIREXION SEMI-ANNUAL REPORT
16
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | $ | 1,000.00 | $ | 774.50 | $ | 4.44 | |||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.79 | 5.06 | ||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 1,249.80 | 5.47 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.94 | 4.91 | ||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.07 | % | 1,000.00 | 1,365.20 | 6.27 | ||||||||||||||
Based on hypothetical 5% return | 1.07 | % | 1,000.00 | 1,019.49 | 5.36 | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 614.40 | 4.00 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.84 | 5.01 | ||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 1,206.80 | 6.07 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.29 | 5.56 | ||||||||||||||
Direxion Daily Latin America Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.26 | % | 1,000.00 | 965.10 | 6.14 | ||||||||||||||
Based on hypothetical 5% return | 1.26 | % | 1,000.00 | 1,018.55 | 6.31 | ||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.48 | % | 1,000.00 | 969.90 | 7.23 | ||||||||||||||
Based on hypothetical 5% return | 1.48 | % | 1,000.00 | 1,017.46 | 7.40 | ||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.08 | % | 1,000.00 | 1,184.80 | 5.85 | ||||||||||||||
Based on hypothetical 5% return | 1.08 | % | 1,000.00 | 1,019.44 | 5.41 | ||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 785.90 | 4.25 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.03 | 4.81 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | 1,000.00 | 1,358.50 | 6.02 | ||||||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.69 | 5.16 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 637.40 | 4.02 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.89 | 4.96 | ||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 1,504.50 | 6.52 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 985.60 | 4.68 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.08 | 4.76 | ||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.12 | % | 1,000.00 | 1,197.40 | 6.10 | ||||||||||||||
Based on hypothetical 5% return | 1.12 | % | 1,000.00 | 1,019.24 | 5.61 | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.06 | % | 1,000.00 | 1,106.10 | 5.54 | ||||||||||||||
Based on hypothetical 5% return | 1.06 | % | 1,000.00 | 1,019.54 | 5.31 | ||||||||||||||
Direxion Daily Russia Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 1,166.40 | 5.96 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.29 | 5.56 | ||||||||||||||
Direxion Daily Russia Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 722.00 | 4.18 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.94 | 4.91 | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.15 | % | 1,000.00 | 1,213.40 | 6.31 | ||||||||||||||
Based on hypothetical 5% return | 1.15 | % | 1,000.00 | 1,019.09 | 5.76 |
DIREXION SEMI-ANNUAL REPORT
17
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares2 | |||||||||||||||||||
Based on actual fund return | 1.02 | % | $ | 1,000.00 | $ | 1,418.60 | $ | 3.62 | |||||||||||
Based on hypothetical 5% return | 1.02 | % | 1,000.00 | 1,011.67 | 3.01 | ||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares2 | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 665.00 | 2.32 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,011.87 | 2.80 | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,314.20 | 4.61 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,016.98 | 4.02 | ||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 662.40 | 3.31 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,016.98 | 4.02 | ||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,098.50 | 4.18 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,016.98 | 4.02 | ||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 856.10 | 3.70 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,016.98 | 4.02 | ||||||||||||||
Direxion Daily Energy Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 898.40 | 4.94 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily Energy Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.25 | % | 1,000.00 | 884.20 | 5.84 | ||||||||||||||
Based on hypothetical 5% return | 1.25 | % | 1,000.00 | 1,018.60 | 6.26 | ||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.15 | % | 1,000.00 | 1,274.50 | 6.49 | ||||||||||||||
Based on hypothetical 5% return | 1.15 | % | 1,000.00 | 1,019.09 | 5.76 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 702.30 | 4.22 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.84 | 5.01 | ||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 1,188.50 | 5.91 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.39 | 5.46 | ||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 633.00 | 4.41 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.39 | 5.46 | ||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.07 | % | 1,000.00 | 960.00 | 5.20 | ||||||||||||||
Based on hypothetical 5% return | 1.07 | % | 1,000.00 | 1,019.49 | 5.36 | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 1,637.60 | 6.47 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.89 | 4.96 | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,315.80 | 5.57 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,019.98 | 4.86 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | 1,000.00 | 1,058.30 | 5.31 | ||||||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.64 | 5.21 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.10 | % | 1,000.00 | 642.60 | 4.48 | ||||||||||||||
Based on hypothetical 5% return | 1.10 | % | 1,000.00 | 1,019.34 | 5.51 | ||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.18 | % | 1,000.00 | 1,284.40 | 6.68 | ||||||||||||||
Based on hypothetical 5% return | 1.18 | % | 1,000.00 | 1,018.94 | 5.91 |
DIREXION SEMI-ANNUAL REPORT
18
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | $ | 1,000.00 | $ | 695.50 | $ | 4.12 | |||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.94 | 4.91 | ||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.34 | % | 1,000.00 | 530.00 | 5.08 | ||||||||||||||
Based on hypothetical 5% return | 1.34 | % | 1,000.00 | 1,018.15 | 6.71 | ||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.22 | % | 1,000.00 | 1,132.30 | 6.45 | ||||||||||||||
Based on hypothetical 5% return | 1.22 | % | 1,000.00 | 1,018.75 | 6.11 | ||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 788.80 | 4.26 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.03 | 4.81 | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,024.80 | 4.87 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,019.98 | 4.86 | ||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.17 | % | 1,000.00 | 778.20 | 5.16 | ||||||||||||||
Based on hypothetical 5% return | 1.17 | % | 1,000.00 | 1,018.99 | 5.86 | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | 1,000.00 | 838.90 | 4.61 | ||||||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.79 | 5.06 | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.02 | % | 1,000.00 | 1,196.10 | 5.55 | ||||||||||||||
Based on hypothetical 5% return | 1.02 | % | 1,000.00 | 1,019.74 | 5.11 | ||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 988.50 | 4.93 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.84 | 5.01 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 552.00 | 3.66 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.08 | 4.76 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.16 | % | 1,000.00 | 505.80 | 4.33 | ||||||||||||||
Based on hypothetical 5% return | 1.16 | % | 1,000.00 | 1,019.04 | 5.81 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 1,068.30 | 5.59 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.39 | 5.46 | ||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.06 | % | 1,000.00 | 1,880.60 | 7.57 | ||||||||||||||
Based on hypothetical 5% return | 1.06 | % | 1,000.00 | 1,019.54 | 5.31 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 352.70 | 3.25 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,019.98 | 4.86 | ||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.20 | % | 1,000.00 | 1,326.20 | 6.92 | ||||||||||||||
Based on hypothetical 5% return | 1.20 | % | 1,000.00 | 1,018.84 | 6.01 | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 580.10 | 3.88 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.89 | 4.96 | ||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 1,110.00 | 5.02 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.03 | 4.81 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,289.70 | 5.39 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.08 | 4.76 |
DIREXION SEMI-ANNUAL REPORT
19
Expense Example (Unaudited)
April 30, 2019
Annualized Expense Ratio | Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | $ | 1,000.00 | $ | 1,174.10 | $ | 5.34 | |||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.89 | 4.96 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 843.50 | 4.48 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.94 | 4.91 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,294.80 | 5.41 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.08 | 4.76 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.21 | % | 1,000.00 | 750.10 | 5.25 | ||||||||||||||
Based on hypothetical 5% return | 1.21 | % | 1,000.00 | 1,018.79 | 6.06 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2018 to April 30, 2019), then divided by 365.
1 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value during the period from November 29, 2018 (commencement of operations) to April 30, 2019, multiplied by 153 days (the number of days since commencement of operation to April 30, 2019), then divided by 365.
2 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value during the period from January 14, 2019 (commencement of operations) to April 30, 2019, multiplied by 107 days (the number of days since commencement of operation to April 30, 2019), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
20
Allocation of Portfolio Holdings (Unaudited)
April 30, 2019
Cash* | Common Stocks | Investment Companies | Master Limited Partnerships | Swaps | Total | ||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | 28 | % | — | 60 | % | — | 12 | % | 100 | % | |||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | 115 | % | — | — | — | (15 | )% | 100 | % | ||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 6 | % | — | 71 | % | — | 23 | % | 100 | % | |||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 125 | % | — | — | — | (25 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 23 | % | — | 54 | % | — | 23 | % | 100 | % | |||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 119 | % | — | — | — | (19 | )% | 100 | % | ||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 63 | % | — | 22 | % | — | 15 | % | 100 | % | |||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 42 | % | — | 48 | % | — | 10 | % | 100 | % | |||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 104 | % | — | — | — | (4 | )% | 100 | % | ||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 66 | % | — | 10 | % | — | 24 | % | 100 | % | |||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 56 | % | — | 47 | % | — | (3 | )% | 100 | % | |||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 52 | % | — | 43 | % | — | 5 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 60 | % | — | 23 | % | — | 17 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | 109 | % | — | — | — | (9 | )% | 100 | % | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 59 | % | — | 31 | % | — | 10 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 112 | % | — | — | — | (12 | )% | 100 | % | ||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 41 | % | — | 45 | % | — | 14 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 57 | % | — | 41 | % | — | 2 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 56 | % | — | 38 | % | — | 6 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 61 | % | — | 47 | % | — | (8 | )% | 100 | % | |||||||||||||||||
Direxion Daily Russia Bull 3X Shares | 54 | % | — | 40 | % | — | 6 | % | 100 | % | |||||||||||||||||
Direxion Daily Russia Bear 3X Shares | 104 | % | — | — | — | (4 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 14 | % | 67 | % | — | — | 19 | % | 100 | % | |||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 9 | % | 83 | % | — | — | 8 | % | 100 | % | |||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 100 | % | — | — | — | 0 | %** | 100 | % | ||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 7 | % | 81 | % | — | — | 12 | % | 100 | % | |||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 102 | % | — | — | — | (2 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 25 | % | 64 | % | — | — | 11 | % | 100 | % | |||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | 125 | % | — | — | — | (25 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 7 | % | — | 76 | % | — | 17 | % | 100 | % | |||||||||||||||||
Direxion Daily Energy Bear 3X Shares | 109 | % | — | — | — | (9 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 5 | % | 71 | % | — | — | 24 | % | 100 | % | |||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 130 | % | — | — | — | (30 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 86 | % | — | 28 | % | — | (14 | )% | 100 | % | |||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 85 | % | — | — | — | 15 | % | 100 | % | ||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 24 | % | — | 75 | % | — | 1 | % | 100 | % | |||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 21 | % | 62 | % | — | — | 17 | % | 100 | % | |||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 18 | % | 69 | % | — | — | 13 | % | 100 | % | |||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 93 | % | — | 21 | % | — | (14 | )% | 100 | % | |||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 83 | % | — | — | — | 17 | % | 100 | % | ||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 28 | % | 67 | % | — | — | 5 | % | 100 | % | |||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 104 | % | — | — | — | (4 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 40 | % | 36 | % | — | 4 | % | 20 | % | 100 | % | ||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 97 | % | — | — | — | 3 | % | 100 | % | ||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 33 | % | 77 | % | — | — | (10 | )% | 100 | % | |||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 35 | % | 50 | % | — | — | 15 | % | 100 | % | |||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | 116 | % | — | — | — | (16 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 30 | % | 67 | % | — | — | 3 | % | 100 | % | |||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 56 | % | — | 23 | % | — | 21 | % | 100 | % | |||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 45 | % | 63 | % | — | — | (8 | )% | 100 | % | |||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 96 | % | — | — | — | 4 | % | 100 | % | ||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 33 | % | 52 | % | — | — | 15 | % | 100 | % | |||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 94 | % | — | — | — | 6 | % | 100 | % | ||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | (20 | )% | 71 | % | — | — | 49 | % | 100 | % | |||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 130 | % | — | — | — | (30 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 0 | %** | — | 69 | % | — | 31 | % | 100 | % | |||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 145 | % | — | — | — | (45 | )% | 100 | % | ||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 75 | % | 10 | % | — | — | 15 | % | 100 | % | |||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 32 | % | 67 | % | — | — | 1 | % | 100 | % | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 35 | % | — | 62 | % | — | 3 | % | 100 | % |
DIREXION SEMI-ANNUAL REPORT
21
Allocation of Portfolio Holdings (Unaudited)
April 30, 2019
Cash* | Common Stocks | Investment Companies | Master Limited Partnerships | Swaps | Total | ||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 108 | % | — | — | — | (8 | )% | 100 | % | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 19 | % | — | 78 | % | — | 3 | % | 100 | % | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 108 | % | — | — | — | (8 | )% | 100 | % |
Allocation of Portfolio Holdings reflects percentages of net assets.
* Cash, cash equivalents and other assets less liabilities.
** Less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily Mid Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 60.1% | |||||||||||
166,851 | iShares Core S&P Mid-Cap ETF (a) | $ | 32,851,293 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $32,045,594) | $ | 32,851,293 | |||||||||
SHORT TERM INVESTMENTS - 22.1% | |||||||||||
Money Market Funds - 22.1% | |||||||||||
7,521,319 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 7,521,319 | ||||||||
4,582,070 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 4,582,070 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,103,389) | $ | 12,103,389 | |||||||||
TOTAL INVESTMENTS (Cost $44,148,983) - 82.2% (c) | $ | 44,954,682 | |||||||||
Other Assets in Excess of Liabilities - 17.8% | 9,695,172 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 54,649,854 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $44,954,682.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.7309% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/9/2019 | 15,763 | $ | 30,068,453 | $ | 943,431 | |||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.8274% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 39,299 | 72,292,824 | 4,968,708 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.8174% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 1,768 | 3,215,875 | 259,702 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.8174% representing 1 month LIBOR rate + spread | BNP Paribas | 3/18/2020 | 4,636 | 8,900,596 | 216,399 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.8174% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 1,491 | 2,901,302 | 34,522 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.8174% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 1,434 | 2,798,025 | 26,488 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 2.8174% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 2,132 | 4,202,789 | (1,800 | ) | ||||||||||||||||||||
$ | 124,379,864 | $ | 6,447,450 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily Mid Cap Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 73.7% | |||||||||||
Money Market Funds - 73.7% | |||||||||||
2,373,688 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 2,373,688 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,373,688) (b) | $ | 2,373,688 | |||||||||
TOTAL INVESTMENTS (Cost $2,373,688) - 73.7% | $ | 2,373,688 | |||||||||
Other Assets in Excess of Liabilities - 26.3% | 846,667 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,220,355 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,373,688.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5674% representing 1 month LIBOR rate + spread | Total return of S&P MidCap 400® Index | Credit Suisse Capital LLC | 12/10/2019 | 3,533 | $ | 6,485,874 | $ | (464,747 | ) | ||||||||||||||||||
2.3574% representing 1 month LIBOR rate + spread | Total return of S&P MidCap 400® Index | BNP Paribas | 4/15/2020 | 71 | 136,792 | (3,062 | ) | ||||||||||||||||||||
2.3574% representing 1 month LIBOR rate + spread | Total return of S&P MidCap 400® Index | BNP Paribas | 5/20/2020 | 1,298 | 2,529,251 | (28,428 | ) | ||||||||||||||||||||
$ | 9,151,917 | $ | (496,237 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 71.2% | |||||||||||
2,557,736 | SPDR® S&P 500® ETF Trust (a) | $ | 756,936,391 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $698,555,502) | $ | 756,936,391 | |||||||||
SHORT TERM INVESTMENTS - 21.3% | |||||||||||
Money Market Funds - 21.3% | |||||||||||
159,017,716 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 159,017,716 | ||||||||
67,346,828 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 67,346,828 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $226,364,544) | $ | 226,364,544 | |||||||||
TOTAL INVESTMENTS (Cost $924,920,046) - 92.5% (c) | $ | 983,300,935 | |||||||||
Other Assets in Excess of Liabilities - 7.5% | 79,733,788 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,063,034,723 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $805,347,183.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P 500® Index | 2.7509% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 11/25/2019 | 226,672 | $ | 641,086,909 | $ | 25,852,868 | |||||||||||||||||||
Total return of S&P 500® Index | 2.7974% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/11/2019 | 291,526 | 741,241,384 | 115,535,409 | |||||||||||||||||||||
Total return of S&P 500® Index | 2.7874% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2019 | 191,775 | 480,220,126 | 83,438,781 | |||||||||||||||||||||
Total return of S&P 500® Index | 2.8374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 42,362 | 121,216,863 | 3,420,619 | |||||||||||||||||||||
Total return of S&P 500® Index | 2.7874% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 21,613 | 54,993,293 | 8,568,168 | |||||||||||||||||||||
Total return of S&P 500® Index | 2.7874% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 51,683 | 140,983,375 | 11,049,354 | |||||||||||||||||||||
$ | 2,179,741,950 | $ | 247,865,199 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily S&P 500® Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 72.6% | |||||||||||
Money Market Funds - 72.6% | |||||||||||
55,363,441 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 55,363,441 | ||||||||
203,594,037 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 203,594,037 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $258,957,478) (b) | $ | 258,957,478 | |||||||||
TOTAL INVESTMENTS (Cost $258,957,478) - 72.6% | $ | 258,957,478 | |||||||||
Other Assets in Excess of Liabilities - 27.4% | 97,726,717 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 356,684,195 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $258,957,478.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | UBS Securities LLC | 12/6/2019 | 257,724 | $ | 685,574,851 | $ | (72,308,133 | ) | ||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Citibank N.A. | 12/16/2019 | 40,068 | 110,537,619 | (7,326,785 | ) | ||||||||||||||||||||
2.5509% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Bank of America Merrill Lynch | 1/28/2020 | 65,452 | 184,725,879 | (7,886,535 | ) | ||||||||||||||||||||
$ | 980,838,349 | $ | (87,521,453 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily Small Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 54.3% | |||||||||||
2,759,681 | iShares Russell 2000 ETF (a)(b) | $ | 436,829,905 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $438,111,512) | $ | 436,829,905 | |||||||||
SHORT TERM INVESTMENTS - 33.1% | |||||||||||
Money Market Funds - 33.1% | |||||||||||
126,617,297 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c) | $ | 126,617,297 | ||||||||
139,906,968 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 139,906,968 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $266,524,265) | $ | 266,524,265 | |||||||||
TOTAL INVESTMENTS (Cost $704,635,777) - 87.4% (d) | $ | 703,354,170 | |||||||||
Other Assets in Excess of Liabilities - 12.6% | 100,724,786 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 804,078,956 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $622,516,417.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.6409% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/9/2019 | 354,499 | $ | 506,407,748 | $ | 55,497,317 | |||||||||||||||||||
Total return of Russell 2000® Index | 2.8374% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/11/2019 | 346,240 | 480,860,705 | 67,680,843 | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.7574% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 252,948 | 346,813,854 | 54,187,768 | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.6674% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/24/2019 | 92,927 | 147,177,746 | 402,351 | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.4874% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 94,175 | 145,533,671 | 4,139,259 | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.4874% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 87,940 | 139,201,692 | 657,497 | |||||||||||||||||||||
Total return of Russell 2000® Index | 2.4874% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 12,726 | 20,344,747 | (95,992 | ) | ||||||||||||||||||||
$ | 1,786,340,163 | $ | 182,469,043 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily Small Cap Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 73.8% | |||||||||||
Money Market Funds - 73.8% | |||||||||||
75,644,063 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 75,644,063 | ||||||||
157,296,437 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 157,296,437 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $232,940,500) (b) | $ | 232,940,500 | |||||||||
TOTAL INVESTMENTS (Cost $232,940,500) - 73.8% | $ | 232,940,500 | |||||||||
Other Assets in Excess of Liabilities - 26.2% | 82,764,506 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 315,705,006 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $232,940,500.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.6374% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | UBS Securities LLC | 12/6/2019 | 208,807 | $ | 310,723,597 | $ | (20,780,905 | ) | ||||||||||||||||||
2.4509% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Bank of America Merrill Lynch | 12/9/2019 | 149,877 | 217,537,881 | (20,169,618 | ) | ||||||||||||||||||||
2.4374% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Citibank N.A. | 12/10/2019 | 21,740 | 34,412,070 | (150,218 | ) | ||||||||||||||||||||
2.5374% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Credit Suisse Capital LLC | 12/16/2019 | 159,590 | 236,574,647 | (16,811,263 | ) | ||||||||||||||||||||
2.2874% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 5/20/2020 | 55,208 | 86,664,706 | (1,157,323 | ) | ||||||||||||||||||||
$ | 885,912,901 | $ | (59,069,327 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily EURO STOXX 50® Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 22.4% | |||||||||||
17,176 | SPDR® EURO STOXX 50® ETF (a) | $ | 662,135 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $666,699) | $ | 662,135 | |||||||||
SHORT TERM INVESTMENTS - 37.9% | |||||||||||
Money Market Funds - 37.9% | |||||||||||
1,122,647 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 1,122,647 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,122,647) | $ | 1,122,647 | |||||||||
TOTAL INVESTMENTS (Cost $1,789,346) - 60.3% (c) | $ | 1,784,782 | |||||||||
Other Assets in Excess of Liabilities - 39.7% | 1,175,452 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,960,234 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,669,132.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of SPDR® EURO STOXX 50® ETF | 2.9874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/6/2019 | 32,406 | $ | 1,218,701 | $ | 28,528 | |||||||||||||||||||
Total return of SPDR® EURO STOXX 50® ETF | 3.0874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 180,788 | 6,528,930 | 421,432 | |||||||||||||||||||||
$ | 7,747,631 | $ | 449,960 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily FTSE China Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 48.2% | |||||||||||
4,481,080 | iShares China Large-Cap ETF (a) | $ | 199,363,249 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $195,659,091) | $ | 199,363,249 | |||||||||
SHORT TERM INVESTMENTS - 25.4% | |||||||||||
Money Market Funds - 25.4% | |||||||||||
89,580,757 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 89,580,757 | ||||||||
15,635,047 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 15,635,047 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $105,215,804) | $ | 105,215,804 | |||||||||
TOTAL INVESTMENTS (Cost $300,874,895) - 73.6% (c) | $ | 304,579,053 | |||||||||
Other Assets in Excess of Liabilities - 26.4% | 108,906,254 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 413,485,307 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $302,166,627.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 2.8374% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2019 | 8,287,351 | $ | 358,983,425 | $ | 7,918,558 | |||||||||||||||||||
Total return of iShares China Large-Cap ETF | 2.8474% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 7,346,803 | 288,802,826 | 35,025,663 | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 2.9309% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 3/26/2020 | 7,766,608 | 347,570,338 | (2,866,933 | ) | ||||||||||||||||||||
$ | 995,356,589 | $ | 40,077,288 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily FTSE China Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 61.4% | |||||||||||
Money Market Funds - 61.4% | |||||||||||
6,390,000 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 6,390,000 | ||||||||
47,632,313 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 47,632,313 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $54,022,313) (b) | $ | 54,022,313 | |||||||||
TOTAL INVESTMENTS (Cost $54,022,313) - 61.4% | $ | 54,022,313 | |||||||||
Other Assets in Excess of Liabilities - 38.6% | 33,890,434 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 87,912,747 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $54,022,313.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | UBS Securities LLC | 12/12/2019 | 2,116,276 | $ | 94,428,348 | $ | 517,771 | |||||||||||||||||||
2.9334% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | Bank of America Merrill Lynch | 12/13/2019 | 562,952 | 25,074,720 | 40,691 | |||||||||||||||||||||
2.5374% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | Credit Suisse Capital LLC | 12/13/2019 | 3,248,765 | 139,940,373 | (4,020,439 | ) | ||||||||||||||||||||
$ | 259,443,441 | $ | (3,461,977 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily FTSE Europe Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 9.7% | |||||||||||
53,874 | Vanguard FTSE Europe ETF (a) | $ | 3,001,321 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,003,797) | $ | 3,001,321 | |||||||||
SHORT TERM INVESTMENTS - 52.3% | |||||||||||
Money Market Funds - 52.3% | |||||||||||
16,137,810 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 16,137,810 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $16,137,810) | $ | 16,137,810 | |||||||||
TOTAL INVESTMENTS (Cost $19,141,607) - 62.0% (c) | $ | 19,139,131 | |||||||||
Other Assets in Excess of Liabilities - 38.0% | 11,723,079 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 30,862,210 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,353,631.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 3.1874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 1,512,065 | $ | 76,800,026 | $ | 7,160,790 | |||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 30,554 | 1,678,365 | 149,864 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 51,667 | 2,863,721 | 12,472 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 13,787 | 768,227 | (154 | ) | ||||||||||||||||||||
$ | 82,110,339 | $ | 7,322,972 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion Daily Latin America Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 46.6% | |||||||||||
401,338 | iShares Latin America 40 ETF (a) | $ | 13,460,877 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,497,055) | $ | 13,460,877 | |||||||||
SHORT TERM INVESTMENTS - 38.9% | |||||||||||
Money Market Funds - 38.9% | |||||||||||
2,210,000 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 2,210,000 | ||||||||
9,039,608 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 9,039,608 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $11,249,608) | $ | 11,249,608 | |||||||||
TOTAL INVESTMENTS (Cost $24,746,663) - 85.5% (c) | $ | 24,710,485 | |||||||||
Other Assets in Excess of Liabilities - 14.5% | 4,174,382 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 28,884,867 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $23,473,328.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 2.9285% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/13/2019 | 263,110 | $ | 8,817,698 | $ | 3,425 | |||||||||||||||||||
Total return of iShares Latin America 40 ETF | 2.9874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 1,126,573 | 37,807,025 | (74,356 | ) | ||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 788,184 | 27,271,903 | (881,433 | ) | ||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 4,421 | 147,824 | 288 | |||||||||||||||||||||
$ | 74,044,450 | $ | (952,076 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion Daily MSCI Brazil Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 42.6% | |||||||||||
5,059,662 | iShares MSCI Brazil Capped ETF (a)(b) | $ | 209,419,410 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $208,069,817) | $ | 209,419,410 | |||||||||
SHORT TERM INVESTMENTS - 34.9% | |||||||||||
Money Market Funds - 34.9% | |||||||||||
30,988,118 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 30,988,118 | ||||||||
140,555,050 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 140,555,050 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $171,543,168) | $ | 171,543,168 | |||||||||
TOTAL INVESTMENTS (Cost $379,612,985) - 77.5% (e) | $ | 380,962,578 | |||||||||
Other Assets in Excess of Liabilities - 22.5% | 110,767,051 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 491,729,629 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $344,537,517.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/5/2019 | 6,384,661 | $ | 262,753,606 | $ | 1,159,095 | |||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.8874% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 3,982,628 | 155,728,916 | 9,747,687 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.9374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/24/2019 | 14,680,261 | 593,889,814 | 11,951,350 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.8874% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 1,590,355 | 62,664,397 | 2,575,957 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.8874% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 214,000 | 8,951,270 | (173,676 | ) | ||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.8309% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 4/27/2020 | 2,806,231 | 117,140,301 | (1,303,759 | ) | ||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 2.8874% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 923,473 | 37,371,190 | 824,381 | |||||||||||||||||||||
$ | 1,238,499,494 | $ | 24,781,035 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion Daily MSCI Developed Markets Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 23.4% | |||||||||||
56,962 | iShares MSCI EAFE ETF (a) | $ | 3,802,783 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,829,520) | $ | 3,802,783 | |||||||||
SHORT TERM INVESTMENTS - 44.5% | |||||||||||
Money Market Funds - 44.5% | |||||||||||
7,220,508 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 7,220,508 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,220,508) | $ | 7,220,508 | |||||||||
TOTAL INVESTMENTS (Cost $11,050,028) - 67.9% (c) | $ | 11,023,291 | |||||||||
Other Assets in Excess of Liabilities - 32.1% | 5,218,988 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 16,242,279 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,688,091.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares MSCI EAFE ETF | 3.0374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/13/2019 | 220,552 | $ | 14,247,885 | $ | 413,783 | |||||||||||||||||||
Total return of iShares MSCI EAFE ETF | 2.8474% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 452,367 | 27,668,321 | 2,300,089 | |||||||||||||||||||||
$ | 41,916,206 | $ | 2,713,872 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion Daily MSCI Developed Markets Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 65.1% | |||||||||||
Money Market Funds - 65.1% | |||||||||||
5,522,427 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 5,522,427 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,522,427) (b) | $ | 5,522,427 | |||||||||
TOTAL INVESTMENTS (Cost $5,522,427) - 65.1% | $ | 5,522,427 | |||||||||
Other Assets in Excess of Liabilities - 34.9% | 2,958,917 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,481,344 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,522,427.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.6274% representing 1 month LIBOR rate + spread | Total return of iShares MSCI EAFE ETF | Credit Suisse Capital LLC | 12/24/2019 | 381,127 | $ | 24,604,061 | $ | (778,476 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 31.3% | |||||||||||
1,710,075 | iShares MSCI Emerging Markets ETF (a) | $ | 75,123,595 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $73,496,852) | $ | 75,123,595 | |||||||||
SHORT TERM INVESTMENTS - 38.4% | |||||||||||
Money Market Funds - 38.4% | |||||||||||
92,147,398 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 92,147,398 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $92,147,398) | $ | 92,147,398 | |||||||||
TOTAL INVESTMENTS (Cost $165,644,250) - 69.7% (c) | $ | 167,270,993 | |||||||||
Other Assets in Excess of Liabilities - 30.3% | 72,522,391 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 239,793,384 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $167,270,993.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7074% representing 1 month LIBOR rate + spread | BNP Paribas | 10/16/2019 | 1,063,615 | $ | 45,496,525 | $ | 1,304,134 | |||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7074% representing 1 month LIBOR rate + spread | BNP Paribas | 11/20/2019 | 349,360 | 13,952,735 | 1,436,458 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7074% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2019 | 4,989,707 | 214,581,477 | 3,909,678 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.8874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 3,092,956 | 130,197,626 | 4,739,322 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7174% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2019 | 2,170,355 | 92,631,398 | 2,152,582 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7074% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 669,818 | 28,077,687 | 1,444,185 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7074% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 1,979,887 | 78,160,279 | 8,152,642 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 2.7074% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 349,832 | 14,851,449 | 429,143 | |||||||||||||||||||||
$ | 617,949,176 | $ | 23,568,144 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 68.2% | |||||||||||
Money Market Funds - 68.2% | |||||||||||
44,607,648 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 44,607,648 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $44,607,648) (b) | $ | 44,607,648 | |||||||||
TOTAL INVESTMENTS (Cost $44,607,648) - 68.2% | $ | 44,607,648 | |||||||||
Other Assets in Excess of Liabilities - 31.8% | 20,763,161 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 65,370,809 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $44,607,648.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 10/16/2019 | 37,236 | $ | 1,457,417 | $ | (944,648 | ) | ||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 11/20/2019 | 418,990 | 16,437,879 | (2,040,648 | ) | ||||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | UBS Securities LLC | 12/12/2019 | 2,032,012 | 88,092,800 | (1,035,107 | ) | ||||||||||||||||||||
2.4874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | Citibank N.A. | 12/24/2019 | 1,289,946 | 53,556,349 | (2,742,800 | ) | ||||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 1/15/2020 | 124,270 | 4,857,268 | (564,400 | ) | ||||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 2/19/2020 | 360,025 | 15,262,007 | (470,791 | ) | ||||||||||||||||||||
2.3874% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 3/18/2020 | 201,730 | 8,585,929 | (237,371 | ) | ||||||||||||||||||||
$ | 188,249,649 | $ | (8,035,765 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Daily MSCI India Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 45.3% | |||||||||||
1,033,746 | iShares MSCI India ETF (a) | $ | 36,708,320 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $36,090,293) | $ | 36,708,320 | |||||||||
SHORT TERM INVESTMENTS - 28.3% | |||||||||||
Money Market Funds - 28.3% | |||||||||||
10,445,352 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 10,445,352 | ||||||||
12,523,707 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 12,523,707 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $22,969,059) | $ | 22,969,059 | |||||||||
TOTAL INVESTMENTS (Cost $59,059,352) - 73.6% (c) | $ | 59,677,379 | |||||||||
Other Assets in Excess of Liabilities - 26.4% | 21,442,481 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 81,119,860 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $51,926,597.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 3.0374% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/12/2019 | 2,309,441 | $ | 75,900,684 | $ | 5,615,001 | |||||||||||||||||||
Total return of iShares MSCI India ETF | 3.1374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 2,356,353 | 77,608,278 | 5,346,915 | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 2.8809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 4/27/2020 | 1,153,741 | 40,907,562 | (3,453 | ) | ||||||||||||||||||||
$ | 194,416,524 | $ | 10,958,463 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Daily MSCI Japan Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 41.3% | |||||||||||
79,353 | iShares MSCI Japan ETF (a) | $ | 4,397,743 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $4,543,729) | $ | 4,397,743 | |||||||||
SHORT TERM INVESTMENTS - 41.4% | |||||||||||
Money Market Funds - 41.4% | |||||||||||
4,413,702 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 4,413,702 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,413,702) | $ | 4,413,702 | |||||||||
TOTAL INVESTMENTS (Cost $8,957,431) - 82.7% (c) | $ | 8,811,445 | |||||||||
Other Assets in Excess of Liabilities - 17.3% | 1,839,615 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,651,060 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,390,422.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares MSCI Japan ETF | 2.9874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 497,213 | $ | 27,213,487 | $ | 212,222 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion Daily MSCI Mexico Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 38.3% | |||||||||||
58,060 | iShares MSCI Mexico ETF (a)(b) | $ | 2,679,469 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $2,608,237) | $ | 2,679,469 | |||||||||
SHORT TERM INVESTMENTS - 43.4% | |||||||||||
Money Market Funds - 43.4% | |||||||||||
1,893,119 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 1,893,119 | ||||||||
1,138,317 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 1,138,317 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,031,436) | $ | 3,031,436 | |||||||||
TOTAL INVESTMENTS (Cost $5,639,673) - 81.7% (e) | $ | 5,710,905 | |||||||||
Other Assets in Excess of Liabilities - 18.3% | 1,276,418 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,987,323 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,983,360.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI Mexico Capped ETF | 2.3874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2019 | 245,762 | $ | 10,811,850 | $ | 494,470 | |||||||||||||||||||
Total return of iShares MSCI Mexico Capped ETF | 2.8309% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/18/2019 | 150,393 | 7,034,118 | (104,757 | ) | ||||||||||||||||||||
$ | 17,845,968 | $ | 389,713 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion Daily MSCI South Korea Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 46.9% | |||||||||||
354,664 | iShares MSCI South Korea Capped ETF (a) | $ | 21,804,743 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $22,194,971) | $ | 21,804,743 | |||||||||
SHORT TERM INVESTMENTS - 38.9% | |||||||||||
Money Market Funds - 38.9% | |||||||||||
18,078,904 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 18,078,904 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,078,904) | $ | 18,078,904 | |||||||||
TOTAL INVESTMENTS (Cost $40,273,875) - 85.8% (c) | $ | 39,883,647 | |||||||||
Other Assets in Excess of Liabilities - 14.2% | 6,561,307 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 46,444,954 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $38,238,995.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 2.9874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2019 | 1,511,290 | $ | 96,210,839 | $ | (3,390,259 | ) | ||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 3/18/2020 | 92,750 | 5,681,146 | 59,028 | |||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 307,650 | 19,095,761 | (237,985 | ) | ||||||||||||||||||||
$ | 120,987,746 | $ | (3,569,216 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Daily Russia Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 40.1% | |||||||||||
2,439,660 | VanEck VectorsTM Russia ETF (a) | $ | 52,550,277 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $53,447,258) | $ | 52,550,277 | |||||||||
SHORT TERM INVESTMENTS - 59.6% | |||||||||||
Money Market Funds - 59.6% | |||||||||||
19,040,000 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 19,040,000 | ||||||||
59,022,183 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 59,022,183 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $78,062,183) | $ | 78,062,183 | |||||||||
TOTAL INVESTMENTS (Cost $131,509,441) - 99.7% (c) | $ | 130,612,460 | |||||||||
Other Assets in Excess of Liabilities - 0.3% | 325,942 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 130,938,402 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $107,551,585.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 3.3674% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 9,303,889 | $ | 199,400,004 | $ | 810,165 | |||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 2.9785% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/18/2019 | 3,542,265 | 76,129,664 | 138,695 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 3.1974% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 2,950,841 | 58,692,227 | 7,561,518 | |||||||||||||||||||||
$ | 334,221,895 | $ | 8,510,378 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Daily Russia Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 91.3% | |||||||||||
Money Market Funds - 91.3% | |||||||||||
3,060,000 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 3,060,000 | ||||||||
18,466,348 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 18,466,348 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $21,526,348) (b) | $ | 21,526,348 | |||||||||
TOTAL INVESTMENTS (Cost $21,526,348) - 91.3% | $ | 21,526,348 | |||||||||
Other Assets in Excess of Liabilities - 8.7% | 2,043,495 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 23,569,843 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $21,526,348.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.7785% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Russia ETF | Bank of America Merrill Lynch | 12/13/2019 | 568,990 | $ | 12,227,595 | $ | (23,731 | ) | ||||||||||||||||||
2.9374% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Russia ETF | Credit Suisse Capital LLC | 12/17/2019 | 2,063,724 | 43,260,385 | (1,080,059 | ) | ||||||||||||||||||||
2.7674% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Russia ETF | BNP Paribas | 12/18/2019 | 649,993 | 14,163,347 | 176,652 | |||||||||||||||||||||
$ | 69,651,327 | $ | (927,138 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Direxion Daily Aerospace & Defense Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 66.9% | |||||||||||
Computer and Electronic Product Manufacturing - 12.9% | |||||||||||
9,685 | Aerojet Rocketdyne Holdings, Inc. (a) | $ | 327,934 | ||||||||
5,010 | Cubic Corp. | 284,468 | |||||||||
10,243 | Harris Corp. | 1,725,946 | |||||||||
7,990 | L3 Technologies, Inc. | 1,746,454 | |||||||||
6,773 | Mercury Systems, Inc. (a) | 494,564 | |||||||||
5,866 | Northrop Grumman Corp. | 1,700,612 | |||||||||
9,059 | Raytheon Co. | 1,608,788 | |||||||||
7,888,766 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.0% | |||||||||||
7,774 | Axon Enterprise, Inc. (a) | 493,649 | |||||||||
1,442 | National Presto Industries, Inc. (b) | 153,573 | |||||||||
647,222 | |||||||||||
Fabricated Metal Product Manufacturing - 1.5% | |||||||||||
14,790 | American Outdoor Brands Corp. (a) | 145,681 | |||||||||
10,378 | BWX Technologies, Inc. | 530,316 | |||||||||
4,081 | Sturm, Ruger & Co, Inc. | 228,495 | |||||||||
904,492 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.4% | |||||||||||
12,065 | Hexcel Corp. | 853,116 | |||||||||
2,768 | Huntington Ingalls Industries, Inc. | 616,102 | |||||||||
1,469,218 | |||||||||||
Miscellaneous Manufacturing - 2.1% | |||||||||||
23,788 | Textron, Inc. | 1,260,764 | |||||||||
Primary Metal Manufacturing - 1.5% | |||||||||||
43,234 | Arconic, Inc. | 928,666 | |||||||||
Professional, Scientific, and Technical Services - 1.1% | |||||||||||
2,758 | Teledyne Technologies, Inc. (a) | 685,391 | |||||||||
Transportation Equipment Manufacturing - 44.4% | |||||||||||
6,213 | AAR Corp. | 209,813 | |||||||||
3,767 | AeroVironment, Inc. (a) | 258,266 | |||||||||
6,388 | Astronics Corp. (a) | 212,976 | |||||||||
21,290 | Boeing Co. | 8,041,020 | |||||||||
5,159 | Curtiss-Wright Corp. | 587,816 | |||||||||
9,882 | General Dynamics Corp. | 1,766,111 | |||||||||
10,438 | HEICO Corp. | 933,470 | |||||||||
5,404 | HEICO Corp. Class A | 570,284 | |||||||||
17,182 | Kratos Defense & Security Solutions, Inc. (a) | 272,850 | |||||||||
7,935 | Lockheed Martin Corp. | 2,644,974 | |||||||||
4,436 | Moog, Inc. Class A | 415,387 | |||||||||
2,906 | RBC Bearings, Inc. (a) | 399,720 | |||||||||
10,690 | Spirit AeroSystems Holdings, Inc. | 928,961 | |||||||||
3,853 | TransDigm Group, Inc. (a) | 1,859,150 | |||||||||
13,487 | Triumph Group, Inc. | 320,046 | |||||||||
52,872 | United Technologies Corp. | 7,540,076 | |||||||||
19,234 | Wesco Aircraft Holdings, Inc. (a) | 162,335 | |||||||||
27,123,255 | |||||||||||
TOTAL COMMON STOCKS (Cost $39,479,218) | $ | 40,907,774 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 16.6% | |||||||||||
Money Market Funds - 16.6% | |||||||||||
4,772 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 4,772 | ||||||||
10,116,007 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 10,116,007 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,120,779) | $ | 10,120,779 | |||||||||
TOTAL INVESTMENTS (Cost $49,599,997) - 83.5% (e) | $ | 51,028,553 | |||||||||
Other Assets in Excess of Liabilities - 16.5% | 10,092,133 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 61,120,686 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $41,178,231.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Daily Aerospace & Defense Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 3.0874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 2,581 | $ | 57,502,368 | $ | 9,852,423 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 2.9374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/18/2019 | 155 | 3,883,918 | 170,573 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 3/12/2019 | 2,692 | 68,669,305 | 1,844,753 | |||||||||||||||||||||
$ | 130,055,591 | $ | 11,867,749 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Daily Communication Services Index Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 83.1% | |||||||||||
Administrative and Support Services - 0.6% | |||||||||||
608 | TripAdvisor, Inc. (a) | $ | 32,364 | ||||||||
Amusement, Gambling, and Recreation Industries - 5.0% | |||||||||||
1,935 | The Walt Disney Co. | 265,037 | |||||||||
Broadcasting (except Internet) - 13.4% | |||||||||||
2,055 | CBS Corp. Class B | 105,360 | |||||||||
557 | Charter Communications, Inc. (a) | 206,753 | |||||||||
4,925 | Comcast Corp. Class A | 214,385 | |||||||||
928 | Discovery Communications, Inc. Class A (a) | 28,675 | |||||||||
2,131 | Discovery Communications, Inc. Class C (a) | 61,288 | |||||||||
1,356 | Dish Network Corp. (a) | 47,623 | |||||||||
853 | FOX Corp. Class A (a) | 33,258 | |||||||||
392 | FOX Corp. Class B (a) | 15,092 | |||||||||
712,434 | |||||||||||
Motion Picture and Sound Recording Industries - 5.0% | |||||||||||
538 | Netflix, Inc. (a) | 199,351 | |||||||||
669 | Take-Two Interactive Software, Inc. (a) | 64,779 | |||||||||
264,130 | |||||||||||
Other Information Services - 38.7% | |||||||||||
414 | Alphabet, Inc. Class A (a) | 496,369 | |||||||||
425 | Alphabet, Inc. Class C (a) | 505,104 | |||||||||
4,575 | Facebook, Inc. (a) | 884,805 | |||||||||
4,306 | Twitter, Inc. (a) | 171,853 | |||||||||
2,058,131 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 8.3% | |||||||||||
4,476 | Activision Blizzard, Inc. | 215,788 | |||||||||
1,770 | Electronic Arts, Inc. (a) | 167,530 | |||||||||
2,090 | Viacom, Inc. Class B | 60,422 | |||||||||
443,740 | |||||||||||
Professional, Scientific, and Technical Services - 3.0% | |||||||||||
2,276 | Interpublic Group of Companies, Inc. | 52,348 | |||||||||
1,322 | Omnicom Group, Inc. | 105,800 | |||||||||
158,148 | |||||||||||
Publishing Industries (except Internet) - 0.7% | |||||||||||
2,278 | News Corp. Class A | 28,293 | |||||||||
732 | News Corp. Class B | 9,142 | |||||||||
37,435 | |||||||||||
Telecommunications - 8.4% | |||||||||||
6,279 | AT&T, Inc. | 194,398 | |||||||||
5,621 | CenturyLink, Inc. | 64,192 | |||||||||
3,328 | Verizon Communications, Inc. | 190,328 | |||||||||
448,918 | |||||||||||
TOTAL COMMON STOCKS (Cost $4,203,524) | $ | 4,420,337 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 11.0% | |||||||||||
Money Market Funds - 11.0% | |||||||||||
587,219 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 587,219 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $587,219) | $ | 587,219 | |||||||||
TOTAL INVESTMENTS (Cost $4,790,743) - 94.1% (c) | $ | 5,007,556 | |||||||||
Other Assets in Excess of Liabilities - 5.9% | 309,837 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 5,317,393 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,532,364.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Direxion Daily Communication Services Index Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Communication Services Select Sector Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2019 | 20,678 | $ | 5,472,016 | $ | (58,513 | ) | ||||||||||||||||||
Total return of Communication Services Select Sector Index | 2.9374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 23,378 | 5,612,313 | 489,673 | |||||||||||||||||||||
$ | 11,084,329 | $ | 431,160 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Direxion Daily Communication Services Index Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 61.9% | |||||||||||
Money Market Funds - 61.9% | |||||||||||
1,025,507 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 1,025,507 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,025,507) (b) | $ | 1,025,507 | |||||||||
TOTAL INVESTMENTS (Cost $1,025,507) - 61.9% | $ | 1,025,507 | |||||||||
Other Assets in Excess of Liabilities - 38.1% | 631,589 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,657,096 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,025,507.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.6834% representing 1 month LIBOR rate + spread | Total return of Communication Services Select Sector Index | Credit Suisse Capital LLC | 12/24/2019 | 18,992 | $ | 4,965,877 | $ | (3,102 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 81.1% | |||||||||||
Accommodation - 2.7% | |||||||||||
505 | Hilton Worldwide Holdings, Inc. | $ | 43,930 | ||||||||
487 | Marriott International, Inc. Class A | 66,436 | |||||||||
879 | MGM Resorts International | 23,408 | |||||||||
133,774 | |||||||||||
Administrative and Support Services - 3.0% | |||||||||||
78 | Booking Holdings, Inc. (a) | 144,689 | |||||||||
Amusement, Gambling, and Recreation Industries - 0.5% | |||||||||||
167 | Wynn Resorts Ltd. | 24,123 | |||||||||
Apparel Manufacturing - 2.2% | |||||||||||
263 | Capri Holdings Ltd. (a) | 11,593 | |||||||||
623 | Hanesbrands, Inc. | 11,258 | |||||||||
131 | PVH Corp. | 16,898 | |||||||||
324 | Under Armour, Inc. Class A (a) | 7,481 | |||||||||
332 | Under Armour, Inc. Class C (a) | 6,879 | |||||||||
559 | V F Corp. | 52,775 | |||||||||
106,884 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 11.3% | |||||||||||
1,382 | Lowe's Companies, Inc. | 156,360 | |||||||||
1,949 | The Home Depot, Inc. | 397,011 | |||||||||
553,371 | |||||||||||
Clothing and Clothing Accessories Stores - 4.9% | |||||||||||
194 | Foot Locker, Inc. | 11,099 | |||||||||
368 | Gap, Inc. | 9,597 | |||||||||
394 | L Brands, Inc. | 10,102 | |||||||||
185 | Nordstrom, Inc. | 7,589 | |||||||||
639 | Ross Stores, Inc. | 62,405 | |||||||||
187 | Tiffany & Co. | 20,162 | |||||||||
2,134 | TJX Companies, Inc. | 117,114 | |||||||||
238,068 | |||||||||||
Computer and Electronic Product Manufacturing - 0.4% | |||||||||||
209 | Garmin Ltd. ADR (Switzerland) | 17,920 | |||||||||
Construction of Buildings - 1.3% | |||||||||||
586 | D.R. Horton, Inc. | 25,966 | |||||||||
493 | Lennar Corp. Class A | 25,651 | |||||||||
440 | PulteGroup, Inc. | 13,842 | |||||||||
65,459 | |||||||||||
Credit Intermediation and Related Activities - 0.2% | |||||||||||
354 | H & R Block, Inc. | 9,632 | |||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% | |||||||||||
109 | Whirlpool Corp. | 15,131 | |||||||||
Electronics and Appliance Stores - 0.6% | |||||||||||
404 | Best Buy Co., Inc. | 30,062 | |||||||||
Food Services and Drinking Places - 10.9% | |||||||||||
42 | Chipotle Mexican Grill, Inc. (a) | 28,898 | |||||||||
213 | Darden Restaurants, Inc. | 25,049 | |||||||||
1,320 | McDonald's Corp. | 260,792 | |||||||||
2,145 | Starbucks Corp. | 166,623 | |||||||||
528 | Yum! Brands, Inc. | 55,118 | |||||||||
536,480 |
Shares | Fair Value | ||||||||||
General Merchandise Stores - 4.6% | |||||||||||
453 | Dollar General Corp. | $ | 57,119 | ||||||||
411 | Dollar Tree, Inc. (a) | 45,736 | |||||||||
285 | Kohl's Corp. | 20,263 | |||||||||
531 | Macy's, Inc. | 12,500 | |||||||||
901 | Target Corp. | 69,755 | |||||||||
209 | Tractor Supply Co. | 21,632 | |||||||||
227,005 | |||||||||||
Health and Personal Care Stores - 0.7% | |||||||||||
97 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 33,851 | |||||||||
Leather and Allied Product Manufacturing - 4.2% | |||||||||||
2,172 | NIKE, Inc. Class B | 190,767 | |||||||||
501 | Tapestry, Inc. | 16,167 | |||||||||
206,934 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.8% | |||||||||||
226 | Leggett & Platt, Inc. | 8,895 | |||||||||
543 | LKQ Corp. (a) | 16,344 | |||||||||
106 | Mohawk Industries, Inc. (a) | 14,443 | |||||||||
39,682 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.3% | |||||||||||
92 | Ralph Lauren Corp. | 12,105 | |||||||||
Miscellaneous Manufacturing - 0.6% | |||||||||||
199 | Hasbro, Inc. | 20,270 | |||||||||
596 | Mattel, Inc. (a) | 7,265 | |||||||||
27,535 | |||||||||||
Motor Vehicle and Parts Dealers - 2.9% | |||||||||||
123 | Advance Auto Parts, Inc. | 20,457 | |||||||||
44 | AutoZone, Inc. (a) | 45,246 | |||||||||
294 | CarMax, Inc. (a) | 22,891 | |||||||||
135 | O'Reilly Automotive, Inc. (a) | 51,107 | |||||||||
139,701 | |||||||||||
Nonstore Retailers - 21.1% | |||||||||||
509 | Amazon.com, Inc. (a) | 980,599 | |||||||||
1,484 | eBay, Inc. | 57,505 | |||||||||
1,038,104 | |||||||||||
Plastics and Rubber Products Manufacturing - 0.2% | |||||||||||
670 | Newell Rubbermaid, Inc. | 9,635 | |||||||||
Support Activities for Transportation - 0.5% | |||||||||||
201 | Expedia, Inc. | 26,098 | |||||||||
Transportation Equipment Manufacturing - 4.5% | |||||||||||
449 | Aptiv PLC ADR (Ireland) | 38,479 | |||||||||
358 | BorgWarner, Inc. | 14,954 | |||||||||
6,741 | Ford Motor Co. | 70,444 | |||||||||
2,261 | General Motors Co. | 88,066 | |||||||||
275 | Harley-Davidson, Inc. | 10,238 | |||||||||
222,181 | |||||||||||
Water Transportation - 1.9% | |||||||||||
690 | Carnival Corp. | 37,853 | |||||||||
376 | Norwegian Cruise Line Holdings Ltd. (a) | 21,203 | |||||||||
296 | Royal Caribbean Cruises Ltd. ADR (Liberia) | 35,799 | |||||||||
94,855 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.5% | |||||||||||
252 | Genuine Parts Co. | $ | 25,840 | ||||||||
TOTAL COMMON STOCKS (Cost $3,765,959) | $ | 3,979,119 | |||||||||
SHORT TERM INVESTMENTS - 11.8% | |||||||||||
Money Market Funds - 11.8% | |||||||||||
577,192 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 577,192 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $577,192) | $ | 577,192 | |||||||||
TOTAL INVESTMENTS (Cost $4,343,151) - 92.9% (c) | $ | 4,556,311 | |||||||||
Other Assets in Excess of Liabilities - 7.1% | 355,329 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,911,640 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,219,939.
ADR - American Depository Recepit
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 3.0874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 4,014 | $ | 4,815,129 | $ | 46,241 | |||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 2.7374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/23/2019 | 4,864 | 5,347,516 | 531,454 | |||||||||||||||||||||
$ | 10,162,645 | $ | 577,695 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Direxion Daily Consumer Discretionary Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 62.1% | |||||||||||
Money Market Funds - 62.1% | |||||||||||
508,698 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 508,698 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $508,698) (b) | $ | 508,698 | |||||||||
TOTAL INVESTMENTS (Cost $508,698) - 62.1% | $ | 508,698 | |||||||||
Other Assets in Excess of Liabilities - 37.9% | 310,416 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 819,114 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $508,698.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4809% representing 1 month LIBOR rate + spread | Total return of Consumer Discretionary Select Sector Index | Citibank N.A. | 12/12/2019 | 2,028 | $ | 2,442,584 | $ | (14,299 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Direxion Daily Consumer Staples Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 63.8% | |||||||||||
Beverage and Tobacco Product Manufacturing - 21.9% | |||||||||||
1,315 | Altria Group, Inc. | $ | 71,444 | ||||||||
196 | Brown Forman Corp. Class B | 10,445 | |||||||||
3,761 | Coca-Cola Co. | 184,515 | |||||||||
197 | Constellation Brands, Inc. Class A | 41,699 | |||||||||
221 | Molson Coors Brewing Co. Class B | 14,186 | |||||||||
461 | Monster Beverage Corp. (a) | 27,475 | |||||||||
1,373 | PepsiCo, Inc. | 175,812 | |||||||||
832 | Philip Morris International, Inc. | 72,018 | |||||||||
597,594 | |||||||||||
Chemical Manufacturing - 6.5% | |||||||||||
290 | Church & Dwight Co., Inc. | 21,736 | |||||||||
151 | Clorox Co. | 24,119 | |||||||||
1,017 | Colgate-Palmolive Co. | 74,028 | |||||||||
532 | COTY, Inc. Class A | 5,756 | |||||||||
406 | Kimberly-Clark Corp. | 52,122 | |||||||||
177,761 | |||||||||||
Food and Beverage Stores - 0.9% | |||||||||||
941 | Kroger Co. | 24,259 | |||||||||
Food Manufacturing - 11.9% | |||||||||||
661 | Archer-Daniels-Midland Co. | 29,481 | |||||||||
227 | Campbell Soup Co. | 8,783 | |||||||||
573 | ConAgra Brands, Inc. | 17,637 | |||||||||
704 | General Mills, Inc. | 36,235 | |||||||||
322 | Hormel Foods Corp. | 12,861 | |||||||||
296 | Kellogg Co. | 17,849 | |||||||||
173 | Lamb Weston Holdings, Inc. | 12,119 | |||||||||
145 | McCormick & Co, Inc. | 22,326 | |||||||||
1,563 | Mondelez International, Inc. | 79,478 | |||||||||
164 | The Hershey Co. | 20,475 | |||||||||
134 | The J.M. Smucker Co. | 16,432 | |||||||||
734 | The Kraft Heinz Co. | 24,398 | |||||||||
348 | Tyson Foods, Inc. Class A | 26,103 | |||||||||
324,177 | |||||||||||
General Merchandise Stores - 8.1% | |||||||||||
320 | Costco Wholesale Corp. | 78,570 | |||||||||
1,391 | Wal-Mart Stores, Inc. | 143,050 | |||||||||
221,620 |
Shares | Fair Value | ||||||||||
Health and Personal Care Stores - 1.9% | |||||||||||
946 | Walgreens Boots Alliance Inc. | $ | 50,677 | ||||||||
Merchant Wholesalers, Nondurable Goods - 11.0% | |||||||||||
2,445 | Procter & Gamble Co. | 260,344 | |||||||||
557 | Sysco Corp. | 39,196 | |||||||||
299,540 | |||||||||||
Miscellaneous Manufacturing - 1.6% | |||||||||||
258 | Estee Lauder Companies, Inc. Class A | 44,327 | |||||||||
TOTAL COMMON STOCKS (Cost $1,670,643) | $ | 1,739,955 | |||||||||
SHORT TERM INVESTMENTS - 14.5% | |||||||||||
Money Market Funds - 14.5% | |||||||||||
394,237 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 394,237 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $394,237) | $ | 394,237 | |||||||||
TOTAL INVESTMENTS (Cost $2,064,880) - 78.3% (c) | $ | 2,134,192 | |||||||||
Other Assets in Excess of Liabilities - 21.7% | 592,805 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,726,997 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,124,105.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Consumer Staples Select Sector Index | 3.0874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 1,314 | $ | 750,088 | $ | 11,018 | |||||||||||||||||||
Total return of Consumer Staples Select Sector Index | 2.7474% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/23/2019 | 9,795 | 5,388,916 | 296,152 | |||||||||||||||||||||
$ | 6,139,004 | $ | 307,170 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Direxion Daily Consumer Staples Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 87.6% | |||||||||||
Money Market Funds - 87.6% | |||||||||||
928,828 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 928,828 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $928,828) (b) | $ | 928,828 | |||||||||
TOTAL INVESTMENTS (Cost $928,828) - 87.6% | $ | 928,828 | |||||||||
Other Assets in Excess of Liabilities - 12.4% | 132,004 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,060,832 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $928,828.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.5374% representing 1 month LIBOR rate + spread | Total return of Consumer Staples Select Sector Index | Citibank N.A. | 12/24/2019 | 5,489 | $ | 2,917,573 | $ | (269,129 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Direxion Daily Energy Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 76.4% | |||||||||||
4,281,948 | Energy Select Sector SPDR® Fund (a) | $ | 283,079,582 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $286,758,245) | $ | 283,079,582 | |||||||||
SHORT TERM INVESTMENTS - 11.8% | |||||||||||
Money Market Funds - 11.8% | |||||||||||
5,018,178 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 5,018,178 | ||||||||
38,875,398 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 38,875,398 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $43,893,576) | $ | 43,893,576 | |||||||||
TOTAL INVESTMENTS (Cost $330,651,821) - 88.2% (c) | $ | 326,973,158 | |||||||||
Other Assets in Excess of Liabilities - 11.8% | 43,474,310 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 370,447,468 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $249,960,495.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Energy Select Sector Index | 2.8774% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/5/2019 | 696,781 | $ | 417,964,136 | $ | 48,141,910 | |||||||||||||||||||
Total return of Energy Select Sector Index | 2.7509% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/6/2019 | 30,000 | 20,028,348 | (10,092 | ) | ||||||||||||||||||||
Total return of Energy Select Sector Index | 3.0274% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 308,512 | 209,324,675 | (3,316,851 | ) | ||||||||||||||||||||
Total return of Energy Select Sector Index | 2.9374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2019 | 203,385 | 118,919,843 | 17,071,298 | |||||||||||||||||||||
$ | 766,237,002 | $ | 61,886,265 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Direxion Daily Energy Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 64.4% | |||||||||||
Money Market Funds - 64.4% | |||||||||||
17,921,148 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 17,921,148 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $17,921,148) (b) | $ | 17,921,148 | |||||||||
TOTAL INVESTMENTS (Cost $17,921,148) - 64.4% | $ | 17,921,148 | |||||||||
Other Assets in Excess of Liabilities - 35.6% | 9,917,728 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 27,838,876 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $17,921,148.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.6874% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | Credit Suisse Capital LLC | 12/10/2019 | 80,310 | $ | 54,154,014 | $ | 515,200 | |||||||||||||||||||
2.5874% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | UBS Securities LLC | 12/12/2019 | 44,590 | 26,718,892 | (3,138,457 | ) | ||||||||||||||||||||
$ | 80,872,906 | $ | (2,623,257 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Direxion Daily Financial Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 70.6% | |||||||||||
Accommodation - 0.3% | |||||||||||
144,555 | Host Hotels & Resorts, Inc. | $ | 2,781,238 | ||||||||
39,651 | Park Hotels & Resorts, Inc. | 1,272,004 | |||||||||
18,861 | Wyndham Worldwide Corp. | 821,585 | |||||||||
4,874,827 | |||||||||||
Administrative and Support Services - 6.6% | |||||||||||
22,841 | Broadridge Financial Solutions, Inc. | 2,698,207 | |||||||||
94,842 | Colony Capital, Inc. | 487,488 | |||||||||
23,598 | Equifax, Inc. | 2,972,168 | |||||||||
56,047 | Iron Mountain, Inc. | 1,820,406 | |||||||||
32,906 | Moody's Corp. | 6,469,978 | |||||||||
48,143 | Navient Corp. | 650,412 | |||||||||
231,939 | PayPal Holdings, Inc. (a) | 26,155,761 | |||||||||
35,527 | Total System Services, Inc. | 3,632,280 | |||||||||
36,304 | TransUnion | 2,528,574 | |||||||||
348,092 | Visa, Inc. Class A | 57,236,768 | |||||||||
104,652,042 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.3% | |||||||||||
31,356 | Global Payments, Inc. | 4,580,171 | |||||||||
Credit Intermediation and Related Activities - 26.9% | |||||||||||
80,061 | Ally Financial, Inc. | 2,378,612 | |||||||||
137,882 | American Express Co. | 16,163,907 | |||||||||
26,888 | Ameriprise Financial, Inc. | 3,946,352 | |||||||||
32,389 | Associated Banc-Corp | 734,906 | |||||||||
1,781,149 | Bank of America Corp. | 54,467,536 | |||||||||
8,118 | Bank of Hawaii Corp. | 668,761 | |||||||||
175,500 | Bank of New York Mellon Corp. | 8,715,330 | |||||||||
23,946 | Bank OZK (b) | 781,837 | |||||||||
19,171 | BankUnited, Inc. | 701,275 | |||||||||
152,035 | BB&T Corp. | 7,784,192 | |||||||||
6,408 | BOK Financial Corp. | 558,393 | |||||||||
92,033 | Capital One Financial Corp. | 8,543,423 | |||||||||
19,913 | CIT Group, Inc. | 1,060,766 | |||||||||
468,333 | Citigroup, Inc. | 33,111,143 | |||||||||
92,392 | Citizens Financial Group, Inc. | 3,344,590 | |||||||||
31,818 | Comerica, Inc. | 2,500,577 | |||||||||
19,652 | Commerce Bancshares, Inc. | 1,187,570 | |||||||||
2,157 | Credit Acceptance Corp. (a) | 1,070,347 | |||||||||
65,226 | Discover Financial Services | 5,315,267 | |||||||||
28,483 | East West Bancorp, Inc. | 1,466,305 | |||||||||
9,705 | Euronet Worldwide, Inc. (a) | 1,454,682 | |||||||||
63,690 | F.N.B. Corp. | 772,560 | |||||||||
64,407 | Fidelity National Information Services, Inc. | 7,466,704 | |||||||||
151,154 | Fifth Third Bancorp | 4,356,258 | |||||||||
1,520 | First Citizens BancShares, Inc. Class A | 681,340 | |||||||||
25,995 | First Hawaiian, Inc. | 718,762 | |||||||||
62,224 | First Horizon National Corp. | 938,960 | |||||||||
32,262 | First Republic Bank | 3,407,512 | |||||||||
16,824 | FleetCor Technologies, Inc. (a) | 4,390,223 | |||||||||
205,431 | Huntington Bancshares, Inc. | 2,859,600 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
653,970 | JPMorgan Chase & Co. | $ | 75,893,218 | ||||||||
200,300 | KeyCorp | 3,515,265 | |||||||||
27,290 | M&T Bank Corp. | 4,641,210 | |||||||||
179,575 | MasterCard, Inc. Class A | 45,655,148 | |||||||||
90,735 | New York Community Bancorp, Inc. | 1,055,248 | |||||||||
39,860 | Northern Trust Corp. | 3,928,203 | |||||||||
15,070 | OneMain Holdings, Inc. | 511,928 | |||||||||
24,224 | PacWest Bancorp | 958,059 | |||||||||
76,355 | People's United Financial, Inc. | 1,320,178 | |||||||||
14,792 | Pinnacle Financial Partners, Inc. | 858,971 | |||||||||
90,245 | PNC Financial Services Group, Inc. | 12,357,248 | |||||||||
19,499 | Popular, Inc. | 1,125,287 | |||||||||
13,122 | Prosperity Bancshares, Inc. | 966,304 | |||||||||
204,029 | Regions Financial Corp. | 3,168,570 | |||||||||
22,791 | Santander Consumer USA Holdings, Inc. | 486,588 | |||||||||
10,289 | Signature Bank | 1,358,868 | |||||||||
85,846 | SLM Corp. | 872,195 | |||||||||
74,147 | State Street Corp. | 5,016,786 | |||||||||
42,164 | Sterling Bancorp | 903,153 | |||||||||
88,650 | SunTrust Banks, Inc. | 5,804,802 | |||||||||
10,437 | SVB Financial Group (a) | 2,627,202 | |||||||||
142,125 | Synchrony Financial | 4,927,474 | |||||||||
31,646 | Synovus Financial Corp. | 1,166,472 | |||||||||
31,666 | TCF Financial Corp. | 700,769 | |||||||||
9,890 | Texas Capital Bancshares, Inc. (a) | 640,180 | |||||||||
9,765 | TFS Financial Corp. (b) | 162,490 | |||||||||
298,933 | U.S. Bancorp | 15,939,108 | |||||||||
43,245 | Umpqua Holdings Corp. | 750,733 | |||||||||
18,024 | Webster Financial Corp. | 957,615 | |||||||||
816,057 | Wells Fargo & Co. | 39,505,319 | |||||||||
19,384 | Western Alliance Bancorp (a) | 926,168 | |||||||||
87,089 | Western Union Co. | 1,693,010 | |||||||||
11,006 | Wintrust Financial Corp. | 838,657 | |||||||||
36,518 | Zions Bancorp | 1,801,433 | |||||||||
424,581,549 | |||||||||||
Data Processing, Hosting and Related Services - 0.7% | |||||||||||
15,848 | CoreLogic, Inc. (a) | 643,587 | |||||||||
107,337 | First Data Corp. (a) | 2,775,735 | |||||||||
78,695 | Fiserv, Inc. (a) | 6,865,352 | |||||||||
8,136 | WEX, Inc. (a) | 1,711,001 | |||||||||
11,995,675 | |||||||||||
Forestry and Logging - 0.1% | |||||||||||
25,444 | Rayonier, Inc. | 808,865 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
105,709 | AGNC Investment Corp. | 1,880,563 | |||||||||
36,755 | Chimera Investmentt Corp. | 704,594 | |||||||||
2,585,157 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities - 14.3% | |||||||||||
147,268 | Aflac, Inc. | $ | 7,419,362 | ||||||||
2,835 | Alleghany Corp. (a) | 1,862,255 | |||||||||
65,494 | Allstate Corp. | 6,487,836 | |||||||||
14,177 | American Financial Group, Inc. | 1,467,745 | |||||||||
175,728 | American International Group, Inc. | 8,359,381 | |||||||||
1,453 | American National Insurance Co. | 164,610 | |||||||||
47,463 | Aon PLC | 8,549,985 | |||||||||
76,416 | Arch Capital Group Ltd. (a) | 2,581,332 | |||||||||
35,610 | Arthur J. Gallagher & Co. | 2,977,708 | |||||||||
11,765 | Assurant, Inc. | 1,117,675 | |||||||||
20,480 | Assured Guaranty Ltd. | 976,896 | |||||||||
31,337 | Athene Holding Ltd. (a) | 1,415,179 | |||||||||
46,938 | AXA Equitable Holdings, Inc. | 1,065,023 | |||||||||
16,183 | Axis Capital Holdings Ltd. | 920,004 | |||||||||
382,842 | Berkshire Hathaway, Inc. Class B (a) | 82,965,690 | |||||||||
23,696 | Brighthouse Financial, Inc. (a) | 990,256 | |||||||||
45,806 | Brown & Brown, Inc. | 1,454,341 | |||||||||
90,592 | Chubb Limited | 13,153,958 | |||||||||
30,302 | Cincinnati Financial Corp. | 2,914,446 | |||||||||
5,568 | CNA Financial Corp. | 257,965 | |||||||||
4,854 | Erie Indemnity Co. Class A | 918,959 | |||||||||
7,983 | Everest Re Group Ltd. | 1,879,997 | |||||||||
21,404 | First American Financial Corp. | 1,221,312 | |||||||||
8,348 | Hanover Insurance Group, Inc. | 1,006,852 | |||||||||
70,579 | Hartford Financial Services Group, Inc. | 3,691,988 | |||||||||
42,106 | Lincoln National Corp. | 2,809,312 | |||||||||
54,929 | Loews Corp. | 2,817,308 | |||||||||
2,675 | Markel Corp. (a) | 2,866,289 | |||||||||
100,202 | Marsh & McLennan Companies, Inc. | 9,448,047 | |||||||||
5,398 | Mercury General Corp. | 290,304 | |||||||||
160,825 | MetLife, Inc. | 7,418,857 | |||||||||
55,880 | Old Republic International Corp. | 1,249,477 | |||||||||
54,488 | Principal Financial Group, Inc. | 3,114,534 | |||||||||
114,502 | Progressive Corp. | 8,948,331 | |||||||||
81,546 | Prudential Financial, Inc. | 8,620,228 | |||||||||
12,376 | Reinsurance Group of America, Inc. | 1,875,088 | |||||||||
7,845 | RenaissanceRe Holdings Ltd. | 1,218,799 | |||||||||
20,425 | Torchmark Corp. | 1,790,456 | |||||||||
52,261 | Travelers Companies, Inc. | 7,512,519 | |||||||||
40,114 | Unum Group | 1,481,009 | |||||||||
29,780 | Voya Financial, Inc. | 1,634,624 | |||||||||
28,120 | W.R. Berkley Corp. | 1,723,756 | |||||||||
603 | White Mountains Insurance Group Ltd. | 566,241 | |||||||||
25,612 | Willis Towers Watson PLC | 4,721,316 | |||||||||
225,927,250 |
Shares | Fair Value | ||||||||||
Management of Companies and Enterprises - 0.1% | |||||||||||
11,128 | Cullen/Frost Bankers, Inc. | $ | 1,131,606 | ||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
54,323 | Jefferies Financial Group, Inc. | 1,117,424 | |||||||||
Professional, Scientific, and Technical Services - 0.7% | |||||||||||
9,346 | Alliance Data Systems Corp. | 1,496,295 | |||||||||
24,070 | Extra Space Storage, Inc. | 2,495,818 | |||||||||
7,369 | FactSet Research System, Inc. | 2,032,886 | |||||||||
15,185 | Jack Henry & Associates, Inc. | 2,263,476 | |||||||||
16,644 | Lamar Advertising Co. | 1,375,959 | |||||||||
16,641 | LPL Investment Holdings, Inc. | 1,232,932 | |||||||||
27,340 | Outfront Media, Inc. | 651,512 | |||||||||
11,548,878 | |||||||||||
Publishing Industries (except Internet) - 0.4% | |||||||||||
5,661 | Fair Isaac Corp. (a) | 1,583,665 | |||||||||
57,733 | Square, Inc. (a) | 4,204,117 | |||||||||
5,787,782 | |||||||||||
Real Estate - 10.6% | |||||||||||
21,999 | Alexandria Real Estate Equities, Inc. | 3,132,438 | |||||||||
26,869 | American Campus Communities, Inc. | 1,268,217 | |||||||||
51,006 | American Homes 4 Rent | 1,223,124 | |||||||||
86,645 | American Tower Corp. | 16,921,768 | |||||||||
273,019 | Annaly Capital Management, Inc. | 2,754,762 | |||||||||
29,640 | Apartment Investment & Management Co. Class A | 1,463,031 | |||||||||
42,734 | Apple Hospitality REIT, Inc. | 702,974 | |||||||||
27,257 | AvalonBay Communities, Inc. | 5,476,749 | |||||||||
30,502 | Boston Properties, Inc. | 4,197,685 | |||||||||
34,645 | Brandywine Realty Trust | 533,187 | |||||||||
59,514 | Brixmor Property Group, Inc. | 1,064,110 | |||||||||
24,753 | Brookfield Property REIT, Inc. Class A | 515,605 | |||||||||
17,513 | Camden Property Trust | 1,762,683 | |||||||||
62,717 | CBRE Group, Inc. Class A (a) | 3,265,674 | |||||||||
23,339 | Columbia Property Trust, Inc. | 530,029 | |||||||||
7,178 | CoreSite Realty Corp. | 785,345 | |||||||||
20,362 | Corporate Office Properties Trust | 567,693 | |||||||||
36,572 | CubeSmart | 1,167,013 | |||||||||
40,582 | Digital Realty Trust, Inc. | 4,776,907 | |||||||||
31,682 | Douglas Emmett, Inc. | 1,304,982 | |||||||||
70,403 | Duke Realty Corp. | 2,190,941 | |||||||||
27,965 | Empire State Realty Trust, Inc. | 432,339 | |||||||||
14,543 | EPR Properties | 1,146,861 | |||||||||
23,158 | Equity Commonwealth | 736,424 | |||||||||
16,885 | Equity Lifestyle Properties, Inc. | 1,970,479 | |||||||||
70,856 | Equity Residential | 5,414,816 | |||||||||
12,983 | Essex Property Trust, Inc. | 3,667,697 | |||||||||
14,375 | Federal Realty Investment Trust | 1,924,094 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
39,767 | Gaming & Leisure Properties, Inc. | $ | 1,605,791 | ||||||||
94,370 | HCP, Inc. | 2,810,339 | |||||||||
40,678 | Healthcare Trust of America, Inc. Class A | 1,121,899 | |||||||||
20,059 | Highwoods Properties, Inc. | 894,230 | |||||||||
32,100 | Hospitality Properties Trust | 834,600 | |||||||||
7,665 | Howard Hughes Corp. (a) | 850,815 | |||||||||
30,406 | Hudson Pacific Properties, Inc. | 1,059,953 | |||||||||
67,439 | Invitation Homes, Inc. | 1,676,534 | |||||||||
22,346 | JBG SMITH Properties | 950,822 | |||||||||
8,950 | Jones Lang LaSalle, Inc. | 1,383,401 | |||||||||
19,487 | Kilroy Realty Corp. | 1,498,745 | |||||||||
80,231 | Kimco Realty Corp. | 1,395,217 | |||||||||
29,091 | Liberty Property Trust | 1,444,077 | |||||||||
9,029 | Life Storage, Inc. | 860,373 | |||||||||
26,833 | Macerich Co. | 1,077,077 | |||||||||
72,741 | Medical Properties Trust, Inc. | 1,270,058 | |||||||||
88,147 | MFA Financial, Inc. | 661,984 | |||||||||
22,392 | Mid-America Apartment Communities, Inc. | 2,449,909 | |||||||||
31,249 | National Retail Properties, Inc. | 1,644,322 | |||||||||
79,372 | New Residential Investment Corp. | 1,334,243 | |||||||||
39,058 | Omega Healthcare Investors, Inc. (b) | 1,382,263 | |||||||||
40,347 | Paramount Group, Inc. | 584,628 | |||||||||
123,655 | Prologis, Inc. | 9,480,629 | |||||||||
29,297 | Public Storage | 6,479,910 | |||||||||
23,203 | Realogy Holdings Corp. (b) | 302,103 | |||||||||
58,268 | Realty Income Corp. | 4,079,343 | |||||||||
29,971 | Regency Centers Corp. | 2,013,152 | |||||||||
42,423 | Retail Properties of America, Inc. Class A | 521,379 | |||||||||
3,003 | Retail Value, Inc. | 100,600 | |||||||||
46,389 | Senior Housing Properties Trust | 372,504 | |||||||||
60,866 | Simon Property Group, Inc. | 10,572,424 | |||||||||
30,111 | SITE Centers Corp. | 398,670 | |||||||||
15,952 | SL Green Realty Corp. | 1,409,200 | |||||||||
16,875 | Spirit Realty Capital, Inc. | 682,762 | |||||||||
52,931 | Starwood Property Trust, Inc. | 1,220,060 | |||||||||
16,587 | Sun Communities, Inc. | 2,041,528 | |||||||||
11,690 | Taubman Centers, Inc. | 576,317 | |||||||||
48,457 | Two Harbors Investment Corp. | 671,614 | |||||||||
53,925 | UDR, Inc. | 2,423,929 | |||||||||
33,139 | Uniti Group, Inc. | 364,198 | |||||||||
70,284 | Ventas, Inc. | 4,295,055 | |||||||||
191,352 | VEREIT, Inc. | 1,580,568 | |||||||||
79,991 | Vici Properties, Inc. | 1,823,795 | |||||||||
34,023 | Vornado Realty Trust | 2,352,350 | |||||||||
23,563 | Weingarten Realty Investors | 681,913 | |||||||||
73,492 | Welltower, Inc. | 5,477,359 |
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
147,976 | Weyerhaeuser Co. | $ | 3,965,757 | ||||||||
31,376 | WP Carey, Inc. | 2,488,744 | |||||||||
11,103 | Zillow Group, Inc. Class A (a) | 368,731 | |||||||||
23,963 | Zillow Group, Inc. Class C (a)(b) | 800,364 | |||||||||
167,233,865 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 7.9% | |||||||||||
10,358 | Affiliated Managers Group | 1,148,909 | |||||||||
53,900 | BGC Partners, Inc. | 291,060 | |||||||||
23,961 | BlackRock, Inc. | 11,626,836 | |||||||||
22,064 | CBOE Holdings, Inc. | 2,241,923 | |||||||||
237,339 | Charles Schwab Corp. | 10,865,379 | |||||||||
69,877 | CME Group, Inc. | 12,500,995 | |||||||||
48,722 | E*TRADE Financial Corp. | 2,468,257 | |||||||||
22,138 | Eaton Vance Corp. | 920,277 | |||||||||
7,935 | Evercore, Inc. | 773,107 | |||||||||
52,124 | FNF Group | 2,082,354 | |||||||||
59,352 | Franklin Resources, Inc. | 2,052,986 | |||||||||
68,864 | Goldman Sachs Group, Inc. | 14,180,475 | |||||||||
14,553 | Interactive Brokers Group, Inc. Class A | 789,355 | |||||||||
110,947 | IntercontinentalExchange, Inc. | 9,025,538 | |||||||||
80,048 | Invesco Ltd. | 1,758,655 | |||||||||
22,671 | Lazard Ltd. Class A | 881,448 | |||||||||
16,707 | Legg Mason, Inc. | 558,849 | |||||||||
7,232 | MarketAxess Holdings, Inc. | 2,012,883 | |||||||||
239,588 | Morgan Stanley | 11,560,121 | |||||||||
3,586 | Morningstar, Inc. | 514,412 | |||||||||
16,279 | MSCI, Inc. Class A | 3,668,961 | |||||||||
22,795 | NASDAQ OMX Group, Inc. | 2,101,699 | |||||||||
25,039 | Raymond James Financial, Inc. | 2,292,821 | |||||||||
49,065 | S&P Global, Inc. | 10,826,683 | |||||||||
25,576 | SEI Investments Co. | 1,392,613 | |||||||||
37,797 | Store Capital Corp. | 1,259,396 | |||||||||
45,843 | T. Rowe Price Group, Inc. | 4,928,122 | |||||||||
54,990 | TD Ameritrade Holding Corp. | 2,891,374 | |||||||||
8,048 | Virtu Financial, Inc. | 197,820 | |||||||||
59,090 | Worldpay, Inc. (a) | 6,925,939 | |||||||||
124,739,247 | |||||||||||
Telecommunications - 1.5% | |||||||||||
81,806 | Crown Castle International Corp. | 10,289,559 | |||||||||
20,651 | CyrusOne, Inc. | 1,150,054 | |||||||||
16,350 | Equinix, Inc. | 7,434,345 | |||||||||
22,115 | SBA Communications Corp. (a) | 4,505,489 | |||||||||
23,379,447 | |||||||||||
TOTAL COMMON STOCKS (Cost $1,054,185,529) | $ | 1,114,943,785 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 17.2% | |||||||||||
Money Market Funds - 17.2% | |||||||||||
72,118,881 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 72,118,881 | ||||||||
198,757,897 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 198,757,897 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $270,876,778) | $ | 270,876,778 | |||||||||
TOTAL INVESTMENTS (Cost $1,325,062,307) - 87.8% (e) | $ | 1,385,820,563 | |||||||||
Other Assets in Excess of Liabilities - 12.2% | 193,061,496 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,578,882,059 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,221,915,770.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 2.9674% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 976,041 | $ | 1,582,919,622 | $ | 285,994,284 | |||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 2.9174% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/17/2019 | 737,182 | 1,333,860,417 | 78,559,604 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 2.7809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 4/27/2020 | 174,886 | 326,694,776 | 8,534,241 | |||||||||||||||||||||
$ | 3,243,474,815 | $ | 373,088,129 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Direxion Daily Financial Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 84.2% | |||||||||||
Money Market Funds - 84.2% | |||||||||||
143,364,458 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 143,364,458 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $143,364,458) (b) | $ | 143,364,458 | |||||||||
TOTAL INVESTMENTS (Cost $143,364,458) - 84.2% | $ | 143,364,458 | |||||||||
Other Assets in Excess of Liabilities - 15.8% | 26,987,380 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 170,351,838 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $143,364,458.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.6174% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | UBS Securities LLC | 12/5/2019 | 8,062 | $ | 15,083,451 | $ | (377,670 | ) | ||||||||||||||||||
2.7174% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | Credit Suisse Capital LLC | 12/10/2019 | 258,363 | 445,112,926 | (49,947,070 | ) | ||||||||||||||||||||
$ | 460,196,377 | $ | (50,324,740 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Direxion Daily Gold Miners Index Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 28.2% | |||||||||||
14,610,635 | VanEck VectorsTM Gold Miners ETF (a) | $ | 305,216,165 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $318,908,672) | $ | 305,216,165 | |||||||||
SHORT TERM INVESTMENTS - 65.5% | |||||||||||
Money Market Funds - 65.5% | |||||||||||
149,568,095 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 149,568,095 | ||||||||
560,014,733 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 560,014,733 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $709,582,828) | $ | 709,582,828 | |||||||||
TOTAL INVESTMENTS (Cost $1,028,491,500) - 93.7% (c) | $ | 1,014,798,993 | |||||||||
Other Assets in Excess of Liabilities - 6.3% | 69,351,070 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,084,150,063 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,014,798,993.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.4074% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2019 | 37,807,684 | $ | 868,223,001 | $ | (81,102,050 | ) | ||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/11/2019 | 25,061,207 | 556,580,523 | (34,333,287 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.2374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/13/2019 | 16,851,898 | 367,801,913 | (19,080,997 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 2.9531% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/13/2019 | 28,038,028 | 586,890,684 | (1,396,025 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 15,364,204 | 322,969,664 | (4,892,517 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 3,727,080 | 76,408,357 | 744,320 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 9,480,920 | 203,201,086 | (6,933,510 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | BNP Paribas | 3/18/2020 | 4,256,320 | 95,497,898 | (7,217,511 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 496,390 | 10,751,807 | (395,294 | ) | ||||||||||||||||||||
�� | $ | 3,088,324,933 | $ | (154,606,871 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Direxion Daily Gold Miners Index Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 78.3% | |||||||||||
Money Market Funds - 78.3% | |||||||||||
22,470,853 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 22,470,853 | ||||||||
48,623,075 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 48,623,075 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $71,093,928) (b) | $ | 71,093,928 | |||||||||
TOTAL INVESTMENTS (Cost $71,093,928) - 78.3% | $ | 71,093,928 | |||||||||
Other Assets in Excess of Liabilities - 21.7% | 19,744,168 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 90,838,096 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $71,093,928.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
2.8174% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | UBS Securities LLC | 12/5/2019 | 952,608 | $ | 20,396,445 | $ | 513,662 | |||||||||||||||||||
2.8109% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Bank of America Merrill Lynch | 12/9/2019 | 4,244,574 | 89,857,486 | 1,475,394 | |||||||||||||||||||||
2.6574% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Credit Suisse Capital LLC | 12/10/2019 | 4,207,108 | 95,583,048 | 7,933,816 | |||||||||||||||||||||
2.7174% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Citibank N.A. | 12/16/2019 | 549,855 | 12,120,050 | 704,631 | |||||||||||||||||||||
2.8274% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | BNP Paribas | 2/19/2020 | 2,531,845 | 55,067,545 | 2,350,406 | |||||||||||||||||||||
2.8274% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | BNP Paribas | 5/20/2020 | 559,835 | 12,125,614 | 443,041 | |||||||||||||||||||||
$ | 285,150,188 | $ | 13,420,950 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 74.7% | |||||||||||
1,441,490 | Health Care Select Sector SPDR® Fund (a) | $ | 128,667,398 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $125,783,774) | $ | 128,667,398 | |||||||||
SHORT TERM INVESTMENTS - 19.2% | |||||||||||
Money Market Funds - 19.2% | |||||||||||
23,260,589 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 23,260,589 | ||||||||
9,838,514 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 9,838,514 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $33,099,103) | $ | 33,099,103 | |||||||||
TOTAL INVESTMENTS (Cost $158,882,877) - 93.9% (c) | $ | 161,766,501 | |||||||||
Other Assets in Excess of Liabilities - 6.1% | 10,527,535 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 172,294,036 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $157,276,098.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Health Care Select Sector Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2019 | 156,982 | $ | 141,012,192 | $ | (493,836 | ) | ||||||||||||||||||
Total return of Health Care Select Sector Index | 2.7809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/6/2019 | 89,683 | 82,396,944 | (2,227,718 | ) | ||||||||||||||||||||
Total return of Health Care Select Sector Index | 3.0774% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 186,612 | 161,526,737 | 4,965,111 | |||||||||||||||||||||
$ | 384,935,873 | $ | 2,243,557 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 61.5% | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 5.9% | |||||||||||
10,755 | Lowe's Companies, Inc. | $ | 1,216,821 | ||||||||
6,862 | Lumber Liquidators Holdings, Inc. (a)(b) | 90,715 | |||||||||
5,967 | The Home Depot, Inc. | 1,215,478 | |||||||||
11,587 | Tile Shop Holdings, Inc. | 56,313 | |||||||||
2,579,327 | |||||||||||
Chemical Manufacturing - 0.6% | |||||||||||
3,742 | Trex Company, Inc. (a) | 259,208 | |||||||||
Construction of Buildings - 37.8% | |||||||||||
7,942 | Beazer Homes USA, Inc. (a) | 105,549 | |||||||||
6,763 | Century Communities, Inc. (a) | 171,983 | |||||||||
85,083 | D.R. Horton, Inc. | 3,770,028 | |||||||||
20,913 | KB Home | 541,856 | |||||||||
169 | Lennar Corp. | 7,051 | |||||||||
68,537 | Lennar Corp. Class A | 3,565,980 | |||||||||
4,603 | LGI Homes, Inc. (a) | 319,034 | |||||||||
12,127 | M.D.C Holdings, Inc. | 370,601 | |||||||||
6,801 | M/I Homes, Inc. (a) | 191,584 | |||||||||
8,856 | Meritage Homes Corp. (a) | 452,985 | |||||||||
852 | NVR, Inc. (a) | 2,685,913 | |||||||||
63,840 | PulteGroup, Inc. | 2,008,406 | |||||||||
27,162 | Taylor Morrison Home Corp. (a) | 525,856 | |||||||||
33,590 | Toll Brothers, Inc. | 1,279,779 | |||||||||
35,008 | TRI Pointe Group, Inc. (a) | 456,854 | |||||||||
8,078 | William Lyon Homes (a) | 136,195 | |||||||||
16,589,654 | |||||||||||
Fabricated Metal Product Manufacturing - 0.6% | |||||||||||
6,035 | PGT Innovations, Inc. (a) | 88,473 | |||||||||
2,566 | Simpson Manufacturing Company, Inc. | 163,403 | |||||||||
251,876 | |||||||||||
Furniture and Home Furnishings Stores - 0.5% | |||||||||||
4,335 | Floor & Decor Holdings, Inc. (a) | 208,167 | |||||||||
Furniture and Related Product Manufacturing - 0.2% | |||||||||||
4,237 | Ethan Allen Interiors, Inc. | 93,638 | |||||||||
Merchant Wholesalers, Durable Goods - 5.9% | |||||||||||
4,350 | Beacon Roofing Supply, Inc. (a) | 163,821 | |||||||||
10,141 | Builders FirstSource, Inc. (a) | 139,743 | |||||||||
8,937 | Fortune Brands Home & Security, Inc. | 471,695 | |||||||||
8,334 | Leggett & Platt, Inc. | 328,026 | |||||||||
2,261 | Lennox International, Inc. | 613,748 | |||||||||
3,906 | Mohawk Industries, Inc. (a) | 532,193 | |||||||||
2,042 | Watsco, Inc. | 323,596 | |||||||||
2,572,822 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 2.0% | |||||||||||
1,975 | The Sherwin Williams Co. | 898,289 | |||||||||
Nonmetallic Mineral Product Manufacturing - 1.4% | |||||||||||
2,918 | Eagle Materials, Inc. | 265,276 | |||||||||
6,967 | Owens Corning | 357,198 | |||||||||
622,474 |
Shares | Fair Value | ||||||||||
Primary Metal Manufacturing - 0.2% | |||||||||||
6,039 | Quanex Building Products Corp. | $ | 100,972 | ||||||||
Specialty Trade Contractors - 1.9% | |||||||||||
5,175 | Installed Building Products, Inc. (a) | 248,555 | |||||||||
8,591 | TopBuild Corp. (a) | 611,937 | |||||||||
860,492 | |||||||||||
Wood Product Manufacturing - 4.5% | |||||||||||
1,721 | American Woodmark Corp. (a) | 154,769 | |||||||||
2,114 | Cavco Industries, Inc. (a) | 263,764 | |||||||||
6,979 | JELD-WEN Holding, Inc. (a) | 137,835 | |||||||||
7,848 | Louisiana-Pacific Corp. | 196,592 | |||||||||
17,167 | Masco Corp. | 670,543 | |||||||||
2,343 | Masonite International Corp. (a) | 120,641 | |||||||||
12,334 | Skyline Champion Corp. | 260,371 | |||||||||
4,649 | Universal Forest Products, Inc. | 171,781 | |||||||||
1,976,296 | |||||||||||
TOTAL COMMON STOCKS (Cost $27,929,939) | $ | 27,013,215 | |||||||||
SHORT TERM INVESTMENTS - 22.5% | |||||||||||
Money Market Funds - 22.5% | |||||||||||
3,739,727 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 3,739,727 | ||||||||
6,137,184 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 6,137,184 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,876,911) | $ | 9,876,911 | |||||||||
TOTAL INVESTMENTS (Cost $37,806,850) - 84.0% (e) | $ | 36,890,126 | |||||||||
Other Assets in Excess of Liabilities - 16.0% | 7,000,511 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 43,890,637 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $28,796,540.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2019 | 7,398 | $ | 45,281,375 | $ | 4,657,801 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 3.0774% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 5,732 | 36,243,508 | 2,481,958 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 2.7809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 10/27/2020 | 2,315 | 15,535,305 | 139,925 | |||||||||||||||||||||
$ | 97,060,188 | $ | 7,279,684 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 68.6% | |||||||||||
Administrative and Support Services - 2.7% | |||||||||||
242 | Equifax, Inc. | $ | 30,480 | ||||||||
732 | IHS Markit Ltd. (a) | 41,914 | |||||||||
240 | Robert Half International, Inc. | 14,902 | |||||||||
296 | Rollins, Inc. | 11,446 | |||||||||
786 | Waste Management, Inc. | 84,369 | |||||||||
183,111 | |||||||||||
Air Transportation - 3.1% | |||||||||||
248 | Alaska Air Group, Inc. | 15,351 | |||||||||
806 | American Airlines Group, Inc. | 27,549 | |||||||||
1,245 | Delta Air Lines, Inc. | 72,571 | |||||||||
1,003 | Southwest Airlines Co. | 54,393 | |||||||||
452 | United Continental Holdings, Inc. (a) | 40,165 | |||||||||
210,029 | |||||||||||
Apparel Manufacturing - 0.5% | |||||||||||
170 | Cintas Corp. | 36,914 | |||||||||
Building Material and Garden Equipment and Supplies Dealers - 0.6% | |||||||||||
577 | Fastenal Co. | 40,707 | |||||||||
Computer and Electronic Product Manufacturing - 6.9% | |||||||||||
594 | Fortive Corp. | 51,286 | |||||||||
238 | Harris Corp. | 40,103 | |||||||||
1,840 | Johnson Controls International PLC ADR (Ireland) | 69,000 | |||||||||
160 | L3 Technologies, Inc. | 34,973 | |||||||||
342 | Northrop Grumman Corp. | 99,149 | |||||||||
569 | Raytheon Co. | 101,049 | |||||||||
208 | Roper Technologies, Inc. | 74,817 | |||||||||
470,377 | |||||||||||
Couriers and Messengers - 3.5% | |||||||||||
485 | FedEx Corp. | 91,888 | |||||||||
1,403 | United Parcel Service, Inc. Class B | 149,027 | |||||||||
240,915 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 3.8% | |||||||||||
286 | A.O. Smith Corp. | 15,035 | |||||||||
457 | AMETEK, Inc. | 40,294 | |||||||||
854 | Eaton Corp PLC ADR (Ireland) | 70,728 | |||||||||
1,239 | Emerson Electric Co. | 87,957 | |||||||||
240 | Rockwell Automation, Inc. | 43,370 | |||||||||
257,384 | |||||||||||
Fabricated Metal Product Manufacturing - 1.5% | |||||||||||
261 | Parker Hannifin Corp. | 47,262 | |||||||||
317 | Pentair PLC | 12,360 | |||||||||
306 | Stanley Black & Decker, Inc. | 44,859 | |||||||||
104,481 | |||||||||||
Machinery Manufacturing - 9.0% | |||||||||||
1,161 | Caterpillar, Inc. | 161,866 | |||||||||
292 | Cummins, Inc. | 48,557 | |||||||||
641 | Deere & Co. | 106,169 | |||||||||
264 | Flowserve Corp. | 12,944 | |||||||||
17,550 | General Electric Co. | 178,483 | |||||||||
488 | Ingersoll-Rand PLC ADR (Ireland) | 59,834 |
Shares | Fair Value | ||||||||||
Machinery Manufacturing (continued) | |||||||||||
111 | Snap-on, Inc. | $ | 18,679 | ||||||||
362 | Xylem, Inc. | 30,191 | |||||||||
616,723 | |||||||||||
Merchant Wholesalers, Durable Goods - 7.4% | |||||||||||
1,161 | 3M Co. | 220,021 | |||||||||
284 | Fortune Brands Home & Security, Inc. | 14,989 | |||||||||
1,470 | Honeywell International, Inc. | 255,236 | |||||||||
84 | Huntington Ingalls Industries, Inc. | 18,697 | |||||||||
508,943 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.4% | |||||||||||
608 | Illinois Tool Works, Inc. | 94,623 | |||||||||
Miscellaneous Manufacturing - 0.8% | |||||||||||
292 | Dover Corp. | 28,628 | |||||||||
473 | Textron, Inc. | 25,069 | |||||||||
53,697 | |||||||||||
Nonstore Retailers - 0.8% | |||||||||||
405 | Copart, Inc. (a) | 27,265 | |||||||||
91 | W.W. Grainger, Inc. | 25,662 | |||||||||
52,927 | |||||||||||
Primary Metal Manufacturing - 0.3% | |||||||||||
812 | Arconic, Inc. | 17,442 | |||||||||
Professional, Scientific, and Technical Services - 1.4% | |||||||||||
280 | Fluor Corp. | 11,124 | |||||||||
237 | Jacobs Engineering Group, Inc. | 18,472 | |||||||||
716 | Nielsen Holdings PLC | 18,280 | |||||||||
330 | Verisk Analytics, Inc. Class A | 46,576 | |||||||||
94,452 | |||||||||||
Rail Transportation - 7.6% | |||||||||||
1,562 | CSX Corp. | 124,382 | |||||||||
203 | Kansas City Southern Railway Co. | 24,998 | |||||||||
540 | Norfolk Southern Corp. | 110,171 | |||||||||
1,457 | Union Pacific Corp. | 257,947 | |||||||||
517,498 | |||||||||||
Rental and Leasing Services - 0.3% | |||||||||||
161 | United Rentals, Inc. (a) | 22,688 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.3% | |||||||||||
190 | Allegion Public Ltd. Co. ADR (Ireland) | 18,854 | |||||||||
Specialty Trade Contractors - 0.2% | |||||||||||
285 | Quanta Services, Inc. | 11,571 | |||||||||
Support Activities for Transportation - 0.7% | |||||||||||
276 | C.H. Robinson Worldwide, Inc. | 22,356 | |||||||||
346 | Expeditors International of Washington, Inc. | 27,479 | |||||||||
49,835 | |||||||||||
Transportation Equipment Manufacturing - 14.8% | |||||||||||
1,060 | Boeing Co. | 400,352 | |||||||||
546 | General Dynamics Corp. | 97,581 | |||||||||
495 | Lockheed Martin Corp. | 164,998 | |||||||||
699 | Paccar, Inc. | 50,097 | |||||||||
98 | TransDigm Group, Inc. (a) | 47,287 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing (continued) | |||||||||||
1,634 | United Technologies Corp. | $ | 233,025 | ||||||||
282 | Wabtec Corp. | 20,888 | |||||||||
1,014,228 | |||||||||||
Truck Transportation - 0.2% | |||||||||||
176 | J.B. Hunt Transport Services, Inc. | 16,628 | |||||||||
Waste Management and Remediation Services - 0.5% | |||||||||||
434 | Republic Services, Inc. | 35,944 | |||||||||
Wood Product Manufacturing - 0.3% | |||||||||||
594 | Masco Corp. | 23,202 | |||||||||
TOTAL COMMON STOCKS (Cost $4,456,793) | $ | 4,693,173 | |||||||||
SHORT TERM INVESTMENTS - 23.1% | |||||||||||
Money Market Funds - 23.1% | |||||||||||
1,579,286 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 1,579,286 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,579,286) | $ | 1,579,286 | |||||||||
TOTAL INVESTMENTS (Cost $6,036,079) - 91.7% (c) | $ | 6,272,459 | |||||||||
Other Assets in Excess of Liabilities - 8.3% | 568,458 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,840,917 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,395,920.
ADR - American Depository Recepit
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Industrials Select Sector Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/17/2019 | 9,828 | $ | 7,042,477 | $ | 648,182 | |||||||||||||||||||
Total return of Industrials Select Sector Index | 3.0774% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 9,510 | 7,216,866 | 224,779 | |||||||||||||||||||||
Total return of Industrials Select Sector Index | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 136 | 106,124 | 507 | |||||||||||||||||||||
Total return of Industrials Select Sector Index | 2.7374% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 715 | 563,740 | (3,317 | ) | ||||||||||||||||||||
$ | 14,929,207 | $ | 870,151 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Direxion Daily Junior Gold Miners Index Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 20.6% | |||||||||||
4,971,760 | VanEck VectorsTM Junior Gold Miners ETF (a) | $ | 145,821,721 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $149,250,696) | $ | 145,821,721 | |||||||||
SHORT TERM INVESTMENTS - 61.9% | |||||||||||
Money Market Funds - 61.9% | |||||||||||
438,714,139 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 438,714,139 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $438,714,139) | $ | 438,714,139 | |||||||||
TOTAL INVESTMENTS (Cost $587,964,835) - 82.5% (c) | $ | 584,535,860 | |||||||||
Other Assets in Excess of Liabilities - 17.5% | 124,405,070 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 708,940,930 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $582,276,805.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3774% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2019 | 15,501,327 | $ | 451,327,960 | $ | 435,908 | |||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.2674% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2019 | 12,493,273 | 370,973,410 | (8,527,649 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3674% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/26/2019 | 26,283,895 | 835,883,763 | (67,146,731 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3374% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 88,721 | 2,614,505 | 1,193,015 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Direxion Daily Junior Gold Miners Index Bull 3X Shares
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3374% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 4,942,452 | $ | 151,605,606 | $ | (8,312,636 | ) | ||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3374% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 5,280,959 | 164,894,262 | (11,368,595 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3374% representing 1 month LIBOR rate + spread | BNP Paribas | 3/18/2020 | 1,800,000 | 57,117,130 | (4,600,109 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3374% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 500,000 | 16,144,842 | (1,512,783 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 3.3374% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 651,098 | 19,540,342 | (465,143 | ) | ||||||||||||||||||||
$ | 2,070,101,820 | $ | (100,304,723 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Direxion Daily Junior Gold Miners Index Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 62.3% | |||||||||||
Money Market Funds - 62.3% | |||||||||||
29,728,176 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 29,728,176 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,728,176) (b) | $ | 29,728,176 | |||||||||
TOTAL INVESTMENTS (Cost $29,728,176) - 62.3% | $ | 29,728,176 | |||||||||
Other Assets in Excess of Liabilities - 37.7% | 18,011,244 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 47,739,420 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $29,728,176.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.8109 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | UBS Securities LLC | 12/5/2019 | 1,471,710 | $ | 42,646,242 | $ | (494,554 | ) | |||||||||||||||||
2.7174 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | Citibank N.A. | 12/09/2019 | 572,585 | 16,917,732 | 165,976 | ||||||||||||||||||||
2.6274 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | Credit Suisse Capital LLC | 12/10/2019 | 1,673,054 | 54,350,818 | 5,394,817 | ||||||||||||||||||||
2.8274 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 2/19/2020 | 333,916 | 10,666,829 | 706,158 | ||||||||||||||||||||
2.8274 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 3/18/2020 | 237,505 | 7,600,254 | 664,086 | ||||||||||||||||||||
2.8274 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 4/15/2020 | 500,000 | 16,025,191 | 1,417,363 | ||||||||||||||||||||
2.8274 representing 1 month LIBOR rate + spread | % | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 5/20/2020 | 94,225 | 2,843,711 | 82,995 | ||||||||||||||||||||
$ | 151,050,777 | $ | 7,936,841 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 66.8% | |||||||||||
Accommodation - 2.0% | |||||||||||
25,097 | Host Hotels & Resorts, Inc. | $ | 482,866 | ||||||||
6,804 | Park Hotels & Resorts, Inc. | 218,273 | |||||||||
7,720 | Sunstone Hotel Investors, Inc. | 111,168 | |||||||||
3,806 | Xenia Hotels & Resorts, Inc. | 82,400 | |||||||||
894,707 | |||||||||||
Administrative and Support Services - 1.0% | |||||||||||
15,754 | Colony Capital, Inc. | 80,975 | |||||||||
4,014 | CoreCivic, Inc. | 83,531 | |||||||||
9,195 | Iron Mountain, Inc. | 298,654 | |||||||||
463,160 | |||||||||||
Broadcasting (except Internet) - 0.3% | |||||||||||
1,563 | Ryman Hospitality Properties, Inc. | 124,415 | |||||||||
Credit Intermediation and Related Activities - 0.1% | |||||||||||
1,722 | Front Yard Residential Corp. | 17,065 | |||||||||
1,828 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 48,607 | |||||||||
65,672 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 2.3% | |||||||||||
77 | Alexander's, Inc. | 29,232 | |||||||||
2,041 | Chesapeake Lodging Trust | 58,168 | |||||||||
2,056 | Easterly Government Properties, Inc. | 37,008 | |||||||||
4,235 | Healthcare Realty Trust, Inc. | 130,777 | |||||||||
3,008 | Independence Realty Trust, Inc. | 31,855 | |||||||||
2,300 | iStar, Inc. | 19,941 | |||||||||
1,341 | LTC Properties, Inc. | 60,425 | |||||||||
1,428 | National Health Investors, Inc. | 107,714 | |||||||||
2,779 | New Senior Investment Group, Inc. | 15,535 | |||||||||
4,413 | Pebblebrook Hotel Trust | 143,687 | |||||||||
2,383 | Pennsylvania REIT (a) | 14,346 | |||||||||
1,388 | Preferred Apartment Communities, Inc. | 21,708 | |||||||||
5,926 | RLJ Lodging Trust | 109,098 | |||||||||
5,309 | SITE Centers Corp. | 70,291 | |||||||||
2,899 | Spirit Realty Capital, Inc. | 117,294 | |||||||||
2,701 | Washington REIT | 76,276 | |||||||||
1,043,355 | |||||||||||
Insurance Carriers and Related Activities - 0.0% (†) | |||||||||||
989 | Braemar Hotels & Resorts, Inc. | 13,747 | |||||||||
Professional, Scientific, and Technical Services - 1.0% | |||||||||||
4,279 | Extra Space Storage, Inc. | 443,689 | |||||||||
628 | NexPoint Residential Trust, Inc. | 23,544 | |||||||||
467,233 | |||||||||||
Real Estate - 56.2% | |||||||||||
2,758 | Acadia Realty Trust | 77,886 | |||||||||
1,167 | Agree Realty Corp. | 76,404 | |||||||||
3,637 | Alexandria Real Estate Equities, Inc. | 517,872 | |||||||||
1,118 | American Assets Trust, Inc. | 51,640 | |||||||||
4,635 | American Campus Communities, Inc. | 218,772 | |||||||||
9,006 | American Homes 4 Rent | 215,964 | |||||||||
5,892 | Americold Realty Trust | 188,603 |
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
5,244 | Apartment Investment & Management Co. Class A | $ | 258,844 | ||||||||
7,350 | Apple Hospitality REIT, Inc. | 120,908 | |||||||||
1,679 | Armada Hoffler Properties, Inc. | 27,116 | |||||||||
3,247 | Ashford Hospitality Trust, Inc. | 17,891 | |||||||||
4,674 | AvalonBay Communities, Inc. | 939,147 | |||||||||
5,223 | Boston Properties, Inc. | 718,789 | |||||||||
6,041 | Brandywine Realty Trust | 92,971 | |||||||||
10,139 | Brixmor Property Group, Inc. | 181,285 | |||||||||
3,329 | Brookfield Property REIT, Inc. Class A | 69,343 | |||||||||
3,151 | Camden Property Trust | 317,148 | |||||||||
5,838 | CBL & Associates Properties, Inc. (a) | 5,896 | |||||||||
3,085 | Cedar Realty Trust, Inc. | 9,471 | |||||||||
1,572 | Chatham Lodging Trust | 30,953 | |||||||||
3,990 | Columbia Property Trust, Inc. | 90,613 | |||||||||
627 | Community Healthcare Trust, Inc. | 22,873 | |||||||||
1,412 | CorePoint Lodging, Inc. | 17,650 | |||||||||
1,242 | CoreSite Realty Corp. | 135,887 | |||||||||
3,681 | Corporate Office Properties Trust | 102,626 | |||||||||
14,219 | Cousins Properties, Inc. | 136,076 | |||||||||
6,300 | CubeSmart | 201,033 | |||||||||
7,033 | Diamondrock Hospitality Co. | 76,378 | |||||||||
6,976 | Digital Realty Trust, Inc. | 821,145 | |||||||||
5,460 | Douglas Emmett, Inc. | 224,897 | |||||||||
12,119 | Duke Realty Corp. | 377,143 | |||||||||
1,219 | EastGroup Properties, Inc. | 139,368 | |||||||||
4,973 | Empire State Realty Trust, Inc. | 76,883 | |||||||||
2,514 | EPR Properties | 198,254 | |||||||||
4,109 | Equity Commonwealth | 130,666 | |||||||||
2,884 | Equity Lifestyle Properties, Inc. | 336,563 | |||||||||
12,461 | Equity Residential | 952,270 | |||||||||
1,609 | Essential Properties Realty Trust, Inc. | 33,274 | |||||||||
2,234 | Essex Property Trust, Inc. | 631,105 | |||||||||
2,498 | Federal Realty Investment Trust | 334,357 | |||||||||
4,272 | First Industrial Realty Trust, Inc. | 150,673 | |||||||||
2,292 | Four Corners Property Trust, Inc. | 65,184 | |||||||||
3,626 | Franklin Street Properties Corp. | 28,500 | |||||||||
6,880 | Gaming & Leisure Properties, Inc. | 277,814 | |||||||||
1,166 | Getty Realty Corp. | 37,813 | |||||||||
980 | Gladstone Commercial Corp. | 21,315 | |||||||||
2,573 | Global Net Lease, Inc. | 49,067 | |||||||||
15,893 | HCP, Inc. | 473,294 | |||||||||
6,999 | Healthcare Trust of America, Inc. Class A | 193,032 | |||||||||
1,267 | Hersha Hospitality Trust | 23,528 | |||||||||
3,500 | Highwoods Properties, Inc. | 156,030 | |||||||||
5,561 | Hospitality Properties Trust | 144,586 | |||||||||
5,300 | Hudson Pacific Properties, Inc. | 184,758 | |||||||||
2,201 | Industrial Logistics Properties Trust | 43,690 | |||||||||
405 | Investors Real Estate Trust | 24,413 | |||||||||
11,510 | Invitation Homes, Inc. | 286,139 | |||||||||
3,884 | JBG SMITH Properties | 165,264 | |||||||||
3,407 | Kilroy Realty Corp. | 262,032 | |||||||||
14,251 | Kimco Realty Corp. | 247,825 | |||||||||
2,832 | Kite Realty Group Trust | 44,717 | |||||||||
7,193 | Lexington Realty Trust | 65,241 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
4,999 | Liberty Property Trust | $ | 248,150 | ||||||||
1,576 | Life Storage, Inc. | 150,177 | |||||||||
3,577 | Macerich Co. | 143,581 | |||||||||
3,054 | Mack-Cali Realty Corp. | 71,097 | |||||||||
12,343 | Medical Properties Trust, Inc. | 215,509 | |||||||||
3,850 | Mid-America Apartment Communities, Inc. | 421,229 | |||||||||
2,971 | MGM Growth Properties LLC | 95,844 | |||||||||
2,942 | Monmouth Real Estate Investment Corp. Class A | 40,423 | |||||||||
5,383 | National Retail Properties, Inc. | 283,253 | |||||||||
1,913 | National Storage Affiliates Trust | 55,974 | |||||||||
1,515 | Northstar Realty Europe Corp. | 27,012 | |||||||||
1,625 | Office Properties Income Trust | 44,103 | |||||||||
6,787 | Omega Healthcare Investors, Inc. (a) | 240,192 | |||||||||
492 | One Liberty Properties, Inc. | 13,924 | |||||||||
7,221 | Paramount Group, Inc. | 104,632 | |||||||||
6,167 | Physicians Realty Trust | 111,376 | |||||||||
4,341 | Piedmont Office Realty Trust, Inc. Class A | 90,380 | |||||||||
21,290 | Prologis, Inc. | 1,632,304 | |||||||||
693 | PS Business Parks, Inc. | 106,459 | |||||||||
5,307 | Public Storage | 1,173,802 | |||||||||
1,725 | QTS Realty Trust, Inc. Class A | 78,229 | |||||||||
9,983 | Realty Income Corp. | 698,910 | |||||||||
5,158 | Regency Centers Corp. | 346,463 | |||||||||
3,854 | Retail Opportunity Investments Corp. | 67,638 | |||||||||
7,288 | Retail Properties of America, Inc. Class A | 89,570 | |||||||||
518 | Retail Value, Inc. | 17,353 | |||||||||
3,139 | Rexford Industrial Realty, Inc. | 118,937 | |||||||||
2,711 | RPT Realty | 32,884 | |||||||||
6,029 | Sabra Health Care REIT, Inc. | 117,927 | |||||||||
459 | Saul Centers, Inc. | 24,488 | |||||||||
8,040 | Senior Housing Properties Trust | 64,561 | |||||||||
1,145 | Seritage Growth Properties (a) | 51,056 | |||||||||
10,460 | Simon Property Group, Inc. | 1,816,902 | |||||||||
2,885 | SL Green Realty Corp. | 254,861 | |||||||||
1,454 | Spirit MTA REIT | 9,800 | |||||||||
3,683 | Stag Industrial, Inc. | 105,997 | |||||||||
3,544 | Summit Hotel Properties, Inc. | 41,146 | |||||||||
2,920 | Sun Communities, Inc. | 359,394 | |||||||||
3,176 | Tanger Factory Outlet Centers, Inc. | 57,359 | |||||||||
2,065 | Taubman Centers, Inc. | 101,805 | |||||||||
1,999 | Terreno Realty Corp. | 89,255 | |||||||||
4,119 | The GEO Group, Inc. | 82,462 | |||||||||
1,820 | TIER REIT, Inc. | 51,579 | |||||||||
9,078 | UDR, Inc. | 408,056 | |||||||||
1,147 | UMH Properties, Inc. | 16,115 | |||||||||
442 | Universal Health Realty Income Trust | 35,811 | |||||||||
3,866 | Urban Edge Properties | 71,792 | |||||||||
1,008 | Urstadt Biddle Properties, Inc. Class A | 22,105 | |||||||||
12,056 | Ventas, Inc. | 736,742 | |||||||||
32,723 | VEREIT, Inc. | 270,292 | |||||||||
13,689 | Vici Properties, Inc. | 312,109 |
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
5,792 | Vornado Realty Trust | $ | 400,459 | ||||||||
6,293 | Washington Prime Group, Inc. (a) | 28,004 | |||||||||
4,123 | Weingarten Realty Investors | 119,320 | |||||||||
12,706 | Welltower, Inc. | 946,978 | |||||||||
1,209 | Whitestone REIT | 15,512 | |||||||||
5,446 | WP Carey, Inc. | 431,977 | |||||||||
25,884,148 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.7% | |||||||||||
2,705 | American Finance Trust, Inc. | 26,536 | |||||||||
2,836 | CareTrust REIT, Inc. | 68,773 | |||||||||
6,479 | Store Capital Corp. | 215,880 | |||||||||
311,189 | |||||||||||
Telecommunications - 3.1% | |||||||||||
3,578 | CyrusOne, Inc. | 199,259 | |||||||||
2,720 | Equinix, Inc. | 1,236,784 | |||||||||
1,436,043 | |||||||||||
Water Transportation - 0.1% | |||||||||||
2,316 | Alexander & Baldwin, Inc. | 54,704 | |||||||||
TOTAL COMMON STOCKS (Cost $27,826,430) | $ | 30,758,373 | |||||||||
SHORT TERM INVESTMENTS - 30.0% | |||||||||||
Money Market Funds - 30.0% | |||||||||||
114,587 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b)(c) | $ | 114,587 | ||||||||
13,706,852 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 13,706,852 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $13,821,439) | $ | 13,821,439 | |||||||||
TOTAL INVESTMENTS (Cost $41,647,869) - 96.8% (d) | $ | 44,579,812 | |||||||||
Other Assets in Excess of Liabilities - 3.2% | 1,462,074 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 46,041,886 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) A portion of this security represents a security on loan.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of this security represents an investment of securities lending collateral.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $36,333,856.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Direxion Daily MSCI Real Estate Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.9874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 13,998 | $ | 17,039,158 | $ | (70,839 | ) | ||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.9974% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/23/2019 | 39,319 | 46,451,084 | 1,339,170 | |||||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.4774% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 554 | 587,762 | 86,200 | |||||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.4774% representing 1 month LIBOR rate + spread | BNP Paribas | 2/19/2020 | 17,854 | 20,828,911 | 894,136 | |||||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.4774% representing 1 month LIBOR rate + spread | BNP Paribas | 3/18/2020 | 10,797 | 12,916,501 | 214,289 | |||||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.4774% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 5,513 | 6,668,271 | 29,242 | |||||||||||||||||||||
Total return of MSCI US REIT IndexSM | 2.4774% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 544 | 644,096 | 15,108 | |||||||||||||||||||||
$ | 105,135,783 | $ | 2,507,306 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Direxion Daily MSCI Real Estate Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 71.4% | |||||||||||
Money Market Funds - 71.4% | |||||||||||
14,901,552 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 14,901,552 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,901,552) (b) | $ | 14,901,552 | |||||||||
TOTAL INVESTMENTS (Cost $14,901,552) - 71.4% | $ | 14,901,552 | |||||||||
Other Assets in Excess of Liabilities - 28.6% | 5,977,660 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,879,212 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,901,552.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.6874 representing 1 month LIBOR rate + spread | % | Total return of MSCI US REIT IndexSM | Citibank N.A. | 12/27/2019 | 20,701 | $ | 24,864,519 | $ | (299,414 | ) | |||||||||||||||||
2.1874 representing 1 month LIBOR rate + spread | % | Total return of MSCI US REIT IndexSM | BNP Paribas | 3/18/2020 | 8,902 | 10,543,505 | (289,182 | ) | |||||||||||||||||||
2.1874 representing 1 month LIBOR rate + spread | % | Total return of MSCI US REIT IndexSM | BNP Paribas | 4/15/2020 | 4,260 | 5,188,809 | 27,525 | ||||||||||||||||||||
2.1874 representing 1 month LIBOR rate + spread | % | Total return of MSCI US REIT IndexSM | BNP Paribas | 4/15/2020 | 6,165 | 7,436,847 | (56,655 | ) | |||||||||||||||||||
2.1874 representing 1 month LIBOR rate + spread | % | Total return of MSCI US REIT IndexSM | BNP Paribas | 5/20/2020 | 279 | 341,863 | 3,792 | ||||||||||||||||||||
2.1874 representing 1 month LIBOR rate + spread | % | Total return of MSCI US REIT IndexSM | BNP Paribas | 5/20/2020 | 11,370 | 13,535,177 | (245,395 | ) | |||||||||||||||||||
$ | 61,910,720 | $ | (859,329 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Direxion Daily Natural Gas Related Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 35.8% | |||||||||||
Mining (except Oil and Gas) - 1.2% | |||||||||||
39,684 | CNX Resources Corp. (a) | $ | 355,569 | ||||||||
Oil and Gas Extraction - 27.9% | |||||||||||
22,216 | Cabot Oil & Gas Corp. | 575,172 | |||||||||
7,603 | Cimarex Energy Co. | 522,022 | |||||||||
21,779 | Comstock Resources Inc. (a)(b) | 132,852 | |||||||||
4,972 | Concho Resources, Inc. | 573,669 | |||||||||
12,258 | Continental Resources, Inc. (a) | 563,745 | |||||||||
18,538 | Devon Energy Corp. | 595,811 | |||||||||
75,433 | Encana Corp. | 522,751 | |||||||||
43,443 | Enerplus Corp. | 397,504 | |||||||||
30,185 | EQT Corp. | 617,283 | |||||||||
40,253 | Gulfport Energy Corp. (a) | 263,657 | |||||||||
1,767 | Hess Midstream Partners LP | 39,051 | |||||||||
22,618 | Matador Resources Co. (a) | 445,348 | |||||||||
24,691 | Noble Energy, Inc. | 668,139 | |||||||||
11,348 | PDC Energy, Inc. (a) | 493,525 | |||||||||
54,207 | QEP Resources, Inc. (a) | 407,637 | |||||||||
51,108 | Range Resources Corp. | 462,016 | |||||||||
25,740 | SM Energy Co. | 410,038 | |||||||||
17,179 | Vermilion Energy, Inc. | 439,095 | |||||||||
41,216 | W&T Offshore, Inc. (a) | 262,958 | |||||||||
6,053 | Western Midstream Partners LP | 191,154 | |||||||||
8,583,427 | |||||||||||
Petroleum and Coal Products Manufacturing - 1.7% | |||||||||||
18,924 | Murphy Oil Corp. | 515,490 | |||||||||
Pipeline Transportation - 1.3% | |||||||||||
6,527 | CNX Midstream Partners LP | 101,234 | |||||||||
14,985 | Enable Midstream Partners LP | 208,591 | |||||||||
9,568 | Summit Midstream Partners LP | 79,414 | |||||||||
389,239 | |||||||||||
Support Activities for Mining - 2.0% | |||||||||||
63,156 | Antero Resources Corp. (a) | 457,881 | |||||||||
11,407 | Unit Corp. (a) | 154,679 | |||||||||
612,560 | |||||||||||
Utilities - 1.7% | |||||||||||
8,852 | National Fuel Gas Co. | 524,127 | |||||||||
TOTAL COMMON STOCKS (Cost $12,096,614) | $ | 10,980,412 | |||||||||
MASTER LIMITED PARTNERSHIPS - 3.9% | |||||||||||
Pipeline Transportation - 3.9% | |||||||||||
9,426 | DCP Midstream Partners LP | $ | 293,149 | ||||||||
7,810 | EQT Midstream Partners LP | 359,260 | |||||||||
10,998 | MPLX LP | 354,795 | |||||||||
5,739 | TC Pipelines LP (b) | 204,882 | |||||||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $1,228,334) | $ | 1,212,086 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 38.8% | |||||||||||
Money Market Funds - 38.8% | |||||||||||
172,929 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 172,929 | ||||||||
11,727,710 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 11,727,710 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $11,900,639) | $ | 11,900,639 | |||||||||
TOTAL INVESTMENTS (Cost $25,225,587) - 78.5% (e) | $ | 24,093,137 | |||||||||
Other Assets in Excess of Liabilities - 21.5% | 6,614,557 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 30,707,694 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral. See Note 2.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $22,358,386.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Direxion Daily Natural Gas Related Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of ISE-Revere Natural Gas IndexTM | 3.0574% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2019 | 1,869,185 | $ | 34,925,898 | $ | 3,366,906 | |||||||||||||||||||
Total return of ISE-Revere Natural Gas IndexTM | 2.8074% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2019 | 1,058,242 | 17,826,087 | 3,890,808 | |||||||||||||||||||||
Total return of ISE-Revere Natural Gas IndexTM | 2.6874% representing 1 month LIBOR rate + spread | BNP Paribas | 4/15/2020 | 250,956 | 5,393,206 | (243,886 | ) | ||||||||||||||||||||
Total return of ISE-Revere Natural Gas IndexTM | 2.6874% representing 1 month LIBOR rate + spread | BNP Paribas | 5/20/2020 | 713,335 | 15,412,475 | (765,280 | ) | ||||||||||||||||||||
$ | 73,557,666 | $ | 6,248,548 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Direxion Daily Natural Gas Related Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 65.7% | |||||||||||
Money Market Funds - 65.7% | |||||||||||
2,476,881 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 2,476,881 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,476,881) (b) | $ | 2,476,881 | |||||||||
TOTAL INVESTMENTS (Cost $2,476,881) - 65.7% | $ | 2,476,881 | |||||||||
Other Assets in Excess of Liabilities - 34.3% | 1,290,957 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,767,838 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total
value of securities segregated amounted to $2,476,881.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.6874 representing 1 month LIBOR rate + spread | % | Total return of ISE-Revere Natural Gas Index | Credit Suisse Capital LLC | 12/13/2019 | 171,513 | $ | 3,341,196 | $ | (172,732 | ) | |||||||||||||||||
2.4374 representing 1 month LIBOR rate + spread | % | Total return of ISE-Revere Natural Gas Index | Citibank N.A. | 2/20/2020 | 198,196 | 4,261,214 | 190,537 | ||||||||||||||||||||
1.6374 representing 1 month LIBOR rate + spread | % | Total return of ISE-Revere Natural Gas Index | BNP Paribas | 5/20/2020 | 180,631 | 3,814,901 | 104,218 | ||||||||||||||||||||
$ | 11,417,311 | $ | 122,023 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
78
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 77.3% | |||||||||||
Chemical Manufacturing - 70.5% | |||||||||||
2,243 | Abbott Laboratories | $ | 178,453 | ||||||||
721 | Alexion Pharmaceuticals, Inc. (a) | 98,150 | |||||||||
673 | Allergan PLC ADR (Ireland) | 98,931 | |||||||||
3,800 | Amphastar Pharmaceuticals, Inc. (a) | 82,042 | |||||||||
3,910 | Bausch Health Companies, Inc. (a) | 90,282 | |||||||||
3,363 | Bristol-Myers Squibb Co. | 156,144 | |||||||||
1,037 | Celgene Corp. (a) | 98,162 | |||||||||
8,289 | Corcept Therapeutics, Inc. (a) | 102,618 | |||||||||
1,374 | Eli Lilly & Co. | 160,813 | |||||||||
1,443 | Emergent Biosolutions, Inc. (a) | 74,574 | |||||||||
938 | Enanta Pharmaceuticals, Inc. (a) | 81,784 | |||||||||
8,891 | Endo International PLC (a) | 66,683 | |||||||||
4,328 | Horizon Pharma PLC (a) | 110,494 | |||||||||
6,174 | Innoviva, Inc. (a) | 86,621 | |||||||||
734 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 95,251 | |||||||||
1,245 | Johnson & Johnson | 175,794 | |||||||||
4,480 | Mallinckrodt PLC (a) | 69,261 | |||||||||
2,111 | Merck & Co., Inc. | 166,157 | |||||||||
2,960 | Mylan NV (a) | 79,890 | |||||||||
2,321 | Pacira Pharmaceuticals, Inc. (a) | 92,422 | |||||||||
1,902 | Perrigo Co. PLC ADR (Ireland) | 91,144 | |||||||||
4,000 | Pfizer, Inc. | 162,440 | |||||||||
3,176 | Prestige Consumer Healthcare, Inc. (a) | 93,438 | |||||||||
220 | Regeneron Pharmaceuticals, Inc. (a) | 75,491 | |||||||||
2,510 | Supernus Pharmaceuticals, Inc. (a) | 92,192 | |||||||||
895 | Taro Pharmaceutical Industries Ltd. | 96,132 | |||||||||
786 | United Therapeutics Corp. (a) | 80,620 | |||||||||
4,590 | Vanda Pharmaceuticals, Inc. (a) | 74,771 | |||||||||
2,930,754 | |||||||||||
Professional, Scientific, and Technical Services - 6.8% | |||||||||||
909 | Amgen, Inc. | 163,002 | |||||||||
525 | Biogen, Inc. (a) | 120,351 | |||||||||
283,353 | |||||||||||
TOTAL COMMON STOCKS (Cost $3,214,373) | $ | 3,214,107 | |||||||||
SHORT TERM INVESTMENTS - 16.5% | |||||||||||
Money Market Funds - 16.5% | |||||||||||
683,953 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 683,953 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $683,953) | $ | 683,953 | |||||||||
TOTAL INVESTMENTS (Cost $3,898,326) - 93.8% (c) | $ | 3,898,060 | |||||||||
Other Assets in Excess of Liabilities - 6.2% | 257,201 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,155,261 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,897,710.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
79
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
Total return of Dynamic Pharmaceutical Intellidex Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/2/2019 | 593 | $ | 3,565,420 | $ | (20,761 | ) | ||||||||||||||||||
Total return of Dynamic Pharmaceutical Intellidex Index | 2.9874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2019 | 954 | 6,065,576 | (388,264 | ) | ||||||||||||||||||||
$ | 9,630,996 | $ | (409,025 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
80
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 49.7% | |||||||||||
Credit Intermediation and Related Activities - 46.3% | |||||||||||
7,572 | Associated Banc-Corp | $ | 171,809 | ||||||||
3,484 | BancorpSouth Bank | 106,192 | |||||||||
1,557 | Bank of Hawaii Corp. | 128,266 | |||||||||
6,868 | Bank OZK | 224,240 | |||||||||
4,612 | BankUnited, Inc. | 168,707 | |||||||||
1,202 | Banner Corp. | 63,730 | |||||||||
4,286 | BB&T Corp. | 219,443 | |||||||||
1,513 | BOK Financial Corp. | 131,843 | |||||||||
8,774 | Cadence Bancorp | 199,608 | |||||||||
389 | Carolina Financial Corp. | 14,039 | |||||||||
2,885 | Cathay General Bancorp | 106,139 | |||||||||
3,419 | CenterState Bank Corp. | 84,381 | |||||||||
851 | Central Pacific Financial Corp. | 25,538 | |||||||||
3,126 | Chemical Financial Corp. | 137,325 | |||||||||
4,346 | CIT Group, Inc. | 231,511 | |||||||||
6,113 | Citizens Financial Group, Inc. | 221,291 | |||||||||
2,182 | Columbia Banking System, Inc. | 81,912 | |||||||||
2,547 | Comerica, Inc. | 200,169 | |||||||||
2,757 | Commerce Bancshares, Inc. | 166,605 | |||||||||
1,300 | Community Bank System, Inc. | 86,398 | |||||||||
690 | ConnectOne Bancorp, Inc. | 15,063 | |||||||||
1,230 | Customers Bancorp, Inc. (a) | 27,859 | |||||||||
2,849 | CVB Financial Corp. | 61,823 | |||||||||
1,274 | Eagle Bancorp, Inc. (a) | 70,401 | |||||||||
4,070 | East West Bancorp, Inc. | 209,524 | |||||||||
594 | Enterprise Financial Services Corp. | 25,269 | |||||||||
16,603 | F.N.B. Corp. | 201,394 | |||||||||
335 | FB Financial Corp. | 12,308 | |||||||||
978 | Fidelity Southern Corp. | 28,470 | |||||||||
7,969 | Fifth Third Bancorp | 229,667 | |||||||||
7,676 | First BanCorp | 86,739 | |||||||||
188 | First Citizens BancShares, Inc. Class A | 84,271 | |||||||||
2,578 | First Commonwealth Financial Corp. | 35,087 | |||||||||
2,277 | First Financial Bancorp | 57,153 | |||||||||
1,832 | First Financial Bankshares, Inc. | 112,705 | |||||||||
5,589 | First Hawaiian, Inc. | 154,536 | |||||||||
14,329 | First Horizon National Corp. | 216,225 | |||||||||
920 | First Merchants Corp. | 33,736 | |||||||||
3,227 | First Midwest Bancorp, Inc. | 69,284 | |||||||||
2,091 | First Republic Bank | 220,851 | |||||||||
6,880 | Fulton Financial Corp. | 118,680 | |||||||||
2,096 | Glacier Bancorp, Inc. | 89,269 | |||||||||
2,205 | Great Western Bancorp, Inc. | 77,550 | |||||||||
2,632 | Hancock Holding Co. | 115,124 | |||||||||
1,140 | Hanmi Financial Corp. Class A | 27,041 | |||||||||
572 | Heartland Financial USA, Inc. | 25,683 | |||||||||
852 | Heritage Commerce Corp. | 10,667 | |||||||||
724 | Heritage Financial Corp. | 21,915 | |||||||||
4,783 | Home Bancshares, Inc. | 91,786 | |||||||||
5,873 | Hope Bancorp, Inc. | 82,574 | |||||||||
15,443 | Huntington Bancshares, Inc. | 214,967 | |||||||||
2,062 | IBERIABANK Corp. | 163,929 | |||||||||
571 | Independent Bank Corp. (Massachusetts) | 45,811 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
608 | Independent Bank Corp. (Michigan) | $ | 13,090 | ||||||||
1,342 | Independent Bank Group, Inc. | 76,494 | |||||||||
1,111 | International Bancshares Corp. | 46,073 | |||||||||
16,108 | Investors Bancorp, Inc. | 189,269 | |||||||||
12,670 | KeyCorp | 222,358 | |||||||||
739 | Lakeland Bancorp, Inc. | 12,238 | |||||||||
1,610 | LegacyTexas Financial Group, Inc. | 64,529 | |||||||||
1,414 | Live Oak Bancshares, Inc. | 24,703 | |||||||||
1,268 | M&T Bank Corp. | 215,649 | |||||||||
380 | Midland States Bancorp, Inc. | 10,192 | |||||||||
1,662 | OFG Bancorp | 33,539 | |||||||||
5,211 | Old National Bancorp | 89,004 | |||||||||
842 | Opus Bank | 18,415 | |||||||||
2,084 | Pacific Premier Bancorp, Inc. | 60,582 | |||||||||
5,431 | PacWest Bancorp | 214,796 | |||||||||
403 | Peapack-Gladstone Financial Corp. | 11,659 | |||||||||
12,383 | People's United Financial, Inc. | 214,102 | |||||||||
2,632 | Pinnacle Financial Partners, Inc. | 152,840 | |||||||||
1,679 | PNC Financial Services Group, Inc. | 229,905 | |||||||||
3,476 | Popular, Inc. | 200,600 | |||||||||
410 | Preferred Bank | 20,168 | |||||||||
2,578 | Prosperity Bancshares, Inc. | 189,844 | |||||||||
13,737 | Regions Financial Corp. | 213,336 | |||||||||
666 | Sandy Spring Bancorp, Inc. | 23,237 | |||||||||
1,572 | Seacoast Banking Corp. of Florida (a) | 44,582 | |||||||||
1,595 | Signature Bank | 210,652 | |||||||||
1,204 | South State Corp. | 91,095 | |||||||||
761 | Southside Bancshares, Inc. | 26,734 | |||||||||
11,137 | Sterling Bancorp | 238,555 | |||||||||
3,349 | SunTrust Banks, Inc. | 219,292 | |||||||||
886 | SVB Financial Group (a) | 223,024 | |||||||||
5,608 | Synovus Financial Corp. | 206,711 | |||||||||
8,024 | TCF Financial Corp. | 177,571 | |||||||||
3,595 | Texas Capital Bancshares, Inc. (a) | 232,704 | |||||||||
930 | The Bancorp, Inc. (a) | 9,495 | |||||||||
2,637 | Trustmark Corp. | 94,826 | |||||||||
1,236 | UMB Financial Corp. | 86,347 | |||||||||
11,370 | Umpqua Holdings Corp. | 197,383 | |||||||||
2,099 | Union Bankshares Corp. | 76,613 | |||||||||
2,602 | United Bankshares, Inc. | 102,102 | |||||||||
2,859 | United Community Banks, Inc. | 80,281 | |||||||||
657 | Univest Corp. of Pennsylvania | 16,570 | |||||||||
12,305 | Valley National Bancorp | 128,956 | |||||||||
1,750 | Veritex Holdings, Inc. | 46,392 | |||||||||
3,369 | Webster Financial Corp. | 178,995 | |||||||||
4,831 | Western Alliance Bancorp (a) | 230,825 | |||||||||
2,680 | Wintrust Financial Corp. | 204,216 | |||||||||
4,364 | Zions Bancorp | 215,276 | |||||||||
11,692,326 | |||||||||||
Insurance Carriers and Related Activities - 0.2% | |||||||||||
2,056 | Hilltop Holdings, Inc. | 43,238 | |||||||||
Management of Companies and Enterprises - 3.0% | |||||||||||
2,205 | Ameris Bancorp | 80,394 | |||||||||
674 | Atlantic Capital Bancshares, Inc. (a) | 11,755 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
81
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Management of Companies and Enterprises (continued) | |||||||||||
2,482 | Banc of California, Inc. | $ | 36,014 | ||||||||
1,544 | Berkshire Hills Bancorp, Inc. | 46,305 | |||||||||
2,675 | Boston Private Financial Holdings, Inc. | 30,629 | |||||||||
1,820 | Brookline Bancorp, Inc. | 27,391 | |||||||||
342 | City Holding Co. | 27,148 | |||||||||
2,076 | Cullen/Frost Bankers, Inc. | 211,108 | |||||||||
407 | Equity Bancshares, Inc. (a) | 10,688 | |||||||||
864 | First Foundation, Inc. | 12,277 | |||||||||
1,039 | First Interstate BancSystem, Inc. | 43,908 | |||||||||
503 | Franklin Financial Network, Inc. | 13,908 | |||||||||
735 | National Bank Holdings Corp. | 28,106 | |||||||||
1,152 | Renasant Corp. | 41,772 | |||||||||
764 | ServisFirst Bancshares, Inc. | 25,930 | |||||||||
2,480 | Simmons First National Corp. | 62,967 | |||||||||
1,059 | Triumph Bancorp, Inc. (a) | 32,840 | |||||||||
743,140 | |||||||||||
Monetary Authorities-Central Bank - 0.1% | |||||||||||
548 | Westamerica Bancorp | 35,192 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% | |||||||||||
231 | CBTX, Inc. | 7,323 | |||||||||
187 | QCR Holdings, Inc. | 6,397 | |||||||||
919 | TriState Capital Holdings, Inc. (a) | 21,376 | |||||||||
35,096 | |||||||||||
TOTAL COMMON STOCKS (Cost $13,417,085) | $ | 12,548,992 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 22.0% | |||||||||||
Money Market Funds - 22.0% | |||||||||||
5,555,843 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 5,555,843 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,555,843) | $ | 5,555,843 | |||||||||
TOTAL INVESTMENTS (Cost $18,972,928) - 71.7% (c) | $ | 18,104,835 | |||||||||
Other Assets in Excess of Liabilities - 28.3% | 7,141,271 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 25,246,106 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $18,096,483.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 2.8274% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/5/2019 | 17,638 | $ | 27,967,367 | $ | 2,850,316 | |||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 3.1074% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 4,876 | 8,460,530 | 91,292 | |||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 2.8374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/24/2019 | 13,624 | 22,852,576 | 956,707 | |||||||||||||||||||||
$ | 59,280,473 | $ | 3,898,315 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
82
Direxion Daily Regional Banks Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 76.4% | |||||||||||
Money Market Funds - 76.4% | |||||||||||
1,959,804 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 1,959,804 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,959,804) (b) | $ | 1,959,804 | |||||||||
TOTAL INVESTMENTS (Cost $1,959,804) - 76.4% | $ | 1,959,804 | |||||||||
Other Assets in Excess of Liabilities - 23.6% | 604,097 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,563,901 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,959,804.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.9074% representing 1 month LIBOR rate + spread | Total return of S&P Regional Banks Select Industry Index | Credit Suisse Capital LLC | 12/13/2019 | 3,375 | $ | 5,683,491 | $ | (215,155 | ) | ||||||||||||||||||
2.5174% representing 1 month LIBOR rate + spread | Total return of S&P Regional Banks Select Industry Index | UBS Securities LLC | 12/13/2019 | 1,024 | 1,586,232 | (203,386 | ) | ||||||||||||||||||||
$ | 7,269,723 | $ | (418,541 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
83
Direxion Daily Retail Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 66.7% | |||||||||||
Administrative and Support Services - 0.8% | |||||||||||
73 | Booking Holdings, Inc. (a) | $ | 135,414 | ||||||||
Apparel Manufacturing - 1.3% | |||||||||||
5,768 | Guess?, Inc. | 117,494 | |||||||||
4,100 | Zumiez, Inc. (a) | 109,183 | |||||||||
226,677 | |||||||||||
Broadcasting (except Internet) - 0.7% | |||||||||||
7,285 | Qurate Retail, Inc. (a) | 124,209 | |||||||||
Clothing and Clothing Accessories Stores - 15.6% | |||||||||||
4,958 | Abercrombie & Fitch Co. Class A | 148,195 | |||||||||
6,295 | American Eagle Outfitters, Inc. | 149,695 | |||||||||
38,373 | Ascena Retail Group, Inc. (a) | 45,664 | |||||||||
4,589 | Boot Barn Holdings, Inc. (a) | 132,117 | |||||||||
3,797 | Caleres, Inc. | 99,595 | |||||||||
25,463 | Chicos FAS, Inc. | 89,120 | |||||||||
1,425 | Childrens Place Retail Stores, Inc. | 160,768 | |||||||||
4,722 | Designer Brands, Inc. | 105,065 | |||||||||
22,270 | Express, Inc. (a) | 81,954 | |||||||||
2,117 | Foot Locker, Inc. | 121,114 | |||||||||
4,900 | Gap, Inc. | 127,792 | |||||||||
2,837 | Genesco, Inc. (a) | 127,126 | |||||||||
4,907 | L Brands, Inc. | 125,815 | |||||||||
2,896 | Nordstrom, Inc. | 118,794 | |||||||||
1,425 | Ross Stores, Inc. | 139,166 | |||||||||
3,728 | Shoe Carnival, Inc. | 132,940 | |||||||||
4,851 | Signet Jewelers Ltd. | 112,446 | |||||||||
10,806 | Tailored Brands, Inc. (b) | 88,069 | |||||||||
4,715 | The Buckle, Inc. (b) | 87,133 | |||||||||
2,870 | The Cato Corp. | 43,509 | |||||||||
1,348 | Tiffany & Co. | 145,341 | |||||||||
2,504 | TJX Companies, Inc. | 137,420 | |||||||||
4,360 | Urban Outfitters, Inc. (a) | 129,623 | |||||||||
2,648,461 | |||||||||||
Data Processing, Hosting and Related Services - 0.4% | |||||||||||
1,843 | Shutterstock, Inc. | 74,549 | |||||||||
Electronics and Appliance Stores - 2.3% | |||||||||||
1,887 | Best Buy Co., Inc. | 140,412 | |||||||||
5,466 | Conn's, Inc. (a) | 141,405 | |||||||||
11,583 | GameStop Corp. Class A (b) | 100,193 | |||||||||
382,010 | |||||||||||
Food and Beverage Stores - 2.5% | |||||||||||
1,731 | Grubhub, Inc. (a) | 115,613 | |||||||||
627 | Ingles Markets, Inc. | 17,211 | |||||||||
5,193 | Kroger Co. | 133,875 | |||||||||
5,749 | Sprouts Farmers Market, Inc. (a) | 123,144 | |||||||||
872 | Weis Markets, Inc. | 36,668 | |||||||||
426,511 | |||||||||||
Food Services and Drinking Places - 1.5% | |||||||||||
985 | Casey's General Stores, Inc. | 130,365 | |||||||||
771 | Wayfair, Inc. (a) | 125,018 | |||||||||
255,383 |
Shares | Fair Value | ||||||||||
General Merchandise Stores - 11.7% | |||||||||||
3,513 | Big Lots, Inc. | $ | 130,543 | ||||||||
5,133 | BJ's Wholesale Club Holdings, Inc. (a) | 145,521 | |||||||||
884 | Burlington Stores, Inc. (a) | 149,316 | |||||||||
559 | Costco Wholesale Corp. | 137,251 | |||||||||
1,805 | Dillard's, Inc. Class A (b) | 123,552 | |||||||||
1,069 | Dollar General Corp. | 134,790 | |||||||||
1,242 | Dollar Tree, Inc. (a) | 138,210 | |||||||||
1,104 | Five Below, Inc. (a) | 161,615 | |||||||||
62,250 | J.C. Penney Co., Inc. (a)(b) | 85,283 | |||||||||
1,874 | Kohl's Corp. | 133,241 | |||||||||
5,504 | Macy's, Inc. | 129,564 | |||||||||
1,770 | PriceSmart, Inc. | 105,864 | |||||||||
1,675 | Target Corp. | 129,679 | |||||||||
1,406 | Tractor Supply Co. | 145,521 | |||||||||
1,304 | Wal-Mart Stores, Inc. | 134,103 | |||||||||
1,984,053 | |||||||||||
Health and Personal Care Stores - 3.6% | |||||||||||
6,097 | Petmed Express, Inc. (b) | 133,219 | |||||||||
9,184 | Rite Aid Corp. (a) | 84,125 | |||||||||
7,248 | Sally Beauty Holdings, Inc. (a) | 128,290 | |||||||||
413 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 144,129 | |||||||||
2,121 | Walgreens Boots Alliance Inc. | 113,622 | |||||||||
603,385 | |||||||||||
Miscellaneous Manufacturing - 0.7% | |||||||||||
4,176 | National Vision Holdings, Inc. (a) | 112,752 | |||||||||
Miscellaneous Store Retailers - 4.6% | |||||||||||
1,447 | 1-800-Flowers.com, Inc. (a) | 30,807 | |||||||||
1,874 | ETSY, Inc. (a) | 126,570 | |||||||||
38,158 | Office Depot, Inc. | 91,579 | |||||||||
1,591 | Ollie's Bargain Outlet Holdings, Inc. (a) | 152,163 | |||||||||
14,689 | Party City Holdings Inc. (a)(b) | 98,416 | |||||||||
6,206 | Rent-A-Center, Inc. (a) | 154,716 | |||||||||
1,459 | Stamps.Com., Inc. (a) | 125,182 | |||||||||
779,433 | |||||||||||
Motor Vehicle and Parts Dealers - 10.9% | |||||||||||
837 | Advance Auto Parts, Inc. | 139,210 | |||||||||
747 | America's Car-Mart, Inc. (a) | 73,990 | |||||||||
1,897 | Asbury Automotive Group, Inc. (a) | 152,102 | |||||||||
3,782 | AutoNation, Inc. (a) | 158,579 | |||||||||
136 | AutoZone, Inc. (a) | 139,850 | |||||||||
2,178 | CarMax, Inc. (a) | 169,579 | |||||||||
2,563 | Carvana Co. (a)(b) | 183,408 | |||||||||
1,790 | Group 1 Automotive, Inc. | 140,175 | |||||||||
1,464 | Lithia Motors, Inc. Class A | 166,193 | |||||||||
3,666 | MarineMax, Inc. (a) | 63,385 | |||||||||
1,635 | Murphy USA, Inc. (a) | 139,744 | |||||||||
349 | O'Reilly Automotive, Inc. (a) | 132,121 | |||||||||
3,020 | Penske Automotive Group, Inc. | 138,678 | |||||||||
2,259 | Sonic Automotive, Inc. | 45,700 | |||||||||
1,842,714 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
84
Direxion Daily Retail Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Nonstore Retailers - 3.8% | |||||||||||
80 | Amazon.com, Inc. (a) | $ | 154,122 | ||||||||
3,540 | eBay, Inc. | 137,175 | |||||||||
2,912 | Liberty Expedia Holdings, Inc. (a) | 135,175 | |||||||||
5,930 | Overstock.com, Inc. (a)(b) | 78,157 | |||||||||
4,943 | Stitch Fix, Inc. (a)(b) | 131,731 | |||||||||
636,360 | |||||||||||
Professional, Scientific, and Technical Services - 1.1% | |||||||||||
37,816 | Groupon, Inc. (a) | 133,113 | |||||||||
6,273 | Quotient Technology, Inc. (a) | 58,276 | |||||||||
191,389 | |||||||||||
Publishing Industries (except Internet) - 0.8% | |||||||||||
3,079 | Shutterfly, Inc. (a) | 134,953 | |||||||||
Repair and Maintenance - 0.8% | |||||||||||
1,631 | Monro Muffler Brake, Inc. | 136,727 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.9% | |||||||||||
9,834 | Camping World Holdings, Inc. (b) | 146,723 | |||||||||
Sporting Goods, Hobby, Musical Instrument, and Book Stores - 1.9% | |||||||||||
14,848 | BARNES & NOBLE, Inc. | 74,686 | |||||||||
3,356 | Dick's Sporting Goods, Inc. | 124,172 | |||||||||
10,060 | The Michaels Companies, Inc. (a) | 113,074 | |||||||||
311,932 | |||||||||||
Support Activities for Transportation - 0.8% | |||||||||||
1,046 | Expedia, Inc. | 135,813 | |||||||||
TOTAL COMMON STOCKS (Cost $13,122,878) | $ | 11,289,448 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 19.5% | |||||||||||
Money Market Funds - 19.5% | |||||||||||
555,187 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 555,187 | ||||||||
2,746,955 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 2,746,955 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,302,142) | $ | 3,302,142 | |||||||||
TOTAL INVESTMENTS (Cost $16,425,020) - 86.2% (e) | $ | 14,591,590 | |||||||||
Other Assets in Excess of Liabilities - 13.8% | 2,349,273 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 16,940,863 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $11,536,060.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 2.8374% representing 1 month LIBOR rate + spread | UBS Securities LLC | 10/22/2019 | 4,013 | $ | 18,834,592 | $ | 193,014 | |||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 2.8374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 4,319 | 20,227,933 | 234,304 | |||||||||||||||||||||
$ | 39,062,525 | $ | 427,318 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
85
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 22.8% | |||||||||||
252,357 | Global X Robotics & Artificial Intelligence ETF (a) | $ | 5,428,199 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $5,132,961) | $ | 5,428,199 | |||||||||
SHORT TERM INVESTMENTS - 35.3% | |||||||||||
Money Market Funds - 35.3% | |||||||||||
5,510,000 | Dreyfus Government Cash Management Institutional Shares, 2.33% (b) | $ | 5,510,000 | ||||||||
2,899,326 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | 2,899,326 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,409,326) | $ | 8,409,326 | |||||||||
TOTAL INVESTMENTS (Cost $13,542,287) - 58.1% (c) | $ | 13,837,525 | |||||||||
Other Assets in Excess of Liabilities - 41.9% | 10,006,009 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 23,843,534 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $13,837,525.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 3.0374% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/17/2019 | 1,063,559 | $ | 19,433,351 | $ | 3,284,894 | |||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 3.0874% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/20/2019 | 878,535 | 17,165,189 | 1,664,050 | |||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 2.8809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 5/26/2020 | 1,131,138 | 24,321,685 | (13,046 | ) | ||||||||||||||||||||
$ | 60,920,225 | $ | 4,935,898 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
86
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 63.2% | |||||||||||
Ambulatory Health Care Services - 3.5% | |||||||||||
311,932 | Array BioPharma, Inc. (a) | $ | 7,052,782 | ||||||||
112,613 | CareDx, Inc. (a) | 3,064,200 | |||||||||
76,900 | Genomic Health, Inc. (a) | 4,946,977 | |||||||||
162,390 | Invitae Corp. (a) | 3,835,652 | |||||||||
41,906 | Kura Oncology, Inc. (a) | 634,457 | |||||||||
38,457 | Spark Therapeutics, Inc. (a) | 4,102,977 | |||||||||
23,637,045 | |||||||||||
Chemical Manufacturing - 45.1% | |||||||||||
87,718 | AbbVie, Inc. | 6,963,932 | |||||||||
264,217 | ACADIA Pharmaceuticals, Inc. (a) | 6,354,419 | |||||||||
99,906 | Acceleron Pharma, Inc. (a) | 4,069,171 | |||||||||
362,567 | Achillion Pharmaceuticals, Inc. (a) | 1,073,198 | |||||||||
205,446 | Acorda Therapeutics, Inc. (a) | 2,146,911 | |||||||||
93,324 | Agios Pharmaceuticals, Inc. (a) | 5,218,678 | |||||||||
172,071 | Akebia Therapeutics, Inc. (a) | 1,039,309 | |||||||||
203,313 | Alder BioPharmaceuticals, Inc. (a) | 2,763,024 | |||||||||
52,898 | Alexion Pharmaceuticals, Inc. (a) | 7,201,005 | |||||||||
179,716 | Alkermes PLC ADR (Ireland) (a) | 5,448,989 | |||||||||
62,016 | Allakos, Inc. (a)(b) | 2,431,647 | |||||||||
81,726 | Alnylam Pharmaceuticals, Inc. (a) | 7,301,401 | |||||||||
168,621 | AMAG Pharmaceuticals, Inc. (a) | 1,881,810 | |||||||||
489,113 | Amicus Therapeutics, Inc. (a) | 6,524,768 | |||||||||
97,792 | Arena Pharmaceuticals, Inc. (a) | 4,473,984 | |||||||||
122,680 | ArQule, Inc. (a) | 732,400 | |||||||||
40,545 | Assembly Biosciences, Inc. (a) | 639,800 | |||||||||
144,171 | BioCryst Pharmaceuticals, Inc. (a) | 1,071,191 | |||||||||
75,626 | BioMarin Pharmaceutical, Inc. (a) | 6,468,292 | |||||||||
49,033 | bluebird bio, Inc. (a) | 6,954,350 | |||||||||
49,842 | Blueprint Medicines Corp. (a) | 3,768,554 | |||||||||
114,077 | Cara Therapeutics, Inc. (a)(b) | 2,176,589 | |||||||||
80,590 | Celgene Corp. (a) | 7,628,649 | |||||||||
247,783 | Clovis Oncology, Inc. (a) | 4,526,995 | |||||||||
125,255 | Coherus BioSciences, Inc. (a) | 1,994,060 | |||||||||
66,910 | Cytokinetics, Inc. (a) | 590,146 | |||||||||
124,189 | CytomX Therapeutics, Inc. (a) | 1,181,037 | |||||||||
45,325 | Deciphera Pharmaceuticals, Inc. (a) | 1,042,475 | |||||||||
69,636 | Denali Therapeutics, Inc. (a)(b) | 1,703,993 | |||||||||
86,794 | Dicerna Pharmaceuticals, Inc. (a) | 1,124,850 | |||||||||
246,691 | Dynavax Technologies Corp. (a)(b) | 1,640,495 | |||||||||
36,341 | Eagle Pharmaceuticals, Inc. (a) | 1,868,291 | |||||||||
95,009 | Emergent Biosolutions, Inc. (a) | 4,910,065 | |||||||||
46,593 | Enanta Pharmaceuticals, Inc. (a) | 4,062,444 | |||||||||
112,613 | Epizyme, Inc. (a) | 1,397,527 | |||||||||
94,382 | Esperion Therapeutics, Inc. (a)(b) | 4,067,864 | |||||||||
124,021 | FibroGen, Inc. (a) | 5,795,501 | |||||||||
66,277 | Five Prime Therapeutics, Inc. (a) | 734,349 | |||||||||
130,129 | Flexion Therapeutics, Inc. (a) | 1,379,367 | |||||||||
76,489 | G1 Therapeutics, Inc. (a) | 1,636,865 | |||||||||
107,634 | Gilead Sciences, Inc. | 7,000,515 | |||||||||
144,857 | Halozyme Therapeutics, Inc. (a) | 2,336,543 | |||||||||
176,271 | Heron Therapeutics, Inc. (a) | 3,821,555 | |||||||||
991,917 | Immunogen, Inc. (a) | 2,370,682 | |||||||||
416,285 | Immunomedics, Inc. (a)(b) | 6,668,886 | |||||||||
82,891 | Incyte Corp. (a) | 6,366,029 | |||||||||
258,775 | Inovio Pharmaceuticals, Inc. (a)(b) | 972,994 |
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
131,837 | Insmed, Inc. (a) | $ | 4,013,118 | ||||||||
109,421 | Intellia Therapeutics, Inc. (a)(b) | 1,682,895 | |||||||||
67,434 | Intercept Pharmaceuticals, Inc. (a) | 5,811,462 | |||||||||
96,582 | Ionis Pharmaceuticals, Inc. (a) | 7,178,940 | |||||||||
64,259 | Ligand Pharmaceuticals, Inc. (a) | 8,086,995 | |||||||||
68,305 | MacroGenics, Inc. (a) | 1,145,475 | |||||||||
43,237 | Madrigal Pharmaceuticals, Inc. (a) | 4,586,581 | |||||||||
114,380 | Momenta Pharmaceuticals, Inc. (a) | 1,600,176 | |||||||||
201,316 | Myriad Genetics, Inc. (a) | 6,337,428 | |||||||||
88,572 | Neurocrine Biosciences, Inc. (a) | 6,398,441 | |||||||||
1,317,069 | OPKO Health, Inc. (a) | 3,147,795 | |||||||||
274,635 | PDL BioPharma, Inc. (a) | 898,057 | |||||||||
211,771 | Portola Pharmaceuticals, Inc. (a) | 7,475,516 | |||||||||
269,021 | Progenics Pharmaceuticals, Inc. (a) | 1,382,768 | |||||||||
75,319 | Prothena Corp. PLC (a) | 783,318 | |||||||||
151,056 | PTC Therapeutics, Inc. (a) | 5,652,516 | |||||||||
119,189 | Puma Biotechnology, Inc. (a) | 3,828,351 | |||||||||
59,558 | Ra Pharmaceuticals, Inc. (a) | 1,322,188 | |||||||||
132,954 | Radius Health, Inc. (a) | 2,927,647 | |||||||||
16,894 | Regeneron Pharmaceuticals, Inc. (a) | 5,797,007 | |||||||||
79,475 | REGENXBIO, Inc. (a) | 4,005,540 | |||||||||
71,913 | Repligen Corp. (a) | 4,845,498 | |||||||||
482,665 | Rigel Pharmaceuticals, Inc. (a) | 1,076,343 | |||||||||
42,442 | Rocket Pharmaceuticals, Inc. (a) | 787,724 | |||||||||
45,113 | Sage Therapeutics, Inc. (a)(b) | 7,589,360 | |||||||||
52,055 | Sarepta Therapeutics, Inc. (a) | 6,087,312 | |||||||||
98,323 | Seattle Genetics, Inc. (a) | 6,664,333 | |||||||||
269,503 | Spectrum Pharmaceuticals, Inc. (a) | 2,525,243 | |||||||||
98,336 | Stemline Therapeutics, Inc. (a) | 1,475,040 | |||||||||
208,434 | TG Therapeutics, Inc. (a)(b) | 1,657,050 | |||||||||
89,247 | Ultragenyx Pharmaceutical, Inc. (a) | 5,890,302 | |||||||||
61,527 | United Therapeutics Corp. (a) | 6,310,824 | |||||||||
221,870 | Vanda Pharmaceuticals, Inc. (a) | 3,614,262 | |||||||||
62,341 | Veracyte, Inc. (a) | 1,425,739 | |||||||||
38,402 | Vertex Pharmaceuticals, Inc. (a) | 6,489,170 | |||||||||
46,345 | Xencor, Inc. (a) | 1,423,255 | |||||||||
305,449,268 | |||||||||||
Credit Intermediation and Related Activities - 0.2% | |||||||||||
79,701 | Retrophin, Inc. (a) | 1,520,695 | |||||||||
Merchant Wholesalers, Nondurable Goods - 2.8% | |||||||||||
127,591 | Aimmune Therapeutics, Inc. (a) | 2,569,683 | |||||||||
89,076 | Atara Biotherapeutics, Inc. (a) | 2,992,954 | |||||||||
136,081 | Global Blood Therapeutics, Inc. (a) | 7,538,887 | |||||||||
611,495 | Viking Therapeutics, Inc. (a)(b) | 4,788,006 | |||||||||
287,255 | ZIOPHARM Oncology, Inc. (a)(b) | 1,269,667 | |||||||||
19,159,197 | |||||||||||
Miscellaneous Manufacturing - 1.0% | |||||||||||
28,366 | Anika Therapeutics, Inc. (a) | 903,457 | |||||||||
98,128 | Mirati Therapeutics, Inc. (a) | 5,837,635 | |||||||||
6,741,092 | |||||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 0.1% | |||||||||||
28,109 | Cyclerion Therapeutics, Inc. (a) | 428,100 | |||||||||
19,370 | Rhythm Pharmaceuticals, Inc. (a) | 489,674 | |||||||||
917,774 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
87
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services - 9.7% | |||||||||||
32,833 | Akcea Therapeutics, Inc. (a)(b) | $ | 823,780 | ||||||||
75,253 | Allogene Therapeutics, Inc. (a)(b) | 2,253,827 | |||||||||
37,619 | Amgen, Inc. | 6,745,839 | |||||||||
59,252 | AnaptysBio, Inc. (a) | 4,308,806 | |||||||||
37,557 | Apellis Pharmaceuticals, Inc. (a) | 744,004 | |||||||||
280,176 | Arrowhead Pharmaceuticals, Inc. (a) | 5,037,565 | |||||||||
59,276 | Athenex, Inc. (a)(b) | 585,647 | |||||||||
22,120 | Biogen, Inc. (a) | 5,070,789 | |||||||||
77,266 | Biohaven Pharmaceutical Holding Co. Ltd (a) | 4,624,370 | |||||||||
193,416 | Editas Medicine, Inc. (a) | 4,787,046 | |||||||||
79,718 | Exact Sciences Corp. (a) | 7,867,369 | |||||||||
295,417 | Exelixis, Inc. (a) | 5,807,898 | |||||||||
146,014 | Fate Therapeutics, Inc. (a) | 2,453,035 | |||||||||
48,154 | GlycoMimetics, Inc. (a) | 586,034 | |||||||||
440,447 | Intrexon Corp. (a)(b) | 1,907,136 | |||||||||
281,242 | Ironwood Pharmaceuticals, Inc. Class A (a) | 3,343,967 | |||||||||
107,694 | Natera, Inc. (a) | 2,058,032 | |||||||||
391,827 | Sangamo Therapeutics, Inc. (a) | 4,580,458 | |||||||||
121,173 | Vericel Corp. (a) | 2,058,729 | |||||||||
65,644,331 | |||||||||||
Support Activities for Transportation - 0.4% | |||||||||||
203,700 | Iovance Biotherapeutics, Inc. (a) | 2,322,180 | |||||||||
Waste Management and Remediation Services - 0.4% | |||||||||||
68,576 | Audentes Therapeutics, Inc. (a) | 2,591,487 | |||||||||
TOTAL COMMON STOCKS (Cost $451,359,076) | $ | 427,983,069 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 37.9% | |||||||||||
Money Market Funds - 37.9% | |||||||||||
98,167,248 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 98,167,248 | ||||||||
158,717,348 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 158,717,348 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $256,884,596) | $ | 256,884,596 | |||||||||
TOTAL INVESTMENTS (Cost $708,243,672) - 101.1% (e) | $ | 684,867,665 | |||||||||
Liabilities in Excess of Other Assets - (1.1)% | (7,416,157 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 677,451,508 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $437,265,704.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 2.6474% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/13/2019 | 167,365 | $ | 1,156,344,283 | $ | (50,034,217 | ) | ||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 2.0474% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/23/2019 | 39,731 | 259,380,101 | 2,474,227 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 2.5509% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 2/25/2020 | 35,351 | 239,152,504 | (5,361,983 | ) | ||||||||||||||||||||
$ | 1,654,876,888 | $ | (52,921,973 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
88
Direxion Daily S&P Biotech Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 54.0% | |||||||||||
Money Market Funds - 54.0% | |||||||||||
11,424,137 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 11,424,137 | ||||||||
50,958,839 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 50,958,839 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $62,382,976) (b) | $ | 62,382,976 | |||||||||
TOTAL INVESTMENTS (Cost $62,382,976) - 54.0% | $ | 62,382,976 | |||||||||
Other Assets in Excess of Liabilities - 46.0% | 53,235,732 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 115,618,708 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $62,382,976.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
2.3674% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | UBS Securities LLC | 9/18/2019 | 31,227 | $ | 208,891,426 | $ | 3,159,457 | |||||||||||||||||||
1.7374% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | Citibank N.A. | 12/13/2019 | 13,944 | 93,206,397 | 1,207,633 | |||||||||||||||||||||
2.3509% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | Bank of America Merrill Lynch | 4/27/2020 | 7,243 | 47,990,680 | 85,457 | |||||||||||||||||||||
$ | 350,088,503 | $ | 4,452,547 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
89
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 51.8% | |||||||||||
Electronics and Appliance Stores - 0.0% (†) | |||||||||||
1,147 | REX American Resources Corp. (a) | $ | 96,933 | ||||||||
Funds, Trusts, and Other Financial Vehicles - 0.3% | |||||||||||
48,313 | Magnolia Oil & Gas Corp. (a) | 636,765 | |||||||||
Gasoline Stations - 1.1% | |||||||||||
67,378 | Delek US Holdings, Inc. | 2,497,029 | |||||||||
Mining (except Oil and Gas) - 0.8% | |||||||||||
180,309 | CNX Resources Corp. (a) | 1,615,569 | |||||||||
29,211 | Ring Energy, Inc. (a) | 151,313 | |||||||||
1,766,882 | |||||||||||
Nonstore Retailers - 0.3% | |||||||||||
19,449 | World Fuel Services Corp. | 600,002 | |||||||||
Oil and Gas Extraction - 35.8% | |||||||||||
52,996 | Anadarko Petroleum Corp. | 3,860,759 | |||||||||
69,822 | Apache Corp. | 2,297,842 | |||||||||
11,040 | Bonanza Creek Energy, Inc. (a) | 265,733 | |||||||||
90,444 | Cabot Oil & Gas Corp. | 2,341,595 | |||||||||
110,156 | California Resources Corp. (a)(b) | 2,322,089 | |||||||||
323,776 | Callon Petroleum Co. (a) | 2,431,558 | |||||||||
195,065 | Carrizo Oil & Gas, Inc. (a)(b) | 2,500,733 | |||||||||
817,077 | Chesapeake Energy Corp. (a)(b) | 2,377,694 | |||||||||
32,677 | Cimarex Energy Co. | 2,243,603 | |||||||||
30,222 | Clean Energy Fuels Corp. (a) | 94,897 | |||||||||
22,282 | Concho Resources, Inc. | 2,570,897 | |||||||||
55,964 | Continental Resources, Inc. (a) | 2,573,784 | |||||||||
734,289 | Denbury Resources, Inc. (a) | 1,637,464 | |||||||||
83,523 | Devon Energy Corp. | 2,684,429 | |||||||||
23,413 | Diamondback Energy, Inc. | 2,490,909 | |||||||||
25,811 | EOG Resources, Inc. | 2,479,147 | |||||||||
121,527 | EQT Corp. | 2,485,227 | |||||||||
232,264 | Extraction Oil & Gas, Inc. (a) | 1,091,641 | |||||||||
28,754 | Green Plains, Inc. | 499,457 | |||||||||
234,639 | Gulfport Energy Corp. (a) | 1,536,885 | |||||||||
64,431 | Jagged Peak Energy, Inc. (a) | 681,036 | |||||||||
186,365 | Kosmos Energy Ltd. | 1,246,782 | |||||||||
308,198 | Laredo Petroleum, Inc. (a) | 930,758 | |||||||||
122,711 | Matador Resources Co. (a) | 2,416,180 | |||||||||
104,172 | Noble Energy, Inc. | 2,818,894 | |||||||||
273,731 | Northern Oil and Gas, Inc. (a) | 725,387 | |||||||||
439,999 | Oasis Petroleum, Inc. (a) | 2,683,994 | |||||||||
35,594 | Occidental Petroleum Corp. | 2,095,775 | |||||||||
13,758 | Par Pacific Holdings, Inc. (a) | 268,831 | |||||||||
129,117 | Parsley Energy, Inc. (a) | 2,577,175 | |||||||||
58,254 | PDC Energy, Inc. (a) | 2,533,466 | |||||||||
23,633 | Phillips 66 | 2,227,883 | |||||||||
17,113 | Pioneer Natural Resources Co. | 2,848,630 | |||||||||
309,021 | QEP Resources, Inc. (a) | 2,323,838 | |||||||||
227,837 | Range Resources Corp. | 2,059,646 | |||||||||
27,625 | Renewable Energy Group, Inc. (a) | 666,315 | |||||||||
148,028 | SM Energy Co. | 2,358,086 | |||||||||
522,442 | Southwestern Energy Co. (a)(b) | 2,063,646 | |||||||||
6,163 | Talos Energy, Inc. (a) | 183,041 | |||||||||
70,121 | Tellurian, Inc. (a)(b) | 666,150 | |||||||||
122,533 | W&T Offshore, Inc. (a) | 781,761 |
Shares | Fair Value | ||||||||||
Oil and Gas Extraction (continued) | |||||||||||
98,971 | Whiting Petroleum Corp. (a) | $ | 2,710,816 | ||||||||
195,543 | WPX Energy, Inc. (a) | 2,716,092 | |||||||||
81,370,525 | |||||||||||
Petroleum and Coal Products Manufacturing - 8.7% | |||||||||||
18,310 | Chevron Corp. | 2,198,298 | |||||||||
28,283 | CVR Energy, Inc. | 1,289,988 | |||||||||
28,275 | Exxon Mobil Corp. | 2,269,917 | |||||||||
45,689 | HollyFrontier Corp. | 2,180,736 | |||||||||
137,131 | Marathon Oil Corp. | 2,336,712 | |||||||||
38,828 | Marathon Petroleum Corp. | 2,363,460 | |||||||||
76,891 | Murphy Oil Corp. | 2,094,511 | |||||||||
76,798 | PBF Energy, Inc. | 2,578,877 | |||||||||
27,965 | Valero Energy Corp. | 2,535,307 | |||||||||
19,847,806 | |||||||||||
Printing and Related Support Activities - 1.1% | |||||||||||
237,912 | Centennial Resource Development, Inc. (a)(b) | 2,505,213 | |||||||||
Support Activities for Mining - 3.7% | |||||||||||
285,597 | Antero Resources Corp. (a) | 2,070,578 | |||||||||
34,143 | ConocoPhillips | 2,155,106 | |||||||||
40,555 | Hess Corp. | 2,600,387 | |||||||||
6,465 | Penn Virginia Corp. (a) | 290,278 | |||||||||
204,947 | SRC Energy, Inc. (a) | 1,260,424 | |||||||||
8,376,773 | |||||||||||
TOTAL COMMON STOCKS (Cost $121,600,712) | $ | 117,697,928 | |||||||||
SHORT TERM INVESTMENTS - 32.2% | |||||||||||
Money Market Funds - 32.2% | |||||||||||
1,310,037 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 1,310,037 | ||||||||
71,839,867 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 71,839,867 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $73,149,904) | $ | 73,149,904 | |||||||||
TOTAL INVESTMENTS (Cost $194,750,616) - 84.0% (e) | $ | 190,847,832 | |||||||||
Other Assets in Excess of Liabilities - 16.0% | 36,500,148 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 227,347,980 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
90
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2019
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $145,375,274.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 2.4374% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2019 | 16,715 | $ | 81,013,663 | $ | (2,326,875 | ) | ||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 2.8974% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 60,139 | 252,584,888 | 29,010,872 | |||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 2.1574% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/23/2019 | 42,942 | 194,538,221 | 7,152,112 | |||||||||||||||||||||
$ | 528,136,772 | $ | 33,836,109 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
91
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 56.5% | |||||||||||
Money Market Funds - 56.5% | |||||||||||
29,630,016 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 29,630,016 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,630,016) (b) | $ | 29,630,016 | |||||||||
TOTAL INVESTMENTS (Cost $29,630,016) - 56.5% | $ | 29,630,016 | |||||||||
Other Assets in Excess of Liabilities - 43.5% | 22,810,932 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 52,440,948 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $29,630,016.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2.2374% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | UBS Securities LLC | 12/5/2019 | 25,922 | $ | 125,442,971 | $ | 3,447,015 | |||||||||||||||||||
2.3574% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Credit Suisse Capital LLC | 12/9/2019 | 6,584 | 30,814,346 | (27,977 | ) | ||||||||||||||||||||
1.7374% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Citibank N.A. | 12/13/2019 | 890 | 3,936,662 | (249,175 | ) | ||||||||||||||||||||
$ | 160,193,979 | $ | 3,169,863 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
92
Direxion Daily Semiconductor Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 70.9% | |||||||||||
Computer and Electronic Product Manufacturing - 60.2% | |||||||||||
637,972 | Advanced Micro Devices, Inc. (a)(b) | $ | 17,627,166 | ||||||||
140,349 | Analog Devices, Inc. | 16,314,168 | |||||||||
109,033 | Broadcom, Inc. | 34,716,107 | |||||||||
69,936 | Cree, Inc. (a) | 4,622,070 | |||||||||
246,530 | Cypress Semiconductor Corp. | 4,235,385 | |||||||||
566,902 | Intel Corp. | 28,934,678 | |||||||||
445,389 | Marvell Technology Group Ltd. | 11,143,633 | |||||||||
185,229 | Maxim Integrated Products, Inc. | 11,113,740 | |||||||||
36,741 | Mellanox Technologies Ltd. (a) | 4,419,942 | |||||||||
160,549 | Microchip Technology, Inc. | 16,037,240 | |||||||||
367,209 | Micron Technology, Inc. (a) | 15,444,811 | |||||||||
36,720 | MKS Instruments, Inc. | 3,341,887 | |||||||||
28,739 | Monolithic Power Systems, Inc. | 4,474,950 | |||||||||
194,623 | NVIDIA Corp. | 35,226,763 | |||||||||
164,387 | NXP Semiconductors NV | 17,362,555 | |||||||||
277,576 | ON Semiconductor Corp. (a) | 6,400,903 | |||||||||
83,189 | Qorvo, Inc. (a) | 6,289,920 | |||||||||
562,329 | Qualcomm, Inc. | 48,433,397 | |||||||||
24,451 | Silicon Motion Technology Corp. ADR | 935,006 | |||||||||
117,927 | Skyworks Solutions, Inc. | 10,398,803 | |||||||||
384,417 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 16,845,153 | |||||||||
121,445 | Teradyne, Inc. | 5,950,805 | |||||||||
283,822 | Texas Instruments, Inc. | 33,442,746 | |||||||||
119,802 | Xilinx, Inc. | 14,393,012 | |||||||||
368,104,840 | |||||||||||
Machinery Manufacturing - 7.4% | |||||||||||
391,536 | Applied Materials, Inc. | 17,254,992 | |||||||||
48,588 | ASML Holding NV ADR (Netherlands) | 10,146,146 | |||||||||
85,256 | Lam Research Corp. | 17,684,652 | |||||||||
45,085,790 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.8% | |||||||||||
91,426 | Entegris, Inc. | 3,735,666 | |||||||||
102,549 | KLA-Tencor Corp. | 13,072,947 | |||||||||
16,808,613 |
Shares | Fair Value | ||||||||||
Primary Metal Manufacturing - 0.5% | |||||||||||
29,191 | Silicon Laboratories, Inc. (a) | $ | 3,142,703 | ||||||||
TOTAL COMMON STOCKS (Cost $400,664,136) | $ | 433,141,946 | |||||||||
SHORT TERM INVESTMENTS - 12.8% | |||||||||||
Money Market Funds - 12.8% | |||||||||||
42,436,599 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c) | $ | 42,436,599 | ||||||||
35,739,272 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 35,739,272 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $78,175,871) | $ | 78,175,871 | |||||||||
TOTAL INVESTMENTS (Cost $478,840,007) - 83.7% (d) | $ | 511,317,817 | |||||||||
Other Assets in Excess of Liabilities - 16.3% | 99,850,294 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 611,168,111 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $449,793,551.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 2.5809% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 9/25/2019 | 147,000 | $ | 169,729,910 | $ | 58,574,176 | |||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 2.8474% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/5/2019 | 377,434 | 403,624,523 | 182,183,779 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 2.7674% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/18/2019 | 214,065 | 279,447,969 | 53,082,504 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 2.4474% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/19/2019 | 161,384 | 243,639,386 | 7,306,954 | |||||||||||||||||||||
$ | 1,096,441,788 | $ | 301,147,413 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
93
Direxion Daily Semiconductor Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 80.4% | |||||||||||
Money Market Funds - 80.4% | |||||||||||
138,726,844 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 138,726,844 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $138,726,844) (b) | $ | 138,726,844 | |||||||||
TOTAL INVESTMENTS (Cost $138,726,844) - 80.4% | $ | 138,726,844 | |||||||||
Other Assets in Excess of Liabilities - 19.6% | 33,876,767 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 172,603,611 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $138,726,844.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.4674% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | UBS Securities LLC | 12/6/2019 | 61,387 | $ | 80,912,620 | $ | (14,462,564 | ) | ||||||||||||||||||
2.2374% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Credit Suisse Capital LLC | 12/20/2019 | 116,064 | 176,417,662 | (4,116,435 | ) | ||||||||||||||||||||
2.5174% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Citibank N.A. | 12/24/2019 | 155,295 | 208,382,406 | (32,946,714 | ) | ||||||||||||||||||||
$ | 465,712,688 | $ | (51,525,713 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
94
Direxion Daily Technology Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 68.5% | |||||||||||
7,070,103 | Technology Select Sector SPDR Fund (a)(b) | $ | 556,487,807 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $467,409,394) | $ | 556,487,807 | |||||||||
SHORT TERM INVESTMENTS - 22.7% | |||||||||||
Money Market Funds - 22.7% | |||||||||||
77,111,262 | Dreyfus Government Cash Management Institutional Shares, 2.33% (c)(d) | $ | 77,111,262 | ||||||||
107,564,469 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (c) | 107,564,469 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $184,675,731) | $ | 184,675,731 | |||||||||
TOTAL INVESTMENTS (Cost $652,085,125) - 91.2% (e) | $ | 741,163,538 | |||||||||
Other Assets in Excess of Liabilities - 8.8% | 71,498,888 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 812,662,426 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2019.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $585,519,832.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Technology Select Sector Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/5/2019 | 744,856 | $ | 561,602,927 | $ | 26,702,519 | |||||||||||||||||||
Total return of Technology Select Sector Index | 2.9074% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/13/2019 | 186,618 | 123,054,222 | 24,025,954 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 3.0974% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 983,763 | 627,414,528 | 146,990,151 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 2.7509% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 3/27/2020 | 462,953 | 308,379,371 | 56,947,527 | |||||||||||||||||||||
$ | 1,620,451,048 | $ | 254,666,151 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
95
Direxion Daily Technology Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 97.0% | |||||||||||
Money Market Funds - 97.0% | |||||||||||
9,162,138 | Dreyfus Government Cash Management Institutional Shares, 2.33% (a) | $ | 9,162,138 | ||||||||
25,009,836 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | 25,009,836 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $34,171,974) (b) | $ | 34,171,974 | |||||||||
TOTAL INVESTMENTS (Cost $34,171,974) - 97.0% | $ | 34,171,974 | |||||||||
Other Assets in Excess of Liabilities - 3.0% | 1,040,882 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 35,212,856 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $34,171,974.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.6174% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | UBS Securities LLC | 12/3/2019 | 24,250 | $ | 18,185,726 | $ | (972,247 | ) | ||||||||||||||||||
2.6974% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Credit Suisse Capital LLC | 12/10/2019 | 56,185 | 36,330,906 | (7,950,032 | ) | ||||||||||||||||||||
2.5374% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Citibank N.A. | 12/13/2019 | 19,478 | 11,949,700 | (3,417,374 | ) | ||||||||||||||||||||
2.5509% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Bank of America Merrill Lynch | 6/25/2020 | 33,613 | 23,123,517 | (3,411,437 | ) | ||||||||||||||||||||
$ | 89,589,849 | $ | (15,751,090 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
96
Direxion Daily Transportation Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 9.9% | |||||||||||
Air Transportation - 1.8% | |||||||||||
249 | Alaska Air Group, Inc. | $ | 15,413 | ||||||||
249 | American Airlines Group, Inc. | 8,511 | |||||||||
249 | Delta Air Lines, Inc. | 14,514 | |||||||||
249 | JetBlue Airways Corp. (a) | 4,619 | |||||||||
249 | Southwest Airlines Co. | 13,503 | |||||||||
249 | United Continental Holdings, Inc. (a) | 22,126 | |||||||||
78,686 | |||||||||||
Couriers and Messengers - 1.6% | |||||||||||
249 | FedEx Corp. | 47,175 | |||||||||
249 | United Parcel Service, Inc. Class B | 26,449 | |||||||||
73,624 | |||||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
249 | Matson, Inc. | 9,863 | |||||||||
Rail Transportation - 3.2% | |||||||||||
249 | CSX Corp. | 19,828 | |||||||||
249 | Kansas City Southern Railway Co. | 30,662 | |||||||||
249 | Norfolk Southern Corp. | 50,801 | |||||||||
249 | Union Pacific Corp. | 44,083 | |||||||||
145,374 | |||||||||||
Rental and Leasing Services - 0.6% | |||||||||||
249 | Avis Budget Group, Inc. (a) | 8,852 | |||||||||
249 | Ryder System, Inc. | 15,687 | |||||||||
24,539 | |||||||||||
Support Activities for Transportation - 0.9% | |||||||||||
249 | C.H. Robinson Worldwide, Inc. | 20,169 | |||||||||
249 | Expeditors International of Washington, Inc. | 19,776 | |||||||||
39,945 | |||||||||||
Truck Transportation - 1.1% | |||||||||||
249 | J.B. Hunt Transport Services, Inc. | 23,526 | |||||||||
249 | Landstar System, Inc. | 27,131 | |||||||||
50,657 |
Shares | Fair Value | ||||||||||
Water Transportation - 0.5% | |||||||||||
249 | Kirby Corp. (a) | $ | 20,348 | ||||||||
TOTAL COMMON STOCKS (Cost $436,891) | $ | 443,036 | |||||||||
SHORT TERM INVESTMENTS - 44.7% | |||||||||||
Money Market Funds - 44.7% | |||||||||||
2,008,470 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 2,008,470 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,008,470) | $ | 2,008,470 | |||||||||
TOTAL INVESTMENTS (Cost $2,445,361) - 54.6% (c) | $ | 2,451,506 | |||||||||
Other Assets in Excess of Liabilities - 45.4% | 2,035,554 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,487,060 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2019.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,451,506.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Dow Jones Transportation Average | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2019 | 905 | $ | 9,146,189 | $ | 638,479 | |||||||||||||||||||
Total return of Dow Jones Transportation Average | 3.0374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/9/2019 | 295 | 3,167,728 | 26,683 | |||||||||||||||||||||
$ | 12,313,917 | $ | 665,162 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
97
Direxion Daily Utilities Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
COMMON STOCKS - 66.7% | |||||||||||
Management of Companies and Enterprises - 0.9% | |||||||||||
3,955 | AES Corp. | $ | 67,709 | ||||||||
Utilities - 65.8% | |||||||||||
1,410 | Alliant Energy Corp. | 66,594 | |||||||||
1,461 | Ameren Corp. | 106,317 | |||||||||
2,947 | American Electric Power Co., Inc. | 252,116 | |||||||||
1,079 | American Water Works Co., Inc. | 116,737 | |||||||||
698 | Atmos Energy Corp. | 71,433 | |||||||||
2,994 | CenterPoint Energy, Inc. | 92,814 | |||||||||
1,693 | CMS Energy Corp. | 94,046 | |||||||||
1,918 | Consolidated Edison, Inc. | 165,255 | |||||||||
4,774 | Dominion Resources, Inc. | 371,751 | |||||||||
1,087 | DTE Energy Co. | 136,647 | |||||||||
4,343 | Duke Energy Corp. | 395,734 | |||||||||
1,946 | Edison International | 124,097 | |||||||||
1,132 | Entergy Corp. | 109,691 | |||||||||
1,521 | Evergy, Inc. | 87,944 | |||||||||
1,893 | Eversource Energy | 135,652 | |||||||||
5,792 | Exelon Corp. | 295,102 | |||||||||
3,008 | FirstEnergy Corp. | 126,426 | |||||||||
2,856 | NextEra Energy, Inc. | 555,321 | |||||||||
2,225 | NiSource, Inc. | 61,811 | |||||||||
1,679 | NRG Energy, Inc. | 69,125 | |||||||||
670 | Pinnacle West Capital Corp. | 63,831 | |||||||||
4,306 | PPL Corp. | 134,390 | |||||||||
3,019 | Public Service Enterprise Group, Inc. | 180,083 | |||||||||
1,637 | Sempra Energy | 209,454 | |||||||||
6,180 | Southern Co. | 328,900 | |||||||||
1,884 | WEC Energy Group, Inc. | 147,762 | |||||||||
3,071 | Xcel Energy, Inc. | 173,512 | |||||||||
4,672,545 | |||||||||||
TOTAL COMMON STOCKS (Cost $4,507,960) | $ | 4,740,254 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 14.8% | |||||||||||
Money Market Funds - 14.8% | |||||||||||
1,050,450 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 1,050,450 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,050,450) | $ | 1,050,450 | |||||||||
TOTAL INVESTMENTS (Cost $5,558,410) - 81.5% (b) | $ | 5,790,704 | |||||||||
Other Assets in Excess of Liabilities - 18.5% | 1,312,179 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,102,883 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,706,287.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Utilities Select Sector Index | 2.8874% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/5/2019 | 23,637 | $ | 13,978,874 | $ | 22,756 | |||||||||||||||||||
Total return of Utilities Select Sector Index | 2.8374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/23/2019 | 4,281 | 2,517,296 | 19,236 | |||||||||||||||||||||
$ | 16,496,170 | $ | 41,992 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
98
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 62.4% | |||||||||||
80,000 | iShares 7-10 Year Treasury Bond ETF (a) | $ | 8,472,000 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $8,337,070) | $ | 8,472,000 | |||||||||
SHORT TERM INVESTMENTS - 33.2% | |||||||||||
Money Market Funds - 33.2% | |||||||||||
4,511,012 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 4,511,012 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,511,012) | $ | 4,511,012 | |||||||||
TOTAL INVESTMENTS (Cost $12,848,082) - 95.6% (c) | $ | 12,983,012 | |||||||||
Other Assets in Excess of Liabilities - 4.4% | 604,476 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 13,587,488 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,062,871.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 2.6474% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 211,930 | $ | 22,159,321 | $ | 245,414 | |||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 1.7574% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 21,208 | 2,189,938 | 55,351 | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 1.7574% representing 1 month LIBOR rate + spread | BNP Paribas | 1/15/2020 | 71,777 | 7,428,900 | 172,175 | |||||||||||||||||||||
$ | 31,778,159 | $ | 472,940 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
99
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 65.7% | |||||||||||
Money Market Funds - 65.7% | |||||||||||
9,834,964 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 9,834,964 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $9,834,964) (b) | $ | 9,834,964 | |||||||||
TOTAL INVESTMENTS (Cost $9,834,964) - 65.7% | $ | 9,834,964 | |||||||||
Other Assets in Excess of Liabilities - 34.3% | 5,142,071 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 14,977,035 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,834,964.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.0874% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/13/2019 | 41,075 | $ | 4,330,807 | $ | (14,715 | ) | ||||||||||||||||||
1.2074% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | BNP Paribas | 12/18/2019 | 175,000 | 18,070,500 | (489,721 | ) | ||||||||||||||||||||
1.2074% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | BNP Paribas | 1/15/2020 | 208,206 | 21,438,847 | (649,096 | ) | ||||||||||||||||||||
$ | 43,840,154 | $ | (1,153,532 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
100
Direxion Daily 20+ Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 77.8% | |||||||||||
706,411 | iShares 20+ Year Treasury Bond ETF (a) | $ | 87,347,720 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $87,529,188) | $ | 87,347,720 | |||||||||
SHORT TERM INVESTMENTS - 11.0% | |||||||||||
Money Market Funds - 11.0% | |||||||||||
12,326,579 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (b) | $ | 12,326,579 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,326,579) | $ | 12,326,579 | |||||||||
TOTAL INVESTMENTS (Cost $99,855,767) - 88.8% (c) | $ | 99,674,299 | |||||||||
Other Assets in Excess of Liabilities - 11.2% | 12,596,722 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 112,271,021 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2019.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $94,234,815.
Long Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 2.2374% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/13/2019 | 629,382 | $ | 76,062,091 | $ | 1,665,388 | |||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 2.5374% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/13/2019 | 988,154 | 121,301,683 | 799,692 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 2.1374% representing 1 month LIBOR rate + spread | BNP Paribas | 12/18/2019 | 400,000 | 48,472,000 | 1,010,480 | |||||||||||||||||||||
$ | 245,835,774 | $ | 3,475,560 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
101
Direxion Daily 20+ Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2019
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 62.2% | |||||||||||
Money Market Funds - 62.2% | |||||||||||
129,469,981 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.24% (a) | $ | 129,469,981 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $129,469,981) (b) | $ | 129,469,981 | |||||||||
TOTAL INVESTMENTS (Cost $129,469,981) - 62.2% | $ | 129,469,981 | |||||||||
Other Assets in Excess of Liabilities - 37.8% | 78,558,486 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 208,028,467 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2019.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $129,469,981.
Short Total Return Swap Contracts (Unaudited)
April 30, 2019
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
2.2374% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | UBS Securities LLC | 12/4/2019 | 500,000 | $ | 61,065,839 | $ | (712,626 | ) | ||||||||||||||||||
1.8674% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Citibank N.A. | 12/09/2019 | 2,013,758 | 237,260,967 | (12,128,823 | ) | ||||||||||||||||||||
2.3074% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/13/2019 | 933,475 | 114,862,255 | (447,514 | ) | ||||||||||||||||||||
1.8674% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | BNP Paribas | 12/18/2019 | 1,600,000 | 193,888,000 | (3,911,338 | ) | ||||||||||||||||||||
$ | 607,077,061 | $ | (17,200,301 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
102
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily Mid Cap Bear 3X Shares | Direxion Daily S&P 500® Bull 3X Shares | Direxion Daily S&P 500® Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 44,954,682 | $ | 2,373,688 | $ | 983,300,935 | $ | 258,957,478 | |||||||||||
Cash equivalents | 10,016,064 | 1,348,407 | 78,104,745 | 185,148,592 | |||||||||||||||
Due from investment adviser, net (Note 6) | — | 20 | — | — | |||||||||||||||
Dividend and interest receivable | 32,795 | 6,402 | 561,055 | 851,040 | |||||||||||||||
Due from broker for swap contracts | 41,790 | — | — | 5,020 | |||||||||||||||
Unrealized appreciation on swap contracts | 6,449,250 | — | 247,865,199 | — | |||||||||||||||
Prepaid expenses and other assets | 20,141 | 2,621 | 259,331 | 77,246 | |||||||||||||||
Total Assets | 61,514,722 | 3,731,138 | 1,310,091,265 | 445,039,376 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 1,800 | 496,237 | — | 87,521,453 | |||||||||||||||
Due to investment adviser, net (Note 6) | 31,048 | — | 643,357 | 228,016 | |||||||||||||||
Due to broker for swap contracts | 6,761,356 | — | 245,420,886 | 269,438 | |||||||||||||||
Accrued expenses and other liabilities | 70,664 | 14,546 | 992,299 | 336,274 | |||||||||||||||
Total Liabilities | 6,864,868 | 510,783 | 247,056,542 | 88,355,181 | |||||||||||||||
Net Assets | $ | 54,649,854 | $ | 3,220,355 | $ | 1,063,034,723 | $ | 356,684,195 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 57,329,520 | $ | 72,224,811 | $ | 907,386,773 | $ | 1,678,021,118 | |||||||||||
Total distributable earnings (loss) | (2,679,666 | ) | (69,004,456 | ) | 155,647,950 | (1,321,336,923 | ) | ||||||||||||
Net Assets | $ | 54,649,854 | $ | 3,220,355 | $ | 1,063,034,723 | $ | 356,684,195 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 54,649,854 | $ | 3,220,355 | $ | 1,063,034,723 | $ | 356,684,195 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,200,132 | 62,881 | 20,305,004 | 19,153,892 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 45.54 | $ | 51.21 | $ | 52.35 | $ | 18.62 | |||||||||||
Cost of Investments | $ | 44,148,983 | $ | 2,373,688 | $ | 924,920,046 | $ | 258,957,478 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
103
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Small Cap Bull 3X Shares | Direxion Daily Small Cap Bear 3X Shares | Direxion Daily EURO STOXX 50® Bull 3X Shares | Direxion Daily FTSE China Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 703,354,170 | $ | 232,940,500 | $ | 1,784,782 | $ | 304,579,053 | |||||||||||
Cash equivalents | 110,357,576 | 141,616,548 | 1,067,596 | 116,301,082 | |||||||||||||||
Due from investment adviser, net (Note 6) | — | — | 1,536 | — | |||||||||||||||
Dividend and interest receivable | 613,265 | 722,314 | 3,713 | 372,098 | |||||||||||||||
Due from broker for swap contracts | 358,236 | 113 | — | 799,032 | |||||||||||||||
Unrealized appreciation on swap contracts | 182,565,035 | — | 449,960 | 42,944,221 | |||||||||||||||
Prepaid expenses and other assets | 47,467 | 40,685 | 1,572 | 18,564 | |||||||||||||||
Total Assets | 997,295,749 | 375,320,160 | 3,309,159 | 465,014,050 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 95,992 | 59,069,327 | — | 2,866,933 | |||||||||||||||
Due to investment adviser, net (Note 6) | 519,915 | 204,688 | — | 263,372 | |||||||||||||||
Due to broker for swap contracts | 191,739,934 | — | 330,000 | 48,118,490 | |||||||||||||||
Accrued expenses and other liabilities | 860,952 | 341,139 | 18,925 | 279,948 | |||||||||||||||
Total Liabilities | 193,216,793 | 59,615,154 | 348,925 | 51,528,743 | |||||||||||||||
Net Assets | $ | 804,078,956 | $ | 315,705,006 | $ | 2,960,234 | $ | 413,485,307 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 873,303,076 | $ | 3,477,144,486 | $ | 3,617,005 | $ | 476,553,442 | |||||||||||
Total distributable loss | (69,224,120 | ) | (3,161,439,480 | ) | (656,771 | ) | (63,068,135 | ) | |||||||||||
Net Assets | $ | 804,078,956 | $ | 315,705,006 | $ | 2,960,234 | $ | 413,485,307 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 804,078,956 | $ | 315,705,006 | $ | 2,960,234 | $ | 413,485,307 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 12,000,068 | 7,094,075 | 150,001 | 17,050,013 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 67.01 | $ | 44.50 | $ | 19.73 | $ | 24.25 | |||||||||||
Cost of Investments | $ | 704,635,777 | $ | 232,940,500 | $ | 1,789,346 | $ | 300,874,895 |
* Securities loaned with values of $60,560,373,$–,$– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
104
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | Direxion Daily Latin America Bull 3X Shares | Direxion Daily MSCI Brazil Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 54,022,313 | $ | 19,139,131 | $ | 24,710,485 | $ | 380,962,578 | |||||||||||
Cash equivalents | 39,514,826 | 11,219,977 | 5,132,733 | 107,917,071 | |||||||||||||||
Receivable for Fund shares sold | 650 | — | — | 10,887 | |||||||||||||||
Dividend and interest receivable | 174,129 | 48,584 | 22,373 | 468,818 | |||||||||||||||
Due from broker for swap contracts | 157 | — | — | 37,204 | |||||||||||||||
Unrealized appreciation on swap contracts | 558,462 | 7,323,126 | 3,713 | 26,258,470 | |||||||||||||||
Prepaid expenses and other assets | 2,653 | 11,311 | 8,773 | 58,938 | |||||||||||||||
Total Assets | 94,273,190 | 37,742,129 | 29,878,077 | 515,713,966 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 81 | |||||||||||||||
Payable for Fund shares redeemed | 2,168,167 | — | — | (863 | ) | ||||||||||||||
Unrealized depreciation on swap contracts | 4,020,439 | 154 | 955,789 | 1,477,435 | |||||||||||||||
Due to investment adviser, net (Note 6) | 49,091 | 18,423 | 11,556 | 304,188 | |||||||||||||||
Due to broker for swap contracts | 56,128 | 6,830,000 | — | 21,900,000 | |||||||||||||||
Accrued expenses and other liabilities | 66,618 | 31,342 | 25,865 | 303,496 | |||||||||||||||
Total Liabilities | 6,360,443 | 6,879,919 | 993,210 | 23,984,337 | |||||||||||||||
Net Assets | $ | 87,912,747 | $ | 30,862,210 | $ | 28,884,867 | $ | 491,729,629 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 173,736,953 | $ | 50,227,403 | $ | 74,142,292 | $ | 337,283,509 | |||||||||||
Total distributable earnings (loss) | (85,824,206 | ) | (19,365,194 | ) | (45,257,425 | ) | 154,446,120 | ||||||||||||
Net Assets | $ | 87,912,747 | $ | 30,862,209 | $ | 28,884,867 | $ | 491,729,629 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 87,912,747 | $ | 30,862,209 | $ | 28,884,867 | $ | 491,729,629 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 2,027,337 | 1,050,001 | 1,269,092 | 17,353,728 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 43.36 | $ | 29.39 | $ | 22.76 | $ | 28.34 | |||||||||||
Cost of Investments | $ | 54,022,313 | $ | 19,141,607 | $ | 24,746,663 | $ | 379,612,985 |
* Securities loaned with values of $–,$–,$– and $17,590,161, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
105
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Developed Markets Bear 3X Shares | Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 11,023,291 | $ | 5,522,427 | $ | 167,270,993 | $ | 44,607,648 | |||||||||||
Cash equivalents | 4,876,158 | 3,700,480 | 73,112,500 | 28,715,444 | |||||||||||||||
Dividend and interest receivable | 18,778 | 17,573 | 288,483 | 142,863 | |||||||||||||||
Due from broker for swap contracts | 13,609 | 206 | 56,476 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 2,713,872 | — | 23,568,144 | — | |||||||||||||||
Prepaid expenses and other assets | 38,800 | 35,049 | 60,735 | 35,832 | |||||||||||||||
Total Assets | 18,684,508 | 9,275,735 | 264,357,331 | 73,501,787 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | — | 16,564 | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 778,476 | — | 8,035,765 | |||||||||||||||
Due to investment adviser, net (Note 6) | 4,814 | 93 | 156,111 | 36,404 | |||||||||||||||
Due to broker for swap contracts | 2,417,000 | 2,718 | 24,183,791 | — | |||||||||||||||
Accrued expenses and other liabilities | 20,415 | 13,104 | 207,481 | 58,809 | |||||||||||||||
Total Liabilities | 2,442,229 | 794,391 | 24,563,947 | 8,130,978 | |||||||||||||||
Net Assets | $ | 16,242,279 | $ | 8,481,344 | $ | 239,793,384 | $ | 65,370,809 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 20,719,319 | $ | 49,218,285 | $ | 405,537,209 | $ | 446,312,988 | |||||||||||
Total distributable loss | (4,477,040 | ) | (40,736,941 | ) | (165,743,825 | ) | (380,942,179 | ) | |||||||||||
Net Assets | $ | 16,242,279 | $ | 8,481,344 | $ | 239,793,384 | $ | 65,370,809 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 16,242,279 | $ | 8,481,344 | $ | 239,793,384 | $ | 65,370,809 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 250,001 | 684,916 | 2,831,598 | 1,595,232 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 64.97 | $ | 12.38 | $ | 84.68 | $ | 40.98 | |||||||||||
Cost of Investments | $ | 11,050,028 | $ | 5,522,427 | $ | 165,644,250 | $ | 44,607,648 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
106
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily MSCI India Bull 3X Shares | Direxion Daily MSCI Japan Bull 3X Shares | Direxion Daily MSCI Mexico Bull 3X Shares | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 59,677,379 | $ | 8,811,445 | $ | 5,710,905 | $ | 39,883,647 | |||||||||||
Cash equivalents | 21,642,492 | 1,961,848 | 1,420,596 | 8,650,639 | |||||||||||||||
Receivable for investments sold | — | — | — | 1,536,743 | |||||||||||||||
Dividend and interest receivable | 82,138 | 11,438 | 9,207 | 56,749 | |||||||||||||||
Due from broker for swap contracts | 9,259 | 3,155 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 10,961,916 | 212,222 | 494,470 | 59,028 | |||||||||||||||
Prepaid expenses and other assets | 23,375 | 7,174 | 2,667 | 7,019 | |||||||||||||||
Total Assets | 92,396,559 | 11,007,282 | 7,637,845 | 50,193,825 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | 13,534 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 3,453 | — | 104,757 | 3,628,244 | |||||||||||||||
Due to investment adviser, net (Note 6) | 54,477 | 3,152 | 3,534 | 28,668 | |||||||||||||||
Due to broker for swap contracts | 11,065,038 | 321,271 | 511,002 | 54,918 | |||||||||||||||
Accrued expenses and other liabilities | 153,731 | 31,799 | 17,695 | 37,041 | |||||||||||||||
Total Liabilities | 11,276,699 | 356,222 | 650,522 | 3,748,871 | |||||||||||||||
Net Assets | $ | 81,119,860 | $ | 10,651,060 | $ | 6,987,323 | $ | 46,444,954 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 74,384,361 | $ | 17,230,777 | $ | 9,208,451 | $ | 55,615,260 | |||||||||||
Total distributable earnings (loss) | 6,735,499 | (6,579,717 | ) | (2,221,128 | ) | (9,170,306 | ) | ||||||||||||
Net Assets | $ | 81,119,860 | $ | 10,651,060 | $ | 6,987,323 | $ | 46,444,954 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 81,119,860 | $ | 10,651,060 | $ | 6,987,323 | $ | 46,444,954 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,049,686 | 200,001 | 550,001 | 1,750,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 77.28 | $ | 53.26 | $ | 12.70 | $ | 26.54 | |||||||||||
Cost of Investments | $ | 59,059,352 | $ | 8,957,431 | $ | 5,639,673 | $ | 40,273,875 |
* Securities loaned with values of $–,$–,$13,265 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
107
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Russia Bull 3X Shares | Direxion Daily Russia Bear 3X Shares | Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Communication Services Index Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 130,612,460 | $ | 21,526,348 | $ | 51,028,553 | $ | 5,007,556 | |||||||||||
Cash equivalents | 4,629,951 | 3,200,909 | 9,774,424 | 314,560 | |||||||||||||||
Receivable for Fund shares sold | 2,099,732 | — | — | 32,340 | |||||||||||||||
Due from investment adviser, net (Note 6) | — | — | — | 894 | |||||||||||||||
Dividend and interest receivable | 191,984 | 47,237 | 38,134 | 4,722 | |||||||||||||||
Due from broker for swap contracts | 7,071,664 | — | — | 46,754 | |||||||||||||||
Unrealized appreciation on swap contracts | 8,510,378 | 176,652 | 11,867,749 | 489,673 | |||||||||||||||
Prepaid expenses and other assets | 62,526 | 8,565 | 34,583 | 25,430 | |||||||||||||||
Total Assets | 153,178,695 | 24,959,711 | 72,743,443 | 5,921,929 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | 4,772 | — | |||||||||||||||
Payable for Fund shares redeemed | — | — | 8,759 | — | |||||||||||||||
Payable for investments purchased | 6,464,700 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 1,103,790 | — | 58,513 | |||||||||||||||
Due to investment adviser, net (Note 6) | 81,837 | 12,720 | 35,333 | — | |||||||||||||||
Due to broker for swap contracts | 15,612,029 | 250,000 | 11,521,000 | 532,984 | |||||||||||||||
Due to custodian | — | — | — | 58 | |||||||||||||||
Accrued expenses and other liabilities | 81,727 | 23,358 | 52,893 | 12,981 | |||||||||||||||
Total Liabilities | 22,240,293 | 1,389,868 | 11,622,757 | 604,536 | |||||||||||||||
Net Assets | $ | 130,938,402 | $ | 23,569,843 | $ | 61,120,686 | $ | 5,317,393 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 202,461,859 | $ | 175,676,156 | $ | 55,692,551 | $ | 4,399,973 | |||||||||||
Total distributable earnings (loss) | (71,523,457 | ) | (152,106,313 | ) | 5,428,135 | 917,420 | |||||||||||||
Net Assets | $ | 130,938,402 | $ | 23,569,843 | $ | 61,120,686 | $ | 5,317,393 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 130,938,402 | $ | 23,569,843 | $ | 61,120,686 | $ | 5,317,393 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 3,118,002 | 1,794,595 | 1,200,001 | 150,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 41.99 | $ | 13.13 | $ | 50.93 | $ | 35.45 | |||||||||||
Cost of Investments | $ | 131,509,441 | $ | 21,526,348 | $ | 49,599,997 | $ | 4,790,743 |
* Securities loaned with values of $–,$–,$4,649 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
108
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Communication Services Index Bear 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | Direxion Daily Consumer Discretionary Bear 3X Shares | Direxion Daily Consumer Staples Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 1,025,507 | $ | 4,556,311 | $ | 508,698 | $ | 2,134,192 | |||||||||||
Cash equivalents | 615,917 | 343,918 | 329,532 | 296,365 | |||||||||||||||
Due from investment adviser, net (Note 6) | 1,987 | 827 | 2,435 | 1,252 | |||||||||||||||
Dividend and interest receivable | 4,118 | 2,825 | 1,948 | 4,592 | |||||||||||||||
Due from broker for swap contracts | — | 1,791 | — | 31 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 577,695 | — | 307,170 | |||||||||||||||
Prepaid expenses and other assets | 25,440 | 11,544 | 11,722 | 1,717 | |||||||||||||||
Total Assets | 1,672,969 | 5,494,911 | 854,335 | 2,745,319 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | 4,865 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 3,102 | — | 14,299 | — | |||||||||||||||
Due to broker for swap contracts | — | 560,000 | 2,745 | — | |||||||||||||||
Accrued expenses and other liabilities | 12,771 | 18,406 | 18,177 | 18,322 | |||||||||||||||
Total Liabilities | 15,873 | 583,271 | 35,221 | 18,322 | |||||||||||||||
Net Assets | $ | 1,657,096 | $ | 4,911,640 | $ | 819,114 | $ | 2,726,997 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 2,500,025 | $ | 4,137,389 | $ | 1,340,775 | $ | 2,500,025 | |||||||||||
Total distributable earnings (loss) | (842,929 | ) | 774,251 | (521,661 | ) | 226,972 | |||||||||||||
Net Assets | $ | 1,657,096 | $ | 4,911,640 | $ | 819,114 | $ | 2,726,997 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,657,096 | $ | 4,911,640 | $ | 819,114 | $ | 2,726,997 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 100,001 | 150,001 | 50,001 | 100,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 16.57 | $ | 32.74 | $ | 16.38 | $ | 27.27 | |||||||||||
Cost of Investments | $ | 1,025,507 | $ | 4,343,151 | $ | 508,698 | $ | 2,064,880 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
109
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Consumer Staples Bear 3X Shares | Direxion Daily Energy Bull 3X Shares | Direxion Daily Energy Bear 3X Shares | Direxion Daily Financial Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 928,828 | $ | 326,973,158 | $ | 17,921,148 | $ | 1,385,820,563 | |||||||||||
Cash equivalents | 431,472 | 41,683,056 | 12,958,337 | 229,935,256 | |||||||||||||||
Receivable for Fund shares sold | — | 2,251,964 | — | 743 | |||||||||||||||
Due from investment adviser, net (Note 6) | 2,232 | — | — | — | |||||||||||||||
Dividend and interest receivable | 2,620 | 230,413 | 57,205 | 1,060,484 | |||||||||||||||
Due from broker for swap contracts | — | — | 143 | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | 65,213,208 | 515,200 | 373,088,129 | |||||||||||||||
Prepaid expenses and other assets | 1,558 | 101,355 | 14,348 | 141,348 | |||||||||||||||
Total Assets | 1,366,710 | 436,453,154 | 31,466,381 | 1,990,046,523 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 167,226 | |||||||||||||||
Payable for Fund shares redeemed | — | — | — | 184,005 | |||||||||||||||
Payable for investments purchased | — | — | — | 48,684,475 | |||||||||||||||
Unrealized depreciation on swap contracts | 269,129 | 3,326,943 | 3,138,457 | — | |||||||||||||||
Due to investment adviser, net (Note 6) | — | 240,739 | 13,833 | 943,094 | |||||||||||||||
Due to broker for swap contracts | 18,553 | 62,057,633 | 423,718 | 359,640,000 | |||||||||||||||
Accrued expenses and other liabilities | 18,196 | 380,371 | 51,497 | 1,545,664 | |||||||||||||||
Total Liabilities | 305,878 | 66,005,686 | 3,627,505 | 411,164,464 | |||||||||||||||
Net Assets | $ | 1,060,832 | $ | 370,447,468 | $ | 27,838,876 | $ | 1,578,882,059 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 1,023,474 | $ | 562,807,102 | $ | 206,838,208 | $ | 1,499,596,461 | |||||||||||
Total distributable earnings (loss) | 37,358 | (192,359,634 | ) | (178,999,332 | ) | 79,285,598 | |||||||||||||
Net Assets | $ | 1,060,832 | $ | 370,447,468 | $ | 27,838,876 | $ | 1,578,882,059 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,060,832 | $ | 370,447,468 | $ | 27,838,876 | $ | 1,578,882,059 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 50,001 | 16,450,017 | 707,061 | 21,249,888 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 21.22 | $ | 22.52 | $ | 39.37 | $ | 74.30 | |||||||||||
Cost of Investments | $ | 928,828 | $ | 330,651,821 | $ | 17,921,148 | $ | 1,325,062,307 |
* Securities loaned with values of $–,$–,$– and $273,221, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
110
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Financial Bear 3X Shares | Direxion Daily Gold Miners Index Bull 3X Shares | Direxion Daily Gold Miners Index Bear 3X Shares | Direxion Daily Healthcare Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 143,364,458 | $ | 1,014,798,993 | $ | 71,093,928 | $ | 161,766,501 | |||||||||||
Cash equivalents | 78,406,297 | 220,515,077 | 33,601,497 | 12,517,395 | |||||||||||||||
Receivable for Fund shares sold | — | 3,123,733 | 1,654 | — | |||||||||||||||
Dividend and interest receivable | 407,084 | 1,635,200 | 300,078 | 80,094 | |||||||||||||||
Due from broker for swap contracts | 12,077 | 63,755 | 1,277,804 | 2,032 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 744,320 | 13,420,950 | 4,965,111 | |||||||||||||||
Prepaid expenses and other assets | 7,269 | 236,274 | 44,449 | 44,515 | |||||||||||||||
Total Assets | 222,197,185 | 1,241,117,352 | 119,740,360 | 179,375,648 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | — | 12,177,176 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 50,324,740 | 155,351,191 | — | 2,721,554 | |||||||||||||||
Due to investment adviser, net (Note 6) | 109,054 | 697,829 | 92,857 | 92,827 | |||||||||||||||
Due to broker for swap contracts | 1,244,354 | — | 16,508,000 | 4,090,000 | |||||||||||||||
Accrued expenses and other liabilities | 167,199 | 918,269 | 124,231 | 177,231 | |||||||||||||||
Total Liabilities | 51,845,347 | 156,967,289 | 28,902,264 | 7,081,612 | |||||||||||||||
Net Assets | $ | 170,351,838 | $ | 1,084,150,063 | $ | 90,838,096 | $ | 172,294,036 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 3,422,364,741 | $ | 3,387,407,374 | $ | 432,470,349 | $ | 184,015,484 | |||||||||||
Total distributable loss | (3,252,012,903 | ) | (2,303,257,311 | ) | (341,632,253 | ) | (11,721,448 | ) | |||||||||||
Net Assets | $ | 170,351,838 | $ | 1,084,150,063 | $ | 90,838,096 | $ | 172,294,036 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 170,351,838 | $ | 1,084,150,063 | $ | 90,838,096 | $ | 172,294,036 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 4,346,411 | 68,935,823 | 4,118,705 | 3,400,008 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 39.19 | $ | 15.73 | $ | 22.06 | $ | 50.67 | |||||||||||
Cost of Investments | $ | 143,364,458 | $ | 1,028,491,500 | $ | 71,093,928 | $ | 158,882,877 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
111
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Direxion Daily Industrials Bull 3X Shares | Direxion Daily Junior Gold Miners Index Bull 3X Shares | Direxion Daily Junior Gold Miners Index Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 36,890,126 | $ | 6,272,459 | $ | 584,535,860 | $ | 29,728,176 | |||||||||||
Cash equivalents | 6,552,160 | 503,150 | 216,222,652 | 18,429,867 | |||||||||||||||
Receivable for Fund shares sold | 462 | — | 958 | — | |||||||||||||||
Receivable for investments sold | — | — | 8,793,118 | — | |||||||||||||||
Dividend and interest receivable | 39,560 | 7,041 | 1,106,319 | 119,277 | |||||||||||||||
Due from broker for swap contracts | 274,446 | 248 | — | 108 | |||||||||||||||
Unrealized appreciation on swap contracts | 7,279,684 | 873,468 | 1,628,923 | 8,431,395 | |||||||||||||||
Prepaid expenses and other assets | 17,340 | 22,193 | 128,136 | 24,552 | |||||||||||||||
Total Assets | 51,053,778 | 7,678,559 | 812,415,966 | 56,733,375 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 29,727 | — | — | — | |||||||||||||||
Payable for Fund shares redeemed | 18,666 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 3,317 | 101,933,646 | 494,554 | |||||||||||||||
Due to investment adviser, net (Note 6) | 23,685 | 1,055 | 426,350 | 39,271 | |||||||||||||||
Due to broker for swap contracts | 7,045,750 | 820,000 | 730,000 | 8,412,265 | |||||||||||||||
Accrued expenses and other liabilities | 45,313 | 13,270 | 385,040 | 47,865 | |||||||||||||||
Total Liabilities | 7,163,141 | 837,642 | 103,475,036 | 8,993,955 | |||||||||||||||
Net Assets | $ | 43,890,637 | $ | 6,840,917 | $ | 708,940,930 | $ | 47,739,420 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 74,351,514 | $ | 6,274,438 | $ | 2,209,905,183 | $ | 127,192,756 | |||||||||||
Total distributable earnings (loss) | (30,460,877 | ) | 566,479 | (1,500,964,253 | ) | (79,453,336 | ) | ||||||||||||
Net Assets | $ | 43,890,637 | $ | 6,840,917 | $ | 708,940,930 | $ | 47,739,420 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 43,890,637 | $ | 6,840,917 | $ | 708,940,930 | $ | 47,739,420 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 950,000 | 200,001 | 18,821,376 | 987,735 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 46.20 | $ | 34.20 | $ | 37.67 | $ | 48.33 | |||||||||||
Cost of Investments | $ | 37,806,850 | $ | 6,036,079 | $ | 587,964,835 | $ | 29,728,176 |
* Securities loaned with values of $28,802,$–,$– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
112
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | Direxion Daily Natural Gas Related Bull 3X Shares | Direxion Daily Natural Gas Related Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 44,579,812 | $ | 14,901,552 | $ | 24,093,137 | $ | 2,476,881 | |||||||||||
Cash equivalents | 900,589 | 5,775,967 | 9,066,331 | 1,172,309 | |||||||||||||||
Receivable for Fund shares sold | — | 1,041,077 | — | — | |||||||||||||||
Receivable for investments sold | — | — | 2,819 | — | |||||||||||||||
Dividend and interest receivable | 56,157 | 42,077 | 36,339 | 7,762 | |||||||||||||||
Due from broker for swap contracts | — | — | — | 33 | |||||||||||||||
Foreign tax reclaims | — | — | 12,616 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 2,578,145 | 31,317 | 7,257,714 | 294,755 | |||||||||||||||
Prepaid expenses and other assets | 83,327 | 35,632 | 8,790 | 2,219 | |||||||||||||||
Total Assets | 48,198,030 | 21,827,622 | 40,477,746 | 3,953,959 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 114,587 | — | 172,929 | — | |||||||||||||||
Payable for Fund shares redeemed | — | — | 100,846 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 70,839 | 890,646 | 1,009,166 | 172,732 | |||||||||||||||
Due to investment adviser, net (Note 6) | 26,208 | 8,828 | 18,715 | 600 | |||||||||||||||
Due to broker for swap contracts | 1,861,000 | 28,951 | 8,432,468 | — | |||||||||||||||
Accrued expenses and other liabilities | 83,510 | 19,985 | 35,928 | 12,789 | |||||||||||||||
Total Liabilities | 2,156,144 | 948,410 | 9,770,052 | 186,121 | |||||||||||||||
Net Assets | $ | 46,041,886 | $ | 20,879,212 | $ | 30,707,694 | $ | 3,767,838 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 44,676,177 | $ | 168,000,509 | $ | 263,723,705 | $ | 11,841,593 | |||||||||||
Total distributable earnings (loss) | 1,365,709 | (147,121,297 | ) | (233,016,011 | ) | (8,073,755 | ) | ||||||||||||
Net Assets | $ | 46,041,886 | $ | 20,879,212 | $ | 30,707,694 | $ | 3,767,838 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 46,041,886 | $ | 20,879,212 | $ | 30,707,694 | $ | 3,767,838 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,850,000 | 601,662 | 881,504 | 124,855 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 24.89 | $ | 34.70 | $ | 34.84 | $ | 30.18 | |||||||||||
Cost of Investments | $ | 41,647,869 | $ | 14,901,552 | $ | 25,225,587 | $ | 2,476,881 |
* Securities loaned with values of $123,884,$–,$220,184 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
113
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Regional Banks Bear 3X Shares | Direxion Daily Retail Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 3,898,060 | $ | 18,104,835 | $ | 1,959,804 | $ | 14,591,590 | |||||||||||
Cash equivalents | 685,153 | 7,276,323 | 1,023,967 | 2,820,392 | |||||||||||||||
Due from investment adviser, net (Note 6) | 1,056 | — | 319 | — | |||||||||||||||
Dividend and interest receivable | 4,100 | 35,064 | 5,130 | 16,962 | |||||||||||||||
Due from broker for swap contracts | — | 46,549 | — | 12,768 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 3,898,315 | — | 427,318 | |||||||||||||||
Prepaid expenses and other assets | 8,522 | 29,029 | 6,948 | 22,412 | |||||||||||||||
Total Assets | 4,596,891 | 29,390,115 | 2,996,168 | 17,891,442 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 555,187 | |||||||||||||||
Unrealized depreciation on swap contracts | 409,025 | — | 418,541 | — | |||||||||||||||
Due to investment adviser, net (Note 6) | — | 17,409 | — | 8,308 | |||||||||||||||
Due to broker for swap contracts | 10,551 | 4,097,956 | 2,225 | 361,056 | |||||||||||||||
Accrued expenses and other liabilities | 22,054 | 28,644 | 11,501 | 26,028 | |||||||||||||||
Total Liabilities | 441,630 | 4,144,009 | 432,267 | 950,579 | |||||||||||||||
Net Assets | $ | 4,155,261 | $ | 25,246,106 | $ | 2,563,901 | $ | 16,940,863 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 5,639,044 | $ | 36,237,701 | $ | 5,459,332 | $ | 26,297,817 | |||||||||||
Total distributable loss | (1,483,783 | ) | (10,991,595 | ) | (2,895,431 | ) | (9,356,954 | ) | |||||||||||
Net Assets | $ | 4,155,261 | $ | 25,246,106 | $ | 2,563,901 | $ | 16,940,863 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 4,155,261 | $ | 25,246,106 | $ | 2,563,901 | $ | 16,940,863 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 200,001 | 500,000 | 100,000 | 550,012 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 20.78 | $ | 50.49 | $ | 25.64 | $ | 30.80 | |||||||||||
Cost of Investments | $ | 3,898,326 | $ | 18,972,928 | $ | 1,959,804 | $ | 16,425,020 |
* Securities loaned with values of $–,$–,$– and $533,014, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
114
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 13,837,525 | $ | 684,867,665 | $ | 62,382,976 | $ | 190,847,832 | |||||||||||
Cash equivalents | 7,481,471 | 68,737,712 | 55,110,375 | 41,190,551 | |||||||||||||||
Receivable for Fund shares sold | — | — | 1,933 | 3,835,596 | |||||||||||||||
Receivable for investments sold | 2,150,056 | — | — | — | |||||||||||||||
Dividend and interest receivable | 19,050 | 756,434 | 279,414 | 230,048 | |||||||||||||||
Due from broker for swap contracts | — | — | — | 4,795 | |||||||||||||||
Unrealized appreciation on swap contracts | 4,948,944 | 2,474,227 | 4,452,547 | 36,162,984 | |||||||||||||||
Prepaid expenses and other assets | 966 | 138,976 | 16,426 | 34,092 | |||||||||||||||
Total Assets | 28,438,012 | 756,975,014 | 122,243,671 | 272,305,898 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 10,070,750 | — | 1,310,037 | |||||||||||||||
Payable for Fund shares redeemed | — | — | 6,441,657 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 13,046 | 55,396,200 | — | 2,326,875 | |||||||||||||||
Due to investment adviser, net (Note 6) | 13,013 | 408,303 | 82,176 | 159,660 | |||||||||||||||
Due to broker for swap contracts | 4,551,264 | 13,064,171 | 134 | 40,964,277 | |||||||||||||||
Accrued expenses and other liabilities | 17,155 | 584,082 | 100,996 | 197,069 | |||||||||||||||
Total Liabilities | 4,594,478 | 79,523,506 | 6,624,963 | 44,957,918 | |||||||||||||||
Net Assets | $ | 23,843,534 | $ | 677,451,508 | $ | 115,618,708 | $ | 227,347,980 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 21,235,198 | $ | 852,139,320 | $ | 277,536,980 | $ | 333,152,601 | |||||||||||
Total distributable earnings (loss) | 2,608,336 | (174,687,812 | ) | (161,918,272 | ) | (105,804,621 | ) | ||||||||||||
Net Assets | $ | 23,843,534 | $ | 677,451,508 | $ | 115,618,708 | $ | 227,347,980 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 23,843,534 | $ | 677,451,508 | $ | 115,618,708 | $ | 227,347,980 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,700,001 | 13,961,600 | 5,384,536 | 20,609,476 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 14.03 | $ | 48.52 | $ | 21.47 | $ | 11.03 | |||||||||||
Cost of Investments | $ | 13,542,287 | $ | 708,243,672 | $ | 62,382,976 | $ | 194,750,616 |
* Securities loaned with values of $–,$12,475,914,$– and $2,321,879, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
115
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | Direxion Daily Technology Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 29,630,016 | $ | 511,317,817 | $ | 138,726,844 | $ | 741,163,538 | |||||||||||
Cash equivalents | 30,432,570 | 90,266,966 | 82,349,915 | 68,561,736 | |||||||||||||||
Receivable for Fund shares sold | 2,632 | — | 3,279,861 | — | |||||||||||||||
Dividend and interest receivable | 117,621 | 476,327 | 374,862 | 224,662 | |||||||||||||||
Due from broker for swap contracts | 35,742 | — | 9,123 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 3,447,015 | 301,147,413 | — | 254,666,151 | |||||||||||||||
Prepaid expenses and other assets | 16,180 | 59,511 | 828 | 175,424 | |||||||||||||||
Total Assets | 63,681,776 | 903,268,034 | 224,741,433 | 1,064,791,511 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 348 | |||||||||||||||
Payable for Fund shares redeemed | 8,771,283 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 277,152 | — | 51,525,713 | — | |||||||||||||||
Due to investment adviser, net (Note 6) | 32,856 | 391,786 | 98,557 | 468,978 | |||||||||||||||
Due to broker for swap contracts | 2,104,883 | 291,265,465 | 428,743 | 251,032,000 | |||||||||||||||
Accrued expenses and other liabilities | 54,654 | 442,672 | 84,809 | 627,759 | |||||||||||||||
Total Liabilities | 11,240,828 | 292,099,923 | 52,137,822 | 252,129,085 | |||||||||||||||
Net Assets | $ | 52,440,948 | $ | 611,168,111 | $ | 172,603,611 | $ | 812,662,426 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 74,454,614 | $ | 454,890,475 | $ | 469,398,807 | $ | 608,432,737 | |||||||||||
Total distributable earnings (loss) | (22,013,666 | ) | 156,277,636 | (296,795,196 | ) | 204,229,689 | |||||||||||||
Net Assets | $ | 52,440,948 | $ | 611,168,111 | $ | 172,603,611 | $ | 812,662,426 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 52,440,948 | $ | 611,168,111 | $ | 172,603,611 | $ | 812,662,426 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,135,961 | 3,250,004 | 3,695,977 | 4,900,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 46.16 | $ | 188.05 | $ | 46.70 | $ | 165.85 | |||||||||||
Cost of Investments | $ | 29,630,016 | $ | 478,840,007 | $ | 138,726,844 | $ | 652,085,125 |
* Securities loaned with values of $–,$331,394,$– and $27,990,196, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
116
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily Technology Bear 3X Shares | Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 34,171,974 | $ | 2,451,506 | $ | 5,790,704 | $ | 12,983,012 | |||||||||||
Cash equivalents | 16,808,298 | 1,981,604 | 1,255,416 | 4,723,047 | |||||||||||||||
Dividend and interest receivable | 97,895 | 7,296 | 6,546 | 16,924 | |||||||||||||||
Due from broker for swap contracts | 1,566 | 4,946 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | 665,162 | 41,992 | 472,940 | |||||||||||||||
Prepaid expenses and other assets | 9,649 | 21,550 | 22,693 | 12,263 | |||||||||||||||
Total Assets | 51,089,382 | 5,132,064 | 7,117,351 | 18,208,186 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for investments purchased | — | — | — | 4,122,261 | |||||||||||||||
Unrealized depreciation on swap contracts | 15,751,090 | — | — | — | |||||||||||||||
Due to investment adviser, net (Note 6) | 21,524 | 525 | 1,193 | 5,806 | |||||||||||||||
Due to broker for swap contracts | 60,627 | 630,000 | — | 460,000 | |||||||||||||||
Accrued expenses and other liabilities | 43,285 | 14,479 | 13,275 | 32,631 | |||||||||||||||
Total Liabilities | 15,876,526 | 645,004 | 14,468 | 4,620,698 | |||||||||||||||
Net Assets | $ | 35,212,856 | $ | 4,487,060 | $ | 7,102,883 | $ | 13,587,488 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 200,517,408 | $ | 4,706,750 | $ | 5,919,286 | $ | 13,962,836 | |||||||||||
Total distributable earnings (loss) | (165,304,552 | ) | (219,690 | ) | 1,183,597 | (375,348 | ) | ||||||||||||
Net Assets | $ | 35,212,856 | $ | 4,487,060 | $ | 7,102,883 | $ | 13,587,488 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 35,212,856 | $ | 4,487,060 | $ | 7,102,883 | $ | 13,587,488 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 2,753,291 | 150,001 | 200,001 | 300,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 12.79 | $ | 29.91 | $ | 35.51 | $ | 45.29 | |||||||||||
Cost of Investments | $ | 34,171,974 | $ | 2,445,361 | $ | 5,558,410 | $ | 12,848,082 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
117
Statements of Assets and Liabilities (Unaudited)
April 30, 2019
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||
Assets: | |||||||||||||||
Investments, at fair value (Note 2) | $ | 9,834,964 | $ | 99,674,299 | $ | 129,469,981 | |||||||||
Cash equivalents | 6,295,148 | 11,530,084 | 95,841,396 | ||||||||||||
Receivable for Fund shares sold | — | 20,038 | — | ||||||||||||
Dividend and interest receivable | 31,796 | 48,559 | 434,701 | ||||||||||||
Due from broker for swap contracts | 592 | — | 95,237 | ||||||||||||
Unrealized appreciation on swap contracts | — | 3,475,560 | — | ||||||||||||
Prepaid expenses and other assets | 13,909 | 23,106 | 89,497 | ||||||||||||
Total Assets | 16,176,409 | 114,771,646 | 225,930,812 | ||||||||||||
Liabilities: | |||||||||||||||
Unrealized depreciation on swap contracts | 1,153,532 | — | 17,200,301 | ||||||||||||
Due to investment adviser, net (Note 6) | 7,038 | 68,268 | 127,304 | ||||||||||||
Due to broker for swap contracts | 705 | 2,343,000 | 300,000 | ||||||||||||
Accrued expenses and other liabilities | 38,099 | 89,357 | 274,740 | ||||||||||||
Total Liabilities | 1,199,374 | 2,500,625 | 17,902,345 | ||||||||||||
Net Assets | $ | 14,977,035 | $ | 112,271,021 | $ | 208,028,467 | |||||||||
Net Assets Consist of: | |||||||||||||||
Capital stock | $ | 76,170,076 | $ | 126,861,468 | $ | 1,198,741,862 | |||||||||
Total distributable loss | (61,193,041 | ) | (14,590,447 | ) | (990,713,395 | ) | |||||||||
Net Assets | $ | 14,977,035 | $ | 112,271,021 | $ | 208,028,467 | |||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||
Net assets | $ | 14,977,035 | $ | 112,271,021 | $ | 208,028,467 | |||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,150,000 | 5,550,000 | 12,199,789 | ||||||||||||
Net assets value, redemption price and offering price per share | $ | 13.02 | $ | 20.23 | $ | 17.05 | |||||||||
Cost of Investments | $ | 9,834,964 | $ | 99,855,767 | $ | 129,469,981 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
118
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily Mid Cap Bear 3X Shares | Direxion Daily S&P 500® Bull 3X Shares | Direxion Daily S&P 500® Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 234,436 | $ | — | $ | 7,670,322 | $ | — | |||||||||||
Interest income | 244,876 | 47,395 | 3,210,262 | 4,159,809 | |||||||||||||||
Total investment income | 479,312 | 47,395 | 10,880,584 | 4,159,809 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 214,725 | 14,541 | 3,747,735 | 1,241,252 | |||||||||||||||
Interest expense | 37,553 | 2,656 | 478,764 | 18,410 | |||||||||||||||
Licensing fees | 22,904 | 1,551 | 399,758 | 132,400 | |||||||||||||||
Fund servicing fees | 15,327 | 1,508 | 248,437 | 86,325 | |||||||||||||||
Professional fees | 9,021 | 5,239 | 75,921 | 28,451 | |||||||||||||||
Management service fees (Note 6) | 7,336 | 497 | 128,044 | 42,407 | |||||||||||||||
Reports to shareholders | 4,878 | 336 | 85,226 | 28,214 | |||||||||||||||
Pricing fees | 2,975 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,685 | |||||||||||||||
Trustees' fees and expenses | 1,146 | 78 | 20,019 | 6,648 | |||||||||||||||
Insurance fees | 726 | 50 | 12,681 | 4,198 | |||||||||||||||
Other | 1,721 | 85 | 32,433 | 7,194 | |||||||||||||||
Total Expenses | 320,792 | 31,997 | 5,234,474 | 1,601,160 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | 5,823 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (11,250 | ) | (10,923 | ) | (14,401 | ) | (10,497 | ) | |||||||||||
Net Expenses | 309,542 | 21,074 | 5,225,896 | 1,590,663 | |||||||||||||||
Net investment income | 169,770 | 26,321 | 5,654,688 | 2,569,146 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (1,425,881 | ) | — | (23,032,299 | ) | — | |||||||||||||
In-kind redemptions | 1,367,577 | — | 24,298,289 | — | |||||||||||||||
Swap contracts | (3,512,620 | ) | 349,749 | (83,075,394 | ) | (23,811,314 | ) | ||||||||||||
Net realized gain (loss) | (3,570,924 | ) | 349,749 | (81,809,404 | ) | (23,811,314 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 2,702,975 | — | 51,758,440 | — | |||||||||||||||
Swap contracts | 12,932,968 | (1,323,814 | ) | 248,079,110 | (90,863,474 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 15,635,943 | (1,323,814 | ) | 299,837,550 | (90,863,474 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 12,065,019 | (974,065 | ) | 218,028,146 | (114,674,788 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 12,234,789 | $ | (947,744 | ) | $ | 223,682,834 | $ | (112,105,642 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
119
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Small Cap Bull 3X Shares | Direxion Daily Small Cap Bear 3X Shares | Direxion Daily EURO STOXX 50® Bull 3X Shares | Direxion Daily FTSE China Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 3,271,784 | $ | — | $ | 4,947 | $ | 1,629,655 | |||||||||||
Interest income | 4,147,748 | 3,670,162 | 18,267 | 2,075,883 | |||||||||||||||
Securities lending income | 17,070 | — | — | 1,785 | |||||||||||||||
Total investment income | 7,436,602 | 3,670,162 | 23,214 | 3,707,323 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 3,147,431 | 1,130,590 | 9,807 | 1,338,764 | |||||||||||||||
Interest expense | 684,130 | 95,907 | 412 | 220,465 | |||||||||||||||
Licensing fees | 315,102 | 112,952 | 9,917 | 146,266 | |||||||||||||||
Fund servicing fees | 217,921 | 78,753 | 1,172 | 92,839 | |||||||||||||||
Management service fees (Note 6) | 107,533 | 38,635 | 335 | 45,726 | |||||||||||||||
Reports to shareholders | 71,561 | 25,784 | 222 | 30,300 | |||||||||||||||
Professional fees | 64,543 | 26,428 | 5,144 | 30,188 | |||||||||||||||
Trustees' fees and expenses | 16,801 | 6,040 | 52 | 7,139 | |||||||||||||||
Insurance fees | 10,648 | 3,836 | 33 | 4,508 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 3,514 | 2,480 | 2,480 | |||||||||||||||
Other | 31,207 | 6,573 | 56 | 12,617 | |||||||||||||||
Total Expenses | 4,672,333 | 1,531,988 | 32,606 | 1,934,268 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 24,635 | 4,432 | — | 5,998 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (26,091 | ) | (8,432 | ) | (19,772 | ) | (24,032 | ) | |||||||||||
Net Expenses | 4,670,877 | 1,527,988 | 12,834 | 1,916,234 | |||||||||||||||
Net investment income | 2,765,725 | 2,142,174 | 10,380 | 1,791,089 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (54,947,124 | ) | — | (193,438 | ) | (11,996,014 | ) | ||||||||||||
In-kind redemptions | 18,098,651 | — | 49,717 | 17,616,805 | |||||||||||||||
Swap contracts | (132,332,748 | ) | 8,557,521 | (263,269 | ) | 21,027,722 | |||||||||||||
Net realized gain (loss) | (169,181,221 | ) | 8,557,521 | (406,990 | ) | 26,648,513 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 43,196,519 | — | 222,654 | 18,670,680 | |||||||||||||||
Swap contracts | 214,205,172 | (69,941,496 | ) | 927,842 | 75,638,230 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 257,401,691 | (69,941,496 | ) | 1,150,496 | 94,308,910 | ||||||||||||||
Net realized and unrealized gain (loss) | 88,220,470 | (61,383,975 | ) | 743,506 | 120,957,423 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 90,986,195 | $ | (59,241,801 | ) | $ | 753,886 | $ | 122,748,512 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
120
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | Direxion Daily Latin America Bull 3X Shares | Direxion Daily MSCI Brazil Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 135,236 | $ | 78,863 | $ | 2,090,454 | |||||||||||
Interest income | 965,797 | 277,134 | 87,188 | 2,434,254 | |||||||||||||||
Securities lending income | — | 16 | — | 193,862 | |||||||||||||||
Total investment income | 965,797 | 412,386 | 166,051 | 4,718,570 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 296,140 | 144,619 | 51,682 | 1,471,332 | |||||||||||||||
Licensing fees | 33,092 | 6,298 | 6,891 | — | |||||||||||||||
Fund servicing fees | 20,976 | 10,494 | 4,058 | 102,039 | |||||||||||||||
Interest expense | 20,329 | 30,369 | 21,661 | 1,030,711 | |||||||||||||||
Professional fees | 10,578 | 7,703 | 5,932 | 32,723 | |||||||||||||||
Management service fees (Note 6) | 10,119 | 4,942 | 1,765 | 50,258 | |||||||||||||||
Reports to shareholders | 6,749 | 3,295 | 1,168 | 33,344 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 1,583 | 772 | 275 | 7,855 | |||||||||||||||
Insurance fees | 1,004 | 490 | 174 | 4,961 | |||||||||||||||
Other | 2,131 | 968 | 371 | 120,157 | |||||||||||||||
Total Expenses | 408,157 | 215,406 | 99,433 | 2,858,836 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 120 | — | 39,601 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (12,718 | ) | (1,972 | ) | (12,308 | ) | (4,039 | ) | |||||||||||
Net Expenses | 395,439 | 213,554 | 87,125 | 2,894,398 | |||||||||||||||
Net investment income | 570,358 | 198,832 | 78,926 | 1,824,172 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (2,568,309 | ) | (459,700 | ) | (14,204,544 | ) | ||||||||||||
In-kind redemptions | — | (612,387 | ) | 155,220 | 41,817,892 | ||||||||||||||
Swap contracts | (19,199,762 | ) | (304,230 | ) | 1,993,123 | 164,994,931 | |||||||||||||
Net realized gain (loss) | (19,199,762 | ) | (3,484,926 | ) | 1,688,643 | 192,608,279 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 3,162,216 | 418,413 | (15,954,666 | ) | ||||||||||||||
Swap contracts | (14,445,024 | ) | 6,338,751 | (2,094,674 | ) | (142,968,252 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (14,445,024 | ) | 9,500,967 | (1,676,261 | ) | (158,922,918 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (33,644,786 | ) | 6,016,041 | 12,382 | 33,685,361 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (33,074,428 | ) | $ | 6,214,873 | $ | 91,308 | $ | 35,509,533 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
121
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Developed Markets Bear 3X Shares | Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 88,650 | $ | — | $ | 1,523,361 | $ | — | |||||||||||
Interest income | 120,715 | 63,483 | 1,515,046 | 902,970 | |||||||||||||||
Total investment income | 209,365 | 63,483 | 3,038,407 | 902,970 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 61,231 | 19,630 | 897,861 | 275,123 | |||||||||||||||
Licensing fees | 24,795 | 24,795 | — | — | |||||||||||||||
Interest expense | 10,241 | 159 | 100,022 | 14,309 | |||||||||||||||
Professional fees | 6,112 | 5,330 | 21,932 | 10,201 | |||||||||||||||
Fund servicing fees | 4,724 | 1,854 | 62,518 | 19,551 | |||||||||||||||
Pricing fees | 2,976 | 2,975 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Management service fees (Note 6) | 2,092 | 671 | 30,673 | 9,403 | |||||||||||||||
Reports to shareholders | 1,396 | 449 | 20,384 | 6,295 | |||||||||||||||
Trustees' fees and expenses | 327 | 105 | 4,799 | 1,472 | |||||||||||||||
Insurance fees | 208 | 67 | 3,033 | 937 | |||||||||||||||
Other | 356 | 114 | 111,521 | 39,633 | |||||||||||||||
Total Expenses | 116,938 | 58,629 | 1,258,199 | 382,380 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (29,137 | ) | (33,606 | ) | (20,886 | ) | (19,581 | ) | |||||||||||
Net Expenses | 87,801 | 25,023 | 1,237,313 | 362,799 | |||||||||||||||
Net investment income | 121,564 | 38,460 | 1,801,094 | 540,171 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (1,085,072 | ) | — | (11,183,063 | ) | — | |||||||||||||
In-kind redemptions | (617,602 | ) | — | 6,126,305 | — | ||||||||||||||
Swap contracts | (3,828,384 | ) | (858,978 | ) | 8,213,798 | (25,127,489 | ) | ||||||||||||
Net realized gain (loss) | (5,531,058 | ) | (858,978 | ) | 3,157,040 | (25,127,489 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 1,633,708 | — | 17,836,141 | — | |||||||||||||||
Swap contracts | 5,846,118 | (538,663 | ) | 53,177,612 | (7,013,092 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 7,479,826 | (538,663 | ) | 71,013,753 | (7,013,092 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1,948,768 | (1,397,641 | ) | 74,170,793 | (32,140,581 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 2,070,332 | $ | (1,359,181 | ) | $ | 75,971,887 | $ | (31,600,410 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
122
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily MSCI India Bull 3X Shares | Direxion Daily MSCI Japan Bull 3X Shares | Direxion Daily MSCI Mexico Bull 3X Shares | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 303,564 | $ | 43,379 | $ | 55,986 | $ | 148,012 | |||||||||||
Interest income | 553,425 | 69,754 | 88,580 | 193,884 | |||||||||||||||
Securities lending income | 130 | 362 | 6,811 | — | |||||||||||||||
Total investment income | 857,119 | 113,495 | 151,377 | 341,896 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 340,324 | 42,675 | 38,875 | 116,417 | |||||||||||||||
Interest expense | 43,997 | 103 | 9,037 | 17,381 | |||||||||||||||
Fund servicing fees | 24,026 | 3,470 | 3,201 | 8,511 | |||||||||||||||
Management service fees (Note 6) | 11,629 | 1,458 | 1,329 | 3,975 | |||||||||||||||
Professional fees | 11,416 | 5,770 | 5,706 | 7,144 | |||||||||||||||
Reports to shareholders | 7,755 | 974 | 896 | 2,624 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 1,818 | 225 | 210 | 620 | |||||||||||||||
Insurance fees | 1,154 | 143 | 133 | 390 | |||||||||||||||
Licensing fees | — | 12,397 | — | — | |||||||||||||||
Other | 21,509 | 383 | 2,388 | 13,667 | |||||||||||||||
Total Expenses | 469,084 | 73,054 | 67,231 | 176,185 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 7,322 | — | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (1,332 | ) | (18,896 | ) | (8,952 | ) | (11,343 | ) | |||||||||||
Net Expenses | 475,074 | 54,158 | 58,279 | 164,842 | |||||||||||||||
Net investment income | 382,045 | 59,337 | 93,098 | 177,054 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (1,909,944 | ) | (1,038,467 | ) | (907,280 | ) | (2,476,999 | ) | |||||||||||
In-kind redemptions | 4,287,211 | (171,904 | ) | 328,686 | 1,514,588 | ||||||||||||||
Swap contracts | 22,792,052 | (408,288 | ) | (1,135,442 | ) | 3,988,825 | |||||||||||||
Net realized gain (loss) | 25,169,319 | (1,618,659 | ) | (1,714,036 | ) | 3,026,414 | |||||||||||||
Change in net unrealized appreciation on: | |||||||||||||||||||
Investment securities | 6,497,239 | 1,092,729 | 635,668 | 1,810,339 | |||||||||||||||
Swap contracts | 11,502,828 | 123,325 | 2,467,443 | 178,958 | |||||||||||||||
Change in net unrealized appreciation | 18,000,067 | 1,216,054 | 3,103,111 | 1,989,297 | |||||||||||||||
Net realized and unrealized gain (loss) | 43,169,386 | (402,605 | ) | 1,389,075 | 5,015,711 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 43,551,431 | $ | (343,268 | ) | $ | 1,482,173 | $ | 5,192,765 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
123
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Russia Bull 3X Shares | Direxion Daily Russia Bear 3X Shares | Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Communication Services Index Bull 3X Shares1 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 2,814,081 | $ | — | $ | 300,722 | $ | 6,137 | |||||||||||
Interest income | 1,034,001 | 264,369 | 190,404 | 5,034 | |||||||||||||||
Securities lending income | — | — | 190 | — | |||||||||||||||
Total investment income | 3,848,082 | 264,369 | 491,316 | 11,171 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 516,980 | 81,705 | 210,358 | 6,449 | |||||||||||||||
Interest expense | 135,540 | 3,102 | 57,426 | 614 | |||||||||||||||
Fund servicing fees | 36,242 | 6,149 | 14,978 | 751 | |||||||||||||||
Management service fees (Note 6) | 17,664 | 2,792 | 7,185 | 220 | |||||||||||||||
Licensing fees | 14,876 | 4,959 | 22,437 | 4,419 | |||||||||||||||
Professional fees | 14,761 | 6,510 | 8,922 | 3,050 | |||||||||||||||
Reports to shareholders | 11,772 | 1,863 | 4,759 | 141 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 1,755 | |||||||||||||||
Trustees' fees and expenses | 2,765 | 437 | 1,119 | 34 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 1,554 | |||||||||||||||
Insurance fees | 1,752 | 277 | 708 | 21 | |||||||||||||||
Offering fees | — | — | — | 1,554 | |||||||||||||||
Other | 3,125 | 475 | 1,373 | 36 | |||||||||||||||
Total Expenses | 760,933 | 113,725 | 334,721 | 20,598 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (7,130 | ) | (10,841 | ) | (11,816 | ) | ||||||||||||
Net Expenses | 760,933 | 106,595 | 323,880 | 8,782 | |||||||||||||||
Net investment income | 3,087,149 | 157,774 | 167,436 | 2,389 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | — | (2,443,707 | ) | 5,756 | ||||||||||||||
In-kind redemptions | 16,255 | — | 1,639,309 | — | |||||||||||||||
Swap contracts | 16,614,007 | (6,017,065 | ) | (4,037,972 | ) | 262,435 | |||||||||||||
Net realized gain (loss) | 16,630,262 | (6,017,065 | ) | (4,842,370 | ) | 268,191 | |||||||||||||
Change in net unrealized appreciation on: | |||||||||||||||||||
Investment securities | 1,669,899 | — | 3,731,125 | 216,813 | |||||||||||||||
Swap contracts | 4,921,835 | 203,843 | 12,515,508 | 431,160 | |||||||||||||||
Change in net unrealized appreciation | 6,591,734 | 203,843 | 16,246,633 | 647,973 | |||||||||||||||
Net realized and unrealized gain (loss) | 23,221,996 | (5,813,222 | ) | 11,404,263 | 916,164 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 26,309,145 | $ | (5,655,448 | ) | $ | 11,571,699 | $ | 918,553 |
1 Represents the period from January 14, 2019 (commencement of operations) to April 30, 2019.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
124
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Communication Services Index Bear 3X Shares1 | Direxion Daily Consumer Discretionary Bull 3X Shares2 | Direxion Daily Consumer Discretionary Bear 3X Shares2 | Direxion Daily Consumer Staples Bull 3X Shares2 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 10,771 | $ | — | $ | 21,708 | |||||||||||
Interest income | 15,715 | 7,364 | 18,615 | 7,310 | |||||||||||||||
Total investment income | 15,715 | 18,135 | 18,615 | 29,018 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 4,564 | 7,870 | 5,704 | 7,101 | |||||||||||||||
Licensing fees | 4,419 | 6,453 | 6,453 | 6,453 | |||||||||||||||
Professional fees | 3,016 | 4,340 | 4,304 | 4,327 | |||||||||||||||
Pricing fees | 1,755 | 2,509 | 2,509 | 2,509 | |||||||||||||||
Offering fees | 1,554 | 2,236 | 2,236 | 2,236 | |||||||||||||||
Exchange listing fees | 1,554 | 2,236 | 2,236 | 2,236 | |||||||||||||||
Fund servicing fees | 623 | 990 | 849 | 939 | |||||||||||||||
Management service fees (Note 6) | 156 | 269 | 195 | 243 | |||||||||||||||
Reports to shareholders | 101 | 178 | 134 | 161 | |||||||||||||||
Trustees' fees and expenses | 24 | 42 | 32 | 38 | |||||||||||||||
Insurance fees | 15 | 27 | 20 | 24 | |||||||||||||||
Other | 26 | 45 | 34 | 41 | |||||||||||||||
Total Expenses | 17,807 | 27,195 | 24,706 | 26,308 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (12,026 | ) | (17,227 | ) | (17,481 | ) | (17,314 | ) | |||||||||||
Net Expenses | 5,781 | 9,968 | 7,225 | 8,994 | |||||||||||||||
Net investment income | 9,934 | 8,167 | 11,390 | 20,024 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (57,521 | ) | — | (35,957 | ) | |||||||||||||
Swap contracts | (842,902 | ) | 42,207 | (507,656 | ) | (117,077 | ) | ||||||||||||
Net realized loss | (842,902 | ) | (15,314 | ) | (507,656 | ) | (153,034 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 213,160 | — | 69,312 | |||||||||||||||
Swap contracts | (3,102 | ) | 577,695 | (14,299 | ) | 307,170 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (3,102 | ) | 790,855 | (14,299 | ) | 376,482 | |||||||||||||
Net realized and unrealized gain (loss) | (846,004 | ) | 775,541 | (521,955 | ) | 223,448 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (836,070 | ) | $ | 783,708 | $ | (510,565 | ) | $ | 243,472 |
1 Represents the period from January 14, 2019 (commencement of operations) to April 30, 2019.
2 Represents the period from November 29, 2018 (commencement of operations) to April 30, 2019.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
125
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Consumer Staples Bear 3X Shares1 | Direxion Daily Energy Bull 3X Shares | Direxion Daily Energy Bear 3X Shares | Direxion Daily Financial Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 4,278,594 | $ | — | $ | 12,674,365 | |||||||||||
(net of foreign withholding tax of $—,$—,$1,585 and $—, respectively) | |||||||||||||||||||
Interest income | 19,035 | 1,425,531 | 350,748 | 5,141,745 | |||||||||||||||
Securities lending income | — | 2,261 | — | 165 | |||||||||||||||
Total investment income | 19,035 | 5,706,386 | 350,748 | 17,816,275 | |||||||||||||||
Expenses: | |||||||||||||||||||
Licensing fees | 6,453 | 147,439 | 11,389 | 589,465 | |||||||||||||||
Investment advisory fees (Note 6) | 5,879 | 1,382,243 | 106,769 | 5,526,236 | |||||||||||||||
Professional fees | 4,307 | 31,062 | 6,993 | 109,430 | |||||||||||||||
Pricing fees | 2,509 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Offering fees | 2,236 | — | — | — | |||||||||||||||
Exchange listing fees | 2,236 | 2,480 | 2,480 | 3,720 | |||||||||||||||
Fund servicing fees | 861 | 95,919 | 7,884 | 381,941 | |||||||||||||||
Management service fees (Note 6) | 201 | 47,217 | 3,649 | 188,789 | |||||||||||||||
Reports to shareholders | 138 | 31,350 | 2,442 | 125,472 | |||||||||||||||
Trustees' fees and expenses | 33 | 7,380 | 569 | 29,450 | |||||||||||||||
Insurance fees | 21 | 4,664 | 363 | 18,669 | |||||||||||||||
Interest expense | — | 175,481 | 42,721 | 1,470,945 | |||||||||||||||
Other | 35 | 7,992 | 622 | 47,231 | |||||||||||||||
Total Expenses | 24,909 | 1,936,203 | 188,857 | 8,494,324 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 2 | — | 10,590 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (17,462 | ) | (9,882 | ) | (10,895 | ) | (23,663 | ) | |||||||||||
Less: Investment advisory fees waived (Note 6) | — | — | — | (10,406 | ) | ||||||||||||||
Net Expenses | 7,447 | 1,926,323 | 177,962 | 8,470,845 | |||||||||||||||
Net investment income | 11,588 | 3,780,063 | 172,786 | 9,345,430 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (34,621,285 | ) | — | (52,335,411 | ) | |||||||||||||
In-kind redemptions | — | 9,955,519 | — | 51,367,747 | |||||||||||||||
Swap contracts | 305,558 | (83,981,058 | ) | 19,305,919 | (193,283,609 | ) | |||||||||||||
Net realized gain (loss) | 305,558 | (108,646,824 | ) | 19,305,919 | (194,251,273 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 15,843,450 | — | 81,238,038 | |||||||||||||||
Swap contracts | (269,129 | ) | 80,846,161 | (18,013,091 | ) | 473,593,651 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (269,129 | ) | 96,689,611 | (18,013,091 | ) | 554,831,689 | |||||||||||||
Net realized and unrealized gain (loss) | 36,429 | (11,957,213 | ) | 1,292,828 | 360,580,416 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 48,017 | $ | (8,177,150 | ) | $ | 1,465,614 | $ | 369,925,846 |
1 Represents the period from November 29, 2018 (commencement of operations) to April 30, 2019.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
126
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Financial Bear 3X Shares | Direxion Daily Gold Miners Index Bull 3X Shares | Direxion Daily Gold Miners Index Bear 3X Shares | Direxion Daily Healthcare Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 1,587,901 | $ | — | $ | 850,420 | |||||||||||
Interest income | 2,039,963 | 9,876,880 | 1,752,775 | 587,136 | |||||||||||||||
Securities lending income | — | — | — | 1,543 | |||||||||||||||
Total investment income | 2,039,963 | 11,464,781 | 1,752,775 | 1,439,099 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 610,101 | 4,473,541 | 524,625 | 587,988 | |||||||||||||||
Licensing fees | 65,077 | 246,944 | 27,980 | 62,718 | |||||||||||||||
Fund servicing fees | 42,998 | 310,171 | 36,653 | 40,958 | |||||||||||||||
Interest expense | 37,464 | 1,094,308 | 118,906 | 94,424 | |||||||||||||||
Management service fees (Note 6) | 20,847 | 152,872 | 17,917 | 20,089 | |||||||||||||||
Professional fees | 16,531 | 89,926 | 14,832 | 16,087 | |||||||||||||||
Reports to shareholders | 13,897 | 102,047 | 11,858 | 13,365 | |||||||||||||||
Trustees' fees and expenses | 3,252 | 23,976 | 2,794 | 3,099 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 3,925 | 2,480 | 2,480 | |||||||||||||||
Insurance fees | 2,068 | 15,184 | 1,764 | 1,989 | |||||||||||||||
Other | 3,543 | 33,809 | 3,023 | 4,131 | |||||||||||||||
Total Expenses | 821,234 | 6,549,679 | 765,808 | 850,304 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 6,623 | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (10,975 | ) | (6,623 | ) | — | (11,095 | ) | ||||||||||||
Net Expenses | 810,259 | 6,549,679 | 765,808 | 839,209 | |||||||||||||||
Net investment income | 1,229,704 | 4,915,102 | 986,967 | 599,890 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (37,587,719 | ) | — | (1,854,076 | ) | |||||||||||||
In-kind redemptions | — | 36,789,693 | — | 1,707,189 | |||||||||||||||
Swap contracts | (23,634,618 | ) | 194,542,737 | 7,387,808 | (3,421,802 | ) | |||||||||||||
Net realized gain (loss) | (23,634,618 | ) | 193,744,711 | 7,387,808 | (3,568,689 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 39,754,722 | — | 379,891 | |||||||||||||||
Swap contracts | (37,689,055 | ) | 50,850,476 | (28,910,352 | ) | (3,757,317 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (37,689,055 | ) | 90,605,198 | (28,910,352 | ) | (3,377,426 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (61,323,673 | ) | 284,349,909 | (21,522,544 | ) | (6,946,115 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (60,093,969 | ) | $ | 289,265,011 | $ | (20,535,577 | ) | $ | (6,346,225 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
127
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Direxion Daily Industrials Bull 3X Shares | Direxion Daily Junior Gold Miners Index Bull 3X Shares | Direxion Daily Junior Gold Miners Index Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 112,218 | $ | 36,760 | $ | 455,530 | $ | — | |||||||||||
Interest income | 170,908 | 22,299 | 7,115,343 | 867,504 | |||||||||||||||
Securities lending income | 6 | — | — | — | |||||||||||||||
Total investment income | 283,132 | 59,059 | 7,570,873 | 867,504 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 130,150 | 18,957 | 2,596,871 | 259,909 | |||||||||||||||
Licensing fees | 13,883 | 9,917 | 69,424 | 9,917 | |||||||||||||||
Fund servicing fees | 9,480 | 1,794 | 180,179 | 18,451 | |||||||||||||||
Professional fees | 7,422 | 5,315 | 54,220 | 9,874 | |||||||||||||||
Interest expense | 6,994 | 432 | 517,445 | 51,261 | |||||||||||||||
Management service fees (Note 6) | 4,446 | 647 | 88,734 | 8,879 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Reports to shareholders | 2,957 | 426 | 59,163 | 5,903 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 3,925 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 694 | 99 | 13,917 | 1,388 | |||||||||||||||
Insurance fees | 440 | 63 | 8,803 | 878 | |||||||||||||||
Other | 2,006 | 153 | 20,653 | 1,505 | |||||||||||||||
Total Expenses | 183,928 | 43,259 | 3,616,310 | 373,421 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | 4,657 | 7,307 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (12,076 | ) | (18,815 | ) | (4,657 | ) | (249 | ) | |||||||||||
Net Expenses | 171,852 | 24,444 | 3,616,310 | 380,479 | |||||||||||||||
Net investment income | 111,280 | 34,615 | 3,954,563 | 487,025 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (1,853,265 | ) | 32,529 | (18,851,949 | ) | — | |||||||||||||
In-kind redemptions | 282,728 | — | 12,550,554 | — | |||||||||||||||
Swap contracts | (3,176,816 | ) | (327,184 | ) | (67,317,781 | ) | 921,555 | ||||||||||||
Net realized gain (loss) | (4,747,353 | ) | (294,655 | ) | (73,619,176 | ) | 921,555 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 5,279,781 | 238,343 | 13,572,737 | — | |||||||||||||||
Swap contracts | 17,476,249 | 1,296,966 | 144,038,376 | (6,734,099 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 22,756,030 | 1,535,309 | 157,611,113 | (6,734,099 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 18,008,677 | 1,240,654 | 83,991,937 | (5,812,544 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 18,119,957 | $ | 1,275,269 | $ | 87,946,500 | $ | (5,325,519 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
128
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | Direxion Daily Natural Gas Related Bull 3X Shares | Direxion Daily Natural Gas Related Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 566,235 | $ | — | $ | 69,180 | $ | — | |||||||||||
(net of foreign withholding tax of $3,668,$—,$— and $—, respectively) | |||||||||||||||||||
Interest income | 192,213 | 242,358 | 216,329 | 46,878 | |||||||||||||||
Securities lending income | 163 | — | 2,454 | — | |||||||||||||||
Total investment income | 758,611 | 242,358 | 287,963 | 46,878 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 157,441 | 73,376 | 118,493 | 15,703 | |||||||||||||||
Interest expense | 47,983 | 2,954 | 62,007 | 5,653 | |||||||||||||||
Fund servicing fees | 11,356 | 5,576 | 8,674 | 1,590 | |||||||||||||||
Professional fees | 7,930 | 6,353 | 7,196 | 5,210 | |||||||||||||||
Management service fees (Note 6) | 5,378 | 2,507 | 4,048 | 537 | |||||||||||||||
Reports to shareholders | 3,567 | 1,674 | 2,687 | 362 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,975 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 839 | 393 | 632 | 85 | |||||||||||||||
Insurance fees | 531 | 249 | 400 | 54 | |||||||||||||||
Licensing fees | — | 24,795 | 11,059 | 1,466 | |||||||||||||||
Other | 25,902 | 527 | 685 | 92 | |||||||||||||||
Total Expenses | 266,383 | 123,860 | 221,336 | 36,208 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (18,972 | ) | (27,964 | ) | (9,238 | ) | (10,664 | ) | |||||||||||
Net Expenses | 247,411 | 95,896 | 212,098 | 25,544 | |||||||||||||||
Net investment income | 511,200 | 146,462 | 75,865 | 21,334 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (445,906 | ) | — | (5,064,421 | ) | — | |||||||||||||
In-kind redemptions | 184,090 | — | 1,902,815 | — | |||||||||||||||
Swap contracts | 11,741,456 | (6,525,177 | ) | (24,528,353 | ) | 1,549,409 | |||||||||||||
Net realized gain (loss) | 11,479,640 | (6,525,177 | ) | (27,689,959 | ) | 1,549,409 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 1,840,829 | — | 978,986 | — | |||||||||||||||
Swap contracts | (2,879,967 | ) | 423,561 | 11,656,785 | (1,126,530 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (1,039,138 | ) | 423,561 | 12,635,771 | (1,126,530 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 10,440,502 | (6,101,616 | ) | (15,054,188 | ) | 422,879 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 10,951,702 | $ | (5,955,154 | ) | $ | (14,978,323 | ) | $ | 444,213 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
129
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Regional Banks Bear 3X Shares | Direxion Daily Retail Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 26,361 | $ | 251,942 | $ | — | $ | 134,870 | |||||||||||
(net of foreign withholding tax of $—,$1,820,$— and $481, respectively) | |||||||||||||||||||
Interest income | 17,060 | 135,415 | 28,216 | 90,817 | |||||||||||||||
Securities lending income | — | — | — | 14,540 | |||||||||||||||
Total investment income | 43,421 | 387,357 | 28,216 | 240,227 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 14,532 | 111,518 | 8,863 | 82,241 | |||||||||||||||
Licensing fees | 9,894 | 9,075 | 793 | 9,917 | |||||||||||||||
Professional fees | 5,234 | 7,068 | 5,129 | 6,518 | |||||||||||||||
Pricing fees | 2,968 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Fund servicing fees | 1,500 | 8,167 | 1,111 | 6,175 | |||||||||||||||
Management service fees (Note 6) | 496 | 3,810 | 303 | 2,810 | |||||||||||||||
Reports to shareholders | 330 | 2,532 | 205 | 1,872 | |||||||||||||||
Interest expense | 257 | 3,307 | 2,570 | 6,967 | |||||||||||||||
Trustees' fees and expenses | 78 | 587 | 47 | 438 | |||||||||||||||
Insurance fees | 49 | 377 | 30 | 278 | |||||||||||||||
Other | 203 | 950 | 52 | 477 | |||||||||||||||
Total Expenses | 38,021 | 152,847 | 24,559 | 123,149 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (19,337 | ) | (8,283 | ) | (10,762 | ) | (12,010 | ) | |||||||||||
Net Expenses | 18,684 | 144,564 | 13,797 | 111,139 | |||||||||||||||
Net investment income | 24,737 | 242,793 | 14,419 | 129,088 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (250,527 | ) | (3,361,919 | ) | — | (2,234,032 | ) | ||||||||||||
In-kind redemptions | — | 46,392 | — | 1,290,257 | |||||||||||||||
Swap contracts | (617,339 | ) | 745,585 | 1,352,215 | (4,968,819 | ) | |||||||||||||
Net realized gain (loss) | (867,866 | ) | (2,569,942 | ) | 1,352,215 | (5,912,594 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 58,446 | 2,408,964 | — | (540,937 | ) | ||||||||||||||
Swap contracts | 116,529 | 2,099,319 | (1,370,223 | ) | 1,203,903 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 174,975 | 4,508,283 | (1,370,223 | ) | 662,966 | ||||||||||||||
Net realized and unrealized gain (loss) | (692,891 | ) | 1,938,341 | (18,008 | ) | (5,249,628 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (668,154 | ) | $ | 2,181,134 | $ | (3,589 | ) | $ | (5,120,540 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
130
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 27,999 | $ | 96,146 | $ | — | $ | 388,277 | |||||||||||
Interest income | 65,364 | 5,640,318 | 1,262,273 | 1,749,690 | |||||||||||||||
Securities lending income | 93 | 36,631 | — | 22,506 | |||||||||||||||
Total investment income | 93,456 | 5,773,095 | 1,262,273 | 2,160,473 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 41,582 | 2,284,986 | 375,008 | 824,531 | |||||||||||||||
Licensing fees | 6,090 | 243,732 | 40,001 | 87,950 | |||||||||||||||
Professional fees | 5,653 | 48,119 | 11,973 | 20,476 | |||||||||||||||
Interest expense | 3,968 | 142,683 | 1,702 | 232,461 | |||||||||||||||
Fund servicing fees | 3,339 | 158,162 | 26,081 | 57,452 | |||||||||||||||
Pricing fees | 2,968 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Management service fees (Note 6) | 1,418 | 78,056 | 12,802 | 28,160 | |||||||||||||||
Reports to shareholders | 922 | 51,835 | 8,423 | 18,636 | |||||||||||||||
Trustees' fees and expenses | 220 | 12,178 | 1,974 | 4,353 | |||||||||||||||
Insurance fees | 137 | 7,713 | 1,253 | 2,773 | |||||||||||||||
Other | 379 | 20,470 | 2,147 | 4,751 | |||||||||||||||
Total Expenses | 69,156 | 3,053,390 | 486,820 | 1,286,999 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 807 | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (12,517 | ) | (17,198 | ) | (10,108 | ) | (10,131 | ) | |||||||||||
Net Expenses | 56,639 | 3,036,999 | 476,712 | 1,276,868 | |||||||||||||||
Net investment income | 36,817 | 2,736,096 | 785,561 | 883,605 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (805,492 | ) | (9,635,981 | ) | — | (26,916,127 | ) | ||||||||||||
In-kind redemptions | 764,671 | 33,678,928 | — | 16,154,741 | |||||||||||||||
Swap contracts | (1,023,579 | ) | (10,281,156 | ) | (45,976,737 | ) | (80,608,836 | ) | |||||||||||
Net realized gain (loss) | (1,064,400 | ) | 13,761,791 | (45,976,737 | ) | (91,370,222 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 712,411 | (22,414,230 | ) | — | 2,141,711 | ||||||||||||||
Swap contracts | 5,579,619 | 52,755,136 | 8,696,334 | 30,714,376 | |||||||||||||||
Change in net unrealized appreciation | 6,292,030 | 30,340,906 | 8,696,334 | 32,856,087 | |||||||||||||||
Net realized and unrealized gain (loss) | 5,227,630 | 44,102,697 | (37,280,403 | ) | (58,514,135 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,264,447 | $ | 46,838,793 | $ | (36,494,842 | ) | $ | (57,630,530 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
131
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | Direxion Daily Technology Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 3,712,627 | $ | — | $ | 2,852,383 | |||||||||||
(net of foreign withholding tax of $31,327,$—,$— and $—, respectively) | |||||||||||||||||||
Interest income | 513,257 | 2,293,177 | 1,433,649 | 2,303,499 | |||||||||||||||
Securities lending income | — | 577 | — | 9,997 | |||||||||||||||
Total investment income | 513,257 | 6,006,381 | 1,433,649 | 5,165,879 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 161,563 | 2,124,352 | 423,646 | 2,274,164 | |||||||||||||||
Interest expense | 29,564 | 342,517 | 8,602 | 749,778 | |||||||||||||||
Licensing fees | 17,233 | 169,948 | 33,892 | 242,577 | |||||||||||||||
Fund servicing fees | 11,674 | 146,316 | 29,503 | 157,141 | |||||||||||||||
Professional fees | 8,023 | 45,060 | 12,876 | 47,757 | |||||||||||||||
Management service fees (Note 6) | 5,521 | 72,566 | 14,462 | 77,668 | |||||||||||||||
Reports to shareholders | 3,680 | 48,162 | 9,508 | 51,401 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,975 | 2,975 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 865 | 11,137 | 2,222 | 12,086 | |||||||||||||||
Insurance fees | 548 | 7,166 | 1,415 | 7,648 | |||||||||||||||
Other | 1,669 | 20,844 | 2,509 | 18,666 | |||||||||||||||
Total Expenses | 245,796 | 2,993,524 | 544,090 | 3,644,341 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 8,304 | 3,366 | 1,105 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (11,585 | ) | (8,304 | ) | (2,235 | ) | (15,060 | ) | |||||||||||
Net Expenses | 234,211 | 2,993,524 | 545,221 | 3,630,386 | |||||||||||||||
Net investment income | 279,046 | 3,012,857 | 888,428 | 1,535,493 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (40,304,047 | ) | — | (23,387,711 | ) | |||||||||||||
In-kind redemptions | — | 68,917,096 | — | 15,971,157 | |||||||||||||||
Swap contracts | 23,812,039 | (68,591,376 | ) | (83,055,773 | ) | (65,176,333 | ) | ||||||||||||
Net realized gain (loss) | 23,812,039 | (39,978,327 | ) | (83,055,773 | ) | (72,592,887 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 64,486,536 | — | 51,709,353 | |||||||||||||||
Swap contracts | (13,026,078 | ) | 372,645,616 | (42,285,957 | ) | 217,480,245 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (13,026,078 | ) | 437,132,152 | (42,285,957 | ) | 269,189,598 | |||||||||||||
Net realized and unrealized gain (loss) | 10,785,961 | 397,153,825 | (125,341,730 | ) | 196,596,711 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 11,065,007 | $ | 400,166,682 | $ | (124,453,302 | ) | $ | 198,132,204 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
132
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily Technology Bear 3X Shares | Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 35,055 | $ | 55,338 | $ | 52,399 | |||||||||||
Interest income | 478,665 | 46,265 | 19,587 | 72,634 | |||||||||||||||
Total investment income | 478,665 | 81,320 | 74,925 | 125,033 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 137,371 | 32,403 | 16,718 | 39,188 | |||||||||||||||
Licensing fees | 14,653 | 9,917 | 9,917 | 10,798 | |||||||||||||||
Fund servicing fees | 10,009 | 2,742 | 1,648 | 3,197 | |||||||||||||||
Professional fees | 7,569 | 5,577 | 5,273 | 5,695 | |||||||||||||||
Interest expense | 6,676 | 614 | — | 1,917 | |||||||||||||||
Management service fees (Note 6) | 4,694 | 1,107 | 571 | 1,338 | |||||||||||||||
Reports to shareholders | 3,134 | 741 | 377 | 882 | |||||||||||||||
Pricing fees | 2,975 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Trustees' fees and expenses | 737 | 173 | 89 | 209 | |||||||||||||||
Insurance fees | 466 | 110 | 56 | 131 | |||||||||||||||
Other | 1,068 | 189 | 128 | 225 | |||||||||||||||
Total Expenses | 191,832 | 59,029 | 40,233 | 69,036 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (11,153 | ) | (17,372 | ) | (19,057 | ) | (17,481 | ) | |||||||||||
Net Expenses | 180,679 | 41,657 | 21,176 | 51,555 | |||||||||||||||
Net investment income | 297,986 | 39,663 | 53,749 | 73,478 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (833,111 | ) | (37,301 | ) | — | |||||||||||||
In-kind redemptions | — | 433,783 | 42,265 | — | |||||||||||||||
Swap contracts | (8,569,381 | ) | (3,361 | ) | 930,119 | 145,632 | |||||||||||||
Net realized gain (loss) | (8,569,381 | ) | (402,689 | ) | 935,083 | 145,632 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 797,183 | 197,032 | 222,679 | |||||||||||||||
Swap contracts | (15,896,460 | ) | 1,783,467 | (51,224 | ) | 861,521 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (15,896,460 | ) | 2,580,650 | 145,808 | 1,084,200 | ||||||||||||||
Net realized and unrealized gain (loss) | (24,465,841 | ) | 2,177,961 | 1,080,891 | 1,229,832 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (24,167,855 | ) | $ | 2,217,624 | $ | 1,134,640 | $ | 1,303,310 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
133
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2019
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||
Investment Income: | |||||||||||||||
Dividend income | $ | — | $ | 1,013,204 | $ | — | |||||||||
Interest income | 201,463 | 362,278 | 3,031,712 | ||||||||||||
Securities lending income | — | 3,351 | — | ||||||||||||
Total investment income | 201,463 | 1,378,833 | 3,031,712 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 65,425 | 392,338 | 977,322 | ||||||||||||
Licensing fees | 10,798 | 17,097 | 42,566 | ||||||||||||
Professional fees | 6,204 | 12,414 | 23,586 | ||||||||||||
Fund servicing fees | 4,996 | 27,662 | 68,173 | ||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | ||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | ||||||||||||
Interest expense | 2,279 | 16,911 | 388,658 | ||||||||||||
Management service fees (Note 6) | 2,236 | 13,408 | 33,405 | ||||||||||||
Reports to shareholders | 1,495 | 8,953 | 22,371 | ||||||||||||
Trustees' fees and expenses | 350 | 2,104 | 5,223 | ||||||||||||
Insurance fees | 223 | 1,332 | 3,329 | ||||||||||||
Other | 381 | 2,961 | 5,703 | ||||||||||||
Total Expenses | 99,843 | 500,636 | 1,575,792 | ||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 610 | — | ||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (14,693 | ) | (610 | ) | — | ||||||||||
Net Expenses | 85,150 | 500,636 | 1,575,792 | ||||||||||||
Net investment income | 116,313 | 878,197 | 1,455,920 | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investment securities | — | (1,196,037 | ) | — | |||||||||||
In-kind redemptions | — | 511,959 | — | ||||||||||||
Swap contracts | (418,662 | ) | 6,094,202 | 152,756 | |||||||||||
Net realized gain (loss) | (418,662 | ) | 5,410,124 | 152,756 | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||
Investment securities | — | 6,317,253 | — | ||||||||||||
Swap contracts | (2,781,920 | ) | 12,537,584 | (83,951,423 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (2,781,920 | ) | 18,854,837 | (83,951,423 | ) | ||||||||||
Net realized and unrealized gain (loss) | (3,200,582 | ) | 24,264,961 | (83,798,667 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (3,084,269 | ) | $ | 25,143,158 | $ | (82,342,747 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
134
Statements of Changes in Net Assets
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily Mid Cap Bear 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 169,770 | $ | 317,294 | $ | 26,321 | $ | 25,728 | |||||||||||
Net realized gain (loss) | (3,570,924 | ) | 14,622,173 | 349,749 | (2,367,731 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 7 | — | 3 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 15,635,943 | (20,122,754 | ) | (1,323,814 | ) | 1,889,936 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 12,234,789 | (5,183,280 | ) | (947,744 | ) | (452,064 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (267,981 | ) | (1,843,382 | ) | (23,860 | ) | (5,189 | ) | |||||||||||
Total distributions | (267,981 | ) | (1,843,382 | ) | (23,860 | ) | (5,189 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 24,430,236 | 168,922,494 | 1,735,102 | 6,297,137 | |||||||||||||||
Cost of shares redeemed | (39,434,092 | ) | (166,507,441 | ) | (1,948,132 | ) | (7,726,077 | ) | |||||||||||
Transaction fees (Note 4) | 8,839 | 47,993 | 584 | 2,318 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (14,995,017 | ) | 2,463,046 | (212,446 | ) | (1,426,622 | ) | ||||||||||||
Total decrease in net assets | (3,028,209 | ) | (4,563,616 | ) | (1,184,050 | ) | (1,883,875 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 57,678,063 | 62,241,679 | 4,404,405 | 6,288,280 | |||||||||||||||
End of year/period | $ | 54,649,854 | $ | 57,678,063 | $ | 3,220,355 | $ | 4,404,405 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,500,132 | 1,450,132 | 62,881 | 82,881 | |||||||||||||||
Shares sold | 700,000 | 3,200,000 | 30,000 | 110,000 | |||||||||||||||
Shares repurchased | (1,000,000 | ) | (3,150,000 | ) | (30,000 | ) | (130,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,200,132 | 1,500,132 | 62,881 | 62,881 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
135
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bull 3X Shares | Direxion Daily S&P 500® Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 5,654,688 | $ | 6,651,143 | $ | 2,569,146 | $ | 2,044,221 | |||||||||||
Net realized gain (loss) | (81,809,404 | ) | 150,532,616 | (23,811,314 | ) | (132,314,613 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 82 | — | 99 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 299,837,550 | (84,240,232 | ) | (90,863,474 | ) | 64,559,364 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 223,682,834 | 72,943,609 | (112,105,642 | ) | (65,710,929 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (5,908,966 | ) | (32,208,266 | ) | (2,110,240 | ) | (972,234 | ) | |||||||||||
Total distributions | (5,908,966 | ) | (32,208,266 | ) | (2,110,240 | ) | (972,234 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 449,672,568 | 1,675,301,042 | 464,421,944 | 404,338,291 | |||||||||||||||
Cost of shares redeemed | (596,785,249 | ) | (1,417,003,027 | ) | (260,714,155 | ) | (452,601,536 | ) | |||||||||||
Transaction fees (Note 4) | 141,832 | 347,449 | 78,214 | 135,780 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (146,970,849 | ) | 258,645,464 | 203,786,003 | (48,127,465 | ) | |||||||||||||
Total increase (decrease) in net assets | 70,803,019 | 299,380,807 | 89,570,121 | (114,810,628 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 992,231,704 | 692,850,897 | 267,114,074 | 381,924,702 | |||||||||||||||
End of year/period | $ | 1,063,034,723 | $ | 992,231,704 | $ | 356,684,195 | $ | 267,114,074 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 23,055,004 | 16,955,004 | 10,303,892 | 11,253,892 | |||||||||||||||
Shares sold | 11,750,000 | 37,400,000 | 18,900,000 | 15,850,000 | |||||||||||||||
Shares repurchased | (14,500,000 | ) | (31,300,000 | ) | (10,050,000 | ) | (16,800,000 | ) | |||||||||||
Shares outstanding, end of year/period | 20,305,004 | 23,055,004 | 19,153,892 | 10,303,892 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
136
Statements of Changes in Net Assets
Direxion Daily Small Cap Bull 3X Shares | Direxion Daily Small Cap Bear 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 2,765,725 | $ | 2,009,020 | $ | 2,142,174 | $ | 2,870,126 | |||||||||||
Net realized gain (loss) | (169,181,221 | ) | 181,301,153 | 8,557,521 | (200,632,824 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 125 | — | 181 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 257,401,691 | (186,631,018 | ) | (69,941,496 | ) | 136,998,911 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 90,986,195 | (3,320,720 | ) | (59,241,801 | ) | (60,763,606 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (2,468,657 | ) | (1,284,400 | ) | (1,867,324 | ) | (1,604,319 | ) | |||||||||||
Total distributions | (2,468,657 | ) | (1,284,400 | ) | (1,867,324 | ) | (1,604,319 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 438,214,645 | 1,706,594,417 | 291,765,828 | 413,515,686 | |||||||||||||||
Cost of shares redeemed | (606,352,319 | ) | (1,477,280,042 | ) | (197,995,046 | ) | (715,458,891 | ) | |||||||||||
Transaction fees (Note 4) | 136,990 | 343,232 | 59,399 | 216,269 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (168,000,684 | ) | 229,657,607 | 93,830,181 | (301,726,936 | ) | |||||||||||||
Total increase (decrease) in net assets | (79,483,146 | ) | 225,052,487 | 32,721,056 | (364,094,861 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 883,562,102 | 658,509,615 | 282,983,950 | 647,078,811 | |||||||||||||||
End of year/period | $ | 804,078,956 | $ | 883,562,102 | $ | 315,705,006 | $ | 282,983,950 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 14,300,068 | 9,950,068 | 4,894,075 | 9,734,075 | |||||||||||||||
Shares sold | 8,200,000 | 23,100,000 | 5,480,000 | 7,980,000 | |||||||||||||||
Shares repurchased | (10,500,000 | ) | (18,750,000 | ) | (3,280,000 | ) | (12,820,000 | ) | |||||||||||
Shares outstanding, end of year/period | 12,000,068 | 14,300,068 | 7,094,075 | 4,894,075 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
137
Statements of Changes in Net Assets
Direxion Daily EURO STOXX 50® Bull 3X Shares | Direxion Daily FTSE China Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 10,380 | $ | 59,173 | $ | 1,791,089 | $ | 4,896,025 | |||||||||||
Net realized gain (loss) | (406,990 | ) | (677,106 | ) | 26,648,513 | (57,401,670 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 1 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 1,150,496 | (1,189,359 | ) | 94,308,910 | (102,456,679 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 753,886 | (1,807,291 | ) | 122,748,512 | (154,962,324 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (8,195 | ) | (386,117 | ) | (1,751,516 | ) | (4,514,464 | ) | |||||||||||
Return of capital | — | (2,613 | ) | — | — | ||||||||||||||
Total distributions | (8,195 | ) | (388,730 | ) | (1,751,516 | ) | (4,514,464 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 698,970 | — | 233,396,229 | 605,178,782 | |||||||||||||||
Cost of shares redeemed | (861,979 | ) | — | (248,015,609 | ) | (375,506,796 | ) | ||||||||||||
Transaction fees (Note 4) | 173 | — | 49,954 | 76,226 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (162,836 | ) | — | (14,569,426 | ) | 229,748,212 | |||||||||||||
Total increase (decrease) in net assets | 582,855 | (2,196,021 | ) | 106,427,570 | 70,271,424 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 2,377,379 | 4,573,400 | 307,057,737 | 236,786,313 | |||||||||||||||
End of year/period | $ | 2,960,234 | $ | 2,377,379 | $ | 413,485,307 | $ | 307,057,737 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 150,001 | 150,001 | 17,200,013 | 7,250,013 | |||||||||||||||
Shares sold | 50,000 | — | 10,750,000 | 21,550,000 | |||||||||||||||
Shares repurchased | (50,000 | ) | — | (10,900,000 | ) | (11,600,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 150,001 | 150,001 | 17,050,013 | 17,200,013 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
138
Statements of Changes in Net Assets
Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 570,358 | $ | 366,282 | $ | 198,832 | $ | 982,683 | |||||||||||
Net realized gain (loss) | (19,199,762 | ) | 6,024,654 | (3,484,926 | ) | (4,406,114 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 20 | — | 6 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (14,445,024 | ) | 20,665,984 | 9,500,967 | (18,101,481 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (33,074,428 | ) | 27,056,940 | 6,214,873 | (21,524,906 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (487,877 | ) | (204,922 | ) | (267,080 | ) | (1,028,064 | ) | |||||||||||
Total distributions | (487,877 | ) | (204,922 | ) | (267,080 | ) | (1,028,064 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 104,878,505 | 154,684,082 | 3,626,177 | 106,719,693 | |||||||||||||||
Cost of shares redeemed | (63,506,234 | ) | (142,159,374 | ) | (25,348,944 | ) | (102,292,257 | ) | |||||||||||
Transaction fees (Note 4) | 19,052 | 42,777 | 5,070 | 20,458 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 41,391,323 | 12,567,485 | (21,717,697 | ) | 4,447,894 | ||||||||||||||
Total increase (decrease) in net assets | 7,829,018 | 39,419,503 | (15,769,904 | ) | (18,105,076 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 80,083,729 | 40,664,226 | 46,632,113 | 64,737,189 | |||||||||||||||
End of year/period | $ | 87,912,747 | $ | 80,083,729 | $ | 30,862,209 | $ | 46,632,113 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,127,337 | 622,726 | 1,900,001 | 1,750,001 | |||||||||||||||
Shares sold | 2,000,000 | 2,890,000 | 150,000 | 2,850,000 | |||||||||||||||
Shares repurchased | (1,100,000 | ) | (2,385,389 | ) | (1,000,000 | ) | (2,700,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,027,337 | 1,127,337 | 1,050,001 | 1,900,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
139
Statements of Changes in Net Assets
Direxion Daily Latin America Bull 3X Shares | Direxion Daily MSCI Brazil Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 78,926 | $ | 158,397 | $ | 1,824,172 | $ | 3,402,340 | |||||||||||
Net realized gain (loss) | 1,688,643 | (7,094,060 | ) | 192,608,279 | (63,608,282 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 3 | — | 23 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,676,261 | ) | 2,250,743 | (158,922,918 | ) | 154,419,353 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 91,308 | (4,684,917 | ) | 35,509,533 | 94,213,434 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (74,535 | ) | (129,439 | ) | (2,006,398 | ) | (3,402,340 | ) | |||||||||||
Return of capital | — | (3,377 | ) | — | (162,556 | ) | |||||||||||||
Total distributions | (74,535 | ) | (132,816 | ) | (2,006,398 | ) | (3,564,896 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 32,911,255 | 14,884,197 | 515,052,914 | 819,204,569 | |||||||||||||||
Cost of shares redeemed | (17,558,789 | ) | (11,352,563 | ) | (464,187,716 | ) | (655,988,474 | ) | |||||||||||
Transaction fees (Note 4) | 3,512 | 2,271 | 92,838 | 133,679 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 15,355,978 | 3,533,905 | 50,958,036 | 163,349,774 | |||||||||||||||
Total increase (decrease) in net assets | 15,372,751 | (1,283,828 | ) | 84,461,171 | 253,998,312 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 13,512,116 | 14,795,944 | 407,268,458 | 153,270,146 | |||||||||||||||
End of year/period | $ | 28,884,867 | $ | 13,512,116 | $ | 491,729,629 | $ | 407,268,458 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 569,092 | 469,092 | 13,853,728 | 3,803,728 | |||||||||||||||
Shares sold | 1,450,000 | 500,000 | 18,100,000 | 33,600,000 | |||||||||||||||
Shares repurchased | (750,000 | ) | (400,000 | ) | (14,600,000 | ) | (23,550,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,269,092 | 569,092 | 17,353,728 | 13,853,728 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
140
Statements of Changes in Net Assets
Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Developed Markets Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 121,564 | $ | 348,843 | $ | 38,460 | $ | 30,322 | |||||||||||
Net realized loss | (5,531,058 | ) | (340,474 | ) | (858,978 | ) | (33,851 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 7,479,826 | (9,018,066 | ) | (538,663 | ) | 351,980 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,070,332 | (9,009,697 | ) | (1,359,181 | ) | 348,451 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (113,409 | ) | (563,639 | ) | (28,942 | ) | (16,103 | ) | |||||||||||
Total distributions | (113,409 | ) | (563,639 | ) | (28,942 | ) | (16,103 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 24,913,426 | 14,042,912 | 13,130,990 | |||||||||||||||
Cost of shares redeemed | (5,047,626 | ) | (27,763,822 | ) | (7,902,378 | ) | (13,468,793 | ) | |||||||||||
Transaction fees (Note 4) | 1,009 | 5,553 | 2,371 | 4,041 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (5,046,617 | ) | (2,844,843 | ) | 6,142,905 | (333,762 | ) | ||||||||||||
Total increase (decrease) in net assets | (3,089,694 | ) | (12,418,179 | ) | 4,754,782 | (1,414 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 19,331,973 | 31,750,152 | 3,726,562 | 3,727,976 | |||||||||||||||
End of year/period | $ | 16,242,279 | $ | 19,331,973 | $ | 8,481,344 | $ | 3,726,562 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 350,001 | 400,001 | 234,916 | 284,916 | |||||||||||||||
Shares sold | — | 300,000 | 950,000 | 1,000,000 | |||||||||||||||
Shares repurchased | (100,000 | ) | (350,000 | ) | (500,000 | ) | (1,050,000 | ) | |||||||||||
Shares outstanding, end of year/period | 250,001 | 350,001 | 684,916 | 234,916 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
141
Statements of Changes in Net Assets
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,801,094 | $ | 2,782,836 | $ | 540,171 | $ | 508,161 | |||||||||||
Net realized gain (loss) | 3,157,040 | (102,248,422 | ) | (25,127,489 | ) | 16,030,046 | |||||||||||||
Capital gain distributions from regulated investment companies | — | 58 | — | 46 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 71,013,753 | (61,503,504 | ) | (7,013,092 | ) | 14,872,878 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 75,971,887 | (160,969,032 | ) | (31,600,410 | ) | 31,411,131 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,689,890 | ) | (2,126,107 | ) | (512,097 | ) | (275,222 | ) | |||||||||||
Return of capital | — | (62,073 | ) | — | — | ||||||||||||||
Total distributions | (1,689,890 | ) | (2,188,180 | ) | (512,097 | ) | (275,222 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 111,863,766 | 305,885,103 | 82,049,489 | 127,335,673 | |||||||||||||||
Cost of shares redeemed | (149,127,305 | ) | (215,944,980 | ) | (74,972,047 | ) | (152,299,739 | ) | |||||||||||
Transaction fees (Note 4) | 29,825 | 43,189 | 22,491 | 45,686 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (37,233,714 | ) | 89,983,312 | 7,099,933 | (24,918,380 | ) | |||||||||||||
Total increase (decrease) in net assets | 37,048,283 | (73,173,900 | ) | (25,012,574 | ) | 6,217,529 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 202,745,101 | 275,919,001 | 90,383,383 | 84,165,854 | |||||||||||||||
End of year/period | $ | 239,793,384 | $ | 202,745,101 | $ | 65,370,809 | $ | 90,383,383 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 3,231,598 | 2,381,598 | 1,395,232 | 1,665,553 | |||||||||||||||
Shares sold | 1,550,000 | 2,800,000 | 1,600,000 | 2,820,000 | |||||||||||||||
Shares repurchased | (1,950,000 | ) | (1,950,000 | ) | (1,400,000 | ) | (3,090,321 | ) | |||||||||||
Shares outstanding, end of year/period | 2,831,598 | 3,231,598 | 1,595,232 | 1,395,232 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
142
Statements of Changes in Net Assets
Direxion Daily MSCI India Bull 3X Shares | Direxion Daily MSCI Japan Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 382,045 | $ | 118,240 | $ | 59,337 | $ | 43,355 | |||||||||||
Net realized gain (loss) | 25,169,319 | (26,119,547 | ) | (1,618,659 | ) | (2,788,751 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 7 | — | 3 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 18,000,067 | (28,299,403 | ) | 1,216,054 | (4,081,407 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 43,551,431 | (54,300,703 | ) | (343,268 | ) | (6,826,800 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (253,828 | ) | (227,798 | ) | (36,560 | ) | (41,313 | ) | |||||||||||
Return of capital | — | (71,809 | ) | — | (636 | ) | |||||||||||||
Total distributions | (253,828 | ) | (299,607 | ) | (36,560 | ) | (41,949 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 18,783,982 | 135,288,656 | — | 23,515,365 | |||||||||||||||
Cost of shares redeemed | (81,404,965 | ) | (85,302,945 | ) | (2,526,222 | ) | (17,478,648 | ) | |||||||||||
Transaction fees (Note 4) | 16,281 | 18,285 | 505 | 3,495 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (62,604,702 | ) | 50,003,996 | (2,525,717 | ) | 6,040,212 | |||||||||||||
Total decrease in net assets | (19,307,099 | ) | (4,596,314 | ) | (2,905,545 | ) | (828,537 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 100,426,959 | 105,023,273 | 13,556,605 | 14,385,142 | |||||||||||||||
End of year/period | $ | 81,119,860 | $ | 100,426,959 | $ | 10,651,060 | $ | 13,556,605 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,949,686 | 1,099,686 | 250,001 | 200,001 | |||||||||||||||
Shares sold | 300,000 | 1,850,000 | — | 300,000 | |||||||||||||||
Shares repurchased | (1,200,000 | ) | (1,000,000 | ) | (50,000 | ) | (250,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,049,686 | 1,949,686 | 200,001 | 250,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
143
Statements of Changes in Net Assets
Direxion Daily MSCI Mexico Bull 3X Shares | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 93,098 | $ | 149,185 | $ | 177,054 | $ | 144,291 | |||||||||||
Net realized gain (loss) | (1,714,036 | ) | (515,802 | ) | 3,026,414 | (9,171,474 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | — | — | 4 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,103,111 | (2,568,594 | ) | 1,989,297 | (8,335,691 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,482,173 | (2,935,211 | ) | 5,192,765 | (17,362,870 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (90,319 | ) | (155,659 | ) | (131,518 | ) | (630,975 | ) | |||||||||||
Total distributions | (90,319 | ) | (155,659 | ) | (131,518 | ) | (630,975 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 12,881,842 | 31,701,991 | 83,397,523 | 55,569,875 | |||||||||||||||
Cost of shares redeemed | (12,097,439 | ) | (27,081,957 | ) | (64,951,751 | ) | (26,701,474 | ) | |||||||||||
Transaction fees (Note 4) | 2,527 | 5,530 | 14,043 | 5,592 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 786,930 | 4,625,564 | 18,459,815 | 28,873,993 | |||||||||||||||
Total increase in net assets | 2,178,784 | 1,534,694 | 23,521,062 | 10,880,148 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 4,808,539 | 3,273,845 | 22,923,892 | 12,043,744 | |||||||||||||||
End of year/period | $ | 6,987,323 | $ | 4,808,539 | $ | 46,444,954 | $ | 22,923,892 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 450,001 | 150,001 | 950,001 | 200,001 | |||||||||||||||
Shares sold | 1,150,000 | 1,650,000 | 2,950,000 | 1,300,000 | |||||||||||||||
Shares repurchased | (1,050,000 | ) | (1,350,000 | ) | (2,150,000 | ) | (550,000 | ) | |||||||||||
Shares outstanding, end of year/period | 550,001 | 450,001 | 1,750,001 | 950,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
144
Statements of Changes in Net Assets
Direxion Daily Russia Bull 3X Shares | Direxion Daily Russia Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 3,087,149 | $ | 3,020,183 | $ | 157,774 | $ | 155,636 | |||||||||||
Net realized gain (loss) | 16,630,262 | 19,330,013 | (6,017,065 | ) | (11,288,893 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 11 | — | 16 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 6,591,734 | (24,006,187 | ) | 203,843 | 6,789,005 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 26,309,145 | (1,655,980 | ) | (5,655,448 | ) | (4,344,236 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (2,765,536 | ) | (2,304,147 | ) | (145,395 | ) | (74,885 | ) | |||||||||||
Return of capital | — | (784,069 | ) | — | — | ||||||||||||||
Total distributions | (2,765,536 | ) | (3,088,216 | ) | (145,395 | ) | (74,885 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 27,054,690 | 254,406,397 | 18,777,682 | 47,781,998 | |||||||||||||||
Cost of shares redeemed | (67,090,431 | ) | (244,879,219 | ) | (13,111,980 | ) | (51,459,509 | ) | |||||||||||
Transaction fees (Note 4) | 13,418 | 51,375 | 3,934 | 15,438 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (40,022,323 | ) | 9,578,553 | 5,669,636 | (3,662,073 | ) | |||||||||||||
Total increase (decrease) in net assets | (16,478,714 | ) | 4,834,357 | (131,207 | ) | (8,081,194 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 147,417,116 | 142,582,759 | 23,701,050 | 31,782,244 | |||||||||||||||
End of year/period | $ | 130,938,402 | $ | 147,417,116 | $ | 23,569,843 | $ | 23,701,050 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 4,018,002 | 2,918,002 | 1,294,595 | 1,294,595 | |||||||||||||||
Shares sold | 800,000 | 6,400,000 | 1,200,000 | 2,450,000 | |||||||||||||||
Shares repurchased | (1,700,000 | ) | (5,300,000 | ) | (700,000 | ) | (2,450,000 | ) | |||||||||||
Shares outstanding, end of year/period | 3,118,002 | 4,018,002 | 1,794,595 | 1,294,595 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
145
Statements of Changes in Net Assets
Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Communication Services Index Bull 3X Shares | ||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | For the Period January 14, 20191 through April 30, 2019 (Unaudited) | |||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 167,436 | $ | 301,852 | $ | 2,389 | |||||||||
Net realized gain (loss) | (4,842,370 | ) | 11,530,025 | 268,191 | |||||||||||
Capital gain distributions from regulated investment companies | — | 3 | — | ||||||||||||
Change in net unrealized appreciation (depreciation) | 16,246,633 | (8,902,691 | ) | 647,973 | |||||||||||
Net increase in net assets resulting from operations | 11,571,699 | 2,929,189 | 918,553 | ||||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (195,015 | ) | (969,892 | ) | (1,133 | ) | |||||||||
Total distributions | (195,015 | ) | (969,892 | ) | (1,133 | ) | |||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | 10,622,361 | 86,976,957 | 4,399,973 | ||||||||||||
Cost of shares redeemed | (17,782,375 | ) | (74,084,161 | ) | — | ||||||||||
Transaction fees (Note 4) | 3,556 | 16,237 | — | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (7,156,458 | ) | 12,909,033 | 4,399,973 | |||||||||||
Total increase in net assets | 4,220,226 | 14,868,330 | 5,317,393 | ||||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | 56,900,460 | 42,032,130 | — | ||||||||||||
End of year/period | $ | 61,120,686 | $ | 56,900,460 | $ | 5,317,393 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | 1,350,001 | 1,050,001 | — | ||||||||||||
Shares sold | 250,000 | 1,750,000 | 150,001 | ||||||||||||
Shares repurchased | (400,000 | ) | (1,450,000 | ) | — | ||||||||||
Shares outstanding, end of year/period | 1,200,001 | 1,350,001 | 150,001 |
1 Commencement of investment operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
146
Statements of Changes in Net Assets
Direxion Daily Communication Services Index Bear 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | ||||||||||
For the Period January 14, 20191 through April 30, 2019 (Unaudited) | For the Period November 29, 20181 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 9,934 | $ | 8,167 | |||||||
Net realized loss | (842,902 | ) | (15,314 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (3,102 | ) | 790,855 | ||||||||
Net increase (decrease) in net assets resulting from operations | (836,070 | ) | 783,708 | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (6,859 | ) | (9,457 | ) | |||||||
Total distributions | (6,859 | ) | (9,457 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 2,500,025 | 4,137,389 | |||||||||
Cost of shares redeemed | — | — | |||||||||
Net increase in net assets resulting from capital transactions | 2,500,025 | 4,137,389 | |||||||||
Total increase in net assets | 1,657,096 | 4,911,640 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 1,657,096 | $ | 4,911,640 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 100,001 | 150,001 | |||||||||
Shares repurchased | — | — | |||||||||
Shares outstanding, end of period | 100,001 | 150,001 |
1 Commencement of investment operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
147
Statements of Changes in Net Assets
Direxion Daily Consumer Discretionary Bear 3X Shares | Direxion Daily Consumer Staples Bull 3X Shares | ||||||||||
For the Period November 29, 20181 through April 30, 2019 (Unaudited) | For the Period November 29, 20181 through April 30, 2019 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 11,390 | $ | 20,024 | |||||||
Net realized loss | (507,656 | ) | (153,034 | ) | |||||||
Capital gain distributions from regulated investment companies | — | — | |||||||||
Change in net unrealized appreciation (depreciation) | (14,299 | ) | 376,482 | ||||||||
Net increase (decrease) in net assets resulting from operations | (510,565 | ) | 243,472 | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (11,096 | ) | (16,500 | ) | |||||||
Return of capital | — | — | |||||||||
Total distributions | (11,096 | ) | (16,500 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 2,500,025 | 2,500,025 | |||||||||
Cost of shares redeemed | (1,159,597 | ) | — | ||||||||
Transaction fees (Note 4) | 347 | — | |||||||||
Net increase in net assets resulting from capital transactions | 1,340,775 | 2,500,025 | |||||||||
Total increase in net assets | 819,114 | 2,726,997 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 819,114 | $ | 2,726,997 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 100,001 | 100,001 | |||||||||
Shares repurchased | (50,000 | ) | — | ||||||||
Shares outstanding, end of period | 50,001 | 100,001 |
1 Commencement of investment operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
148
Statements of Changes in Net Assets
Direxion Daily Consumer Staples Bear 3X Shares | Direxion Daily Energy Bull 3X Shares | ||||||||||||||
For the Period November 29, 20181 through April 30, 2019 (Unaudited) | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | |||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 11,588 | $ | 3,780,063 | $ | 5,513,926 | |||||||||
Net realized gain (loss) | 305,558 | (108,646,824 | ) | 104,518,440 | |||||||||||
Capital gain distributions from regulated investment companies | — | — | 44 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (269,129 | ) | 96,689,611 | (79,416,761 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 48,017 | (8,177,150 | ) | 30,615,649 | |||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (10,659 | ) | (3,943,261 | ) | (7,502,193 | ) | |||||||||
Return of capital | — | — | (140,348 | ) | |||||||||||
Total distributions | (10,659 | ) | (3,943,261 | ) | (7,642,541 | ) | |||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | 2,500,025 | 178,088,637 | 546,234,533 | ||||||||||||
Cost of shares redeemed | (1,476,994 | ) | (145,206,083 | ) | (700,832,789 | ) | |||||||||
Transaction fees (Note 4) | 443 | 30,281 | 150,611 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,023,474 | 32,912,835 | (154,447,645 | ) | |||||||||||
Total increase (decrease) in net assets | 1,060,832 | 20,792,424 | (131,474,537 | ) | |||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | — | 349,655,044 | 481,129,581 | ||||||||||||
End of year/period | $ | 1,060,832 | $ | 370,447,468 | $ | 349,655,044 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | — | 13,800,017 | 16,500,017 | ||||||||||||
Shares sold | 100,001 | 9,200,000 | 16,900,000 | ||||||||||||
Shares repurchased | (50,000 | ) | (6,550,000 | ) | (19,600,000 | ) | |||||||||
Shares outstanding, end of year/period | 50,001 | 16,450,017 | 13,800,017 |
1 Commencement of investment operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
149
Statements of Changes in Net Assets
Direxion Daily Energy Bear 3X Shares | Direxion Daily Financial Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 172,786 | $ | 265,837 | $ | 9,345,430 | $ | 16,667,394 | |||||||||||
Net realized gain (loss) | 19,305,919 | (18,005,444 | ) | (194,251,273 | ) | 470,636,738 | |||||||||||||
Capital gain distributions from regulated investment companies | — | 19 | — | 291 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (18,013,091 | ) | 19,307,826 | 554,831,689 | (475,416,695 | ) | |||||||||||||
Net increase in net assets resulting from operations | 1,465,614 | 1,568,238 | 369,925,846 | 11,887,728 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (163,788 | ) | (126,039 | ) | (8,040,178 | ) | (14,975,518 | ) | |||||||||||
Total distributions | (163,788 | ) | (126,039 | ) | (8,040,178 | ) | (14,975,518 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 79,107,214 | 208,256,040 | 106,728,072 | 1,808,958,763 | |||||||||||||||
Cost of shares redeemed | (104,517,360 | ) | (211,300,411 | ) | (517,348,045 | ) | (1,716,787,131 | ) | |||||||||||
Transaction fees (Note 4) | 31,959 | 63,384 | 103,470 | 417,388 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (25,378,187 | ) | (2,980,987 | ) | (410,516,503 | ) | 92,589,020 | ||||||||||||
Total increase (decrease) in net assets | (24,076,361 | ) | (1,538,788 | ) | (48,630,835 | ) | 89,501,230 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 51,915,237 | 53,454,025 | 1,627,512,894 | 1,538,011,664 | |||||||||||||||
End of year/period | $ | 27,838,876 | $ | 51,915,237 | $ | 1,578,882,059 | $ | 1,627,512,894 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,157,061 | 957,444 | 27,749,888 | 25,499,888 | |||||||||||||||
Shares sold | 1,550,000 | 5,190,000 | 2,000,000 | 26,650,000 | |||||||||||||||
Shares repurchased | (2,000,000 | ) | (4,990,383 | ) | (8,500,000 | ) | (24,400,000 | ) | |||||||||||
Shares outstanding, end of year/period | 707,061 | 1,157,061 | 21,249,888 | 27,749,888 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
150
Statements of Changes in Net Assets
Direxion Daily Financial Bear 3X Shares1 | Direxion Daily Gold Miners Index Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,229,704 | $ | 995,655 | $ | 4,915,102 | $ | 6,333,868 | |||||||||||
Net realized gain (loss) | (23,634,618 | ) | (63,334,650 | ) | 193,744,711 | (902,702,106 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 111 | — | 182 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (37,689,055 | ) | 40,492,022 | 90,605,198 | 65,204,241 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (60,093,969 | ) | (21,846,862 | ) | 289,265,011 | (831,163,815 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,001,005 | ) | (507,442 | ) | (4,185,728 | ) | (1,134,609 | ) | |||||||||||
Return of capital | — | — | — | (2,575,171 | ) | ||||||||||||||
Total distributions | (1,001,005 | ) | (507,442 | ) | (4,185,728 | ) | (3,709,780 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 172,876,517 | 208,204,428 | 503,436,632 | 2,188,928,500 | |||||||||||||||
Cost of shares redeemed | (83,253,310 | ) | (222,869,313 | ) | (835,556,505 | ) | (1,561,104,519 | ) | |||||||||||
Transaction fees (Note 4) | 24,976 | 67,542 | 169,286 | 375,524 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 89,648,183 | (14,597,343 | ) | (331,950,587 | ) | 628,199,505 | |||||||||||||
Total increase (decrease) in net assets | 28,553,209 | (36,951,647 | ) | (46,871,304 | ) | (206,674,090 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 141,798,629 | 178,750,276 | 1,131,021,367 | 1,337,695,457 | |||||||||||||||
End of year/period | $ | 170,351,838 | $ | 141,798,629 | $ | 1,084,150,063 | $ | 1,131,021,367 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,526,411 | 2,656,411 | 85,185,823 | 46,085,823 | |||||||||||||||
Shares sold | 3,290,000 | 3,960,000 | 28,750,000 | 100,850,000 | |||||||||||||||
Shares repurchased | (1,470,000 | ) | (4,090,000 | ) | (45,000,000 | ) | (61,750,000 | ) | |||||||||||
Shares outstanding, end of year/period | 4,346,411 | 2,526,411 | 68,935,823 | 85,185,823 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
151
Statements of Changes in Net Assets
Direxion Daily Gold Miners Index Bear 3X Shares | Direxion Daily Healthcare Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 986,967 | $ | 1,068,434 | $ | 599,890 | $ | 638,927 | |||||||||||
Net realized gain (loss) | 7,387,808 | 123,286,033 | (3,568,689 | ) | 34,540,527 | ||||||||||||||
Capital gain distributions from regulated investment companies | — | 92 | — | 21 | |||||||||||||||
Change in net unrealized depreciation | (28,910,352 | ) | (11,061,104 | ) | (3,377,426 | ) | (13,067,457 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | (20,535,577 | ) | 113,293,455 | (6,346,225 | ) | 22,112,018 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (782,352 | ) | (387,306 | ) | (663,840 | ) | (822,897 | ) | |||||||||||
Total distributions | (782,352 | ) | (387,306 | ) | (663,840 | ) | (822,897 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 423,910,056 | 1,099,079,355 | 56,502,012 | 227,430,415 | |||||||||||||||
Cost of shares redeemed | (466,648,725 | ) | (1,441,016,865 | ) | (28,308,263 | ) | (241,246,421 | ) | |||||||||||
Transaction fees (Note 4) | 141,684 | 453,798 | 6,399 | 64,209 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (42,596,985 | ) | (341,483,712 | ) | 28,200,148 | (13,751,797 | ) | ||||||||||||
Total increase (decrease) in net assets | (63,914,914 | ) | (228,577,563 | ) | 21,190,083 | 7,537,324 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 154,753,010 | 383,330,573 | 151,103,953 | 143,566,629 | |||||||||||||||
End of year/period | $ | 90,838,096 | $ | 154,753,010 | $ | 172,294,036 | $ | 151,103,953 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 4,418,705 | 14,018,705 | 2,850,008 | 3,250,008 | |||||||||||||||
Shares sold | 20,700,000 | 43,700,000 | 1,100,000 | 3,800,000 | |||||||||||||||
Shares repurchased | (21,000,000 | ) | (53,300,000 | ) | (550,000 | ) | (4,200,000 | ) | |||||||||||
Shares outstanding, end of year/period | 4,118,705 | 4,418,705 | 3,400,008 | 2,850,008 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
152
Statements of Changes in Net Assets
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Direxion Daily Industrials Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 111,280 | $ | 51,561 | $ | 34,615 | $ | 40,994 | |||||||||||
Net realized loss | (4,747,353 | ) | (29,925,772 | ) | (294,655 | ) | (233,997 | ) | |||||||||||
Capital gain distributions from regulated investment companies | — | 7 | — | 1 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 22,756,030 | (25,286,862 | ) | 1,535,309 | (792,212 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 18,119,957 | (55,161,066 | ) | 1,275,269 | (985,214 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (126,436 | ) | (1,058,169 | ) | (37,827 | ) | (52,680 | ) | |||||||||||
Total distributions | (126,436 | ) | (1,058,169 | ) | (37,827 | ) | (52,680 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 15,342,845 | 112,855,498 | 2,845,748 | 9,097,699 | |||||||||||||||
Cost of shares redeemed | (29,118,759 | ) | (56,410,756 | ) | (1,179,519 | ) | (7,218,514 | ) | |||||||||||
Transaction fees (Note 4) | 6,263 | 13,249 | 353 | 2,564 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (13,769,651 | ) | 56,457,991 | 1,666,582 | 1,881,749 | ||||||||||||||
Total increase in net assets | 4,223,870 | 238,756 | 2,904,024 | 843,855 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 39,666,767 | 39,428,011 | 3,936,893 | 3,093,038 | |||||||||||||||
End of year/period | $ | 43,890,637 | $ | 39,666,767 | $ | 6,840,917 | $ | 3,936,893 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,400,000 | 550,000 | 150,001 | 100,001 | |||||||||||||||
Shares sold | 450,000 | 1,650,000 | 100,000 | 250,000 | |||||||||||||||
Shares repurchased | (900,000 | ) | (800,000 | ) | (50,000 | ) | (200,000 | ) | |||||||||||
Shares outstanding, end of year/period | 950,000 | 1,400,000 | 200,001 | 150,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
153
Statements of Changes in Net Assets
Direxion Daily Junior Gold Miners Index Bull 3X Shares1 | Direxion Daily Junior Gold Miners Index Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 3,954,563 | $ | 2,755,151 | $ | 487,025 | $ | 483,600 | |||||||||||
Net realized gain (loss) | (73,619,176 | ) | (450,284,278 | ) | 921,555 | 31,902,406 | |||||||||||||
Capital gain distributions from regulated investment companies | — | 219 | — | 47 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 157,611,113 | (16,100,926 | ) | (6,734,099 | ) | 1,258,389 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 87,946,500 | (463,629,834 | ) | (5,325,519 | ) | 33,644,442 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (3,509,058 | ) | — | (422,092 | ) | (172,110 | ) | ||||||||||||
Return of capital | — | — | — | — | |||||||||||||||
Total distributions | (3,509,058 | ) | — | (422,092 | ) | (172,110 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 435,573,212 | 1,467,188,724 | 241,303,807 | 602,548,452 | |||||||||||||||
Cost of shares redeemed | (446,961,322 | ) | (1,119,836,914 | ) | (247,516,441 | ) | (691,883,596 | ) | |||||||||||
Transaction fees (Note 4) | 90,574 | 232,673 | 75,711 | 213,124 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (11,297,536 | ) | 347,584,483 | (6,136,923 | ) | (89,122,020 | ) | ||||||||||||
Total increase (decrease) in net assets | 73,139,906 | (116,045,351 | ) | (11,884,534 | ) | (55,649,688 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 635,801,024 | 751,846,375 | 59,623,954 | 115,273,642 | |||||||||||||||
End of year/period | $ | 708,940,930 | $ | 635,801,024 | $ | 47,739,420 | $ | 59,623,954 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 17,781,376 | 9,941,376 | 787,735 | 1,787,735 | |||||||||||||||
Shares sold | 10,310,000 | 24,290,000 | 5,400,000 | 10,800,000 | |||||||||||||||
Shares repurchased | (9,270,000 | ) | (16,450,000 | ) | (5,200,000 | ) | (11,800,000 | ) | |||||||||||
Shares outstanding, end of year/period | 18,821,376 | 17,781,376 | 987,735 | 787,735 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
154
Statements of Changes in Net Assets
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 511,200 | $ | 1,595,045 | $ | 146,462 | $ | 112,776 | |||||||||||
Net realized gain (loss) | 11,479,640 | (13,858,816 | ) | (6,525,177 | ) | (1,139,344 | ) | ||||||||||||
Capital gain distributions from regulated investment companies | — | 3 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,039,138 | ) | 6,722,671 | 423,561 | (463,813 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 10,951,702 | (5,541,097 | ) | (5,955,154 | ) | (1,490,381 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (377,549 | ) | (1,172,396 | ) | (133,128 | ) | (60,011 | ) | |||||||||||
Return of capital | — | (285,570 | ) | — | — | ||||||||||||||
Total distributions | (377,549 | ) | (1,457,966 | ) | (133,128 | ) | (60,011 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 5,626,289 | 72,134,546 | 15,849,739 | 20,746,467 | |||||||||||||||
Cost of shares redeemed | (10,324,411 | ) | (94,449,661 | ) | (8,040,361 | ) | (15,926,838 | ) | |||||||||||
Transaction fees (Note 4) | 2,981 | 23,992 | 2,412 | 4,778 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (4,695,141 | ) | (22,291,123 | ) | 7,811,790 | 4,824,407 | |||||||||||||
Total increase (decrease) in net assets | 5,879,012 | (29,290,186 | ) | 1,723,508 | 3,274,015 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 40,162,874 | 69,453,060 | 19,155,704 | 15,881,689 | |||||||||||||||
End of year/period | $ | 46,041,886 | $ | 40,162,874 | $ | 20,879,212 | $ | 19,155,704 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,050,000 | 3,200,000 | 381,662 | 281,662 | |||||||||||||||
Shares sold | 250,000 | 3,700,000 | 390,000 | 370,000 | |||||||||||||||
Shares repurchased | (450,000 | ) | (4,850,000 | ) | (170,000 | ) | (270,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,850,000 | 2,050,000 | 601,662 | 381,662 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
155
Statements of Changes in Net Assets
Direxion Daily Natural Gas Related Bull 3X Shares1 | Direxion Daily Natural Gas Related Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 75,865 | $ | 27,775 | $ | 21,334 | $ | 33,264 | |||||||||||
Net realized gain (loss) | (27,689,959 | ) | 8,290,911 | 1,549,409 | (69,518 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 5 | — | 1 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 12,635,771 | (11,657,300 | ) | (1,126,530 | ) | 1,437,807 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (14,978,323 | ) | (3,338,609 | ) | 444,213 | 1,401,554 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | — | — | (19,523 | ) | (21,078 | ) | |||||||||||||
Total distributions | — | — | (19,523 | ) | (21,078 | ) | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 35,558,699 | 67,693,590 | 4,474,917 | 16,576,834 | |||||||||||||||
Cost of shares redeemed | (22,196,485 | ) | (85,395,468 | ) | (4,474,947 | ) | (19,708,366 | ) | |||||||||||
Transaction fees (Note 4) | 4,440 | 17,295 | 1,343 | 5,912 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 13,366,654 | (17,684,583 | ) | 1,313 | (3,125,620 | ) | |||||||||||||
Total increase (decrease) in net assets | (1,611,669 | ) | (21,023,192 | ) | 426,003 | (1,745,144 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 32,319,363 | 53,342,555 | 3,341,835 | 5,086,979 | |||||||||||||||
End of year/period | $ | 30,707,694 | $ | 32,319,363 | $ | 3,767,838 | $ | 3,341,835 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 491,504 | 471,504 | 124,855 | 174,855 | |||||||||||||||
Shares sold | 910,000 | 760,000 | 150,000 | 850,000 | |||||||||||||||
Shares repurchased | (520,000 | ) | (740,000 | ) | (150,000 | ) | (900,000 | ) | |||||||||||
Shares outstanding, end of year/period | 881,504 | 491,504 | 124,855 | 124,855 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
156
Statements of Changes in Net Assets
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Regional Banks Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | For the Period November 15, 2017 through October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 24,737 | $ | 11,338 | $ | 242,793 | $ | 338,437 | |||||||||||
Net realized loss | (867,866 | ) | (70,723 | ) | (2,569,942 | ) | (3,435,882 | ) | |||||||||||
Capital gain distributions from regulated investment companies | — | — | — | 9 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 174,975 | (584,266 | ) | 4,508,283 | (6,881,537 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (668,154 | ) | (643,651 | ) | 2,181,134 | (9,978,973 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (23,387 | ) | (13,214 | ) | (233,700 | ) | (330,504 | ) | |||||||||||
Return of capital | — | (1,811 | ) | — | — | ||||||||||||||
Total distributions | (23,387 | ) | (15,025 | ) | (233,700 | ) | (330,504 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,201,296 | 7,643,574 | 38,182,976 | 45,462,567 | |||||||||||||||
Cost of shares redeemed | (1,334,232 | ) | (3,006,162 | ) | (44,729,728 | ) | (32,119,131 | ) | |||||||||||
Transaction fees (Note 4) | 401 | 601 | 10,624 | 7,199 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 867,465 | 4,638,013 | (6,536,128 | ) | 13,350,635 | ||||||||||||||
Total increase (decrease) in net assets | 175,924 | 3,979,337 | (4,588,694 | ) | 3,041,158 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,979,337 | — | 29,834,800 | 26,793,642 | |||||||||||||||
End of year/period | $ | 4,155,261 | $ | 3,979,337 | $ | 25,246,106 | $ | 29,834,800 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 150,001 | — | 600,000 | 400,000 | |||||||||||||||
Shares sold | 100,000 | 250,001 | 900,000 | 600,000 | |||||||||||||||
Shares repurchased | (50,000 | ) | (100,000 | ) | (1,000,000 | ) | (400,000 | ) | |||||||||||
Shares outstanding, end of year/period | 200,001 | 150,001 | 500,000 | 600,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
157
Statements of Changes in Net Assets
Direxion Daily Regional Banks Bear 3X Shares | Direxion Daily Retail Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 14,419 | $ | 14,611 | $ | 129,088 | $ | 173,022 | |||||||||||
Net realized gain (loss) | 1,352,215 | (2,124,955 | ) | (5,912,594 | ) | 12,401,094 | |||||||||||||
Capital gain distributions from regulated investment companies | — | 1 | — | 5 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,370,223 | ) | 1,902,008 | 662,966 | 385,154 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,589 | ) | (208,335 | ) | (5,120,540 | ) | 12,959,275 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (11,840 | ) | (10,651 | ) | (109,041 | ) | (172,548 | ) | |||||||||||
Total distributions | (11,840 | ) | (10,651 | ) | (109,041 | ) | (172,548 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 3,347,916 | — | 10,320,917 | 49,149,827 | |||||||||||||||
Cost of shares redeemed | (4,088,487 | ) | — | (19,521,625 | ) | (67,315,793 | ) | ||||||||||||
Transaction fees (Note 4) | 708 | — | 4,496 | 17,806 | |||||||||||||||
Net decrease in net assets resulting from capital transactions | (739,863 | ) | — | (9,196,212 | ) | (18,148,160 | ) | ||||||||||||
Total decrease in net assets | (755,292 | ) | (218,986 | ) | (14,425,793 | ) | (5,361,433 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,319,193 | 3,538,179 | 31,366,656 | 36,728,089 | |||||||||||||||
End of year/period | $ | 2,563,901 | $ | 3,319,193 | $ | 16,940,863 | $ | 31,366,656 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 99,988 | 99,988 | 850,012 | 1,500,012 | |||||||||||||||
Shares sold | 100,000 | — | 350,000 | 1,400,000 | |||||||||||||||
Shares repurchased | (99,988 | ) | — | (650,000 | ) | (2,050,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 100,000 | 99,988 | 550,012 | 850,012 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
158
Statements of Changes in Net Assets
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | Direxion Daily S&P Biotech Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | For the Period April 19, 20181 through October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 36,817 | $ | (5,808 | ) | $ | 2,736,096 | $ | 798,372 | ||||||||||
Net realized gain (loss) | (1,064,400 | ) | (1,582,103 | ) | 13,761,791 | 129,033,809 | |||||||||||||
Capital gain distributions from regulated investment companies | — | �� | — | — | 30 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 6,292,030 | (1,060,894 | ) | 30,340,906 | (218,163,977 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,264,447 | (2,648,805 | ) | 46,838,793 | (88,331,766 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (33,519 | ) | — | (2,715,184 | ) | (1,346,096 | ) | ||||||||||||
Return of capital | — | (356 | ) | — | — | ||||||||||||||
Total distributions | (33,519 | ) | (356 | ) | (2,715,184 | ) | (1,346,096 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 22,993,481 | 7,754,092 | 796,514,875 | 1,616,966,525 | |||||||||||||||
Cost of shares redeemed | (8,505,557 | ) | (982,603 | ) | (755,814,900 | ) | (1,314,398,252 | ) | |||||||||||
Transaction fees (Note 4) | 2,157 | 197 | 155,649 | 284,452 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 14,490,081 | 6,771,686 | 40,855,624 | 302,852,725 | |||||||||||||||
Total increase in net assets | 19,721,009 | 4,122,525 | 84,979,233 | 213,174,863 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 4,122,525 | — | 592,472,275 | 379,297,412 | |||||||||||||||
End of year/period | $ | 23,843,534 | $ | 4,122,525 | $ | 677,451,508 | $ | 592,472,275 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 350,001 | — | 12,011,600 | 4,961,600 | |||||||||||||||
Shares sold | 2,050,000 | 400,001 | 16,700,000 | 21,600,000 | |||||||||||||||
Shares repurchased | (700,000 | ) | (50,000 | ) | (14,750,000 | ) | (14,550,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,700,001 | 350,001 | 13,961,600 | 12,011,600 |
1 Commencement of investment operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
159
Statements of Changes in Net Assets
Direxion Daily S&P Biotech Bear 3X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 785,561 | $ | 552,328 | $ | 883,605 | $ | 270,211 | |||||||||||
Net realized gain (loss) | (45,976,737 | ) | (28,408,923 | ) | (91,370,222 | ) | 58,893,104 | ||||||||||||
Capital gain distributions from regulated investment companies | — | — | — | 26 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 8,696,334 | 27,590,683 | 32,856,087 | (34,974,820 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (36,494,842 | ) | (265,912 | ) | (57,630,530 | ) | 24,188,521 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (600,550 | ) | (402,269 | ) | (888,259 | ) | (33,032 | ) | |||||||||||
Total distributions | (600,550 | ) | (402,269 | ) | (888,259 | ) | (33,032 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 429,010,144 | 477,426,100 | 359,223,980 | 464,105,110 | |||||||||||||||
Cost of shares redeemed | (332,591,862 | ) | (519,079,254 | ) | (230,058,507 | ) | (461,427,295 | ) | |||||||||||
Transaction fees (Note 4) | 100,105 | 155,719 | 46,499 | 98,593 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 96,518,387 | (41,497,435 | ) | 129,211,972 | 2,776,408 | ||||||||||||||
Total increase (decrease) in net assets | 59,422,995 | (42,165,616 | ) | 70,693,183 | 26,931,897 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 56,195,713 | 98,361,329 | 156,654,797 | 129,722,900 | |||||||||||||||
End of year/period | $ | 115,618,708 | $ | 56,195,713 | $ | 227,347,980 | $ | 156,654,797 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,434,536 | 1,950,000 | 7,159,476 | 5,309,476 | |||||||||||||||
Shares sold | 16,350,000 | 16,195,000 | 32,750,000 | 15,850,000 | |||||||||||||||
Shares repurchased | (12,400,000 | ) | (16,710,464 | ) | (19,300,000 | ) | (14,000,000 | ) | |||||||||||
Shares outstanding, end of year/period | 5,384,536 | 1,434,536 | 20,609,476 | 7,159,476 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
160
Statements of Changes in Net Assets
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares1 | Direxion Daily Semiconductor Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 279,046 | $ | 450,758 | $ | 3,012,857 | $ | 3,993,485 | |||||||||||
Net realized gain (loss) | 23,812,039 | (24,723,506 | ) | (39,978,327 | ) | 111,619,851 | |||||||||||||
Capital gain distributions from regulated investment companies | — | 16 | — | 18 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (13,026,078 | ) | 19,939,093 | 437,132,152 | (286,628,788 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 11,065,007 | (4,333,639 | ) | 400,166,682 | (171,015,434 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (256,852 | ) | (311,454 | ) | (2,744,126 | ) | (4,050,292 | ) | |||||||||||
Total distributions | (256,852 | ) | (311,454 | ) | (2,744,126 | ) | (4,050,292 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 199,547,502 | 390,730,811 | 239,439,849 | 1,232,025,871 | |||||||||||||||
Cost of shares redeemed | (200,440,061 | ) | (373,852,024 | ) | (608,816,438 | ) | (999,576,546 | ) | |||||||||||
Transaction fees (Note 4) | 60,132 | 112,156 | 123,936 | 210,103 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (832,427 | ) | 16,990,943 | (369,252,653 | ) | 232,659,428 | |||||||||||||
Total increase in net assets | 9,975,728 | 12,345,850 | 28,169,903 | 57,593,702 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 42,465,220 | 30,119,370 | 582,998,208 | 525,404,506 | |||||||||||||||
End of year/period | $ | 52,440,948 | $ | 42,465,220 | $ | 611,168,111 | $ | 582,998,208 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 975,961 | 365,961 | 5,800,004 | 3,550,004 | |||||||||||||||
Shares sold | 3,720,000 | 9,700,000 | 2,450,000 | 8,550,000 | |||||||||||||||
Shares repurchased | (3,560,000 | ) | (9,090,000 | ) | (5,000,000 | ) | (6,300,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,135,961 | 975,961 | 3,250,004 | 5,800,004 |
1 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
161
Statements of Changes in Net Assets
Direxion Daily Semiconductor Bear 3X Shares1 | Direxion Daily Technology Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 888,428 | $ | 418,068 | $ | 1,535,493 | $ | 1,883,593 | |||||||||||
Net realized gain (loss) | (83,055,773 | ) | 13,806,086 | (72,592,887 | ) | 144,800,199 | |||||||||||||
Capital gain distributions from regulated investment companies | — | 15 | — | 4 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (42,285,957 | ) | 3,980,856 | 269,189,598 | (48,439,888 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (124,453,302 | ) | 18,205,025 | 198,132,204 | 98,243,908 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (626,649 | ) | (295,359 | ) | (2,167,150 | ) | (2,434,594 | ) | |||||||||||
Total distributions | (626,649 | ) | (295,359 | ) | (2,167,150 | ) | (2,434,594 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 356,406,804 | 187,830,290 | 62,605,132 | 1,256,032,409 | |||||||||||||||
Cost of shares redeemed | (124,219,741 | ) | (189,252,708 | ) | (117,087,927 | ) | (1,133,021,000 | ) | |||||||||||
Transaction fees (Note 4) | 37,266 | 56,776 | 29,382 | 329,393 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 232,224,329 | (1,365,642 | ) | (54,453,413 | ) | 123,340,802 | |||||||||||||
Total increase in net assets | 107,144,378 | 16,544,024 | 141,511,641 | 219,150,116 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 65,459,233 | 48,915,209 | 671,150,785 | 452,000,669 | |||||||||||||||
End of year/period | $ | 172,603,611 | $ | 65,459,233 | $ | 812,662,426 | $ | 671,150,785 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 490,977 | 300,977 | 5,350,000 | 4,200,000 | |||||||||||||||
Shares sold | 4,480,000 | 1,750,000 | 600,000 | 8,500,000 | |||||||||||||||
Shares repurchased | (1,275,000 | ) | (1,560,000 | ) | (1,050,000 | ) | (7,350,000 | ) | |||||||||||
Shares outstanding, end of year/period | 3,695,977 | 490,977 | 4,900,000 | 5,350,000 |
1 Effective June 28, 2019, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
162
Statements of Changes in Net Assets
Direxion Daily Technology Bear 3X Shares | Direxion Daily Transportation Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 297,986 | $ | 209,394 | $ | 39,663 | $ | 45,061 | |||||||||||
Net realized gain (loss) | (8,569,381 | ) | (14,625,586 | ) | (402,689 | ) | 738,163 | ||||||||||||
Capital gain distributions from regulated investment companies | — | 5 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (15,896,460 | ) | 5,253,098 | 2,580,650 | (1,929,202 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (24,167,855 | ) | (9,163,089 | ) | 2,217,624 | (1,145,978 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (237,364 | ) | (153,226 | ) | (36,635 | ) | (493,856 | ) | |||||||||||
Total distributions | (237,364 | ) | (153,226 | ) | (36,635 | ) | (493,856 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 47,655,233 | 55,273,590 | 13,841,985 | 18,377,636 | |||||||||||||||
Cost of shares redeemed | (21,392,518 | ) | (30,036,286 | ) | (22,389,870 | ) | (8,834,617 | ) | |||||||||||
Transaction fees (Note 4) | 6,418 | 9,009 | 4,478 | 1,767 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 26,269,133 | 25,246,313 | (8,543,407 | ) | 9,544,786 | ||||||||||||||
Total increase (decrease) in net assets | 1,863,914 | 15,929,998 | (6,362,418 | ) | 7,904,952 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 33,348,942 | 17,418,944 | 10,849,478 | 2,944,526 | |||||||||||||||
End of year/period | $ | 35,212,856 | $ | 33,348,942 | $ | 4,487,060 | $ | 10,849,478 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,503,291 | 473,548 | 400,001 | 100,001 | |||||||||||||||
Shares sold | 2,150,000 | 2,260,000 | 600,000 | 550,000 | |||||||||||||||
Shares repurchased | (900,000 | ) | (1,230,257 | ) | (850,000 | ) | (250,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,753,291 | 1,503,291 | 150,001 | 400,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
163
Statements of Changes in Net Assets
Direxion Daily Utilities Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 53,749 | $ | 152,948 | $ | 73,478 | $ | 51,809 | |||||||||||
Net realized gain (loss) | 935,083 | (29,270 | ) | 145,632 | (696,058 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 1 | — | 2 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 145,808 | (189,796 | ) | 1,084,200 | (352,422 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,134,640 | (66,117 | ) | 1,303,310 | (996,669 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (50,310 | ) | (153,771 | ) | (59,717 | ) | (47,883 | ) | |||||||||||
Total distributions | (50,310 | ) | (153,771 | ) | (59,717 | ) | (47,883 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 3,216,176 | 20,361,134 | 6,519,754 | — | |||||||||||||||
Cost of shares redeemed | (1,369,467 | ) | (19,086,317 | ) | — | (1,982,881 | ) | ||||||||||||
Transaction fees (Note 4) | 274 | 3,941 | — | 595 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,846,983 | 1,278,758 | 6,519,754 | (1,982,286 | ) | ||||||||||||||
Total increase in net assets | 2,931,313 | 1,058,870 | 7,763,347 | (3,026,838 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 4,171,570 | 3,112,700 | 5,824,141 | 8,850,979 | |||||||||||||||
End of year/period | $ | 7,102,883 | $ | 4,171,570 | $ | 13,587,488 | $ | 5,824,141 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 150,001 | 100,001 | 150,000 | 200,000 | |||||||||||||||
Shares sold | 100,000 | 850,000 | 150,000 | — | |||||||||||||||
Shares repurchased | (50,000 | ) | (800,000 | ) | — | (50,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 200,001 | 150,001 | 300,000 | 150,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
164
Statements of Changes in Net Assets
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Direxion Daily 20+ Year Treasury Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 116,313 | $ | 107,691 | $ | 878,197 | $ | 1,276,363 | |||||||||||
Net realized gain (loss) | (418,662 | ) | 1,533,475 | 5,410,124 | (10,227,467 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 7 | — | 4 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,781,920 | ) | 819,977 | 18,854,837 | (17,918,830 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,084,269 | ) | 2,461,150 | 25,143,158 | (26,869,930 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (101,488 | ) | (31,172 | ) | (904,279 | ) | (1,338,321 | ) | |||||||||||
Total distributions | (101,488 | ) | (31,172 | ) | (904,279 | ) | (1,338,321 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | — | 44,171,591 | 206,751,075 | |||||||||||||||
Cost of shares redeemed | (2,026,910 | ) | (10,968,478 | ) | (57,028,100 | ) | (168,055,988 | ) | |||||||||||
Transaction fees (Note 4) | 608 | 3,291 | 15,607 | 39,180 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (2,026,302 | ) | (10,965,187 | ) | (12,840,902 | ) | 38,734,267 | ||||||||||||
Total increase (decrease) in net assets | (5,212,059 | ) | (8,535,209 | ) | 11,397,977 | 10,526,016 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 20,189,094 | 28,724,303 | 100,873,044 | 90,347,028 | |||||||||||||||
End of year/period | $ | 14,977,035 | $ | 20,189,094 | $ | 112,271,021 | $ | 100,873,044 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,300,000 | 2,050,000 | 6,400,000 | 4,350,000 | |||||||||||||||
Shares sold | — | — | 2,300,000 | 11,050,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (750,000 | ) | (3,150,000 | ) | (9,000,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,150,000 | 1,300,000 | 5,550,000 | 6,400,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
165
Statements of Changes in Net Assets
Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 1,455,920 | $ | 2,076,660 | |||||||
Net realized gain (loss) | 152,756 | (3,795,088 | ) | ||||||||
Capital gain distributions from regulated investment companies | — | 112 | |||||||||
Change in net unrealized appreciation (depreciation) | (83,951,423 | ) | 70,730,672 | ||||||||
Net increase (decrease) in net assets resulting from operations | (82,342,747 | ) | 69,012,356 | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (1,311,831 | ) | (1,039,498 | ) | |||||||
Total distributions | (1,311,831 | ) | (1,039,498 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 76,533,993 | 222,392,527 | |||||||||
Cost of shares redeemed | (129,990,058 | ) | (316,752,213 | ) | |||||||
Transaction fees (Note 4) | 38,997 | 95,025 | |||||||||
Net decrease in net assets resulting from capital transactions | (53,417,068 | ) | (94,264,661 | ) | |||||||
Total decrease in net assets | (137,071,646 | ) | (26,291,803 | ) | |||||||
Net assets: | |||||||||||
Beginning of year/period | 345,100,113 | 371,391,916 | |||||||||
End of year/period | $ | 208,028,467 | $ | 345,100,113 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of year/period | 15,099,789 | 19,399,789 | |||||||||
Shares sold | 3,900,000 | 11,250,000 | |||||||||
Shares repurchased | (6,800,000 | ) | (15,550,000 | ) | |||||||
Shares outstanding, end of year/period | 12,199,789 | 15,099,789 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
166
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 38.45 | $ | 0.11 | $ | 0.14 | $ | 7.14 | $ | 7.25 | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | $ | 45.54 | 19.14 | % | $ | 54,650 | 1.08 | % | 1.12 | % | 0.59 | % | 0.95 | % | 0.99 | % | 0.72 | % | 18 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 42.92 | 0.22 | 0.29 | (3.42 | ) | (3.20 | ) | (0.10 | ) | (1.17 | ) | — | (1.27 | ) | $ | 38.45 | (7.90 | )% | $ | 57,678 | 1.10 | % | 1.13 | % | 0.46 | % | 0.95 | % | 0.98 | % | 0.61 | % | 39 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 24.95 | (0.06 | ) | (0.03 | ) | 18.64 | 18.58 | — | (0.61 | ) | — | (0.61 | ) | $ | 42.92 | 75.11 | % | $ | 62,242 | 1.04 | % | 1.09 | % | (0.18 | )% | 0.95 | % | 1.00 | % | (0.09 | )% | 130 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 23.15 | (0.18 | ) | (0.17 | ) | 1.98 | 1.80 | — | — | — | — | $ | 24.95 | 7.78 | % | $ | 46,170 | 0.99 | % | 1.06 | % | (0.78 | )% | 0.95 | % | 1.02 | % | (0.74 | )% | 171 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 22.86 | (0.22 | ) | (0.22 | ) | 0.51 | 0.29 | — | — | — | — | $ | 23.15 | 1.27 | % | $ | 69,466 | 0.96 | % | 0.99 | % | (0.88 | )% | 0.95 | % | 0.98 | % | (0.87 | )% | 103 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 18.48 | (0.19 | ) | (0.19 | ) | 5.35 | 5.16 | — | (0.78 | ) | — | (0.78 | ) | $ | 22.86 | 29.26 | % | $ | 91,439 | 0.98 | % | 1.04 | % | (0.93 | )% | 0.95 | % | 1.01 | % | (0.89 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 70.05 | 0.44 | 0.49 | (18.90 | ) | (18.46 | ) | (0.38 | ) | — | — | (0.38 | ) | $ | 51.21 | (26.50 | )% | $ | 3,220 | 1.09 | % | 1.65 | % | 1.35 | % | 0.95 | % | 1.51 | % | 1.49 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 75.85 | 0.35 | 0.40 | (6.05 | ) | (5.70 | ) | (0.10 | ) | — | — | (0.10 | ) | $ | 70.05 | (7.53 | )% | $ | 4,404 | 0.97 | % | 1.46 | % | 0.60 | % | 0.95 | % | 1.44 | % | 0.62 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 150.10 | (0.30 | ) | (0.30 | ) | (73.95 | ) | (74.25 | ) | — | — | — | — | $ | 75.85 | (49.47 | )% | $ | 6,288 | 0.96 | % | 1.29 | % | (0.30 | )% | 0.95 | % | 1.28 | % | (0.29 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 212.30 | (1.50 | ) | (1.50 | ) | (60.70 | ) | (62.20 | ) | — | — | — | — | $ | 150.10 | (29.30 | )% | $ | 10,941 | 0.97 | % | 1.23 | % | (0.80 | )% | 0.95 | % | 1.21 | % | (0.78 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 270.60 | (2.10 | ) | (2.05 | ) | (56.20 | ) | (58.30 | ) | — | — | — | — | $ | 212.30 | (21.54 | )% | $ | 11,227 | 0.95 | % | 1.23 | % | (0.93 | )% | 0.95 | % | 1.23 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 422.60 | (3.20 | ) | (3.20 | ) | (148.80 | ) | (152.00 | ) | — | — | — | — | $ | 270.60 | (35.97 | )% | $ | 8,229 | 0.95 | % | 1.32 | % | (0.94 | )% | 0.95 | % | 1.32 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 43.04 | 0.24 | 0.26 | 9.28 | 9.52 | (0.21 | ) | — | — | (0.21 | ) | $ | 52.35 | 22.42 | % | $ | 1,063,035 | 1.05 | % | 1.05 | % | 1.13 | % | 0.95 | % | 0.95 | % | 1.23 | % | 53 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 40.86 | 0.31 | 0.34 | 3.71 | 4.02 | (0.24 | ) | (1.60 | ) | — | (1.84 | ) | $ | 43.04 | 9.74 | % | $ | 992,232 | 1.00 | % | 1.00 | % | 0.68 | % | 0.95 | % | 0.95 | % | 0.73 | % | 95 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 22.92 | 0.01 | 0.03 | 17.93 | 17.94 | — | — | — | — | $ | 40.86 | 78.31 | % | $ | 692,851 | 1.01 | % | 1.00 | % | 0.03 | % | 0.95 | % | 0.94 | % | 0.09 | % | 99 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 21.92 | (0.18 | ) | (0.16 | ) | 1.18 | 1.00 | — | — | — | — | $ | 22.92 | 4.56 | % | $ | 458,407 | 1.02 | % | 1.02 | % | (0.85 | )% | 0.95 | % | 0.95 | % | (0.78 | )% | 187 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 20.63 | (0.20 | ) | (0.20 | ) | 1.49 | 1.29 | — | — | — | — | $ | 21.92 | 6.24 | % | $ | 574,270 | 0.97 | % | 0.96 | % | (0.93 | )% | 0.95 | % | 0.94 | % | (0.91 | )% | 254 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 13.61 | (0.12 | ) | (0.12 | ) | 7.14 | 7.02 | — | — | — | — | $ | 20.63 | 51.53 | % | $ | 552,931 | 0.97 | % | 0.98 | % | (0.71 | )% | 0.95 | % | 0.96 | % | (0.68 | )% | 110 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 25.92 | 0.18 | 0.18 | (7.32 | ) | (7.14 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 18.62 | (27.72 | )% | $ | 356,684 | 0.96 | % | 0.97 | % | 1.55 | % | 0.95 | % | 0.96 | % | 1.56 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 33.94 | 0.18 | 0.18 | (8.12 | ) | (7.94 | ) | (0.08 | ) | — | — | (0.08 | ) | $ | 25.92 | (23.38 | )% | $ | 267,114 | 0.95 | % | 0.96 | % | 0.68 | % | 0.94 | % | 0.95 | % | 0.69 | % | 1 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 64.65 | (0.13 | ) | (0.13 | ) | (30.58 | ) | (30.71 | ) | — | — | — | — | $ | 33.94 | (47.50 | )% | $ | 381,925 | 0.93 | % | 0.96 | % | (0.28 | )% | 0.93 | % | 0.96 | % | (0.28 | )% | 7 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 83.45 | (0.55 | ) | (0.55 | ) | (18.25 | ) | (18.80 | ) | — | — | — | — | $ | 64.65 | (22.53 | )% | $ | 562,025 | 0.95 | % | 0.97 | % | (0.78 | )% | 0.94 | % | 0.96 | % | (0.77 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 112.65 | (0.90 | ) | (0.90 | ) | (28.30 | ) | (29.20 | ) | — | — | — | — | $ | 83.45 | (25.92 | )% | $ | 368,523 | 0.95 | % | 0.96 | % | (0.94 | )% | 0.95 | % | 0.96 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 198.50 | (1.35 | ) | (1.35 | ) | (84.50 | ) | (85.85 | ) | — | — | — | — | $ | 112.65 | (43.25 | )% | $ | 204,479 | 0.95 | % | 0.97 | % | (0.95 | )% | 0.95 | % | 0.97 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 61.79 | 0.19 | 0.24 | 5.17 | 5.36 | (0.14 | ) | — | — | (0.14 | ) | $ | 67.01 | 8.81 | % | $ | 804,079 | 1.11 | % | 1.11 | % | 0.66 | % | 0.95 | % | 0.95 | % | 0.82 | % | 44 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 66.18 | 0.20 | 0.31 | (4.47 | ) | (4.27 | ) | (0.12 | ) | — | — | (0.12 | ) | $ | 61.79 | (6.49 | )% | $ | 883,562 | 1.10 | % | 1.12 | % | 0.26 | % | 0.95 | % | 0.97 | % | 0.41 | % | 51 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 34.41 | (0.11 | ) | (0.07 | ) | 31.88 | 31.77 | — | — | — | — | $ | 66.18 | 92.36 | % | $ | 658,510 | 1.02 | % | 1.03 | % | (0.21 | )% | 0.95 | % | 0.96 | % | (0.14 | )% | 185 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 34.44 | (0.24 | ) | (0.23 | ) | 0.21 | (0.03 | ) | — | — | — | — | $ | 34.41 | (0.09 | )% | $ | 729,433 | 0.99 | % | 1.01 | % | (0.78 | )% | 0.95 | % | 0.97 | % | (0.74 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 37.88 | (0.35 | ) | (0.34 | ) | (2.86 | ) | (3.20 | ) | — | (0.24 | ) | — | (0.24 | ) | $ | 34.44 | (8.50 | )% | $ | 836,739 | 0.97 | % | 0.98 | % | (0.88 | )% | 0.95 | % | 0.97 | % | (0.86 | )% | 4,838 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 33.45 | (0.33 | ) | (0.32 | ) | 5.36 | 5.03 | — | (0.60 | ) | — | (0.60 | ) | $ | 37.88 | 15.30 | % | $ | 1,090,966 | 0.98 | % | 1.02 | % | (0.93 | )% | 0.95 | % | 0.99 | % | (0.90 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 57.80 | 0.38 | 0.40 | (13.29 | ) | (12.91 | ) | (0.39 | ) | — | — | (0.39 | ) | $ | 44.50 | (22.55 | )% | $ | 315,705 | 1.01 | % | 1.01 | % | 1.42 | % | 0.95 | % | 0.95 | % | 1.48 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 66.50 | 0.40 | 0.40 | (8.85 | ) | (8.45 | ) | (0.25 | ) | — | — | (0.25 | ) | $ | 57.80 | (12.65 | )% | $ | 282,984 | 0.95 | % | 0.96 | % | 0.73 | % | 0.95 | % | 0.96 | % | 0.73 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 153.65 | (0.20 | ) | (0.20 | ) | (86.95 | ) | (87.15 | ) | — | — | — | — | $ | 66.50 | (56.72 | )% | $ | 647,079 | 0.96 | % | 0.98 | % | (0.23 | )% | 0.95 | % | 0.97 | % | (0.22 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 218.85 | (1.45 | ) | (1.45 | ) | (63.75 | ) | (65.20 | ) | — | — | — | — | $ | 153.65 | (29.79 | )% | $ | 586,011 | 0.97 | % | 1.00 | % | (0.79 | )% | 0.95 | % | 0.98 | % | (0.77 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 270.80 | (2.10 | ) | (2.10 | ) | (49.85 | ) | (51.95 | ) | — | — | — | — | $ | 218.85 | (19.18 | )% | $ | 504,280 | 0.95 | % | 0.98 | % | (0.94 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 414.80 | (3.20 | ) | (3.20 | ) | (140.80 | ) | (144.00 | ) | — | — | — | — | $ | 270.80 | (34.72 | )% | $ | 606,361 | 0.95 | % | 1.02 | % | (0.95 | )% | 0.95 | % | 1.02 | % | (0.95 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
167
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 15.85 | $ | 0.06 | $ | 0.07 | $ | 3.87 | $ | 3.93 | $ | (0.05 | ) | $ | — | $ | — | $ | (0.05 | ) | $ | 19.73 | 24.98 | % | $ | 2,960 | 0.98 | % | 2.49 | % | 0.80 | % | 0.95 | % | 2.46 | % | 0.83 | % | 10 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 30.49 | 0.39 | 0.40 | (12.44 | ) | (12.05 | ) | (0.42 | ) | (2.15 | ) | (0.02 | ) | (2.59 | ) | $ | 15.85 | (42.78 | )% | $ | 2,377 | 0.96 | % | 1.98 | % | 1.59 | % | 0.95 | % | 1.97 | % | 1.60 | % | 53 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Period July 12, 20179 through October 31, 2017 | $ | 25.00 | 0.0010 | 0.0010 | 5.49 | 5.49 | — | — | — | — | $ | 30.49 | 21.96 | % | $ | 4,573 | 0.95 | % | 3.13 | % | 0.04 | % | 0.95 | % | 3.13 | % | 0.04 | % | 70 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 17.85 | 0.11 | 0.12 | 6.40 | 6.51 | (0.11 | ) | — | — | (0.11 | ) | $ | 24.25 | 36.52 | % | $ | 413,485 | 1.07 | % | 1.08 | % | 1.01 | % | 0.95 | % | 0.96 | % | 1.13 | % | 78 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 32.66 | 0.48 | 0.50 | (14.78 | ) | (14.30 | ) | (0.51 | ) | — | — | (0.51 | ) | $ | 17.85 | (44.39 | )% | $ | 307,058 | 1.02 | % | 1.05 | % | 1.63 | % | 0.95 | % | 0.98 | % | 1.70 | % | 158 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 17.25 | (0.09 | ) | (0.07 | ) | 15.50 | 15.41 | — | — | — | — | $ | 32.66 | 89.33 | % | $ | 236,786 | 1.03 | % | 1.08 | % | (0.41 | )% | 0.95 | % | 1.00 | % | (0.33 | )% | 112 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 21.73 | (0.10 | ) | (0.10 | ) | (4.38 | ) | (4.48 | ) | — | — | — | — | $ | 17.25 | (20.62 | )% | $ | 150,955 | 0.99 | % | 1.04 | % | (0.67 | )% | 0.95 | % | 1.00 | % | (0.63 | )% | 80 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 31.65 | (0.27 | ) | (0.26 | ) | (9.58 | ) | (9.85 | ) | — | (0.07 | ) | — | (0.07 | ) | $ | 21.73 | (31.19 | )% | $ | 159,741 | 0.97 | % | 1.00 | % | (0.80 | )% | 0.95 | % | 0.98 | % | (0.78 | )% | 71 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 30.02 | (0.24 | ) | (0.23 | ) | 1.87 | 1.63 | — | — | — | — | $ | 31.65 | 5.43 | % | $ | 110,784 | 0.96 | % | 1.03 | % | (0.88 | )% | 0.95 | % | 1.02 | % | (0.87 | )% | 103 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 71.04 | 0.37 | 0.38 | (27.69 | ) | (27.32 | ) | (0.36 | ) | — | — | (0.36 | ) | $ | 43.36 | (38.56 | )% | $ | 87,913 | 1.00 | % | 1.03 | % | 1.45 | % | 0.95 | % | 0.98 | % | 1.50 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 65.30 | 0.39 | 0.43 | 5.52 | 5.91 | (0.17 | ) | — | — | (0.17 | ) | $ | 71.04 | 9.14 | % | $ | 80,084 | 1.02 | % | 1.08 | % | 0.69 | % | 0.95 | % | 1.01 | % | 0.76 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 154.50 | (0.30 | ) | (0.30 | ) | (88.90 | ) | (89.20 | ) | — | — | — | — | $ | 65.30 | (57.73 | )% | $ | 40,664 | 0.96 | % | 1.05 | % | (0.28 | )% | 0.95 | % | 1.04 | % | (0.27 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 216.50 | (1.80 | ) | (1.70 | ) | (60.20 | ) | (62.00 | ) | — | — | — | — | $ | 154.50 | (28.64 | )% | $ | 67,613 | 1.01 | % | 1.09 | % | (0.84 | )% | 0.95 | % | 1.03 | % | (0.78 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 360.50 | (2.00 | ) | (2.00 | ) | (142.00 | ) | (144.00 | ) | — | — | — | — | $ | 216.50 | (39.95 | )% | $ | 106,669 | 0.97 | % | 1.05 | % | (0.95 | )% | 0.95 | % | 1.03 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 568.50 | (4.80 | ) | (4.80 | ) | (203.20 | ) | (208.00 | ) | — | — | — | — | $ | 360.50 | (36.59 | )% | $ | 13,986 | 0.96 | % | 1.18 | % | (0.95 | )% | 0.95 | % | 1.18 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 24.54 | 0.12 | 0.14 | 4.90 | 5.02 | (0.17 | ) | — | — | (0.17 | ) | $ | 29.39 | 20.68 | % | $ | 30,862 | 1.11 | % | 1.12 | % | 1.03 | % | 0.95 | % | 0.96 | % | 1.19 | % | 65 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 36.99 | 0.54 | 0.56 | (12.34 | ) | (11.80 | ) | (0.65 | ) | — | — | (0.65 | ) | $ | 24.54 | (32.39 | )% | $ | 46,632 | 1.00 | % | 0.98 | % | 1.52 | % | 0.95 | % | 0.93 | % | 1.57 | % | 54 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 18.88 | 0.22 | 0.25 | 17.89 | 18.11 | — | — | — | — | $ | 36.99 | 95.92 | % | $ | 64,737 | 1.03 | % | 1.06 | % | 0.78 | % | 0.95 | % | 0.98 | % | 0.86 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 27.78 | (0.15 | ) | (0.15 | ) | (8.75 | ) | (8.90 | ) | — | — | — | — | $ | 18.88 | (32.04 | )% | $ | 26,433 | 0.97 | % | 1.04 | % | (0.69 | )% | 0.95 | % | 1.02 | % | (0.67 | )% | 210 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 32.10 | (0.10 | ) | (0.10 | ) | (4.17 | ) | (4.27 | ) | (0.05 | ) | — | — | (0.05 | ) | $ | 27.78 | (13.33 | )% | $ | 51,389 | 0.95 | % | 0.96 | % | (0.31 | )% | 0.95 | % | 0.96 | % | (0.31 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Period January 22, 20149 through October 31, 2014 | $ | 40.00 | 0.27 | 0.27 | (7.99 | ) | (7.72 | ) | (0.18 | ) | — | — | (0.18 | ) | $ | 32.10 | (19.35 | )% | $ | 9,631 | 0.95 | % | 1.74 | % | 0.91 | % | 0.95 | % | 1.74 | % | 0.91 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 23.74 | 0.13 | 0.17 | (0.97 | ) | (0.84 | ) | (0.14 | ) | — | — | (0.14 | ) | $ | 22.76 | (3.49 | )% | $ | 28,885 | 1.26 | % | 1.44 | % | 1.15 | % | 0.95 | % | 1.13 | % | 1.46 | % | 129 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 31.54 | 0.29 | 0.32 | (7.87 | ) | (7.58 | ) | (0.21 | ) | — | (0.01 | ) | (0.22 | ) | $ | 23.74 | (24.04 | )% | $ | 13,512 | 1.03 | % | 1.19 | % | 0.99 | % | 0.95 | % | 1.11 | % | 1.07 | % | 56 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 28.79 | (0.08 | ) | (0.04 | ) | 2.83 | 2.75 | — | — | — | — | $ | 31.54 | 9.55 | % | $ | 14,796 | 1.12 | % | 1.35 | % | (0.30 | )% | 0.95 | % | 1.18 | % | (0.13 | )% | 58 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 16.48 | (0.16 | ) | (0.14 | ) | 12.47 | 12.31 | — | — | — | — | $ | 28.79 | 74.70 | % | $ | 17,823 | 1.06 | % | 1.36 | % | (0.87 | )% | 0.95 | % | 1.25 | % | (0.76 | )% | 101 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 74.16 | (0.30 | ) | (0.30 | ) | (57.38 | ) | (57.68 | ) | — | — | — | — | $ | 16.48 | (77.78 | )% | $ | 10,216 | 0.96 | % | 1.15 | % | (0.87 | )% | 0.95 | % | 1.14 | % | (0.86 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 104.32 | (0.48 | ) | (0.44 | ) | (29.68 | ) | (30.16 | ) | — | — | — | — | $ | 74.16 | (28.91 | )% | $ | 21,879 | 0.96 | % | 1.18 | % | (0.54 | )% | 0.95 | % | 1.17 | % | (0.52 | )% | 64 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 29.40 | 0.14 | 0.22 | (1.05 | ) | (0.91 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 28.34 | (3.01 | )% | $ | 491,730 | 1.48 | % | 1.46 | % | 0.93 | % | 0.95 | % | 0.93 | % | 1.46 | % | 62 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 40.29 | 0.40 | 0.45 | (10.88 | ) | (10.48 | ) | (0.39 | ) | — | (0.02 | ) | (0.41 | ) | $ | 29.40 | (25.98 | )% | $ | 407,268 | 1.15 | % | 1.14 | % | 1.54 | % | 0.95 | % | 0.94 | % | 1.74 | % | 133 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 47.45 | (0.03 | ) | 0.04 | (7.13 | ) | (7.16 | ) | — | — | — | — | $ | 40.29 | (15.09 | )% | $ | 153,270 | 1.13 | % | 1.15 | % | (0.08 | )% | 0.95 | % | 0.97 | % | 0.10 | % | 42 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 16.48 | (0.15 | ) | (0.12 | ) | 31.12 | 30.97 | — | — | — | — | $ | 47.45 | 187.92 | % | $ | 78,470 | 1.10 | % | 1.17 | % | (0.77 | )% | 0.95 | % | 1.02 | % | (0.62 | )% | 164 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 151.00 | (0.40 | ) | (0.40 | ) | (134.12 | ) | (134.52 | ) | — | — | — | — | $ | 16.48 | (89.09 | )% | $ | 41,284 | 0.95 | % | 1.04 | % | (0.92 | )% | 0.95 | % | 1.04 | % | (0.92 | )% | 56 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 284.30 | (0.70 | ) | (0.70 | ) | (132.60 | ) | (133.30 | ) | — | — | — | — | $ | 151.00 | (46.89 | )% | $ | 40,761 | 0.97 | % | 1.38 | % | (0.35 | )% | 0.95 | % | 1.36 | % | (0.33 | )% | 229 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
168
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 55.23 | $ | 0.41 | $ | 0.45 | $ | 9.66 | $ | 10.07 | $ | (0.33 | ) | $ | — | $ | — | $ | (0.33 | ) | $ | 64.97 | 18.48 | % | $ | 16,242 | 1.08 | % | 1.44 | % | 1.48 | % | 0.95 | % | 1.31 | % | 1.61 | % | 19 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 79.38 | 0.95 | 1.00 | (23.54 | ) | (22.59 | ) | (1.22 | ) | (0.34 | ) | — | (1.56 | ) | $ | 55.23 | (29.03 | )% | $ | 19,332 | 1.01 | % | 1.18 | % | 1.22 | % | 0.95 | % | 1.12 | % | 1.28 | % | 30 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 44.52 | 0.17 | 0.21 | 34.69 | 34.86 | — | — | — | — | $ | 79.38 | 78.30 | % | $ | 31,750 | 1.02 | % | 1.27 | % | 0.28 | % | 0.95 | % | 1.20 | % | 0.35 | % | 87 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 55.47 | (0.05 | ) | (0.04 | ) | (10.90 | ) | (10.95 | ) | — | — | — | — | $ | 44.52 | (19.74 | )% | $ | 17,806 | 0.96 | % | 1.22 | % | (0.11 | )% | 0.95 | % | 1.21 | % | (0.10 | )% | 188 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 65.42 | (0.46 | ) | (0.44 | ) | (9.49 | ) | (9.95 | ) | — | — | — | — | $ | 55.47 | (15.21 | )% | $ | 33,284 | 0.98 | % | 1.12 | % | (0.72 | )% | 0.95 | % | 1.10 | % | (0.69 | )% | 276 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 69.40 | (0.54 | ) | (0.53 | ) | (3.44 | ) | (3.98 | ) | — | — | — | — | $ | 65.42 | (5.73 | )% | $ | 35,982 | 0.97 | % | 1.06 | % | (0.75 | )% | 0.95 | % | 1.05 | % | (0.73 | )% | 32 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 15.86 | 0.10 | 0.11 | (3.48 | ) | (3.38 | ) | (0.10 | ) | — | — | (0.10 | ) | $ | 12.38 | (21.41 | )% | $ | 8,481 | 0.96 | % | 2.24 | % | 1.47 | % | 0.95 | % | 2.23 | % | 1.48 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 13.08 | 0.09 | 0.09 | 2.75 | 2.84 | (0.06 | ) | — | — | (0.06 | ) | $ | 15.86 | 21.82 | % | $ | 3,727 | 0.96 | % | 2.54 | % | 0.70 | % | 0.95 | % | 2.53 | % | 0.71 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 25.28 | (0.07 | ) | (0.06 | ) | (12.13 | ) | (12.20 | ) | — | — | — | — | $ | 13.08 | (48.26 | )% | $ | 3,728 | 0.97 | % | 2.28 | % | (0.35 | )% | 0.95 | % | 2.26 | % | (0.33 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 28.83 | (0.25 | ) | (0.24 | ) | (3.30 | ) | (3.55 | ) | — | — | — | — | $ | 25.28 | (12.31 | )% | $ | 8,468 | 0.99 | % | 1.79 | % | (0.84 | )% | 0.95 | % | 1.75 | % | (0.80 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 32.48 | (0.29 | ) | (0.29 | ) | (3.36 | ) | (3.65 | ) | — | — | — | — | $ | 28.83 | (11.24 | )% | $ | 11,097 | 0.96 | % | 1.83 | % | (0.95 | )% | 0.95 | % | 1.82 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 36.33 | (0.31 | ) | (0.31 | ) | (3.54 | ) | (3.85 | ) | — | — | — | — | $ | 32.48 | (10.60 | )% | $ | 9,255 | 0.95 | % | 2.09 | % | (0.95 | )% | 0.95 | % | 2.08 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 62.74 | 0.56 | 0.59 | 21.92 | 22.48 | (0.54 | ) | — | — | (0.54 | ) | $ | 84.68 | 35.85 | % | $ | 239,793 | 1.03 | % | 1.05 | % | 1.51 | % | 0.95 | % | 0.97 | % | 1.59 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 115.85 | 1.02 | 1.05 | (53.34 | ) | (52.32 | ) | (0.77 | ) | — | (0.02 | ) | (0.79 | ) | $ | 62.74 | (45.51 | )% | $ | 202,745 | 0.98 | % | 0.99 | % | 0.94 | % | 0.95 | % | 0.96 | % | 0.97 | % | 136 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 62.59 | (0.37 | ) | (0.28 | ) | 53.63 | 53.26 | — | — | — | — | $ | 115.85 | 85.09 | % | $ | 275,919 | 1.06 | % | 1.08 | % | (0.47 | )% | 0.95 | % | 0.97 | % | (0.36 | )% | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 57.28 | (0.42 | ) | (0.40 | ) | 5.73 | 5.31 | — | — | — | — | $ | 62.59 | 9.27 | % | $ | 195,996 | 0.99 | % | 1.03 | % | (0.83 | )% | 0.95 | % | 0.99 | % | (0.79 | )% | 162 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 110.88 | (0.68 | ) | (0.68 | ) | (52.92 | ) | (53.60 | ) | — | — | — | — | $ | 57.28 | (48.34 | )% | $ | 182,247 | 0.96 | % | 0.95 | % | (0.78 | )% | 0.95 | % | 0.95 | % | (0.77 | )% | 226 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 119.48 | (0.84 | ) | (0.84 | ) | (7.76 | ) | (8.60 | ) | — | — | — | — | $ | 110.88 | (7.20 | )% | $ | 287,673 | 0.96 | % | 0.99 | % | (0.76 | )% | 0.95 | % | 0.98 | % | (0.75 | )% | 116 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 64.78 | 0.36 | 0.37 | (23.76 | ) | (23.40 | ) | (0.40 | ) | — | — | (0.40 | ) | $ | 40.98 | (36.26 | )% | $ | 65,371 | 0.99 | % | 1.04 | % | 1.47 | % | 0.95 | % | 1.00 | % | 1.51 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 50.55 | 0.30 | 0.32 | 14.09 | 14.39 | (0.16 | ) | — | — | (0.16 | ) | $ | 64.78 | 28.60 | % | $ | 90,383 | 0.99 | % | 1.03 | % | 0.64 | % | 0.95 | % | 0.99 | % | 0.68 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 114.55 | (0.20 | ) | (0.20 | ) | (63.80 | ) | (64.00 | ) | — | — | — | — | $ | 50.55 | (55.87 | )% | $ | 84,166 | 0.96 | % | 1.00 | % | (0.26 | )% | 0.95 | % | 0.99 | % | (0.25 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 202.20 | (1.30 | ) | (1.25 | ) | (86.35 | ) | (87.65 | ) | — | — | — | — | $ | 114.55 | (43.35 | )% | $ | 143,830 | 0.97 | % | 1.02 | % | (0.79 | )% | 0.95 | % | 1.00 | % | (0.77 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 163.65 | (1.70 | ) | (1.70 | ) | 40.25 | 38.55 | — | — | — | — | $ | 202.20 | 23.56 | % | $ | 124,472 | 0.96 | % | 0.98 | % | (0.94 | )% | 0.95 | % | 0.97 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 202.25 | (1.75 | ) | (1.75 | ) | (36.85 | ) | (38.60 | ) | — | — | — | — | $ | 163.65 | (19.09 | )% | $ | 86,012 | 0.95 | % | 1.01 | % | (0.95 | )% | 0.95 | % | 1.01 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 51.51 | 0.28 | 0.31 | 25.68 | 25.96 | (0.19 | ) | — | — | (0.19 | ) | $ | 77.28 | 50.45 | % | $ | 81,120 | 1.05 | % | 1.04 | % | 0.84 | % | 0.95 | % | 0.94 | % | 0.94 | % | 43 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 95.50 | 0.09 | 0.14 | (43.76 | ) | (43.67 | ) | (0.24 | ) | — | (0.08 | ) | (0.32 | ) | $ | 51.51 | (45.89 | )% | $ | 100,427 | 1.01 | % | 0.99 | % | 0.11 | % | 0.95 | % | 0.93 | % | 0.17 | % | 59 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 57.82 | (0.34 | ) | (0.28 | ) | 38.02 | 37.68 | — | — | — | — | $ | 95.50 | 65.17 | % | $ | 105,023 | 1.04 | % | 1.07 | % | (0.49 | )% | 0.95 | % | 0.98 | % | (0.40 | )% | 15 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 58.32 | (0.30 | ) | (0.29 | ) | (0.20 | ) | (0.50 | ) | — | — | — | — | $ | 57.82 | (0.86 | )% | $ | 75,147 | 0.97 | % | 1.03 | % | (0.60 | )% | 0.95 | % | 1.01 | % | (0.58 | )% | 119 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 101.88 | (0.56 | ) | (0.56 | ) | (43.00 | ) | (43.56 | ) | — | — | — | — | $ | 58.32 | (42.76 | )% | $ | 94,040 | 0.96 | % | 0.98 | % | (0.69 | )% | 0.95 | % | 0.97 | % | (0.68 | )% | 355 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 53.56 | (0.64 | ) | (0.64 | ) | 48.96 | 48.32 | — | — | — | — | $ | 101.88 | 90.24 | % | $ | 78,949 | 0.98 | % | 1.04 | % | (0.90 | )% | 0.95 | % | 1.02 | % | (0.87 | )% | 195 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 54.23 | 0.26 | 0.26 | (1.05 | ) | (0.79 | ) | (0.18 | ) | — | — | (0.18 | ) | $ | 53.26 | (1.44 | )% | $ | 10,651 | 0.95 | % | 1.28 | % | 1.04 | % | 0.95 | % | 1.28 | % | 1.04 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 71.93 | 0.14 | 0.17 | (17.70 | ) | (17.56 | ) | (0.14 | ) | — | (0.00 | )10 | (0.14 | ) | $ | 54.23 | (24.47 | )% | $ | 13,557 | 1.00 | % | 1.11 | % | 0.18 | % | 0.95 | % | 1.06 | % | 0.23 | % | 6 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 46.28 | (0.19 | ) | (0.16 | ) | 25.84 | 25.65 | — | — | — | — | $ | 71.93 | 55.42 | % | $ | 14,385 | 1.02 | % | 1.58 | % | (0.37 | )% | 0.95 | % | 1.51 | % | (0.30 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 47.32 | (0.20 | ) | (0.20 | ) | (0.84 | ) | (1.04 | ) | — | — | — | — | $ | 46.28 | (2.20 | )% | $ | 11,569 | 0.96 | % | 1.41 | % | (0.50 | )% | 0.95 | % | 1.40 | % | (0.49 | )% | 204 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 48.91 | (0.27 | ) | (0.26 | ) | (1.32 | ) | (1.59 | ) | — | — | — | — | $ | 47.32 | (3.25 | )% | $ | 14,196 | 0.96 | % | 1.30 | % | (0.53 | )% | 0.95 | % | 1.29 | % | (0.52 | )% | 17 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 49.65 | (0.29 | ) | (0.28 | ) | (0.14 | ) | (0.43 | ) | — | (0.31 | ) | — | (0.31 | ) | $ | 48.91 | (0.87 | )% | $ | 7,337 | 0.96 | % | 1.69 | % | (0.63 | )% | 0.95 | % | 1.68 | % | (0.63 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
169
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 10.69 | $ | 0.10 | $ | 0.11 | $ | 1.99 | $ | 2.09 | $ | (0.08 | ) | $ | — | $ | — | $ | (0.08 | ) | $ | 12.70 | 19.74 | % | $ | 6,987 | 1.12 | % | 1.29 | % | 1.80 | % | 0.95 | % | 1.12 | % | 1.97 | % | 245 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 21.83 | 0.29 | 0.29 | (10.88 | ) | (10.59 | ) | (0.55 | ) | — | — | (0.55 | ) | $ | 10.69 | (49.66 | )% | $ | 4,809 | 0.96 | % | 1.13 | % | 1.50 | % | 0.95 | % | 1.12 | % | 1.51 | % | 140 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 | $ | 25.00 | 0.04 | 0.04 | (3.21 | ) | (3.17 | ) | — | — | — | — | $ | 21.83 | (12.68 | )% | $ | 3,274 | 0.96 | % | 2.74 | % | 0.30 | % | 0.95 | % | 2.73 | % | 0.29 | % | 647 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 24.13 | 0.15 | 0.17 | 2.40 | 2.55 | (0.14 | ) | — | — | (0.14 | ) | $ | 26.54 | 10.61 | % | $ | 46,445 | 1.06 | % | 1.13 | % | 1.14 | % | 0.95 | % | 1.02 | % | 1.25 | % | 63 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 60.22 | 0.36 | 0.39 | (34.01 | ) | (33.65 | ) | (0.60 | ) | (1.84 | ) | — | (2.44 | ) | $ | 24.13 | (58.26 | )% | $ | 22,924 | 1.03 | % | 1.16 | % | 0.76 | % | 0.95 | % | 1.08 | % | 0.84 | % | 96 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 26.57 | (0.21 | ) | (0.21 | ) | 33.86 | 33.65 | — | — | — | — | $ | 60.22 | 126.65 | % | $ | 12,044 | 0.97 | % | 1.35 | % | (0.53 | )% | 0.95 | % | 1.33 | % | (0.51 | )% | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 28.24 | (0.21 | ) | (0.21 | ) | (1.46 | ) | (1.67 | ) | — | — | — | — | $ | 26.57 | (5.91 | )% | $ | 3,985 | 0.97 | % | 1.67 | % | (0.87 | )% | 0.95 | % | 1.65 | % | (0.85 | )% | 266 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 38.87 | (0.30 | ) | (0.30 | ) | (10.33 | ) | (10.63 | ) | — | — | — | — | $ | 28.24 | (27.35 | )% | $ | 4,235 | 0.96 | % | 1.76 | % | (0.95 | )% | 0.95 | % | 1.75 | % | (0.94 | )% | 45 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 54.54 | (0.34 | ) | (0.33 | ) | (14.20 | ) | (14.54 | ) | — | (1.13 | ) | — | (1.13 | ) | $ | 38.87 | (27.06 | )% | $ | 1,943 | 0.97 | % | 2.92 | % | (0.69 | )% | 0.95 | % | 2.90 | % | (0.66 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 36.69 | 0.83 | 0.87 | 5.26 | 6.09 | (0.79 | ) | — | — | (0.79 | ) | $ | 41.99 | 16.64 | % | $ | 130,938 | 1.11 | % | 1.11 | % | 4.48 | % | 0.91 | % | 0.91 | % | 4.68 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 48.86 | 0.86 | 0.90 | (11.82 | ) | (10.96 | ) | (0.90 | ) | — | (0.31 | ) | (1.21 | ) | $ | 36.69 | (23.20 | )% | $ | 147,417 | 1.00 | % | 1.00 | % | 1.91 | % | 0.90 | % | 0.90 | % | 2.01 | % | 93 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 33.69 | (0.32 | ) | (0.25 | ) | 15.49 | 15.17 | — | — | — | — | $ | 48.86 | 45.03 | % | $ | 142,583 | 1.11 | % | 1.07 | % | (0.74 | )% | 0.94 | % | 0.90 | % | (0.57 | )% | 65 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 31.84 | (0.25 | ) | (0.22 | ) | 2.10 | 1.85 | — | — | — | — | $ | 33.69 | 5.81 | % | $ | 160,631 | 1.06 | % | 1.04 | % | (0.91 | )% | 0.95 | % | 0.93 | % | (0.80 | )% | 179 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 126.96 | (0.42 | ) | (0.42 | ) | (94.66 | ) | (95.08 | ) | — | (0.04 | ) | — | (0.04 | ) | $ | 31.84 | (74.90 | )% | $ | 197,193 | 0.97 | % | 0.96 | % | (0.96 | )% | 0.95 | % | 0.94 | % | (0.94 | )% | 299 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 361.08 | (1.68 | ) | (1.66 | ) | (232.44 | ) | (234.12 | ) | — | — | — | — | $ | 126.96 | (64.84 | )% | $ | 172,460 | 0.96 | % | 1.01 | % | (0.96 | )% | 0.95 | % | 1.00 | % | (0.95 | )% | 72 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 18.31 | 0.11 | 0.12 | (5.17 | ) | (5.06 | ) | (0.12 | ) | — | — | (0.12 | ) | $ | 13.13 | (27.80 | )% | $ | 23,570 | 0.98 | % | 1.05 | % | 1.45 | % | 0.95 | % | 1.02 | % | 1.48 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 24.55 | 0.13 | 0.14 | (6.31 | ) | (6.18 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 18.31 | (25.16 | )% | $ | 23,701 | 0.99 | % | 1.04 | % | 0.68 | % | 0.95 | % | 1.00 | % | 0.72 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 51.85 | (0.09 | ) | (0.08 | ) | (27.21 | ) | (27.30 | ) | — | — | — | — | $ | 24.55 | (52.65 | )% | $ | 31,782 | 0.98 | % | 1.03 | % | (0.27 | )% | 0.95 | % | 1.00 | % | (0.24 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 158.00 | (0.65 | ) | (0.60 | ) | (105.50 | ) | (106.15 | ) | — | — | — | — | $ | 51.85 | (67.18 | )% | $ | 54,709 | 0.98 | % | 1.02 | % | (0.79 | )% | 0.95 | % | 0.99 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 296.20 | (2.00 | ) | (2.00 | ) | (136.20 | ) | (138.20 | ) | — | — | — | — | $ | 158.00 | (46.66 | )% | $ | 41,856 | 0.96 | % | 0.99 | % | (0.95 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 242.80 | (2.60 | ) | (2.60 | ) | 56.00 | 53.40 | — | — | — | — | $ | 296.20 | 21.99 | % | $ | 16,286 | 0.95 | % | 1.14 | % | (0.95 | )% | 0.95 | % | 1.14 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 42.15 | 0.12 | 0.17 | 8.80 | 8.92 | (0.14 | ) | — | — | (0.14 | ) | $ | 50.93 | 21.34 | % | $ | 61,121 | 1.15 | % | 1.19 | % | 0.60 | % | 0.95 | % | 0.99 | % | 0.80 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 40.03 | 0.20 | 0.27 | 2.81 | 3.01 | (0.26 | ) | (0.63 | ) | — | (0.89 | ) | $ | 42.15 | 7.39 | % | $ | 56,900 | 1.09 | % | 1.11 | % | 0.40 | % | 0.95 | % | 0.97 | % | 0.54 | % | 39 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 | $ | 25.00 | 0.07 | 0.07 | 14.96 | 15.03 | — | — | — | — | $ | 40.03 | 60.12 | % | $ | 42,032 | 0.98 | % | 1.34 | % | 0.39 | % | 0.95 | % | 1.31 | % | 0.42 | % | 7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 14, 20199 through April 30, 2019 (Unaudited) | $ | 25.00 | 0.02 | 0.03 | 10.44 | 10.46 | (0.01 | ) | — | — | (0.01 | ) | $ | 35.45 | 41.86 | % | $ | 5,317 | 1.02 | % | 2.39 | % | 0.28 | % | 0.95 | % | 2.32 | % | 0.35 | % | 7 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 14, 20199 through April 30, 2019 (Unaudited) | $ | 25.00 | 0.10 | 0.10 | (8.46 | ) | (8.36 | ) | (0.07 | ) | — | — | (0.07 | ) | $ | 16.57 | (33.50 | )% | $ | 1,657 | 0.95 | % | 2.93 | % | 1.63 | % | 0.95 | % | 2.93 | % | 1.63 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through April 30, 2019 (Unaudited) | $ | 25.00 | 0.08 | 0.08 | 7.75 | 7.83 | (0.09 | ) | — | — | (0.09 | ) | $ | 32.74 | 31.42 | % | $ | 4,912 | 0.95 | % | 2.59 | % | 0.78 | % | 0.95 | % | 2.59 | % | 0.78 | % | 23 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through April 30, 2019 (Unaudited) | $ | 25.00 | 0.16 | 0.16 | (8.56 | ) | (8.40 | ) | (0.22 | ) | — | — | (0.22 | ) | $ | 16.38 | (33.76 | )% | $ | 819 | 0.95 | % | 3.25 | % | 1.50 | % | 0.95 | % | 3.25 | % | 1.50 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
170
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through April 30, 2019 (Unaudited) | $ | 25.00 | $ | 0.20 | $ | 0.20 | $ | 2.24 | $ | 2.44 | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | $ | 27.27 | 9.85 | % | $ | 2,727 | 0.95 | % | 2.78 | % | 2.11 | % | 0.95 | % | 2.78 | % | 2.11 | % | 20 | % | |||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through April 30, 2019 (Unaudited) | $ | 25.00 | 0.17 | 0.17 | (3.74 | ) | (3.57 | ) | (0.21 | ) | — | — | (0.21 | ) | $ | 21.22 | (14.39 | )% | $ | 1,061 | 0.95 | % | 3.18 | % | 1.48 | % | 0.95 | % | 3.18 | % | 1.48 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 25.34 | 0.22 | 0.23 | (2.83 | ) | (2.61 | ) | (0.21 | ) | — | — | (0.21 | ) | $ | 22.52 | (10.16 | )% | $ | 370,447 | 1.05 | % | 1.06 | % | 2.05 | % | 0.95 | % | 0.96 | % | 2.15 | % | 54 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 29.16 | 0.42 | 0.46 | (3.64 | ) | (3.22 | ) | (0.59 | ) | — | (0.01 | ) | (0.60 | ) | $ | 25.34 | (11.59 | )% | $ | 349,655 | 1.08 | % | 1.08 | % | 1.24 | % | 0.95 | % | 0.95 | % | 1.37 | % | 56 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 30.40 | 0.27 | 0.29 | (1.43 | ) | (1.16 | ) | (0.08 | ) | — | — | (0.08 | ) | $ | 29.16 | (3.77 | )% | $ | 481,130 | 1.00 | % | 1.00 | % | 0.90 | % | 0.95 | % | 0.95 | % | 0.95 | % | 59 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 34.46 | (0.08 | ) | (0.06 | ) | (3.98 | ) | (4.06 | ) | — | — | — | — | $ | 30.40 | (11.78 | )% | $ | 452,886 | 1.01 | % | 1.02 | % | (0.30 | )% | 0.95 | % | 0.96 | % | (0.24 | )% | 82 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 84.21 | (0.17 | ) | (0.17 | ) | (49.58 | ) | (49.75 | ) | — | — | — | — | $ | 34.46 | (59.08 | )% | $ | 489,320 | 0.96 | % | 0.96 | % | (0.36 | )% | 0.95 | % | 0.95 | % | (0.35 | )% | 70 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 83.24 | (0.86 | ) | (0.80 | ) | 1.83 | 0.97 | — | — | — | — | $ | 84.21 | 1.17 | % | $ | 235,801 | 1.02 | % | 1.04 | % | (0.90 | )% | 0.95 | % | 0.97 | % | (0.83 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 44.87 | 0.27 | 0.34 | (5.39 | ) | (5.12 | ) | (0.38 | ) | — | — | (0.38 | ) | $ | 39.37 | (11.58 | )% | $ | 27,839 | 1.25 | % | 1.33 | % | 1.21 | % | 0.95 | % | 1.03 | % | 1.51 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 55.85 | 0.26 | 0.28 | (11.08 | ) | (10.82 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 44.87 | (19.34 | )% | $ | 51,915 | 1.00 | % | 1.04 | % | 0.65 | % | 0.95 | % | 0.99 | % | 0.70 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 67.00 | (0.20 | ) | (0.15 | ) | (10.95 | ) | (11.15 | ) | — | — | — | — | $ | 55.85 | (16.64 | )% | $ | 53,454 | 0.96 | % | 1.04 | % | (0.31 | )% | 0.95 | % | 1.03 | % | (0.30 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 114.50 | (0.80 | ) | (0.70 | ) | (46.70 | ) | (47.50 | ) | — | — | — | — | $ | 67.00 | (41.48 | )% | $ | 68,147 | 1.03 | % | 1.09 | % | (0.86 | )% | 0.95 | % | 1.01 | % | (0.78 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 86.65 | (1.05 | ) | (1.00 | ) | 28.90 | 27.85 | — | — | — | — | $ | 114.50 | 32.14 | % | $ | 67,250 | 0.97 | % | 1.00 | % | (0.96 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 111.50 | (0.85 | ) | (0.85 | ) | (24.00 | ) | (24.85 | ) | — | — | — | — | $ | 86.65 | (22.29 | )% | $ | 48,315 | 0.95 | % | 1.05 | % | (0.95 | )% | 0.95 | % | 1.05 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 58.65 | 0.37 | 0.42 | 15.60 | 15.97 | (0.32 | ) | — | — | (0.32 | ) | $ | 74.30 | 27.45 | % | $ | 1,578,882 | 1.15 | % | 1.15 | % | 1.27 | % | 0.95 | % | 0.95 | % | 1.47 | % | 27 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 60.31 | 0.60 | 0.67 | (1.70 | ) | (1.10 | ) | (0.56 | ) | — | — | (0.56 | ) | $ | 58.65 | (1.98 | )% | $ | 1,627,513 | 1.04 | % | 1.05 | % | 0.89 | % | 0.94 | % | 0.95 | % | 0.99 | % | 73 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 29.34 | 0.11 | 0.15 | 30.86 | 30.97 | — | — | — | — | $ | 60.31 | 105.56 | % | $ | 1,538,012 | 1.03 | % | 1.02 | % | 0.24 | % | 0.95 | % | 0.94 | % | 0.32 | % | 4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 30.21 | (0.03 | ) | (0.02 | ) | (0.84 | ) | (0.87 | ) | — | — | — | — | $ | 29.34 | (2.88 | )% | $ | 1,034,205 | 0.98 | % | 0.99 | % | (0.12 | )% | 0.95 | % | 0.96 | % | (0.09 | )% | 14 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 28.51 | (0.21 | ) | (0.20 | ) | 1.91 | 1.70 | — | — | — | — | $ | 30.21 | 5.96 | % | $ | 1,304,920 | 0.97 | % | 0.96 | % | (0.67 | )% | 0.95 | % | 0.94 | % | (0.65 | )% | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 18.96 | (0.19 | ) | (0.18 | ) | 9.74 | 9.55 | — | — | — | — | $ | 28.51 | 50.41 | % | $ | 1,262,984 | 0.99 | % | 1.00 | % | (0.80 | )% | 0.95 | % | 0.96 | % | (0.76 | )% | 118 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 56.15 | 0.39 | 0.40 | (17.01 | ) | (16.62 | ) | (0.34 | ) | — | — | (0.34 | ) | $ | 39.19 | (29.77 | )% | $ | 170,352 | 1.00 | % | 1.01 | % | 1.51 | % | 0.95 | % | 0.96 | % | 1.56 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 67.30 | 0.35 | 0.35 | (11.30 | ) | (10.95 | ) | (0.20 | ) | — | — | (0.20 | ) | $ | 56.15 | (16.26 | )% | $ | 141,799 | 0.95 | % | 0.95 | % | 0.69 | % | 0.95 | % | 0.95 | % | 0.69 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 156.95 | (0.25 | ) | (0.25 | ) | (89.40 | ) | (89.65 | ) | — | — | — | — | $ | 67.30 | (57.12 | )% | $ | 178,750 | 0.95 | % | 1.00 | % | (0.26 | )% | 0.95 | % | 1.00 | % | (0.26 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 209.30 | (1.50 | ) | (1.50 | ) | (50.85 | ) | (52.35 | ) | — | — | — | — | $ | 156.95 | (25.01 | )% | $ | 313,292 | 0.96 | % | 0.99 | % | (0.77 | )% | 0.95 | % | 0.98 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 291.60 | (2.25 | ) | (2.25 | ) | (80.05 | ) | (82.30 | ) | — | — | — | — | $ | 209.30 | (28.22 | )% | $ | 311,119 | 0.95 | % | 0.98 | % | (0.94 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 527.00 | (3.80 | ) | (3.80 | ) | (231.60 | ) | (235.40 | ) | — | — | — | — | $ | 291.60 | (44.67 | )% | $ | 283,539 | 0.95 | % | 1.01 | % | (0.95 | )% | 0.95 | % | 1.01 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 13.28 | 0.07 | 0.09 | 2.44 | 2.51 | (0.06 | ) | — | — | (0.06 | ) | $ | 15.73 | 18.85 | % | $ | 1,084,150 | 1.09 | % | 1.09 | % | 0.83 | % | 0.91 | % | 0.91 | % | 1.01 | % | 123 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 29.03 | 0.11 | 0.12 | (15.80 | ) | (15.69 | ) | (0.02 | ) | — | (0.04 | ) | (0.06 | ) | $ | 13.28 | (54.12 | )% | $ | 1,131,021 | 0.94 | % | 0.94 | % | 0.50 | % | 0.91 | % | 0.91 | % | 0.53 | % | 96 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 56.28 | (0.14 | ) | (0.13 | ) | (27.11 | ) | (27.25 | ) | — | — | — | — | $ | 29.03 | (48.42 | )% | $ | 1,337,695 | 0.93 | % | 0.93 | % | (0.39 | )% | 0.90 | % | 0.90 | % | (0.36 | )% | 234 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 27.60 | (0.44 | ) | (0.40 | ) | 29.12 | 28.68 | — | — | — | — | $ | 56.28 | 103.91 | % | $ | 1,582,218 | 0.99 | % | 0.99 | % | (0.84 | )% | 0.90 | % | 0.90 | % | (0.75 | )% | 258 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 88.24 | (0.56 | ) | (0.56 | ) | (60.08 | ) | (60.64 | ) | — | — | — | — | $ | 27.60 | (68.72 | )% | $ | 610,269 | 0.95 | % | 0.95 | % | (0.94 | )% | 0.94 | % | 0.94 | % | (0.93 | )% | 633 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 385.92 | (2.24 | ) | (2.24 | ) | (295.44 | ) | (297.68 | ) | — | — | — | — | $ | 88.24 | (77.14 | )% | $ | 552,267 | 0.96 | % | 0.95 | % | (0.81 | )% | 0.95 | % | 0.94 | % | (0.80 | )% | 435 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
171
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 35.02 | $ | 0.15 | $ | 0.17 | $ | (13.01 | ) | $ | (12.86 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | (0.10 | ) | $ | 22.06 | (36.70 | )% | $ | 90,838 | 1.09 | % | 1.09 | % | 1.41 | % | 0.92 | % | 0.92 | % | 1.58 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 27.34 | 0.11 | 0.15 | 7.63 | 7.74 | (0.06 | ) | — | — | (0.06 | ) | $ | 35.02 | 28.33 | % | $ | 154,753 | 1.04 | % | 1.04 | % | 0.43 | % | 0.91 | % | 0.91 | % | 0.56 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 38.22 | (0.09 | ) | (0.07 | ) | (10.79 | ) | (10.88 | ) | — | — | — | — | $ | 27.34 | (28.47 | )% | $ | 383,331 | 1.01 | % | 0.99 | % | (0.31 | )% | 0.94 | % | 0.92 | % | (0.24 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 799.00 | (0.46 | ) | (0.45 | ) | (760.32 | ) | (760.78 | ) | — | — | — | — | $ | 38.22 | (95.22 | )% | $ | 258,711 | 0.97 | % | 0.97 | % | (0.76 | )% | 0.95 | % | 0.95 | % | (0.74 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 2,326.00 | (8.50 | ) | (8.50 | ) | (1,518.50 | ) | (1,527.00 | ) | — | — | — | — | $ | 799.00 | (65.65 | )% | $ | 287,615 | 0.98 | % | 0.98 | % | (0.97 | )% | 0.95 | % | 0.95 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 1,537.50 | (11.00 | ) | (10.50 | ) | 799.50 | 788.50 | — | — | — | — | $ | 2,326.00 | 51.28 | % | $ | 193,040 | 0.97 | % | 0.97 | % | (0.96 | )% | 0.95 | % | 0.95 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 53.02 | 0.20 | 0.23 | (2.32 | ) | (2.12 | ) | (0.23 | ) | — | — | (0.23 | ) | $ | 50.67 | (4.00 | )% | $ | 172,294 | 1.07 | % | 1.08 | % | 0.77 | % | 0.95 | % | 0.96 | % | 0.89 | % | 8 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 44.17 | 0.20 | 0.25 | 8.94 | 9.14 | (0.27 | ) | (0.02 | ) | — | (0.29 | ) | $ | 53.02 | 20.69 | % | $ | 151,104 | 1.06 | % | 1.07 | % | 0.40 | % | 0.95 | % | 0.96 | % | 0.51 | % | 43 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 25.86 | (0.01 | ) | 0.01 | 18.32 | 18.31 | — | — | — | — | $ | 44.17 | 70.80 | % | $ | 143,567 | 1.00 | % | 1.02 | % | (0.02 | )% | 0.95 | % | 0.97 | % | 0.03 | % | 23 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 32.66 | (0.22 | ) | (0.21 | ) | (6.58 | ) | (6.80 | ) | — | — | — | — | $ | 25.86 | (20.82 | )% | $ | 164,186 | 0.99 | % | 1.01 | % | (0.73 | )% | 0.95 | % | 0.97 | % | (0.69 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 29.66 | (0.26 | ) | (0.25 | ) | 3.26 | 3.00 | — | — | — | — | $ | 32.66 | 10.11 | % | $ | 342,892 | 0.97 | % | 0.97 | % | (0.73 | )% | 0.95 | % | 0.95 | % | (0.71 | )% | 32 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 15.02 | (0.12 | ) | (0.12 | ) | 14.98 | 14.86 | — | (0.22 | ) | — | (0.22 | ) | $ | 29.66 | 100.25 | % | $ | 189,820 | 0.97 | % | 1.01 | % | (0.57 | )% | 0.95 | % | 0.99 | % | (0.55 | )% | 46 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 28.33 | 0.10 | 0.11 | 17.89 | 17.99 | (0.12 | ) | — | — | (0.12 | ) | $ | 46.20 | 63.76 | % | $ | 43,891 | 0.99 | % | 1.06 | % | 0.64 | % | 0.95 | % | 1.02 | % | 0.68 | % | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 71.69 | 0.05 | 0.08 | (42.24 | ) | (42.19 | ) | (0.02 | ) | (1.15 | ) | — | (1.17 | ) | $ | 28.33 | (59.92 | )% | $ | 39,667 | 0.99 | % | 1.03 | % | 0.09 | % | 0.95 | % | 0.99 | % | 0.13 | % | 38 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 21.24 | (0.17 | ) | (0.14 | ) | 50.62 | 50.45 | — | — | — | — | $ | 71.69 | 237.52 | % | $ | 39,428 | 1.02 | % | 1.45 | % | (0.39 | )% | 0.95 | % | 1.38 | % | (0.32 | )% | 164 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 29.03 | (0.18 | ) | (0.18 | ) | (7.61 | ) | (7.79 | ) | — | — | — | — | $ | 21.24 | (26.83 | )% | $ | 2,124 | 0.97 | % | 2.28 | % | (0.70 | )% | 0.95 | % | 2.26 | % | (0.68 | )% | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period August 19, 20159 through October 31, 2015 | $ | 40.00 | (0.05 | ) | (0.05 | ) | (10.92 | ) | (10.97 | ) | — | — | — | — | $ | 29.03 | (27.43 | )% | $ | 2,903 | 0.95 | % | 5.31 | % | (0.84 | )% | 0.95 | % | 5.31 | % | (0.84 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 26.25 | 0.19 | 0.19 | 7.98 | 8.17 | (0.22 | ) | — | — | (0.22 | ) | $ | 34.20 | 31.58 | % | $ | 6,841 | 0.97 | % | 1.71 | % | 1.37 | % | 0.95 | % | 1.69 | % | 1.39 | % | 159 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 30.93 | 0.22 | 0.25 | (4.54 | ) | (4.32 | ) | (0.27 | ) | (0.09 | ) | — | (0.36 | ) | $ | 26.25 | (14.26 | )% | $ | 3,937 | 1.05 | % | 1.58 | % | 0.62 | % | 0.95 | % | 1.48 | % | 0.72 | % | 26 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 | $ | 25.00 | 0.05 | 0.05 | 5.88 | 5.93 | — | — | — | — | $ | 30.93 | 23.72 | % | $ | 3,093 | 0.95 | % | 3.54 | % | 0.34 | % | 0.95 | % | 3.54 | % | 0.34 | % | 111 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 35.75 | 0.25 | 0.29 | 1.92 | 2.17 | (0.25 | ) | — | — | (0.25 | ) | $ | 37.67 | 5.83 | % | $ | 708,941 | 1.04 | % | 1.04 | % | 1.14 | % | 0.89 | % | 0.89 | % | 1.29 | % | 179 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 75.65 | 0.20 | 0.25 | (40.10 | ) | (39.90 | ) | — | — | — | — | $ | 35.75 | (52.74 | )% | $ | 635,801 | 0.93 | % | 0.93 | % | 0.35 | % | 0.89 | % | 0.89 | % | 0.39 | % | 116 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 244.80 | 0.40 | 0.40 | (169.10 | ) | (168.70 | ) | (0.45 | ) | — | — | (0.45 | ) | $ | 75.65 | (69.00 | )% | $ | 751,846 | 0.94 | % | 0.94 | % | 0.33 | % | 0.90 | % | 0.90 | % | 0.37 | % | 245 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 79.80 | (2.20 | ) | (1.80 | ) | 167.20 | 165.00 | — | — | — | — | $ | 244.80 | 207.07 | % | $ | 712,681 | 1.05 | % | 1.03 | % | (0.92 | )% | 0.94 | % | 0.92 | % | (0.81 | )% | 289 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 390.60 | (1.80 | ) | (1.80 | ) | (297.80 | ) | (299.60 | ) | — | (11.20 | ) | — | (11.20 | ) | $ | 79.80 | (78.75 | )% | $ | 106,686 | 0.95 | % | 0.98 | % | (0.94 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 589 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 3,060.00 | (16.80 | ) | (16.80 | ) | (2,652.60 | ) | (2,699.40 | ) | — | — | — | — | $ | 390.60 | (87.25 | )% | $ | 168,091 | 0.96 | % | 0.95 | % | (0.96 | )% | 0.95 | % | 0.94 | % | (0.95 | )% | 168 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 75.69 | 0.32 | 0.36 | (27.41 | ) | (27.09 | ) | (0.27 | ) | — | — | (0.27 | ) | $ | 48.33 | (35.74 | )% | $ | 47,739 | 1.10 | % | 1.08 | % | 1.40 | % | 0.95 | % | 0.93 | % | 1.55 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 64.48 | 0.28 | 0.33 | 11.12 | 11.40 | (0.19 | ) | — | — | (0.19 | ) | $ | 75.69 | 17.70 | % | $ | 59,624 | 1.03 | % | 0.99 | % | 0.51 | % | 0.95 | % | 0.91 | % | 0.59 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 107.44 | (0.20 | ) | (0.14 | ) | (42.76 | ) | (42.96 | ) | — | — | — | — | $ | 64.48 | (39.99 | )% | $ | 115,274 | 1.03 | % | 1.00 | % | (0.29 | )% | 0.95 | % | 0.92 | % | (0.21 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 5,816.00 | (1.48 | ) | (1.48 | ) | (5,707.08 | ) | (5,708.56 | ) | — | — | — | — | $ | 107.44 | (98.15 | )% | $ | 82,096 | 0.97 | % | 1.04 | % | (0.74 | )% | 0.95 | % | 1.02 | % | (0.72 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 27,680.00 | (76.00 | ) | (74.00 | ) | (21,028.00 | ) | (21,104.00 | ) | — | (760.00 | ) | — | (760.00 | ) | $ | 5,816.00 | (77.88 | )% | $ | 68,335 | 0.97 | % | 1.00 | % | (0.96 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 34,152.00 | (112.00 | ) | (112.00 | ) | (6,359.00 | ) | (6,471.00 | ) | (1.00 | ) | — | — | (1.00 | ) | $ | 27,680.00 | (18.94 | )% | $ | 51,893 | 0.96 | % | 1.05 | % | (0.95 | )% | 0.95 | % | 1.04 | % | (0.95 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
172
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 19.59 | $ | 0.27 | $ | 0.29 | $ | 5.23 | $ | 5.50 | $ | (0.20 | ) | $ | — | $ | — | $ | (0.20 | ) | $ | 24.89 | 28.44 | % | $ | 46,042 | 1.18 | % | 1.27 | % | 2.43 | % | 0.95 | % | 1.04 | % | 2.66 | % | 39 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 21.70 | 0.50 | 0.53 | (2.01 | ) | (1.51 | ) | (0.48 | ) | — | (0.12 | ) | (0.60 | ) | $ | 19.59 | (7.13 | )% | $ | 40,163 | 1.09 | % | 1.12 | % | 2.55 | % | 0.95 | % | 0.98 | % | 2.69 | % | 149 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 20.09 | 0.05 | 0.06 | 1.56 | 1.61 | — | — | — | — | $ | 21.70 | 8.01 | % | $ | 69,453 | 1.00 | % | 1.05 | % | 0.20 | % | 0.95 | % | 1.00 | % | 0.25 | % | 113 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 18.61 | (0.13 | ) | (0.12 | ) | 1.61 | 1.48 | — | — | — | — | $ | 20.09 | 7.98 | % | $ | 74,331 | 1.00 | % | 1.04 | % | (0.62 | )% | 0.95 | % | 0.99 | % | (0.57 | )% | 199 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 17.76 | (0.06 | ) | (0.06 | ) | 0.91 | 0.85 | — | — | — | — | $ | 18.61 | 4.79 | % | $ | 104,193 | 0.96 | % | 0.95 | % | (0.29 | )% | 0.95 | % | 0.94 | % | (0.28 | )% | 29 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 11.17 | (0.10 | ) | (0.10 | ) | 6.69 | 6.59 | — | — | — | — | $ | 17.76 | 58.92 | % | $ | 99,426 | 1.00 | % | 1.06 | % | (0.83 | )% | 0.95 | % | 1.01 | % | (0.78 | )% | 167 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 50.20 | 0.31 | 0.31 | (15.56 | ) | (15.25 | ) | (0.25 | ) | — | — | (0.25 | ) | $ | 34.70 | (30.45 | )% | $ | 20,879 | 0.98 | % | 1.27 | % | 1.50 | % | 0.95 | % | 1.24 | % | 1.53 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 56.40 | 0.40 | 0.40 | (6.45 | ) | (6.05 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 50.20 | (10.68 | )% | $ | 19,156 | 0.99 | % | 1.36 | % | 0.71 | % | 0.95 | % | 1.32 | % | 0.75 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 71.40 | (0.20 | ) | (0.20 | ) | (14.80 | ) | (15.00 | ) | — | — | — | — | $ | 56.40 | (21.01 | )% | $ | 15,882 | 0.97 | % | 1.36 | % | (0.33 | )% | 0.95 | % | 1.34 | % | (0.31 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 105.20 | (0.55 | ) | (0.55 | ) | (33.25 | ) | (33.80 | ) | — | — | — | — | $ | 71.40 | (32.13 | )% | $ | 22,967 | 0.95 | % | 1.39 | % | (0.77 | )% | 0.95 | % | 1.39 | % | (0.77 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 149.15 | (1.15 | ) | (1.15 | ) | (42.80 | ) | (43.95 | ) | — | — | — | — | $ | 105.20 | (29.47 | )% | $ | 11,745 | 0.96 | % | 1.51 | % | (0.94 | )% | 0.95 | % | 1.50 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 282.50 | (2.10 | ) | (2.10 | ) | (131.25 | ) | (133.35 | ) | — | — | — | — | $ | 149.15 | (47.20 | )% | $ | 9,197 | 0.95 | % | 1.54 | % | (0.94 | )% | 0.95 | % | 1.54 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 65.75 | 0.09 | 0.17 | (31.00 | ) | (30.91 | ) | — | — | — | — | $ | 34.84 | (47.00 | )% | $ | 30,708 | 1.34 | % | 1.40 | % | 0.48 | % | 0.95 | % | 1.01 | % | 0.87 | % | 51 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 113.15 | 0.10 | 0.35 | (47.50 | ) | (47.40 | ) | — | — | — | — | $ | 65.75 | (41.89 | )% | $ | 32,319 | 1.19 | % | 1.24 | % | 0.08 | % | 0.95 | % | 1.00 | % | 0.32 | % | 44 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 178.20 | (0.50 | ) | (0.45 | ) | (64.55 | ) | (65.05 | ) | — | — | — | — | $ | 113.15 | (36.50 | )% | $ | 53,343 | 0.99 | % | 1.07 | % | (0.35 | )% | 0.95 | % | 1.03 | % | (0.31 | )% | 48 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 972.00 | (1.50 | ) | (1.35 | ) | (792.30 | ) | (793.80 | ) | — | — | — | — | $ | 178.20 | (81.67 | )% | $ | 57,293 | 1.00 | % | 1.13 | % | (0.74 | )% | 0.95 | % | 1.08 | % | (0.69 | )% | 839 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 32,125.00 | (25.00 | ) | (25.00 | ) | (31,128.00 | ) | (31,153.00 | ) | — | — | — | — | $ | 972.00 | (96.97 | )% | $ | 39,588 | 0.96 | % | 1.03 | % | (0.55 | )% | 0.95 | % | 1.02 | % | (0.54 | )% | 137 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 87,000.00 | (625.00 | ) | (575.00 | ) | (54,250.00 | ) | (54,875.00 | ) | — | — | — | — | $ | 32,125.00 | (63.07 | )% | $ | 42,412 | 0.99 | % | 1.19 | % | (0.79 | )% | 0.95 | % | 1.15 | % | (0.75 | )% | 133 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 26.77 | 0.17 | 0.21 | 3.40 | 3.57 | (0.16 | ) | — | — | (0.16 | ) | $ | 30.18 | 13.23 | % | $ | 3,768 | 1.22 | % | 1.73 | % | 1.02 | % | 0.95 | % | 1.46 | % | 1.29 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 29.09 | 0.13 | 0.14 | (2.36 | ) | (2.23 | ) | (0.09 | ) | — | — | (0.09 | ) | $ | 26.77 | (7.53 | )% | $ | 3,342 | 1.01 | % | 1.37 | % | 0.61 | % | 0.95 | % | 1.31 | % | 0.67 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 33.81 | (0.10 | ) | (0.09 | ) | (4.62 | ) | (4.72 | ) | — | — | — | — | $ | 29.09 | (13.96 | )% | $ | 5,087 | 0.99 | % | 1.74 | % | (0.34 | )% | 0.95 | % | 1.70 | % | (0.30 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period December 3, 20159 through October 31, 2016 | $ | 160.00 | (0.37 | ) | (0.34 | ) | (125.82 | ) | (126.19 | ) | — | — | — | — | $ | 33.81 | (78.87 | )% | $ | 7,602 | 1.01 | % | 1.70 | % | (0.82 | )% | 0.95 | % | 1.64 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 26.53 | 0.16 | 0.16 | (5.75 | ) | (5.59 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 20.78 | (21.12 | )% | $ | 4,155 | 0.96 | % | 1.96 | % | 1.28 | % | 0.95 | % | 1.95 | % | 1.29 | % | 36 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period November 15, 20179 through October 31, 2018 | $ | 25.00 | 0.08 | 0.09 | 1.56 | 1.64 | (0.10 | ) | — | (0.01 | ) | (0.11 | ) | $ | 26.53 | 6.49 | % | $ | 3,979 | 0.98 | % | 2.01 | % | 0.30 | % | 0.95 | % | 1.98 | % | 0.33 | % | 152 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 49.72 | 0.36 | 0.37 | 0.74 | 1.10 | (0.33 | ) | — | — | (0.33 | ) | $ | 50.49 | 2.48 | % | $ | 25,246 | 0.97 | % | 1.03 | % | 1.64 | % | 0.95 | % | 1.01 | % | 1.66 | % | 57 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 66.98 | 0.62 | 0.67 | (17.27 | ) | (16.65 | ) | (0.61 | ) | — | — | (0.61 | ) | $ | 49.72 | (25.20 | )% | $ | 29,835 | 1.02 | % | 1.04 | % | 0.79 | % | 0.95 | % | 0.97 | % | 0.86 | % | 76 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 34.70 | 0.15 | 0.16 | 32.23 | 32.38 | (0.10 | ) | — | — | (0.10 | ) | $ | 66.98 | 93.38 | % | $ | 26,794 | 0.96 | % | 1.07 | % | 0.25 | % | 0.95 | % | 1.06 | % | 0.26 | % | 184 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 35.29 | (0.01 | ) | (0.01 | ) | (0.58 | ) | (0.59 | ) | — | — | — | — | $ | 34.70 | (1.67 | )% | $ | 1,735 | 0.96 | % | 2.67 | % | (0.05 | )% | 0.95 | % | 2.66 | % | (0.04 | )% | 24 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period August 19, 20159 through October 31, 2015 | $ | 40.00 | (0.02 | ) | (0.02 | ) | (4.69 | ) | (4.71 | ) | — | — | — | — | $ | 35.29 | (11.78 | )% | $ | 3,529 | 0.95 | % | 3.78 | % | (0.35 | )% | 0.95 | % | 3.78 | % | (0.35 | )% | 15 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
173
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 33.20 | $ | 0.20 | $ | 0.24 | $ | (7.52 | ) | $ | (7.32 | ) | $ | (0.24 | ) | $ | — | $ | — | $ | (0.24 | ) | $ | 25.64 | (22.18 | )% | $ | 2,564 | 1.17 | % | 2.08 | % | 1.22 | % | 0.95 | % | 1.86 | % | 1.44 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 35.39 | 0.15 | 0.16 | (2.23 | ) | (2.08 | ) | (0.11 | ) | — | — | (0.11 | ) | $ | 33.20 | (5.76 | )% | $ | 3,319 | 0.99 | % | 1.81 | % | 0.56 | % | 0.95 | % | 1.77 | % | 0.60 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 104.40 | (0.05 | ) | (0.05 | ) | (68.96 | ) | (69.01 | ) | — | — | — | — | $ | 35.39 | (66.10 | )% | $ | 3,538 | 0.95 | % | 2.15 | % | (0.11 | )% | 0.95 | % | 2.15 | % | (0.11 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 193.20 | (1.45 | ) | (1.40 | ) | (78.05 | ) | (79.50 | ) | — | (9.30 | ) | — | (9.30 | ) | $ | 104.40 | (43.20 | )% | $ | 1,044 | 0.98 | % | 3.27 | % | (0.84 | )% | 0.95 | % | 3.24 | % | (0.81 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Period August 19, 20159 through October 31, 2015 | $ | 200.00 | (0.45 | ) | (0.45 | ) | (6.35 | ) | (6.80 | ) | — | — | — | — | $ | 193.20 | (3.40 | )% | $ | 3,864 | 0.96 | % | 2.99 | % | (0.95 | )% | 0.95 | % | 2.98 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 36.90 | 0.18 | 0.18 | (6.14 | ) | (5.96 | ) | (0.14 | ) | — | — | (0.14 | ) | $ | 30.80 | (16.11 | )% | $ | 16,941 | 1.01 | % | 1.12 | % | 1.18 | % | 0.95 | % | 1.06 | % | 1.24 | % | 31 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 24.49 | 0.22 | 0.28 | 12.44 | 12.66 | (0.25 | ) | — | — | (0.25 | ) | $ | 36.90 | 51.66 | % | $ | 31,367 | 1.09 | % | 1.15 | % | 0.59 | % | 0.95 | % | 1.01 | % | 0.73 | % | 81 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 38.62 | (0.03 | ) | (0.02 | ) | (13.15 | ) | (13.18 | ) | — | (0.95 | ) | — | (0.95 | ) | $ | 24.49 | (35.22 | )% | $ | 36,728 | 0.99 | % | 1.09 | % | (0.10 | )% | 0.95 | % | 1.05 | % | (0.06 | )% | 659 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 36.58 | (0.26 | ) | (0.24 | ) | 2.30 | 2.04 | — | — | — | — | $ | 38.62 | 5.58 | % | $ | 36,689 | 0.99 | % | 1.08 | % | (0.69 | )% | 0.95 | % | 1.04 | % | (0.65 | )% | 59 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 19.68 | (0.04 | ) | (0.04 | ) | 16.94 | 16.90 | — | — | — | — | $ | 36.58 | 85.90 | % | $ | 58,530 | 0.98 | % | 1.04 | % | (0.14 | )% | 0.95 | % | 1.01 | % | (0.11 | )% | 24 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 17.76 | (0.10 | ) | (0.10 | ) | 2.02 | 1.92 | — | — | — | — | $ | 19.68 | 10.80 | % | $ | 15,741 | 0.99 | % | 1.27 | % | (0.54 | )% | 0.95 | % | 1.23 | % | (0.50 | )% | 2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 11.78 | 0.04 | 0.04 | 2.25 | 2.29 | (0.04 | ) | — | — | (0.04 | ) | $ | 14.03 | 19.61 | % | $ | 23,844 | 1.02 | % | 1.25 | % | 0.67 | % | 0.95 | % | 1.18 | % | 0.74 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period April 19, 20189 through October 31, 2018 | $ | 25.00 | (0.03 | ) | (0.03 | ) | (13.19 | ) | (13.22 | ) | — | — | (0.00 | )10 | (0.00 | )10 | $ | 11.78 | (52.88 | )% | $ | 4,123 | 0.95 | % | 2.34 | % | (0.27 | )% | 0.95 | % | 2.34 | % | (0.27 | )% | 75 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 49.33 | 0.22 | 0.23 | (0.82 | ) | (0.60 | ) | (0.21 | ) | — | — | (0.21 | ) | $ | 48.52 | (1.15 | )% | $ | 677,452 | 1.00 | % | 1.01 | % | 0.89 | % | 0.95 | % | 0.96 | % | 0.94 | % | 95 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 76.45 | 0.15 | 0.31 | (27.03 | ) | (26.88 | ) | (0.11 | ) | (0.13 | ) | — | (0.24 | ) | $ | 49.33 | (35.28 | )% | $ | 592,472 | 1.14 | % | 1.15 | % | 0.18 | % | 0.95 | % | 0.96 | % | 0.37 | % | 510 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 28.82 | (0.22 | ) | (0.18 | ) | 47.85 | 47.63 | — | — | — | — | $ | 76.45 | 165.27 | % | $ | 379,297 | 1.04 | % | 1.04 | % | (0.45 | )% | 0.95 | % | 0.95 | % | (0.36 | )% | 642 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 76.92 | (0.29 | ) | (0.28 | ) | (47.81 | ) | (48.10 | ) | — | — | — | — | $ | 28.82 | (62.53 | )% | $ | 279,883 | 0.98 | % | 1.00 | % | (0.79 | )% | 0.95 | % | 0.97 | % | (0.76 | )% | 1,619 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20159 through October 31, 2015 | $ | 160.00 | (0.44 | ) | (0.44 | ) | (82.64 | ) | (83.08 | ) | — | — | — | — | $ | 76.92 | (51.93 | )% | $ | 123,058 | 0.95 | % | 1.05 | % | (0.93 | )% | 0.95 | % | 1.05 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 39.17 | 0.18 | 0.18 | (17.63 | ) | (17.45 | ) | (0.25 | ) | — | — | (0.25 | ) | $ | 21.47 | (44.80 | )% | $ | 115,619 | 0.95 | % | 0.97 | % | 1.57 | % | 0.95 | % | 0.97 | % | 1.57 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 50.40 | 0.23 | 0.25 | (11.31 | ) | (11.08 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 39.17 | (21.81 | )% | $ | 56,196 | 1.00 | % | 1.02 | % | 0.74 | % | 0.95 | % | 0.97 | % | 0.79 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 275.00 | (0.10 | ) | (0.10 | ) | (224.50 | ) | (224.60 | ) | — | — | — | — | $ | 50.40 | (81.67 | )% | $ | 98,361 | 0.96 | % | 0.99 | % | (0.17 | )% | 0.95 | % | 0.98 | % | (0.16 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 410.80 | (2.40 | ) | (2.20 | ) | (133.40 | ) | (135.80 | ) | — | — | — | — | $ | 275.00 | (33.06 | )% | $ | 82,490 | 1.01 | % | 1.08 | % | (0.82 | )% | 0.95 | % | 1.02 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20159 through October 31, 2015 | $ | 400.00 | (1.60 | ) | (1.60 | ) | 12.40 | 10.80 | — | — | — | — | $ | 410.80 | 2.70 | % | $ | 28,753 | 0.96 | % | 1.55 | % | (0.95 | )% | 0.95 | % | 1.54 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 21.88 | 0.05 | 0.06 | (10.87 | ) | (10.82 | ) | (0.03 | ) | — | — | (0.03 | ) | $ | 11.03 | (49.42 | )% | $ | 227,348 | 1.16 | % | 1.17 | % | 0.81 | % | 0.95 | % | 0.96 | % | 1.02 | % | 233 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 24.43 | 0.06 | 0.09 | (2.60 | ) | (2.54 | ) | (0.01 | ) | — | — | (0.01 | ) | $ | 21.88 | (10.42 | )% | $ | 156,655 | 1.04 | % | 1.05 | % | 0.21 | % | 0.95 | % | 0.96 | % | 0.30 | % | 119 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 34.53 | (0.06 | ) | (0.04 | ) | (8.38 | ) | (8.44 | ) | — | (1.66 | ) | — | (1.66 | ) | $ | 24.43 | (27.03 | )% | $ | 129,723 | 1.02 | % | 1.04 | % | (0.24 | )% | 0.95 | % | 0.97 | % | (0.17 | )% | 350 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 67.45 | (0.26 | ) | (0.25 | ) | (32.66 | ) | (32.92 | ) | — | — | — | — | $ | 34.53 | (48.81 | )% | $ | 59,024 | 0.98 | % | 1.06 | % | (0.77 | )% | 0.95 | % | 1.03 | % | (0.74 | )% | 76 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20159 through October 31, 2015 | $ | 200.00 | (0.25 | ) | (0.25 | ) | (132.30 | ) | (132.55 | ) | — | — | — | — | $ | 67.45 | (66.28 | )% | $ | 8,770 | 0.95 | % | 2.44 | % | (0.76 | )% | 0.95 | % | 2.44 | % | (0.76 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
174
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 43.50 | $ | 0.34 | $ | 0.37 | $ | 2.80 | $ | 3.14 | $ | (0.48 | ) | $ | — | $ | — | $ | (0.48 | ) | $ | 46.16 | 6.83 | % | $ | 52,441 | 1.09 | % | 1.14 | % | 1.29 | % | 0.95 | % | 1.00 | % | 1.43 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 82.30 | 0.30 | 0.30 | (38.90 | ) | (38.60 | ) | (0.20 | ) | — | — | (0.20 | ) | $ | 43.50 | (46.86 | )% | $ | 42,465 | 0.99 | % | 1.02 | % | 0.77 | % | 0.95 | % | 0.98 | % | 0.81 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 124.80 | (0.35 | ) | (0.25 | ) | (42.15 | ) | (42.50 | ) | — | — | — | — | $ | 82.30 | (34.05 | )% | $ | 30,119 | 1.05 | % | 1.18 | % | (0.38 | )% | 0.95 | % | 1.08 | % | (0.28 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 354.80 | (1.30 | ) | (1.30 | ) | (228.70 | ) | (230.00 | ) | — | — | — | — | $ | 124.80 | (64.83 | )% | $ | 26,950 | 0.96 | % | 1.12 | % | (0.75 | )% | 0.95 | % | 1.11 | % | (0.74 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20159 through October 31, 2015 | $ | 250.00 | (1.70 | ) | (1.65 | ) | 106.50 | 104.80 | — | — | — | — | $ | 354.80 | 41.93 | % | $ | 5,677 | 0.98 | % | 2.13 | % | (0.97 | )% | 0.95 | % | 2.10 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 100.52 | 0.60 | 0.67 | 87.46 | 88.06 | (0.53 | ) | — | — | (0.53 | ) | $ | 188.05 | 88.06 | % | $ | 611,168 | 1.06 | % | 1.06 | % | 1.06 | % | 0.94 | % | 0.94 | % | 1.18 | % | 51 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 148.00 | 0.85 | 1.08 | (47.41 | ) | (46.56 | ) | (0.92 | ) | — | — | (0.92 | ) | $ | 100.52 | (31.68 | )% | $ | 582,998 | 1.10 | % | 1.09 | % | 0.56 | % | 0.94 | % | 0.93 | % | 0.72 | % | 101 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 45.78 | (0.02 | ) | 0.08 | 105.00 | 104.98 | — | (2.76 | ) | — | (2.76 | ) | $ | 148.00 | 238.31 | % | $ | 525,405 | 1.06 | % | 1.04 | % | (0.02 | )% | 0.95 | % | 0.93 | % | 0.09 | % | 17 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 26.92 | (0.13 | ) | (0.12 | ) | 18.99 | 18.86 | — | — | — | — | $ | 45.78 | 70.06 | % | $ | 112,149 | 0.97 | % | 1.01 | % | (0.44 | )% | 0.95 | % | 0.99 | % | (0.42 | )% | 29 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 27.61 | (0.18 | ) | (0.17 | ) | (0.51 | ) | (0.69 | ) | (0.00 | )10 | — | — | (0.00 | )10 | $ | 26.92 | (2.49 | )% | $ | 131,929 | 0.97 | % | 1.00 | % | (0.57 | )% | 0.95 | % | 0.98 | % | (0.55 | )% | 26 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 14.63 | (0.10 | ) | (0.09 | ) | 13.08 | 12.98 | — | — | — | — | $ | 27.61 | 88.74 | % | $ | 165,650 | 1.01 | % | 1.08 | % | (0.45 | )% | 0.95 | % | 1.02 | % | (0.40 | )% | 8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 133.30 | 0.59 | 0.59 | (86.44 | ) | (85.85 | ) | (0.75 | ) | — | — | (0.75 | ) | $ | 46.70 | (64.73 | )% | $ | 172,604 | 0.97 | % | 0.97 | % | 1.57 | % | 0.95 | % | 0.95 | % | 1.59 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 162.50 | 0.80 | 0.90 | (29.60 | ) | (28.80 | ) | (0.40 | ) | — | — | (0.40 | ) | $ | 133.30 | (17.63 | )% | $ | 65,459 | 0.97 | % | 0.98 | % | 0.73 | % | 0.95 | % | 0.96 | % | 0.75 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 768.00 | (0.60 | ) | (0.60 | ) | (604.90 | ) | (605.50 | ) | — | — | — | — | $ | 162.50 | (78.84 | )% | $ | 48,915 | 0.96 | % | 1.03 | % | (0.18 | )% | 0.95 | % | 1.02 | % | (0.17 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 2,121.50 | (10.50 | ) | (10.00 | ) | (1,343.00 | ) | (1,353.50 | ) | — | — | — | — | $ | 768.00 | (63.80 | )% | $ | 51,460 | 0.96 | % | 1.02 | % | (0.77 | )% | 0.95 | % | 1.01 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 3,442.00 | (24.50 | ) | (24.00 | ) | (1,296.00 | ) | (1,320.50 | ) | — | — | — | — | $ | 2,121.50 | (38.36 | )% | $ | 38,178 | 0.96 | % | 1.08 | % | (0.95 | )% | 0.95 | % | 1.07 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 9,096.00 | (52.00 | ) | (52.00 | ) | (5,602.00 | ) | (5,654.00 | ) | — | — | — | — | $ | 3,442.00 | (62.16 | )% | $ | 22,365 | 0.95 | % | 1.13 | % | (0.94 | )% | 0.95 | % | 1.13 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 125.45 | 0.29 | 0.43 | 40.54 | 40.83 | (0.43 | ) | — | — | (0.43 | ) | $ | 165.85 | 32.62 | % | $ | 812,662 | 1.20 | % | 1.20 | % | 0.50 | % | 0.95 | % | 0.95 | % | 0.75 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 107.62 | 0.39 | 0.68 | 17.95 | 18.34 | (0.51 | ) | — | — | (0.51 | ) | $ | 125.45 | 16.99 | % | $ | 671,151 | 1.17 | % | 1.17 | % | 0.29 | % | 0.95 | % | 0.95 | % | 0.51 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 47.32 | 0.01 | 0.06 | 60.29 | 60.30 | — | — | — | — | $ | 107.62 | 127.43 | % | $ | 452,001 | 1.03 | % | 1.03 | % | 0.01 | % | 0.95 | % | 0.95 | % | 0.09 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 38.56 | (0.22 | ) | (0.22 | ) | 8.98 | 8.76 | — | — | — | — | $ | 47.32 | 22.72 | % | $ | 172,728 | 0.97 | % | 0.99 | % | (0.58 | )% | 0.95 | % | 0.97 | % | (0.56 | )% | 153 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 32.73 | (0.31 | ) | (0.31 | ) | 6.14 | 5.83 | — | — | — | — | $ | 38.56 | 17.83 | % | $ | 194,728 | 0.97 | % | 0.97 | % | (0.89 | )% | 0.95 | % | 0.95 | % | (0.87 | )% | 418 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 18.88 | (0.21 | ) | (0.20 | ) | 14.06 | 13.85 | — | — | — | — | $ | 32.73 | 73.38 | % | $ | 189,804 | 0.98 | % | 1.01 | % | (0.83 | )% | 0.95 | % | 0.98 | % | (0.81 | )% | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 22.18 | 0.16 | 0.16 | (9.42 | ) | (9.26 | ) | (0.13 | ) | — | — | (0.13 | ) | $ | 12.79 | (41.99 | )% | $ | 35,213 | 0.99 | % | 1.05 | % | 1.62 | % | 0.95 | % | 1.01 | % | 1.66 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 36.80 | 0.20 | 0.21 | (14.35 | ) | (14.15 | ) | (0.47 | ) | — | — | (0.47 | ) | $ | 22.18 | (39.38 | )% | $ | 33,349 | 0.96 | % | 1.05 | % | 0.85 | % | 0.95 | % | 1.04 | % | 0.86 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 96.30 | (0.10 | ) | (0.10 | ) | (59.40 | ) | (59.50 | ) | — | — | — | — | $ | 36.80 | (61.79 | )% | $ | 17,419 | 0.96 | % | 1.15 | % | (0.20 | )% | 0.95 | % | 1.14 | % | (0.19 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 154.05 | (1.00 | ) | (1.00 | ) | (56.75 | ) | (57.75 | ) | — | — | — | — | $ | 96.30 | (37.49 | )% | $ | 19,598 | 0.96 | % | 1.15 | % | (0.77 | )% | 0.95 | % | 1.14 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 249.00 | (1.85 | ) | (1.85 | ) | (93.10 | ) | (94.95 | ) | — | — | — | — | $ | 154.05 | (38.13 | )% | $ | 19,030 | 0.95 | % | 1.07 | % | (0.94 | )% | 0.95 | % | 1.07 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 517.60 | (3.40 | ) | (3.40 | ) | (265.20 | ) | (268.60 | ) | — | — | — | — | $ | 249.00 | (51.89 | )% | $ | 13,967 | 0.95 | % | 1.14 | % | (0.95 | )% | 0.95 | % | 1.14 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 27.12 | 0.12 | 0.12 | 2.81 | 2.93 | (0.14 | ) | — | — | (0.14 | ) | $ | 29.91 | 11.00 | % | $ | 4,487 | 0.96 | % | 1.36 | % | 0.92 | % | 0.95 | % | 1.35 | % | 0.93 | % | 49 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 29.44 | 0.19 | 0.19 | 0.66 | 0.85 | (0.24 | ) | (2.93 | ) | — | (3.17 | ) | $ | 27.12 | 1.13 | % | $ | 10,849 | 0.95 | % | 1.37 | % | 0.57 | % | 0.95 | % | 1.37 | % | 0.57 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 | $ | 25.00 | 0.02 | 0.02 | 4.42 | 4.44 | — | — | — | — | $ | 29.44 | 17.76 | % | $ | 2,945 | 0.95 | % | 3.62 | % | 0.13 | % | 0.95 | % | 3.62 | % | 0.13 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
175
Financial Highlights
April 30, 2019
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 27.81 | $ | 0.37 | $ | 0.37 | $ | 7.67 | $ | 8.04 | $ | (0.34 | ) | $ | — | $ | — | $ | (0.34 | ) | $ | 35.51 | 28.97 | % | $ | 7,103 | 0.95 | % | 1.80 | % | 2.41 | % | 0.95 | % | 1.80 | % | 2.41 | % | 111 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 31.13 | 0.53 | 0.54 | (3.31 | ) | (2.78 | ) | (0.54 | ) | — | — | (0.54 | ) | $ | 27.81 | (8.72 | )% | $ | 4,172 | 0.96 | % | 1.45 | % | 2.15 | % | 0.95 | % | 1.44 | % | 2.16 | % | 44 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 | $ | 25.00 | 0.15 | 0.15 | 5.98 | 6.13 | — | — | — | — | $ | 31.13 | 24.52 | % | $ | 3,113 | 0.95 | % | 3.46 | % | 1.04 | % | 0.95 | % | 3.46 | % | 1.04 | % | 86 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 38.83 | 0.30 | 0.31 | 6.44 | 6.74 | (0.28 | ) | — | — | (0.28 | ) | $ | 45.29 | 17.41 | % | $ | 13,587 | 0.99 | % | 1.32 | % | 1.40 | % | 0.95 | % | 1.28 | % | 1.44 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 44.25 | 0.31 | 0.34 | (5.41 | ) | (5.10 | ) | (0.32 | ) | — | — | (0.32 | ) | $ | 38.83 | (11.54 | )% | $ | 5,824 | 1.01 | % | 1.57 | % | 0.76 | % | 0.95 | % | 1.51 | % | 0.82 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 51.25 | (0.02 | ) | (0.01 | ) | (4.14 | ) | (4.16 | ) | — | (2.84 | ) | — | (2.84 | ) | $ | 44.25 | (7.60 | )% | $ | 8,851 | 0.96 | % | 1.70 | % | (0.04 | )% | 0.95 | % | 1.69 | % | (0.03 | )% | 134 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 46.74 | (0.41 | ) | (0.40 | ) | 5.65 | 5.24 | — | (0.73 | ) | — | (0.73 | ) | $ | 51.25 | 11.42 | % | $ | 7,688 | 0.98 | % | 1.59 | % | (0.81 | )% | 0.95 | % | 1.56 | % | (0.78 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 42.70 | (0.43 | ) | (0.42 | ) | 4.47 | 4.04 | — | — | — | — | $ | 46.74 | 9.46 | % | $ | 7,011 | 0.96 | % | 1.48 | % | (0.94 | )% | 0.95 | % | 1.47 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 38.51 | (0.37 | ) | (0.37 | ) | 4.56 | 4.19 | — | — | — | — | $ | 42.70 | 10.88 | % | $ | 4,270 | 0.95 | % | 2.23 | % | (0.95 | )% | 0.95 | % | 2.23 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 15.53 | 0.09 | 0.09 | (2.52 | ) | (2.43 | ) | (0.08 | ) | — | — | (0.08 | ) | $ | 13.02 | (15.65 | )% | $ | 14,977 | 0.98 | % | 1.15 | % | 1.33 | % | 0.95 | % | 1.12 | % | 1.36 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 14.01 | 0.07 | 0.08 | 1.47 | 1.54 | (0.02 | ) | — | — | (0.02 | ) | $ | 15.53 | 11.01 | % | $ | 20,189 | 1.05 | % | 1.15 | % | 0.45 | % | 0.95 | % | 1.05 | % | 0.55 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 13.65 | (0.05 | ) | (0.04 | ) | 0.41 | 0.36 | — | — | — | — | $ | 14.01 | 2.64 | % | $ | 28,724 | 0.97 | % | 1.07 | % | (0.33 | )% | 0.95 | % | 1.05 | % | (0.31 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 16.51 | (0.11 | ) | (0.11 | ) | (2.75 | ) | (2.86 | ) | — | — | — | — | $ | 13.65 | (17.32 | )% | $ | 26,612 | 0.95 | % | 1.08 | % | (0.78 | )% | 0.95 | % | 1.08 | % | (0.78 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 19.88 | (0.17 | ) | (0.17 | ) | (3.20 | ) | (3.37 | ) | — | — | — | — | $ | 16.51 | (16.95 | )% | $ | 40,461 | 0.95 | % | 0.94 | % | (0.93 | )% | 0.95 | % | 0.94 | % | (0.93 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 23.93 | (0.21 | ) | (0.21 | ) | (3.84 | ) | (4.05 | ) | — | — | — | — | $ | 19.88 | (16.92 | )% | $ | 54,673 | 0.95 | % | 0.97 | % | (0.95 | )% | 0.95 | % | 0.97 | % | (0.95 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 15.76 | 0.16 | 0.16 | 4.47 | 4.63 | (0.16 | ) | — | — | (0.16 | ) | $ | 20.23 | 29.48 | % | $ | 112,271 | 0.95 | % | 0.95 | % | 1.68 | % | 0.92 | % | 0.92 | % | 1.71 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 20.77 | 0.25 | 0.26 | (5.00 | ) | (4.75 | ) | (0.26 | ) | — | — | (0.26 | ) | $ | 15.76 | (23.07 | )% | $ | 100,873 | 0.97 | % | 0.95 | % | 1.31 | % | 0.94 | % | 0.92 | % | 1.34 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 24.07 | 0.07 | 0.08 | (3.35 | ) | (3.28 | ) | (0.02 | ) | — | — | (0.02 | ) | $ | 20.77 | (13.64 | )% | $ | 90,347 | 0.98 | % | 0.97 | % | 0.36 | % | 0.95 | % | 0.94 | % | 0.39 | % | 66 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 19.57 | (0.10 | ) | (0.09 | ) | 4.60 | 4.50 | — | — | — | — | $ | 24.07 | 23.01 | % | $ | 67,396 | 0.97 | % | 0.97 | % | (0.40 | )% | 0.95 | % | 0.95 | % | (0.38 | )% | 206 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 18.04 | (0.07 | ) | (0.07 | ) | 1.60 | 1.53 | — | — | — | — | $ | 19.57 | 8.47 | % | $ | 62,614 | 0.96 | % | 0.94 | % | (0.34 | )% | 0.95 | % | 0.93 | % | (0.33 | )% | 56 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 12.63 | (0.09 | ) | (0.09 | ) | 5.50 | 5.41 | — | — | — | — | $ | 18.04 | 42.81 | % | $ | 57,729 | 0.96 | % | 1.03 | % | (0.59 | )% | 0.95 | % | 1.03 | % | (0.58 | )% | 741 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2019 (Unaudited) | $ | 22.85 | 0.11 | 0.13 | (5.81 | ) | (5.70 | ) | (0.10 | ) | — | — | (0.10 | ) | $ | 17.05 | (24.99 | )% | $ | 208,028 | 1.21 | % | 1.21 | % | 1.12 | % | 0.91 | % | 0.91 | % | 1.42 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 19.14 | 0.11 | 0.12 | 3.66 | 3.77 | (0.06 | ) | — | — | (0.06 | ) | $ | 22.85 | 19.71 | % | $ | 345,100 | 0.99 | % | 0.99 | % | 0.54 | % | 0.90 | % | 0.90 | % | 0.63 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 18.81 | (0.07 | ) | (0.06 | ) | 0.40 | 0.33 | — | — | — | — | $ | 19.14 | 1.75 | % | $ | 371,392 | 0.93 | % | 0.93 | % | (0.31 | )% | 0.90 | % | 0.90 | % | (0.28 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 27.61 | (0.16 | ) | (0.16 | ) | (8.64 | ) | (8.80 | ) | — | — | — | — | $ | 18.81 | (31.87 | )% | $ | 378,946 | 0.92 | % | 0.92 | % | (0.77 | )% | 0.92 | % | 0.92 | % | (0.77 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 38.96 | (0.27 | ) | (0.27 | ) | (11.08 | ) | (11.35 | ) | — | — | — | — | $ | 27.61 | (29.13 | )% | $ | 537,016 | 0.90 | % | 0.90 | % | (0.88 | )% | 0.89 | % | 0.89 | % | (0.87 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2014 | $ | 64.67 | (0.48 | ) | (0.48 | ) | (25.23 | ) | (25.71 | ) | — | — | — | — | $ | 38.96 | (39.76 | )% | $ | 527,945 | 0.91 | % | 0.91 | % | (0.90 | )% | 0.90 | % | 0.90 | % | (0.90 | )% | 0 | % |
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Includes interest expense and extraordinary expenses which comprise of tax and litigation expenses.
3 Excludes interest expense and extraordinary expenses which comprise of tax and litigation expenses.
4 Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain(loss) per share is not in accordance with the Fund's changes in net realized and unrealized gain(loss) on investments, in-kind redemptions, futures, and swaps for the year/period.
5 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the year/period, reinvestment of all dividends and distributions at net asset value during the year/period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.
The total return would have been lower if certain expenses had not been reimbursed/waived or recouped by the investment advisor.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
176
Financial Highlights
April 30, 2019
6 Net expenses include effects of any reimbursement/waiver or recoupment.
7 For periods less than a year, these ratios are annualized.
8 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio.
Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.
9 Commencement of investment operations.
10 Between $(0.005) and $0.005.
11 Effective June 28, 2019, the Fund had a 1:5 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:5 stock split.
12 Effective June 28, 2019, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
177
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2019
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 93 separate series (each, a "Fund" and together the "Funds"). 63 of these Funds are included in this report:
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily Mid Cap Bear 3X Shares | ||||||
Direxion Daily S&P 500® Bull 3X Shares | Direxion Daily S&P 500® Bear 3X Shares | ||||||
Direxion Daily Small Cap Bull 3X Shares | Direxion Daily Small Cap Bear 3X Shares | ||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | |||||||
Direxion Daily FTSE China Bull 3X Shares | Direxion Daily FTSE China Bear 3X Shares | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||
Direxion Daily Latin America Bull 3X Shares | |||||||
Direxion Daily MSCI Brazil Bull 3X Shares | |||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Developed Markets Bear 3X Shares | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||
Direxion Daily MSCI India Bull 3X Shares | |||||||
Direxion Daily MSCI Japan Bull 3X Shares | |||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||
Direxion Daily Russia Bull 3X Shares | Direxion Daily Russia Bear 3X Shares | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||
Direxion Daily Communication Services Index Bull 3X Shares | Direxion Daily Communication Services Index Bear 3X Shares | ||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | Direxion Daily Consumer Discretionary Bear 3X Shares | ||||||
Direxion Daily Consumer Staples Bull 3X Shares | Direxion Daily Consumer Staples Bear 3X Shares | ||||||
Direxion Daily Energy Bull 3X Shares | Direxion Daily Energy Bear 3X Shares | ||||||
Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | ||||||
Direxion Daily Gold Miners Index Bull 3X Shares | Direxion Daily Gold Miners Index Bear 3X Shares | ||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||
Direxion Daily Industrials Bull 3X Shares | |||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | Direxion Daily Junior Gold Miners Index Bear 3X Shares | ||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||
Direxion Daily Natural Gas Related Bull 3X Shares | Direxion Daily Natural Gas Related Bear 3X Shares | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Regional Banks Bear 3X Shares | ||||||
Direxion Daily Retail Bull 3X Shares | |||||||
Direxion Daily Robotics, Artificial Intelligence & | |||||||
Automation Index Bull 3X Shares | |||||||
Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | ||||||
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | ||||||
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | ||||||
Direxion Daily Transportation Bull 3X Shares | |||||||
Direxion Daily Utilities Bull 3X Shares | |||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bear 3X Shares | ||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codification ("ASC") 946, Financial Services – Investment Companies.
Rafferty Asset Management, LLC (the "Adviser") has registered as a commodity pool operator ("CPO") and the Funds are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, the Adviser is subject to
DIREXION SEMI-ANNUAL REPORT
178
registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Fund's investment objective is to seek daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word "Bull" in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word "Bear" in their name attempt to provide investment results that correlate negatively to the return of an index or benchmark. The correlations sought by the Bull Funds are a multiple of 300% of the return of the target index or benchmark and a multiple of -300% of the return of the target index or benchmark for the Bear Funds.
Funds | Index or Benchmark | Daily Target | |||||||||
Direxion Daily Mid Cap Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Mid Cap Bear 3X Shares | S&P Mid Cap 400® Index | -300 | % | ||||||||
Direxion Daily S&P 500® Bull 3X Shares | 300 | % | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | S&P 500® Index | -300 | % | ||||||||
Direxion Daily Small Cap Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Small Cap Bear 3X Shares | Russell 2000® Index | -300 | % | ||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | EURO STOXX 50® Index | 300 | % | ||||||||
Direxion Daily FTSE China Bull 3X Shares | 300 | % | |||||||||
Direxion Daily FTSE China Bear 3X Shares | FTSE China 50 Index | -300 | % | ||||||||
Direxion Daily FTSE Europe Bull 3X Shares | FTSE Developed Europe All Cap Index | 300 | % | ||||||||
Direxion Daily Latin America Bull 3X Shares | S&P Latin America 40 Index | 300 | % | ||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | MSCI Brazil 25/50 Index | 300 | % | ||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 300 | % | |||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | MSCI EAFE® Index | -300 | % | ||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 300 | % | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | MSCI Emerging Markets IndexSM | -300 | % | ||||||||
Direxion Daily MSCI India Bull 3X Shares | MSCI India Index | 300 | % | ||||||||
Direxion Daily MSCI Japan Bull 3X Shares | MSCI Japan Index | 300 | % | ||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | MSCI Mexico IMI 25/50 Index | 300 | % | ||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | MSCI Korea 25/50 Index | 300 | % | ||||||||
Direxion Daily Russia Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Russia Bear 3X Shares | MVIS Russia Index | -300 | % | ||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | Dow Jones U.S. Select Aerospace & Defense Index | 300 | % | ||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Communications Service Index Bear 3X Shares | Communication Services Select Sector Index | -300 | % | ||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | Consumer Discretionary Select Sector Index | -300 | % | ||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Consumer Staples Bear 3X Shares | Consumer Staples Select Sector Index | -300 | % | ||||||||
Direxion Daily Energy Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Energy Bear 3X Shares | Energy Select Sector Index | -300 | % | ||||||||
Direxion Daily Financial Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Financial Bear 3X Shares | Russell 1000® Financial Services Index | -300 | % | ||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | NYSE Arca Gold Miners Index | -300 | % | ||||||||
Direxion Daily Healthcare Bull 3X Shares | Health Care Select Sector Index | 300 | % | ||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Dow Jones U.S. Select Home Construction Index | 300 | % |
DIREXION SEMI-ANNUAL REPORT
179
Funds | Index or Benchmark | Daily Target | |||||||||
Direxion Daily Industrials Bull 3X Shares | Industrial Select Sector Index | 300 | % | ||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | MVIS Global Junior Gold Miners Index | -300 | % | ||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 300 | % | |||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | MSCI U.S. REIT IndexSM | -300 | % | ||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | ISE-Revere Natural Gas IndexTM | -300 | % | ||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Dynamic Pharmaceutical Intellidex Index | 300 | % | ||||||||
Direxion Daily Regional Banks Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Regional Banks Bear 3X Shares | S&P Regional Banks Select Industry Index | -300 | % | ||||||||
Direxion Daily Retail Bull 3X Shares | S&P Retail Select Industry® Index | 300 | % | ||||||||
Direxion Daily Robotics, Artificial Intelligence & | Indxx Global Robotics and Artificial Intelligence |
| |||||||||
Automation Index Bull 3X Shares | Thematic Index | 300 | % | ||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 300 | % | |||||||||
Direxion Daily S&P Biotech Bear 3X Shares | S&P Biotechnology Select Industry Index | -300 | % | ||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | S&P Oil & Gas Exploration & Production Select | 300 | % | ||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | Industry Index | -300 | % | ||||||||
Direxion Daily Semiconductor Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | PHLX Semiconductor Sector Index | -300 | % | ||||||||
Direxion Daily Technology Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Technology Bear 3X Shares | Technology Select Sector Index | -300 | % | ||||||||
Direxion Daily Transportation Bull 3X Shares | Dow Jones Transportation Average | 300 | % | ||||||||
Direxion Daily Utilities Bull 3X Shares | Utilities Select Sector Index | 300 | % | ||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 300 | % | |||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | ICE U.S. Treasury 7-10 Year Bond Index | -300 | % | ||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 300 | % | |||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | ICE U.S. Treasury 20+ Year Bond Index | -300 | % |
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Cash Equivalents – The Funds consider investments in the Bank of New York Mellon Cash Reserve, a U.S. dollar-denominated deposit account offered through the Bank of New York Mellon, to be cash equivalents. The Funds are exposed to the credit risk of Bank of New York Mellon through these holdings of cash equivalents. These cash equivalents are presented on the Statements of Assets and Liabilities as "Cash equivalents" and were classified as Level 1 assets as of April 30, 2019.
b) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time), each day the NYSE is open for business. On days that the Securities Industry and Financial Markets Association ("SIFMA") recommends that the bond markets close all day, Direxion Daily 7-10 Year Treasury Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bear 3X Shares, Direxion Daily 20+ Year Treasury Bull 3X Shares and Direxion Daily 20+ Year Treasury Bear 3X Shares (the "Fixed Income Funds") do not calculate their NAVs, even if the NYSE is open for business. Similarly, on days that SIFMA recommends that the bond markets close early, each of the Fixed Income Funds calculate its NAV as of the time of the recommended close, usually 2:00 p.m. Eastern time, rather than the close of regular trading on the NYSE. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued
DIREXION SEMI-ANNUAL REPORT
180
using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over the Counter ("OTC") securities held by a Fund will be valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. Futures contracts are valued at settlement price established on the exchange on which they are traded, if that settlement price reflects trading prior to the Valuation Time. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation time will be used. Securities, swap or future contracts are fair valued as determined by the Adviser under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities; c) the Funds' pricing service provides valuation that in the judgment of the Adviser does not represent fair value; or d) the Fund or Adviser believes the market price is stale.
c) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivatives contracts and related cash collateral on the Statement of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. The Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Fund's custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized gains or losses on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps."
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their objectives.
Accounting Standards Update No. 2013-01 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope to recognized derivative instruments accounted for under ASC 815 "Derivatives and Hedging", to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement.
DIREXION SEMI-ANNUAL REPORT
181
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of April 30, 2019, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at April 30, 2019 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.
Description: Swap Contract
Counterparty: Bank of America Merrill Lynch
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 943,431 | $ | — | $ | 943,4311 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 25,852,868 | — | 25,240,000 | 612,868 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
182
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 7,886,535 | $ | — | $ | 7,886,5351 | $ | — | |||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 55,497,317 | — | 55,497,3171 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 20,169,618 | — | 20,169,6181 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | 2,866,933 | — | 2,866,9331 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 40,691 | — | — | 40,691 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 3,425 | — | — | 3,425 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | — | — | — | — | 1,303,759 | — | 1,303,7591 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | — | — | — | — | 3,453 | — | 3,4531 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | — | — | — | 104,757 | — | 104,7571 | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | 138,695 | — | 138,6951 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | — | — | — | — | 23,731 | — | 23,7311 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | — | — | — | — | 10,092 | — | 10,0921 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 8,534,241 | — | 8,530,000 | 4,241 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | — | — | — | — | 1,396,025 | — | 1,396,0251 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 1,475,394 | — | 1,475,3941 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | — | 2,227,718 | — | 2,227,7181 | — |
DIREXION SEMI-ANNUAL REPORT
183
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | $ | 139,925 | $ | — | $ | 80,000 | $ | 59,925 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | — | — | — | — | 13,046 | — | 13,0461 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 5,361,983 | — | 5,361,9831 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 85,457 | — | — | 85,457 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 58,574,176 | — | 56,738,393 | 1,835,783 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 56,947,527 | — | 56,235,000 | 712,527 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 3,411,437 | — | 3,411,4371 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: BNP Paribas
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 537,111 | $ | 1,800 | $ | 535,3111 | $ | — | $ | 1,800 | $ | 1,800 | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | — | — | — | — | 31,490 | — | 31,4901 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 19,617,522 | — | 19,420,000 | 197,522 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 4,796,756 | 95,992 | 4,700,7641 | — | 95,992 | 95,992 | — | — |
DIREXION SEMI-ANNUAL REPORT
184
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 1,157,323 | $ | — | $ | 1,157,3231 | $ | — | |||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 162,336 | 154 | 20,000 | 142,182 | 154 | 154 | — | — | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 288 | 288 | — | — | 881,433 | 288 | 881,1451 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 13,148,025 | 173,676 | 11,920,000 | 1,054,349 | 173,676 | 173,676 | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 12,766,562 | — | 12,766,5621 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 4,257,858 | — | 4,257,8581 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 59,028 | 59,028 | — | — | 237,985 | 59,028 | 178,9571 | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | 7,561,518 | — | 7,560,000 | 1,518 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | 176,652 | — | 176,6521 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 744,320 | 744,320 | — | — | 19,438,832 | 744,320 | 18,694,5121 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 2,793,447 | — | 2,793,4471 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 507 | 507 | — | — | 3,317 | 507 | — | 2,810 | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 1,193,015 | 1,193,015 | — | — | 26,259,266 | 1,193,015 | 25,066,2511 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 2,870,602 | — | 2,870,000 | 602 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 1,238,975 | — | 860,000 | 378,975 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
185
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | $ | 31,317 | $ | 31,317 | $ | — | $ | — | $ | 591,232 | $ | 31,317 | $ | 559,9151 | $ | — | |||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | — | — | — | — | 1,009,166 | — | 1,009,1661 | — | |||||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 104,218 | — | — | 104,218 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 227,526 | — | 160,000 | 67,526 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 1,138,817 | — | 1,138,8171 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 1,010,480 | — | 780,000 | 230,480 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 3,911,338 | — | 3,911,3381 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Citibank N.A.
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | $ | 83,438,781 | $ | — | $ | 82,923,209 | $ | 515,572 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 7,326,785 | — | 7,326,7851 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 402,351 | — | 402,3511 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 150,218 | — | 150,2181 | — |
DIREXION SEMI-ANNUAL REPORT
186
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | $ | 413,783 | $ | — | $ | 277,000 | $ | 136,783 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 2,152,582 | — | 2,094,000 | 58,582 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 2,742,800 | — | 2,742,8001 | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 170,573 | — | 170,5731 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 531,454 | — | 531,4541 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | — | — | — | 14,299 | — | 14,2991 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 296,152 | — | — | 296,152 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | — | — | 269,129 | — | 269,1291 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 17,071,298 | — | 17,007,633 | 63,665 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | — | — | — | — | 19,080,997 | — | 19,080,9971 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 704,631 | — | 648,000 | 56,631 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | — | — | — | — | 8,527,649 | — | 8,527,6491 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 165,976 | — | 165,9761 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
187
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | $ | 1,339,170 | $ | — | $ | 1,001,000 | $ | 338,170 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | 299,414 | — | 299,4141 | — | |||||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 3,890,808 | — | 3,890,8081 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 190,537 | — | — | 190,537 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 956,707 | — | 956,7071 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 2,474,227 | — | 2,474,2271 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 1,207,633 | — | — | 1,207,633 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 7,152,112 | — | 7,152,1121 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | — | — | — | 249,175 | — | 249,1751 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 53,082,504 | — | 50,587,072 | 2,495,432 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 32,946,714 | — | 32,946,7141 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 24,025,954 | — | 23,747,000 | 278,954 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 3,417,374 | — | 3,417,3741 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 26,683 | — | — | 26,683 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 19,236 | — | — | 19,236 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
188
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | $ | 1,665,388 | $ | — | $ | 1,283,000 | $ | 382,388 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 12,128,823 | — | 12,128,8231 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Credit Suisse Capital LLC
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 4,968,708 | $ | — | $ | 4,968,7081 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | — | — | — | — | 464,747 | — | 464,7471 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 3,420,619 | — | 3,180,000 | 240,619 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 54,187,768 | — | 54,187,7681 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 16,811,263 | — | 16,811,2631 | — | |||||||||||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 421,432 | — | 330,000 | 91,432 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 35,025,663 | — | 35,025,6631 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 4,020,439 | — | 4,020,4391 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 7,160,790 | — | 6,810,000 | 350,790 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
189
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 74,356 | $ | — | $ | 74,3561 | $ | — | |||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 11,951,350 | — | 9,660,000 | 2,291,350 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 2,300,089 | — | 2,140,000 | 160,089 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | — | — | — | 778,476 | — | 778,4761 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 4,739,322 | — | 4,739,3221 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 5,346,915 | — | 5,346,9151 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 212,222 | — | 212,2221 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | — | — | — | 3,390,259 | — | 3,390,2591 | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | 810,165 | — | 810,1651 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | — | — | — | — | 1,080,059 | — | 1,080,0591 | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 9,852,423 | — | 9,680,000 | 172,423 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 489,673 | — | 489,6731 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | — | — | — | 3,102 | — | 3,1021 | — |
DIREXION SEMI-ANNUAL REPORT
190
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | $ | 46,241 | $ | — | $ | — | $ | 46,241 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 11,018 | — | — | 11,018 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | — | — | — | — | 3,316,851 | — | 3,316,8511 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | 515,200 | — | 420,000 | 95,200 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 285,994,284 | — | 276,790,000 | 9,204,284 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 49,947,070 | — | 49,947,0701 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | — | — | — | — | 81,102,050 | — | 81,102,0501 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 7,933,816 | — | 7,933,8161 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 4,965,111 | — | 4,090,000 | 875,111 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 2,481,958 | — | 2,481,9581 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 224,779 | — | 224,7791 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | — | — | — | — | 67,146,731 | — | 67,146,7311 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 5,394,817 | — | 5,280,000 | 114,817 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | — | — | 70,839 | — | 70,8391 | — |
DIREXION SEMI-ANNUAL REPORT
191
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | $ | 3,366,906 | $ | — | $ | 3,366,9061 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | — | — | — | 172,732 | — | 172,7321 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | — | — | — | 388,264 | — | 388,2641 | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 91,292 | — | — | 91,292 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | — | — | — | 215,155 | — | 215,1551 | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 234,304 | — | 234,3041 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 1,664,050 | — | 1,410,000 | 254,050 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 29,010,872 | — | 29,010,8721 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | — | — | — | 27,977 | — | 27,9771 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 7,306,954 | — | 6,160,000 | 1,146,954 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 4,116,435 | — | 4,116,4351 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 146,990,151 | — | 145,490,000 | 1,500,151 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 7,950,032 | — | 7,950,0321 | — |
DIREXION SEMI-ANNUAL REPORT
192
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | $ | 245,414 | $ | — | $ | 245,4141 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 14,715 | — | 14,7151 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 799,692 | — | 280,000 | 519,692 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 447,514 | — | 447,5141 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | $ | 115,535,409 | $ | — | $ | 114,640,000 | $ | 895,409 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 72,308,133 | — | 72,308,1331 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 67,680,843 | — | 67,680,8431 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 20,780,905 | — | 20,780,9051 | — | |||||||||||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 28,528 | — | — | 28,528 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 7,918,558 | — | 7,918,5581 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
193
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | $ | 517,771 | $ | — | $ | — | $ | 517,771 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 1,159,095 | — | 320,000 | 839,095 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 3,909,678 | — | 3,909,6781 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 1,035,107 | — | 1,035,1071 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 5,615,001 | — | 5,615,0011 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 494,470 | — | 494,4701 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 1,844,753 | — | 1,660,000 | 184,753 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | — | — | — | 58,513 | — | 58,5131 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 48,141,910 | — | 45,050,000 | 3,091,910 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | — | — | — | — | 3,138,457 | — | 3,138,4571 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 78,559,604 | — | 74,320,000 | 4,239,604 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 377,670 | — | 377,6701 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | — | — | — | — | 34,333,287 | — | 34,333,2871 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 513,662 | — | 513,6621 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
194
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 493,836 | $ | — | $ | 493,8361 | $ | — | |||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 4,657,801 | — | 4,420,000 | 237,801 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 648,182 | — | 510,000 | 138,182 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 435,908 | — | 435,9081 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | — | — | — | — | 494,554 | — | 494,5541 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | — | — | — | 20,761 | — | 20,7611 | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 2,850,316 | — | 2,850,3161 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | — | — | — | 203,386 | — | 203,3861 | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 193,014 | — | — | 193,014 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 3,284,894 | — | 3,140,000 | 144,894 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 50,034,217 | — | 50,034,2171 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 3,159,457 | — | — | 3,159,457 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
195
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 2,326,875 | $ | — | $ | 2,326,8751 | $ | — | |||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 3,447,015 | — | 1,960,000 | 1,487,015 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 182,183,779 | — | 177,780,000 | 4,403,779 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 14,462,564 | — | 14,462,5641 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 26,702,519 | — | 25,560,000 | 1,142,519 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 972,247 | — | 972,2471 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 638,479 | — | 630,000 | 8,479 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 22,756 | — | — | 22,756 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 712,626 | — | 712,6261 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
d) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts.
e) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such
DIREXION SEMI-ANNUAL REPORT
196
instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended April 30, 2019.
f) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
g) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.
h) Securities Lending – The Funds may lend its investment securities to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of April 30, 2019, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished if required.
As of April 30, 2019, the market value if the securities loaned and the payable on collateral received for securities lending were as follows:
Funds | Market Value of Securities Loaned | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | $ | 60,560,373 | $ | — | $ | 61,836,500 | $ | 61,836,500 | |||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 17,590,161 | 81 | 17,960,820 | 17,960,901 | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 13,265 | 13,534 | — | 13,534 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 4,649 | 4,772 | — | 4,772 | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 273,221 | 167,226 | 112,014 | 279,240 | |||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 28,802 | 29,727 | — | 29,727 | |||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 123,884 | 114,587 | 12,161 | 126,748 | |||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 220,184 | 172,929 | 52,133 | 225,062 | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 533,014 | 555,187 | — | 555,187 | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 12,475,914 | 10,070,750 | 2,813,191 | 12,883,941 |
DIREXION SEMI-ANNUAL REPORT
197
Funds | Market Value of Securities Loaned | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | $ | 2,321,879 | $ | 1,310,037 | $ | 1,071,507 | $ | 2,381,544 | |||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 331,394 | — | 338,377 | 338,377 | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 27,990,196 | 348 | 28,580,005 | 28,580,353 |
i) Federal Income Taxes – Each Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company and to make the requisite distributions of net investment income and net realized capital gains to its shareholders sufficient to relieve it from all or substantially all U.S. Federal income and excise taxes. No provision for U.S. Federal income taxes has been made by the Funds. Certain Funds paid U.S. excise taxes during the year/period ended October 31, 2018.
j) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date. Distributions received from investments in MLPs are generally comprised of ordinary income, capital gains and return of capital from the MLPs. For financial statement purposes, the Funds use return of capital and income estimates to allocate the dividend income received. These estimates are assumptions based on the MLPs election to be taxed as partnership or as corporation. Distributions received from MLPs taxed as partnerships are assumed to be 100% return of capital while distributions received from MLPs taxed as corporations are assumed to be 100% income. These estimates may subsequently be revised based on information received from the MLPs after their respective tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end. The Funds estimate the allocation of investment income and return of capital for the distributions received from MLPs within the Statement of Operations. For the period ended April 30, 2019, the Direxion Daily Natural Gas Bull 3X Shares has estimated approximately 100% of the distributions from MLPs to be return of capital.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets.
k) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.
l) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.
m) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2019 and October 31, 2018, were as follows:
Period Ended April 30, 2019 (Unaudited) | Year/Period Ended October 31, 2018 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 267,981 | $ | — | $ | — | $ | 1,843,382 | $ | — | $ | — | |||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | 23,860 | — | — | 5,189 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 5,908,966 | — | — | 32,208,266 | — | — |
DIREXION SEMI-ANNUAL REPORT
198
Period Ended April 30, 2019 (Unaudited) | Year/Period Ended October 31, 2018 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | $ | 2,110,240 | $ | — | $ | — | $ | 972,234 | $ | — | $ | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 2,468,657 | — | — | 1,284,400 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 1,867,324 | — | — | 1,604,319 | — | — | |||||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 8,195 | — | — | 386,117 | 2,613 | ||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 1,751,516 | — | — | 4,514,464 | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 487,877 | — | — | 204,922 | — | — | |||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 267,080 | — | — | 1,028,064 | — | — | |||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 74,535 | — | — | 129,439 | — | 3,377 | |||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 2,006,398 | — | — | 3,402,340 | — | 162,556 | |||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 113,409 | — | — | 563,639 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | 28,942 | — | — | 16,103 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 1,689,890 | — | — | 2,126,107 | — | 62,073 | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 512,097 | — | — | 275,222 | — | — | |||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 253,828 | — | — | 227,798 | — | 71,809 | |||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 36,560 | — | — | 41,313 | — | 636 | |||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 90,319 | — | — | 155,659 | — | — | |||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 131,518 | — | — | 630,975 | — | — | |||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | 2,765,536 | — | — | 2,304,147 | — | 784,069 | |||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | 145,395 | — | — | 74,885 | — | — | |||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 195,015 | — | — | 969,892 | — | — | |||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares4 | 1,133 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares4 | 6,859 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares3 | 9,457 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares3 | 11,096 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares3 | 16,500 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares3 | 10,659 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 3,943,261 | — | — | 7,502,193 | — | 140,348 | |||||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | 163,788 | — | — | 126,039 | — | — | |||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 8,040,178 | — | — | 14,975,518 | — | — | |||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 1,001,005 | — | — | 507,442 | — | — | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 4,185,728 | — | — | 1,134,609 | — | 2,575,171 | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 782,352 | — | — | 387,306 | — | — | |||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 663,840 | — | — | 822,897 | — | — | |||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 126,436 | — | — | 910,260 | 147,909 | — | |||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 37,827 | — | — | 52,680 | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 3,509,058 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 422,092 | — | — | 172,110 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 377,549 | — | — | 1,172,396 | — | 285,570 |
DIREXION SEMI-ANNUAL REPORT
199
Period Ended April 30, 2019 (Unaudited) | Year/Period Ended October 31, 2018 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | $ | 133,128 | $ | — | $ | — | $ | 60,011 | $ | — | $ | — | |||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 19,523 | — | — | 21,078 | — | — | |||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares1 | 23,387 | — | — | 13,214 | — | 1,811 | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 233,700 | — | — | 330,504 | — | — | |||||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | 11,840 | — | — | 10,651 | — | — | |||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 109,041 | — | — | 172,548 | — | — | |||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares2 | 33,519 | — | — | — | — | 356 | |||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 2,715,184 | — | — | 1,346,096 | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 600,550 | — | — | 402,269 | — | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 888,259 | — | — | 33,032 | — | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 256,852 | — | — | 311,454 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 2,744,126 | — | — | 4,050,292 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 626,649 | — | — | 295,359 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 2,167,150 | — | — | 2,434,594 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 237,364 | — | — | 153,226 | — | — | |||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 36,635 | — | — | 493,856 | — | — | |||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 50,310 | — | — | 153,771 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 59,717 | — | — | 47,883 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 101,488 | — | — | 31,172 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 904,279 | — | — | 1,338,321 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 1,311,831 | — | — | 1,039,498 | — | — |
1 Commenced operations on November 15, 2017.
2 Commenced operations on April 19, 2018.
3 Commenced operations on November 29, 2018.
4 Commenced operations on January 14, 2019.
At October 31, 2018, the components of accumulated earnings/losses of the Funds on a tax basis were as follows:
Funds | Net Unrealized Appreciation/ (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | (14,820,245 | ) | $ | 173,771 | $ | — | $ | — | $ | (14,646,474 | ) | |||||||||||
Direxion Daily Mid Cap Bear 3X Shares | (729,007 | ) | 3,625 | — | (67,307,470 | ) | (68,032,852 | ) |
DIREXION SEMI-ANNUAL REPORT
200
Funds | Net Unrealized Appreciation/ (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | $ | (64,617,352 | ) | $ | 2,522,322 | $ | — | $ | (30,888 | ) | $ | (62,125,918 | ) | ||||||||||
Direxion Daily S&P 500® Bear 3X Shares | (17,835,375 | ) | 362,750 | — | (1,189,648,416 | ) | (1,207,121,041 | ) | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | (159,076,503 | ) | 722,755 | — | (9,444 | ) | (158,363,192 | ) | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | (99,266,024 | ) | 393,526 | — | (3,001,457,857 | ) | (3,100,330,355 | ) | |||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | (806,193 | ) | — | — | (596,269 | ) | (1,402,462 | ) | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | (184,065,131 | ) | — | — | — | (184,065,131 | ) | ||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | (1,718,666 | ) | 75,998 | — | (50,619,233 | ) | (52,261,901 | ) | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | (19,040,875 | ) | 118,832 | — | (6,390,944 | ) | (25,312,987 | ) | |||||||||||||||
Direxion Daily Latin America Bull 3X Shares | (5,918,719 | ) | — | — | (39,355,479 | ) | (45,274,198 | ) | |||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 124,733,637 | — | — | (3,790,652 | ) | 120,942,985 | |||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | (6,433,963 | ) | — | — | — | (6,433,963 | ) | ||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | (648,234 | ) | 4,267 | — | (38,704,851 | ) | (39,348,818 | ) | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | (157,427,426 | ) | — | — | (82,598,396 | ) | (240,025,822 | ) | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | (18,202,648 | ) | 103,060 | — | (330,730,084 | ) | (348,829,672 | ) | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | (28,327,899 | ) | — | — | (8,234,205 | ) | (36,562,104 | ) | |||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | (5,112,734 | ) | — | — | (1,087,155 | ) | (6,199,889 | ) | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | (3,542,798 | ) | 1,847 | — | (72,031 | ) | (3,612,982 | ) | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | (13,896,237 | ) | — | — | (335,316 | ) | (14,231,553 | ) | |||||||||||||||
Direxion Daily Russia Bull 3X Shares | (15,949,748 | ) | — | — | (79,117,318 | ) | (95,067,066 | ) | |||||||||||||||
Direxion Daily Russia Bear 3X Shares | (11,785,857 | ) | 31,032 | — | (134,550,645 | ) | (146,305,470 | ) | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | (5,948,549 | ) | — | — | — | (5,948,549 | ) | ||||||||||||||||
Direxion Daily Energy Bull 3X Shares | (115,936,195 | ) | — | — | (64,303,028 | ) | (180,239,223 | ) | |||||||||||||||
Direxion Daily Energy Bear 3X Shares | (2,121,541 | ) | 44,659 | — | (178,224,276 | ) | (180,301,158 | ) | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | (282,587,111 | ) | — | — | (12,959 | ) | (282,600,070 | ) | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | (14,940,217 | ) | 158,415 | — | (3,176,136,127 | ) | (3,190,917,929 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | (1,029,453,485 | ) | — | — | (1,558,883,109 | ) | (2,588,336,594 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 15,804,293 | 94,251 | — | (336,212,868 | ) | (320,314,324 | ) | ||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | (4,711,383 | ) | — | — | — | (4,711,383 | ) | ||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | (38,130,039 | ) | 30,629 | — | (10,354,988 | ) | (48,454,398 | ) |
DIREXION SEMI-ANNUAL REPORT
201
Funds | Net Unrealized Appreciation/ (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | $ | (609,314 | ) | $ | 5,978 | $ | — | $ | (67,627 | ) | $ | (670,963 | ) | ||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | (990,533,253 | ) | 196,550 | — | (595,064,992 | ) | (1,585,401,695 | ) | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 4,475,140 | 48,923 | — | (78,229,788 | ) | (73,705,725 | ) | ||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | (7,368,845 | ) | — | — | (1,839,599 | ) | (9,208,444 | ) | |||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | (4,010,476 | ) | 23,005 | — | (137,045,544 | ) | (141,033,015 | ) | |||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | (43,627,526 | ) | — | — | (174,410,162 | ) | (218,037,688 | ) | |||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | (92,506 | ) | 4,542 | — | (8,410,481 | ) | (8,498,445 | ) | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | (731,094 | ) | — | — | (61,148 | ) | (792,242 | ) | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | (12,964,828 | ) | 25,799 | — | — | (12,939,029 | ) | ||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | 755,940 | 1,831 | — | (3,637,773 | ) | (2,880,002 | ) | ||||||||||||||||
Direxion Daily Retail Bull 3X Shares | (4,127,373 | ) | — | — | — | (4,127,373 | ) | ||||||||||||||||
Direxion Daily Robotic, Artificial Intelligence & Automation Index Bull 3X Shares | (1,795,275 | ) | — | — | (827,317 | ) | (2,622,592 | ) | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | (219,067,526 | ) | 256,105 | — | — | (218,811,421 | ) | ||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | (6,059,085 | ) | 74,940 | — | (118,838,735 | ) | (124,822,880 | ) | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | (47,312,773 | ) | 26,941 | — | — | (47,285,832 | ) | ||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | (248,612 | ) | 77,090 | — | (32,650,299 | ) | (32,821,821 | ) | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | (241,144,920 | ) | — | — | — | (241,144,920 | ) | ||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | (11,850,161 | ) | 92,042 | — | (159,957,126 | ) | (171,715,245 | ) | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 8,264,635 | — | — | — | 8,264,635 | ||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | (11,589,581 | ) | 40,862 | — | (129,350,614 | ) | (140,899,333 | ) | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | (2,400,679 | ) | — | — | — | (2,400,679 | ) | ||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 99,267 | — | — | — | 99,267 | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | (1,007,997 | ) | 4,076 | — | (615,020 | ) | (1,618,941 | ) | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | (370,958 | ) | 14,031 | — | (57,650,357 | ) | (58,007,284 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | (32,635,020 | ) | 160,369 | — | (6,354,675 | ) | (38,829,326 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | (6,282,335 | ) | 261,889 | — | (901,038,371 | ) | (907,058,817 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
DIREXION SEMI-ANNUAL REPORT
202
At April 30, 2019, the aggregate gross unrealized appreciation and depreciation of investments for U.S Federal income tax purposes were as follows:
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 44,148,983 | $ | 805,699 | $ | — | $ | 805,699 | |||||||||||
Direxion Daily Mid Cap Bear 3X Shares | 2,373,688 | — | — | — | |||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 924,920,046 | 58,380,889 | — | 58,380,889 | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 258,957,478 | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 704,635,777 | — | (1,281,607 | ) | (1,281,607 | ) | |||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 232,940,500 | — | — | — | |||||||||||||||
Direxion Daily Euro STOXX 50 Bull 3X Shares | 1,789,346 | — | (4,564 | ) | (4,564 | ) | |||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 300,874,895 | 3,704,158 | — | 3,704,158 | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 54,022,313 | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 19,141,607 | — | (2,476 | ) | (2,476 | ) | |||||||||||||
Direxion Daily Latin America Bull 3X Shares | 24,746,663 | — | (36,178 | ) | (36,178 | ) | |||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 379,612,985 | 1,349,593 | — | 1,349,593 | |||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 11,050,028 | — | (26,737 | ) | (26,737 | ) | |||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | 5,522,427 | — | — | — | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 165,644,250 | 1,626,743 | — | 1,626,743 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 44,607,648 | — | — | — | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 59,059,352 | 618,027 | — | 618,027 | |||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 8,957,431 | — | (145,986 | ) | (145,986 | ) | |||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 5,639,673 | 71,232 | — | 71,232 | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 40,273,875 | — | (390,228 | ) | (390,228 | ) | |||||||||||||
Direxion Daily Russia Bull 3X Shares | 131,509,441 | — | (896,981 | ) | (896,981 | ) | |||||||||||||
Direxion Daily Russia Bear 3X Shares | 21,526,348 | — | — | — | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 49,599,997 | 2,476,759 | (1,048,203 | ) | 1,428,556 | ||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 4,790,743 | 238,653 | (21,840 | ) | 216,813 | ||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 1,025,507 | — | — | — | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 4,343,151 | 225,872 | (12,712 | ) | 213,160 | ||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 508,698 | — | — | — | |||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 2,064,880 | 115,423 | (46,111 | ) | 69,312 | ||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | 928,828 | — | — | — | |||||||||||||||
Direxion Daily Energy Bull 3X Shares | 330,651,821 | — | (3,678,663 | ) | (3,678,663 | ) | |||||||||||||
Direxion Daily Energy Bear 3X Shares | 17,921,148 | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 1,325,062,307 | 84,011,097 | (23,252,841 | ) | 60,758,256 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | 143,364,458 | — | — | — | |||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 1,028,491,500 | — | (13,692,507 | ) | (13,692,507 | ) | |||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 71,093,928 | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 158,882,877 | 2,883,624 | — | 2,883,624 | |||||||||||||||
Direxion Daily Homebuilders & Supplies 3X Bull Shares | 37,806,850 | 551,331 | (1,468,055 | ) | (916,724 | ) | |||||||||||||
Direxion Daily Industrials Bull 3X Shares | 6,036,079 | 302,892 | (66,512 | ) | 236,380 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 587,964,835 | — | (3,428,975 | ) | (3,428,975 | ) | |||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 29,728,176 | — | — | — | |||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 41,647,869 | 3,202,890 | (270,947 | ) | 2,931,943 | ||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 14,901,552 | — | — | — | |||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 25,225,587 | 237,255 | (1,369,705 | ) | (1,132,450 | ) | |||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 2,476,881 | — | — | — | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 3,898,326 | 199,103 | (199,369 | ) | (266 | ) | |||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 18,972,928 | 76,033 | (944,126 | ) | (868,093 | ) | |||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | 1,959,804 | — | — | — | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 16,425,020 | 613,622 | (2,447,052 | ) | (1,833,430 | ) | |||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 13,542,287 | 295,238 | — | 295,238 | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 708,243,672 | 5,954,559 | (29,330,566 | ) | (23,376,007 | ) | |||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 62,382,976 | — | — | — |
DIREXION SEMI-ANNUAL REPORT
203
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | $ | 194,750,616 | $ | 2,269,462 | $ | (6,172,246 | ) | $ | (3,902,784 | ) | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 29,630,016 | — | — | — | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 478,840,007 | 38,648,161 | (6,170,351 | ) | 32,477,810 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 138,726,844 | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 652,085,125 | 89,078,413 | — | 89,078,413 | |||||||||||||||
Direxion Daily Technology Bear 3X Shares | 34,171,974 | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 2,445,361 | 17,448 | (11,303 | ) | 6,145 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 5,558,410 | 234,640 | (2,346 | ) | 232,294 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 12,848,082 | 134,930 | — | 134,930 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 9,834,964 | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 99,855,767 | — | (181,468 | ) | (181,468 | ) | |||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 129,469,981 | — | — | — |
The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales and basis adjustments on investments in real estate investment trusts ("REITs").
Net investment income/(loss) and realized gains and losses for U.S. Federal income tax purposes may differ from those reported on the financial statements because of permanent book-to-tax differences. GAAP requires that permanent differences in distributable earnings due to differences between financial reporting and tax reporting be reclassified between various components of net assets. The permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses, distribution reclasses, sales of REITS, and utilization of earnings and profits distributed to shareholders on redemption of shares and expiration of unused capital loss carryovers.
In order to meet certain U.S. excise tax distribution requirements, the Funds are required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, the Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2018.
At October 31, 2018, these Funds deferred, on a tax basis, qualified late year losses of:
Ordinary Late Year Loss Deferral | |||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | — | |||||
Direxion Daily Mid Cap Bear 3X Shares | — | ||||||
Direxion Daily S&P 500® Bull 3X Shares | — | ||||||
Direxion Daily S&P 500® Bear 3X Shares | — | ||||||
Direxion Daily Small Cap Bull 3X Shares | — | ||||||
Direxion Daily Small Cap Bear 3X Shares | — | ||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | — | ||||||
Direxion Daily FTSE China Bull 3X Shares | — | ||||||
Direxion Daily FTSE China Bear 3X Shares | — | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | ||||||
Direxion Daily Latin America Bull 3X Shares | — | ||||||
Direxion Daily MSCI Brazil Bull 3X Shares | — | ||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | — | ||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | ||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | ||||||
Direxion Daily MSCI India Bull 3X Shares | 109,558 | ||||||
Direxion Daily MSCI Japan Bull 3X Shares | 17,606 | ||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — |
DIREXION SEMI-ANNUAL REPORT
204
Ordinary Late Year Loss Deferral | |||||||
Direxion Daily MSCI South Korea Bull 3X Shares | $ | 24,320 | |||||
Direxion Daily Russia Bull 3X Shares | 235,792 | ||||||
Direxion Daily Russia Bear 3X Shares | — | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | ||||||
Direxion Daily Energy Bull 3X Shares | — | ||||||
Direxion Daily Energy Bear 3X Shares | — | ||||||
Direxion Daily Financial Bull 3X Shares | — | ||||||
Direxion Daily Financial Bear 3X Shares | — | ||||||
Direxion Daily Gold Miners Index Bull 3X Shares | — | ||||||
Direxion Daily Gold Miners Index Bear 3X Shares | — | ||||||
Direxion Daily Healthcare Bull 3X Shares | — | ||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | ||||||
Direxion Daily Industrials Bull 3X Shares | — | ||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | — | ||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | — | ||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | ||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | ||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 162,942 | ||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | ||||||
Direxion Daily Regional Banks Bull 3X Shares | — | ||||||
Direxion Daily Regional Banks Bear 3X Shares | — | ||||||
Direxion Daily Retail Bull 3X Shares | — | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | — | ||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | ||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | — | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | ||||||
Direxion Daily Semiconductor Bull 3X Shares | — | ||||||
Direxion Daily Semiconductor Bear 3X Shares | — | ||||||
Direxion Daily Technology Bull 3X Shares | — | ||||||
Direxion Daily Technology Bear 3X Shares | — | ||||||
Direxion Daily Transportation Bull 3X Shares | — | ||||||
Direxion Daily Utilities Bull 3X Shares | — | ||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | ||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | ||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | ||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — |
Under current law, the Funds may carry forward net capital losses indefinitely to use to offset capital gains realized in future years. Previous law limited the carry forward of capital losses to the eight tax years following the year the capital loss was realized. If a Fund has capital losses that are subject to current law and also has capital losses subject to prior law, the losses realized under current law will be utilized to offset capital gains before any of the losses governed by prior law can be used. As a result of the ordering rules, capital losses realized under previous law may be more likely to expire unused. Capital losses realized under current law will carry forward retaining their classification as long-term or short-term losses; as compared to under prior law in which all capital losses were carried forward as short-term capital losses.
At October 31, 2018, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains through the year indicated:
Funds | Utilized in Current Year | October 31, 2019 | October 31, 2018 | Unlimited ST | Unlimited LT | ||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | — | 22,162,993 | — | 45,144,477 | — | ||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 227,849,840 | — | 961,776,178 | — | ||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
205
Funds | Utilized in Current Year | October 31, 2019 | October 31, 2018 | Unlimited ST | Unlimited LT | ||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | $ | — | $ | 447,535,089 | $ | — | $ | 2,553,912,942 | $ | — | |||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | — | — | — | 596,269 | — | ||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | 50,619,233 | — | ||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | — | — | 6,390,944 | — | ||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | — | — | — | 39,355,479 | — | ||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | — | — | — | 3,790,652 | — | ||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | 6,226,800 | — | 32,478,051 | — | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | 35,353,225 | 47,245,171 | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 73,271,322 | — | 257,458,762 | — | ||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | — | — | — | 8,124,647 | — | ||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | — | — | — | 1,069,549 | — | ||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | — | — | 72,031 | — | ||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | — | — | 310,966 | — | ||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | — | — | — | 78,881,526 | — | ||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | — | 649,297 | — | 133,901,348 | — | ||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 44,882,668 | — | — | 64,298,470 | — | ||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | — | 12,590,578 | — | 165,631,411 | — | ||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | 679,926,863 | — | 2,496,194,497 | — | ||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | — | — | — | 959,248,537 | 599,634,572 | ||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | — | — | — | 336,212,868 | — | ||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | — | — | 10,354,988 | — | ||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | — | — | 67,627 | — | ||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | — | — | — | 595,064,992 | — | ||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | — | — | — | 78,229,788 | — | ||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | — | 653,727 | 1,185,872 | ||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | 81,864,882 | — | 55,180,662 | — | ||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | — | — | — | 167,716,691 | 6,238,239 | ||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | — | — | 8,410,481 | — | ||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | — | — | 61,148 | — | ||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | — | — | 3,637,773 | — | ||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | — | — | — | 825,299 | — | ||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | 118,838,735 | — | ||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | — | — | 32,650,299 | — |
DIREXION SEMI-ANNUAL REPORT
206
Funds | Utilized in Current Year | October 31, 2019 | October 31, 2018 | Unlimited ST | Unlimited LT | ||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | 961,396 | — | 158,995,730 | — | ||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | 37,175,240 | — | 92,174,625 | — | ||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | — | — | — | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | — | — | 615,020 | — | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 2,880,591 | — | 54,769,766 | — | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | 6,354,675 | — | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 101,871,069 | — | 799,167,302 | — |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Funds have reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of April 30, 2019, open U.S. Federal and state income tax years include the tax years ended October 31, 2016 through October 31, 2018. The Funds have no examination in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2019. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swap and future contracts.
DIREXION SEMI-ANNUAL REPORT
207
Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 18,008,721 | $ | 6,493,045 | $ | 11,373,856 | $ | 29,653,988 | |||||||||||
Direxion Daily Mid Cap Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 471,153,625 | 399,898,181 | 245,867,104 | 369,934,635 | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 230,534,450 | 212,499,837 | 311,452,441 | 447,201,630 | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 112,587 | 1,278,236 | 700,339 | 858,430 | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 143,427,310 | 157,777,068 | 216,915,512 | 244,851,010 | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 9,504,075 | 12,874,088 | 3,577,590 | 25,314,776 | |||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 10,412,590 | 9,189,043 | 21,826,851 | 17,083,384 | |||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 116,444,750 | 211,728,738 | 513,465,710 | 449,764,015 | |||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 1,280,580 | 6,444,022 | — | 5,040,293 | |||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 36,784,850 | 80,676,876 | 108,677,067 | 148,604,119 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 41,502,775 | 19,086,352 | 15,575,495 | 81,192,427 | |||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 2,163,280 | 5,825,963 | — | 2,569,639 | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 7,182,767 | 6,968,275 | 10,344,075 | 10,902,349 | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 9,697,950 | 34,835,244 | 82,382,651 | 53,782,128 | |||||||||||||||
Direxion Daily Russia Bull 3X Shares | 32,743,500 | — | 22,133,397 | 66,767,581 | |||||||||||||||
Direxion Daily Russia Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 23,807,212 | 16,523,186 | 6,829,194 | 18,055,827 | |||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares2 | 2,469,077 | 138,613 | 1,867,608 | — | |||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares2 | — | — | — | — | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares1 | 2,588,834 | 407,585 | 1,642,231 | — | |||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares1 | — | — | — | — | |||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares1 | 1,979,677 | 273,077 | — | — | |||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares1 | — | — | — | — | |||||||||||||||
Direxion Daily Energy Bull 3X Shares | 196,011,000 | 134,428,612 | 136,946,939 | 132,489,397 | |||||||||||||||
Direxion Daily Energy Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 560,709,173 | 285,088,179 | 90,059,534 | 515,296,167 | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 457,961,200 | 421,965,443 | 483,439,164 | 791,454,034 | |||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 9,106,900 | 17,246,976 | 48,057,396 | 21,033,458 | |||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 16,507,078 | 4,478,151 | 9,050,416 | 24,367,237 | |||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 6,621,985 | 5,259,870 | — | — | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 238,181,600 | 209,308,859 | 384,224,479 | 423,920,853 | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 10,127,052 | 11,126,360 | 1,257,764 | 1,182,467 | |||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 7,988,688 | 13,721,963 | 24,038,719 | 22,026,136 | |||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 981,253 | 1,581,547 | 988,263 | — | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 10,417,853 | 10,707,433 | 17,614,209 | 27,507,502 | |||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 4,933,305 | 7,811,147 | 5,605,374 | 13,676,263 | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 1,894,373 | 12,724,145 | 21,229,144 | 8,636,693 | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 657,337,727 | 181,849,605 | 512,264,105 | 687,259,935 | |||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 201,327,915 | 173,968,606 | 239,820,807 | 219,370,985 |
DIREXION SEMI-ANNUAL REPORT
208
Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | $ | — | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 531,813,649 | 201,112,143 | 182,517,236 | 568,388,709 | |||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 291,851,900 | 163,274,477 | 34,708,151 | 57,681,565 | |||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 2,875,477 | 2,536,950 | 13,731,028 | 22,202,233 | |||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 3,638,325 | 3,532,252 | 3,231,473 | 1,384,300 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 4,122,261 | — | — | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 9,000,763 | 33,579,927 | 15,069,015 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — |
1 Represents the period from November 29, 2018 (commencement of operations) to April 30, 2019.
2 Represents the period from January 14, 2019 (commencement of operations) to April 30, 2019.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2019.
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between the Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory Agreement, each Fund pays the Adviser 0.75% at an annual rate based on its average daily net assets.
For each Fund, the Adviser has agreed to waive a portion of its fees based upon specific breakpoints based on each Fund's daily net assets at least until September 1, 2020. During the period ended April 30, 2019, the Adviser waived investment advisory fees of $10,406 in the Direxion Daily Financial Bull 3X Shares. The breakpoint schedule is detailed in the table below:
Net Asset Range | Advisory Fee Limit | ||||||
$0 – $1,500,000,000 | 0.75 | % | |||||
$1,500,000,000 – $2,000,000,000 | 0.70 | % | |||||
$2,000,000,000 – $2,500,000,000 | 0.65 | % | |||||
$2,500,000,000 – $3,000,000,000 | 0.60 | % | |||||
$3,000,000,000 – $3,500,000,000 | 0.55 | % | |||||
$3,500,000,000 – $4,000,000,000 | 0.50 | % | |||||
$4,000,000,000 – $4,500,000,000 | 0.45 | % | |||||
Greater than $4,500,000,000 | 0.40 | % |
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse each Fund's operating expenses to the extent that they exceed 0.95% of each Fund's respective average daily net assets at least until September 1, 2020. Any expense waiver is subject to recoupment by the Adviser, as applicable, within the following three years if overall expenses fall below these percentage limitations.
DIREXION SEMI-ANNUAL REPORT
209
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | — | $ | 11,250 | $ | 14,598 | $ | 30,329 | $ | 24,905 | $ | 11,250 | $ | 81,082 | |||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | — | 10,923 | 14,130 | 30,506 | 23,575 | 10,923 | 79,134 | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 5,823 | 14,401 | — | — | 11,793 | 14,401 | 26,194 | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 10,497 | 59,777 | 43,301 | 16,530 | 10,497 | 130,105 | ||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 24,635 | 26,091 | 43,241 | 68,394 | 170,311 | 26,091 | 308,037 | ||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 4,432 | 8,432 | 105,963 | 142,173 | 87,614 | 8,432 | 344,182 | ||||||||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | — | 19,772 | — | 24,964 | 40,045 | 19,772 | 84,781 | ||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 5,998 | 24,032 | 37,805 | 73,449 | 92,090 | 24,032 | 227,376 | ||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 12,718 | 37,718 | 52,149 | 32,855 | 12,718 | 135,440 | ||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 120 | 1,972 | 11,169 | 10,803 | 1,361 | 1,972 | 25,305 | ||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | — | 12,308 | 16,970 | 34,261 | 27,046 | 12,308 | 90,585 | ||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 39,601 | 4,039 | — | 22,582 | 14,134 | 4,039 | 40,755 | ||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | — | 29,137 | 29,130 | 60,131 | 51,385 | 29,137 | 169,783 | ||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | 33,606 | 38,133 | 77,095 | 69,837 | 33,606 | 218,671 | ||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | 20,886 | 17,933 | 41,792 | 33,843 | 20,886 | 114,454 | ||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 19,581 | 24,298 | 46,805 | 35,413 | 19,581 | 126,097 | ||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 7,322 | 1,332 | 15,657 | 29,893 | — | 1,332 | 46,882 | ||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | — | 18,896 | 23,730 | 47,738 | 27,603 | 18,896 | 117,967 | ||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | 8,952 | — | 24,052 | 18,115 | 8,952 | 51,119 | ||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | 11,343 | 14,193 | 29,004 | 24,035 | 11,343 | 78,575 | ||||||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | — | 7,130 | 5,963 | 17,963 | 15,700 | 7,130 | 46,756 | ||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 10,841 | — | 29,153 | 16,113 | 10,841 | 56,107 | ||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | 11,816 | — | — | — | 11,816 | 11,816 |
DIREXION SEMI-ANNUAL REPORT
210
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | $ | — | $ | 12,026 | $ | — | $ | — | $ | — | $ | 12,026 | $ | 12,026 | |||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 17,227 | — | — | — | 17,227 | 17,227 | ||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | 17,481 | — | — | — | 17,481 | 17,481 | ||||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | — | 17,314 | — | — | — | 17,314 | 17,314 | ||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | 17,462 | — | — | — | 17,462 | 17,462 | ||||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 2 | 9,882 | 23,098 | 23,570 | 11,598 | 9,882 | 68,148 | ||||||||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | — | 10,895 | 25,272 | 39,361 | 23,235 | 10,895 | 98,763 | ||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 10,590 | 23,663 | — | — | 39,346 | 23,663 | 63,009 | ||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | 10,975 | 76,810 | 105,295 | 19,261 | 10,975 | 212,341 | ||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 6,623 | 6,623 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | 11,095 | 24,645 | 29,753 | 23,120 | 11,095 | 88,613 | ||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | 12,076 | 21,871 | 30,435 | 22,934 | 12,076 | 87,316 | ||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 18,815 | — | 32,981 | 37,228 | 18,815 | 89,024 | ||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 4,657 | 4,657 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 7,307 | 249 | — | 654 | 2,228 | 249 | 3,131 | ||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | 18,972 | 22,139 | 39,820 | 21,062 | 18,972 | 101,993 | ||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | 27,964 | 32,895 | 70,117 | 59,917 | 27,964 | 190,893 | ||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | — | 9,238 | 41,173 | 41,268 | 19,903 | 9,238 | 111,582 | ||||||||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | 10,664 | 26,706 | 33,950 | 21,826 | 10,664 | 93,146 | ||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 19,337 | — | — | 39,021 | 19,337 | 58,358 | ||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 8,283 | 23,552 | 25,944 | 12,446 | 8,283 | 70,225 | ||||||||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | 10,762 | 23,397 | 32,622 | 23,828 | 10,762 | 90,609 | ||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | 12,010 | 20,780 | 31,491 | 20,421 | 12,010 | 84,702 |
DIREXION SEMI-ANNUAL REPORT
211
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Funds | Expenses Recouped | Expenses Reimbursed | October 31, 2019 | October 31, 2020 | October 31, 2021 | April 30, 2022 | Recoupment Amount | ||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | $ | — | $ | 12,517 | $ | — | $ | — | $ | 29,764 | $ | 12,517 | $ | 42,281 | |||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 807 | 17,198 | 35,233 | 25,050 | 42,279 | 17,198 | 119,760 | ||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 10,108 | 33,638 | 34,217 | 27,354 | 10,108 | 105,317 | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | — | 10,131 | 28,376 | 29,033 | 22,234 | 10,131 | 89,774 | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | 11,585 | 25,683 | 34,091 | 20,109 | 11,585 | 91,468 | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 8,304 | 8,304 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 3,366 | 2,235 | 8,553 | 25,270 | 12,266 | 2,235 | 48,324 | ||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 1,105 | 15,060 | — | 14,619 | 42,157 | 15,060 | 71,836 | ||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | 11,153 | 21,740 | 32,559 | 21,855 | 11,153 | 87,307 | ||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 17,372 | — | 34,059 | 35,473 | 17,372 | 86,904 | ||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 19,057 | — | 32,789 | 36,930 | 19,057 | 88,776 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 17,481 | 23,584 | 46,631 | 40,079 | 17,481 | 127,775 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 14,693 | 15,801 | 28,082 | 27,551 | 14,693 | 86,127 | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 610 | 610 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | — | — | — |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2019 is presented on the Statement of Assets and Liabilities as Due from (to) investment adviser, net.
The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes of valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
DIREXION SEMI-ANNUAL REPORT
212
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments)
The inputs or methodology used for valuing securities are not an indication of the credit risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' net assets as of April 30, 2019:
Asset Class | Liability Class | ||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 32,851,293 | $ | — | $ | — | $ | 12,103,389 | $ | 10,016,064 | $ | 6,449,250 | $ | (1,800 | ) | ||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | — | — | — | 2,373,688 | 1,348,407 | — | (496,237 | ) | |||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 756,936,391 | — | — | 226,364,544 | 78,104,745 | 247,865,199 | — | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | 258,957,478 | 185,148,592 | — | (87,521,453 | ) | |||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 436,829,905 | — | — | 266,524,265 | 110,357,576 | 182,565,035 | (95,992 | ) | |||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | 232,940,500 | 141,616,548 | — | (59,069,327 | ) | |||||||||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 662,135 | — | — | 1,122,647 | 1,067,596 | 449,960 | — | ||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 199,363,249 | — | — | 105,215,804 | 116,301,082 | 42,944,221 | (2,866,933 | ) | |||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | 54,022,313 | 39,514,826 | 558,462 | (4,020,439 | ) | |||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 3,001,321 | — | — | 16,137,810 | 11,219,977 | 7,323,126 | (154 | ) | |||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 13,460,877 | — | — | 11,249,608 | 5,132,733 | 3,713 | (955,789 | ) | |||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 209,419,410 | — | — | 171,543,168 | 107,917,071 | 26,258,470 | (1,477,435 | ) | |||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 3,802,783 | — | — | 7,220,508 | 4,876,158 | 2,713,872 | — | ||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | — | — | 5,522,427 | 3,700,480 | — | (778,476 | ) | |||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 75,123,595 | — | — | 92,147,398 | 73,112,500 | 23,568,144 | — |
DIREXION SEMI-ANNUAL REPORT
213
Asset Class | Liability Class | ||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | $ | — | $ | — | $ | — | $ | 44,607,648 | $ | 28,715,444 | $ | — | $ | (8,035,765 | ) | ||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 36,708,320 | — | — | 22,969,059 | 21,642,492 | 10,961,916 | (3,453 | ) | |||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 4,397,743 | — | — | 4,413,702 | 1,961,848 | 212,222 | — | ||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 2,679,469 | — | — | 3,031,436 | 1,420,596 | 494,470 | (104,757 | ) | |||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 21,804,743 | — | — | 18,078,904 | 8,650,639 | 59,028 | (3,628,244 | ) | |||||||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | 52,550,277 | — | — | 78,062,183 | 4,629,951 | 8,510,378 | — | ||||||||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | — | — | — | 21,526,348 | 3,200,909 | 176,652 | (1,103,790 | ) | |||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 40,907,774 | — | 10,120,779 | 9,774,424 | 11,867,749 | — | ||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | 4,420,337 | — | 587,219 | 314,560 | 489,673 | (58,513 | ) | |||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | — | — | 1,025,507 | 615,917 | — | (3,102 | ) | |||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 3,979,119 | — | 577,192 | 343,918 | 577,695 | — | ||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | — | — | 508,698 | 329,532 | — | (14,299 | ) | |||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | — | 1,739,955 | — | 394,237 | 296,365 | 307,170 | — | ||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | — | 928,828 | 431,472 | — | (269,129 | ) | |||||||||||||||||||||||
Direxion Daily Energy Bull 3X Shares | 283,079,582 | — | — | 43,893,576 | 41,683,056 | 65,213,208 | (3,326,943 | ) | |||||||||||||||||||||||
Direxion Daily Energy Bear 3X Shares | — | — | — | 17,921,148 | 12,958,337 | 515,200 | (3,138,457 | ) |
DIREXION SEMI-ANNUAL REPORT
214
Asset Class | Liability Class | ||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | $ | — | $ | 1,114,943,785 | $ | — | $ | 270,876,778 | $ | 229,935,256 | $ | 373,088,129 | $ | — | |||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | 143,364,458 | 78,406,297 | — | (50,324,740 | ) | |||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 305,216,165 | — | — | 709,582,828 | 220,515,077 | 744,320 | (155,351,191 | ) | |||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | — | — | — | 71,093,928 | 33,601,497 | 13,420,950 | — | ||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 128,667,398 | — | — | 33,099,103 | 12,517,395 | 4,965,111 | (2,721,554 | ) | |||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | 27,013,215 | — | 9,876,911 | 6,552,160 | 7,279,684 | — | ||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 4,693,173 | — | 1,579,286 | 503,150 | 873,468 | (3,317 | ) | |||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 145,821,721 | — | — | 438,714,139 | 216,222,652 | 1,628,923 | (101,933,646 | ) | |||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | — | — | — | 29,728,176 | 18,429,867 | 8,431,395 | (494,554 | ) | |||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | 30,758,373 | — | 13,821,439 | 900,589 | 2,578,145 | (70,839 | ) | |||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | 14,901,552 | 5,775,967 | 31,317 | (890,646 | ) | |||||||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | — | 10,980,412 | 1,212,086 | 11,900,639 | 9,066,331 | 7,257,714 | (1,009,166 | ) | |||||||||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | — | — | 2,476,881 | 1,172,309 | 294,755 | (172,732 | ) | |||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 3,214,107 | — | 683,953 | 685,153 | — | (409,025 | ) | |||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 12,548,992 | — | 5,555,843 | 7,276,323 | 3,898,315 | — | ||||||||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | — | — | 1,959,804 | 1,023,967 | — | (418,541 | ) |
DIREXION SEMI-ANNUAL REPORT
215
Asset Class | Liability Class | ||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | $ | — | $ | 11,289,448 | $ | — | $ | 3,302,142 | $ | 2,820,392 | $ | 427,318 | $ | — | |||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 5,428,199 | — | — | 8,409,326 | 7,481,471 | 4,948,944 | (13,046 | ) | |||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | 427,983,069 | — | 256,884,596 | 68,737,712 | 2,474,227 | (55,396,200 | ) | |||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | 62,382,976 | 55,110,375 | 4,452,547 | — | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | — | 117,697,928 | — | 73,149,904 | 41,190,551 | 36,162,984 | (2,326,875 | ) | |||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | — | — | 29,630,016 | 30,432,570 | 3,447,015 | (277,152 | ) | |||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | 433,141,946 | — | 78,175,871 | 90,266,966 | 301,147,413 | — | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | 138,726,844 | 82,349,915 | — | (51,525,713 | ) | |||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 556,487,807 | — | — | 184,675,731 | 68,561,736 | 254,666,151 | — | ||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | 34,171,974 | 16,808,298 | — | (15,751,090 | ) | |||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 443,036 | — | 2,008,470 | 1,981,604 | 665,162 | — | ||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 4,740,254 | — | 1,050,450 | 1,255,416 | 41,992 | — | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 8,472,000 | — | — | 4,511,012 | 4,723,047 | 472,940 | — | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | 9,834,964 | 6,295,148 | — | (1,153,532 | ) | |||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 87,347,720 | — | — | 12,326,579 | 11,530,084 | 3,475,560 | — |
DIREXION SEMI-ANNUAL REPORT
216
Asset Class | Liability Class | ||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | $ | — | $ | — | $ | — | $ | 129,469,981 | $ | 95,841,396 | $ | — | $ | (17,200,301 | ) |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
There were no transfers between Level 1 and Level 2 securities during the period ended April 30, 2019. There were no Level 3 securities held by the Funds during the period ended April 30, 2019. It is the Funds' policy to recognize transfers between levels at their fair values as of the beginning of the period, if applicable.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of April 30, 2019, the Funds were invested in swap contracts. At April 30, 2019, the fair value of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 6,449,250 | $ | — | $ | 6,449,250 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 247,865,199 | — | 247,865,199 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 182,565,035 | — | 182,565,035 | ||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 449,960 | — | 449,960 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 42,944,221 | — | 42,944,221 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 558,462 | — | 558,462 | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 7,323,126 | — | 7,323,126 | ||||||||||||
Direxion Daily Latin America Bull 3X Shares | 3,713 | — | 3,713 | ||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 26,258,470 | — | 26,258,470 | ||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 2,713,872 | — | 2,713,872 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 23,568,144 | — | 23,568,144 | ||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 10,961,916 | — | 10,961,916 | ||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 212,222 | — | 212,222 | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 494,470 | — | 494,470 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 59,028 | — | 59,028 | ||||||||||||
Direxion Daily Russia Bull 3X Shares | 8,510,378 | — | 8,510,378 | ||||||||||||
Direxion Daily Russia Bear 3X Shares | 176,652 | — | 176,652 |
DIREXION SEMI-ANNUAL REPORT
217
Asset Derivatives1 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | $ | 11,867,749 | $ | — | $ | 11,867,749 | |||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 489,673 | — | 489,673 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 577,695 | — | 577,695 | ||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 307,170 | — | 307,170 | ||||||||||||
Direxion Daily Energy Bull 3X Shares | 65,213,208 | — | 65,213,208 | ||||||||||||
Direxion Daily Energy Bear 3X Shares | 515,200 | — | 515,200 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 373,088,129 | — | 373,088,129 | ||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 744,320 | — | 744,320 | ||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 13,420,950 | — | 13,420,950 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 4,965,111 | — | 4,965,111 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 7,279,684 | — | 7,279,684 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 873,468 | — | 873,468 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 1,628,923 | — | 1,628,923 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 8,431,395 | — | 8,431,395 | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 2,578,145 | — | 2,578,145 | ||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 31,317 | — | 31,317 | ||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 7,257,714 | — | 7,257,714 | ||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 294,755 | — | 294,755 | ||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 3,898,315 | — | 3,898,315 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 427,318 | — | 427,318 | ||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 4,948,944 | — | 4,948,944 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 2,474,227 | — | 2,474,227 | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 4,452,547 | — | 4,452,547 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 36,162,984 | — | 36,162,984 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 3,447,015 | — | 3,447,015 | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 301,147,413 | — | 301,147,413 | ||||||||||||
Direxion Daily Technology Bull 3X Shares | 254,666,151 | — | 254,666,151 | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | 665,162 | — | 665,162 | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | 41,992 | — | 41,992 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 472,940 | 472,940 | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 3,475,560 | 3,475,560 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
Liability Derivatives2 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 1,800 | $ | — | $ | 1,800 | |||||||||
Direxion Daily Mid Cap Bear 3X Shares | 496,237 | — | 496,237 | ||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 87,521,453 | — | 87,521,453 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 95,992 | — | 95,992 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 59,069,327 | — | 59,069,327 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 2,866,933 | — | 2,866,933 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 4,020,439 | — | 4,020,439 | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 154 | — | 154 | ||||||||||||
Direxion Daily Latin America Bull 3X Shares | 955,789 | — | 955,789 | ||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 1,477,435 | — | 1,477,435 | ||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | 778,476 | — | 778,476 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 8,035,765 | — | 8,035,765 | ||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 3,453 | — | 3,453 | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 104,757 | — | 104,757 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 3,628,244 | — | 3,628,244 | ||||||||||||
Direxion Daily Russia Bear 3X Shares | 1,103,790 | — | 1,103,790 | ||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 58,513 | — | 58,513 | ||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 3,102 | — | 3,102 | ||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 14,299 | — | 14,299 | ||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | 269,129 | — | 269,129 | ||||||||||||
Direxion Daily Energy Bull 3X Shares | 3,326,943 | — | 3,326,943 |
DIREXION SEMI-ANNUAL REPORT
218
Liability Derivatives2 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily Energy Bear 3X Shares | $ | 3,138,457 | $ | — | $ | 3,138,457 | |||||||||
Direxion Daily Financial Bear 3X Shares | 50,324,740 | — | 50,324,740 | ||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 155,351,191 | — | 155,351,191 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 2,721,554 | — | 2,721,554 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 3,317 | — | 3,317 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 101,933,646 | — | 101,933,646 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 494,554 | — | 494,554 | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | �� | 70,839 | — | 70,839 | |||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 890,646 | — | 890,646 | ||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 1,009,166 | — | 1,009,166 | ||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 172,732 | — | 172,732 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 409,025 | — | 409,025 | ||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | 418,541 | — | 418,541 | ||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 13,046 | — | 13,046 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 55,396,200 | — | 55,396,200 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 2,326,875 | — | 2,326,875 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 277,152 | — | 277,152 | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 51,525,713 | — | 51,525,713 | ||||||||||||
Direxion Daily Technology Bear 3X Shares | 15,751,090 | — | 15,751,090 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 1,153,532 | 1,153,532 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 17,200,301 | 17,200,301 |
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended April 30, 2019 by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Equity Risk | Interest Rate Risk | |||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | Swap Contracts | $ | (3,512,620 | ) | $ | — | $ | 12,932,968 | $ | — | |||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | Swap Contracts | 349,749 | — | (1,323,814 | ) | — | |||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | Swap Contracts | (83,075,394 | ) | — | 248,079,110 | — | |||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | Swap Contracts | (23,811,314 | ) | — | (90,863,474 | ) | — | ||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | Swap Contracts | (132,332,748 | ) | — | 214,205,172 | — | |||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | Swap Contracts | 8,557,521 | — | (69,941,496 | ) | — | |||||||||||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | Swap Contracts | (263,269 | ) | — | 927,842 | — | |||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | Swap Contracts | 21,027,722 | — | 75,638,230 | — | ||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | Swap Contracts | (19,199,762 | ) | — | (14,445,024 | ) | — | ||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | Swap Contracts | (304,230 | ) | — | 6,338,751 | — | |||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | Swap Contracts | 1,993,123 | — | (2,094,674 | ) | — |
DIREXION SEMI-ANNUAL REPORT
219
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Equity Risk | Interest Rate Risk | |||||||||||||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | Swap Contracts | $ | 164,994,931 | $ | — | $ | (142,968,252 | ) | $ | — | |||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | Swap Contracts | (3,828,384 | ) | — | 5,846,118 | — | |||||||||||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | Swap Contracts | (858,978 | ) | — | (538,663 | ) | — | ||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Swap Contracts | 8,213,798 | — | 53,177,612 | — | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | Swap Contracts | (25,127,489 | ) | — | (7,013,092 | ) | — | ||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | Swap Contracts | 22,792,052 | — | 11,502,828 | — | ||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | Swap Contracts | (408,288 | ) | — | 123,325 | — | |||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | Swap Contracts | (1,135,442 | ) | — | 2,467,443 | — | |||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | Swap Contracts | 3,988,825 | — | 178,958 | — | ||||||||||||||||||
Direxion Daily Russia Bull 3X Shares | Swap Contracts | 16,614,007 | — | 4,921,835 | — | ||||||||||||||||||
Direxion Daily Russia Bear 3X Shares | Swap Contracts | (6,017,065 | ) | — | 203,843 | — | |||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | Swap Contracts | (4,037,972 | ) | — | 12,515,508 | — | |||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | Swap Contracts | 262,435 | — | 431,160 | — | ||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | Swap Contracts | (842,902 | ) | — | (3,102 | ) | — | ||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | Swap Contracts | 42,207 | — | 577,695 | — | ||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | Swap Contracts | (507,656 | ) | — | (14,299 | ) | — | ||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | Swap Contracts | (117,077 | ) | — | 307,170 | — | |||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | Swap Contracts | 305,558 | — | (269,129 | ) | — | |||||||||||||||||
Direxion Daily Energy Bull 3X Shares | Swap Contracts | (83,981,058 | ) | — | 80,846,161 | — | |||||||||||||||||
Direxion Daily Energy Bear 3X Shares | Swap Contracts | 19,305,919 | — | (18,013,091 | ) | — | |||||||||||||||||
Direxion Daily Financial Bull 3X Shares | Swap Contracts | (193,283,609 | ) | — | 473,593,651 | — | |||||||||||||||||
Direxion Daily Financial Bear 3X Shares | Swap Contracts | (23,634,618 | ) | — | (37,689,055 | ) | — | ||||||||||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | Swap Contracts | 194,542,737 | — | 50,850,476 | — | ||||||||||||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | Swap Contracts | 7,387,808 | — | (28,910,352 | ) | — | |||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | Swap Contracts | (3,421,802 | ) | — | (3,757,317 | ) | — |
DIREXION SEMI-ANNUAL REPORT
220
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Equity Risk | Interest Rate Risk | |||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Swap Contracts | $ | (3,176,816 | ) | $ | — | $ | 17,476,249 | $ | — | |||||||||||||
Direxion Daily Industrials Bull 3X Shares | Swap Contracts | (327,184 | ) | — | 1,296,966 | — | |||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | Swap Contracts | (67,317,781 | ) | — | 144,038,376 | — | |||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | Swap Contracts | 921,555 | — | (6,734,099 | ) | — | |||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Swap Contracts | 11,741,456 | — | (2,879,967 | ) | — | |||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | Swap Contracts | (6,525,177 | ) | — | 423,561 | — | |||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | Swap Contracts | (24,528,353 | ) | — | 11,656,785 | — | |||||||||||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | Swap Contracts | 1,549,409 | — | (1,126,530 | ) | — | |||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Swap Contracts | (617,339 | ) | — | 116,529 | — | |||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | Swap Contracts | 745,585 | — | 2,099,319 | — | ||||||||||||||||||
Direxion Daily Regional Banks Bear 3X Shares | Swap Contracts | 1,352,215 | — | (1,370,223 | ) | — | |||||||||||||||||
Direxion Daily Retail Bull 3X Shares | Swap Contracts | (4,968,819 | ) | — | 1,203,903 | — | |||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | Swap Contracts | (1,023,579 | ) | — | 5,579,619 | — | |||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | Swap Contracts | (10,281,156 | ) | — | 52,755,136 | — | |||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | Swap Contracts | (45,976,737 | ) | — | 8,696,334 | — | |||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | Swap Contracts | (80,608,836 | ) | — | 30,714,376 | — | |||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | Swap Contracts | 23,812,039 | — | (13,026,078 | ) | — | |||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | Swap Contracts | (68,591,376 | ) | — | 372,645,616 | — | |||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | Swap Contracts | (83,055,773 | ) | — | (42,285,957 | ) | — | ||||||||||||||||
Direxion Daily Technology Bull 3X Shares | Swap Contracts | (65,176,333 | ) | — | 217,480,245 | — | |||||||||||||||||
Direxion Daily Technology Bear 3X Shares | Swap Contracts | (8,569,381 | ) | — | (15,896,460 | ) | — | ||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | Swap Contracts | (3,361 | ) | — | 1,783,467 | — | |||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | Swap Contracts | 930,119 | — | (51,224 | ) | — | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Swap Contracts | — | 145,632 | — | 861,521 |
DIREXION SEMI-ANNUAL REPORT
221
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Equity Risk | Interest Rate Risk | |||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Swap Contracts | $ | — | $ | (418,662 | ) | $ | — | $ | (2,781,920 | ) | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | Swap Contracts | — | 6,094,202 | — | 12,537,584 | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | Swap Contracts | — | 152,756 | — | (83,951,423 | ) |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the period ended April 30, 2019, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts | |||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | ||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 141,504,673 | $ | — | |||||||
Direxion Daily Mid Cap Bear 3X Shares | — | 11,599,177 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 2,204,266,623 | — | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 898,774,147 | |||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,956,434,544 | — | |||||||||
Direxion Daily Small Cap Bear 3X Shares | — | 856,277,534 | |||||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 7,127,784 | — | |||||||||
Direxion Daily FTSE China Bull 3X Shares | 874,079,955 | — | |||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 241,841,886 | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 100,942,863 | — | |||||||||
Direxion Daily Latin America Bull 3X Shares | 46,558,785 | — | |||||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 987,551,059 | — | |||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 44,020,659 | — | |||||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | — | 15,123,016 | |||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 588,951,513 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 216,489,313 | |||||||||
Direxion Daily MSCI India Bull 3X Shares | 214,332,301 | — | |||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 29,962,871 | — | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 23,040,651 | — | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 72,862,914 | — | |||||||||
Direxion Daily Russia Bull 3X Shares | 366,915,189 | — | |||||||||
Direxion Daily Russia Bear 3X Shares | — | 64,608,916 | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 129,740,453 | — | |||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 5,750,351 | — | |||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | 3,703,008 | |||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 5,311,989 | — | |||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | 2,914,253 | |||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 3,754,531 | — | |||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | 2,293,845 | |||||||||
Direxion Daily Energy Bull 3X Shares | 830,236,563 | — | |||||||||
Direxion Daily Energy Bear 3X Shares | — | 104,035,620 | |||||||||
Direxion Daily Financial Bull 3X Shares | 3,413,958,090 | — | |||||||||
Direxion Daily Financial Bear 3X Shares | — | 444,591,353 | |||||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 3,197,794,510 | — | |||||||||
Direxion Daily Gold Miners Index Bear 3X Shares | — | 408,624,557 | |||||||||
Direxion Daily Healthcare Bull 3X Shares | 365,386,368 | — | |||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 91,320,704 | — | |||||||||
Direxion Daily Industrials Bull 3X Shares | 12,052,580 | — | |||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 2,067,721,015 | — | |||||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | — | 190,198,225 | |||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 97,084,813 | — |
DIREXION SEMI-ANNUAL REPORT
222
Quarterly Average Gross Notional Amounts | |||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | ||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | $ | — | $ | 54,695,432 | |||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 77,616,644 | — | |||||||||
Direxion Daily Natural Gas Related Bear 3X Shares | — | 9,948,726 | |||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 10,488,071 | — | |||||||||
Direxion Daily Regional Banks Bull 3X Shares | 60,341,061 | — | |||||||||
Direxion Daily Regional Banks Bear 3X Shares | — | 7,673,837 | |||||||||
Direxion Daily Retail Bull 3X Shares | 51,840,017 | — | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 31,667,116 | — | |||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 1,613,560,577 | — | |||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 280,514,845 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 532,843,542 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | — | 145,404,932 | |||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1,222,659,231 | — | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | 337,312,675 | |||||||||
Direxion Daily Technology Bull 3X Shares | 1,464,148,645 | — | |||||||||
Direxion Daily Technology Bear 3X Shares | — | 98,783,736 | |||||||||
Direxion Daily Transportation Bull 3X Shares | 22,173,845 | — | |||||||||
Direxion Daily Utilities Bull 3X Shares | 12,123,962 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 26,860,844 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 52,192,233 | |||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 242,460,863 | — | |||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 810,783,295 |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of 300% or -300% daily performance of their respective indices.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index
DIREXION SEMI-ANNUAL REPORT
223
reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and future agreements may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
DIREXION SEMI-ANNUAL REPORT
224
10. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On June 24, 2019, certain Funds declared income distributions with an ex-date of June 25, 2019 and payable date of July 2, 2019. The per share distribution amounts for each Fund was as follows:
Funds | Per Share Income Distribution | ||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 0.18126 | |||||
Direxion Daily S&P 500® Bull 3X Shares | 0.29307 | ||||||
Direxion Daily S&P 500® Bear 3X Shares | 0.07501 | ||||||
Direxion Daily Small Cap Bull 3X Shares | 0.16721 | ||||||
Direxion Daily EURO STOXX 50® Bull 3X Shares | 0.02571 | ||||||
Direxion Daily FTSE China Bull 3X Shares | 0.10750 | ||||||
Direxion Daily FTSE China Bear 3X Shares | 0.18977 | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | 0.24731 | ||||||
Direxion Daily Latin America Bull 3X Shares | 0.06860 | ||||||
Direxion Daily MSCI Brazil Bull 3X Shares | 0.19658 | ||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 0.64590 | ||||||
Direxion Daily MSCI Developed Markets Bear 3X Shares | 0.10195 | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 0.29138 | ||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 0.18549 | ||||||
Direxion Daily MSCI India Bull 3X Shares | 0.35377 | ||||||
Direxion Daily MSCI Japan Bull 3X Shares | 0.26118 | ||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 0.09920 | ||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 0.02739 | ||||||
Direxion Daily Russia Bull 3X Shares | 0.06544 | ||||||
Direxion Daily Russia Bear 3X Shares | 0.03087 | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 0.04741 | ||||||
Direxion Daily Communication Services Index Bull 3X Shares | 0.02385 | ||||||
Direxion Daily Communication Services Index Bear 3X Shares | 0.07938 | ||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 0.05280 | ||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 0.09250 | ||||||
Direxion Daily Consumer Staples Bull 3X Shares | 0.12507 | ||||||
Direxion Daily Consumer Staples Bear 3X Shares | 0.12850 | ||||||
Direxion Daily Energy Bear 3X Shares | 0.20519 | ||||||
Direxion Daily Financial Bull 3X Shares | 0.17005 | ||||||
Direxion Daily Gold Miners Index Bull 3X Shares | 0.04975 | ||||||
Direxion Daily Gold Miners Index Bear 3X Shares | 0.02040 | ||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 0.04204 | ||||||
Direxion Daily Industrials Bull 3X Shares | 0.09702 | ||||||
Direxion Daily Junior Gold Miners Index Bear 3X Shares | 0.04706 | ||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 0.14306 | ||||||
Direxion Daily Natural Gas Related Bear 3X Shares | 0.10855 | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 0.02237 | ||||||
Direxion Daily Regional Banks Bull 3X Shares | 0.20214 | ||||||
Direxion Daily Regional Banks Bear 3X Shares | 0.18262 | ||||||
Direxion Daily Retail Bull 3X Shares | 0.08188 | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 0.01352 | ||||||
Direxion Daily S&P Biotech Bull 3X Shares | 0.03745 | ||||||
Direxion Daily S&P Biotech Bear 3X Shares | 0.08739 | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares | 0.01123 | ||||||
Direxion Daily Semiconductor Bull 3X Shares | 0.19408 | ||||||
Direxion Daily Technology Bear 3X Shares | 0.06008 | ||||||
Direxion Daily Transportation Bull 3X Shares | 0.06839 | ||||||
Direxion Daily Utilities Bull 3X Shares | 0.18307 | ||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 0.15618 |
DIREXION SEMI-ANNUAL REPORT
225
Funds | Per Share Income Distribution | ||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | $ | 0.05099 | |||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 0.06672 | ||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 0.07038 |
On June 28, 2019, shares of the following funds were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock splits have no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse stock splits is as follows:
Funds | Effective Date | Rate | Net Asset Value Before Split | Net Asset Value After Split | Shares Outstanding Before Split | Shares Outstanding After Split | |||||||||||||||||||||
Direxion Daily Mid Cap Bear 3X Shares | 6/28/2019 | 1 | :5 | $ | 10.81 | $ | 54.06 | 314,407 | 62,881 | ||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 6/28/2019 | 1 | :5 | 9.44 | 47.19 | 32,970,375 | 6,594,075 | ||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 6/28/2019 | 1 | :5 | 7.95 | 39.74 | 23,132,056 | 4,626,411 | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 3X Shares | 6/28/2019 | 1 | :5 | 11.76 | 58.78 | 72,806,879 | 14,561,376 | ||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 6/28/2019 | 1 | :5 | 6.72 | 33.61 | 2,908,309 | 581,662 | ||||||||||||||||||||
Direxion Daily Natural Gas Related Bull 3X Shares | 6/28/2019 | 1 | :5 | 4.11 | 20.57 | 8,607,521 | 1,721,504 | ||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares | 6/28/2019 | 1 | :5 | 12.62 | 63.08 | 2,279,803 | 455,961 | ||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 6/28/2019 | 1 | :10 | 5.16 | 51.56 | 33,859,767 | 3,385,977 |
The Board of Trustees has approved changes to the underlying index that the Direxion Daily MSCI Real Estate Bull 3X Shares, Direxion Daily MSCI Real Estate Bear 3X Shares and Direxion Daily Pharmaceutical & Medical Bull 3X Shares. Effective August 1, 2019, the Direxion Daily MSCI Real Estate Bull 3X Shares and Direxion Daily MSCI Real Estate Bear 3X Shares will seek investment results that correspond to the MSCI US IMI Real Estate 25/50 Index. The Direxion Daily Pharmaceutical & Medical Bull 3X Shares will seek investment results that correspond to the S&P Pharmaceuticals Select Industry Index.
DIREXION SEMI-ANNUAL REPORT
226
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION SEMI-ANNUAL REPORT
227
Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Daniel D. O'Neill(1) Age: 51 | Chairman of the Board of Trustees | Lifetime of Trust until removal or resignation; Since 2008 | Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. | 135 | None. |
Independent Trustees
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Gerald E. Shanley III Age: 75 | Trustee | Lifetime of Trust until removal or resignation; Since 2008 | Retired, since 2002; Business Consultant, 1985 – present; Trustee of Trust Under Will of Charles S. Payson, 1987 – present; C.P.A., 1979 – present. | 135 | None. | ||||||||||||||||||
John A. Weisser Age: 77 | Trustee | Lifetime of Trust until removal or resignation; Since 2008 | Retired, since 1995; Salomon Brothers, Inc., 1971 – 1995, most recently as Managing Director. | 135 | Director until December 2016: The MainStay Funds Trust, The MainStay Funds, MainStay VP Fund Series, Mainstay Defined Term Municipal Opportunities Fund; Private Advisors Alternative Strategy Fund; Private Advisors Alternative Strategies Master Fund. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
228
Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
David L. Driscoll Age: 49 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Partner, King Associates, LLP, since 2004; Board Advisor, University Common Real Estate, since 2012; Principal, Grey Oaks LLP since 2003; Member, Kendrick LLC, since 2006. | 135 | None. | ||||||||||||||||||
Jacob C. Gaffey Age: 71 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. | 135 | None. | ||||||||||||||||||
Henry W. Mulholland Age: 56 | Trustee | Lifetime of Trust until removal or resignation; Since 2017 | Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. | 135 | None. |
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
229
Direxion Shares ETF Trust
Trustees and Officers
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(1) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Robert D. Nestor Age: 50 | President | One Year; Since 2018 | President, Rafferty Asset Management, LLC and Direxion Advisors, LLC, since April 2018; Blackrock, Inc. (May 2007 – April 2018), most recently as Managing Director. | N/A | N/A | ||||||||||||||||||
Patrick J. Rudnick Age: 45 | Principal Executive Officer Principal Financial Officer | One Year; Since 2018 One Year; Since 2010 | Senior Vice President, since March 2013, Rafferty Asset Management, LLC; Senior Vice President, since November 2017, Direxion Advisors, LLC. | N/A | N/A | ||||||||||||||||||
Angela Brickl Age: 43 | Chief Compliance Officer Secretary | One Year; Since 2018 One Year; Since 2011 | General Counsel, Rafferty Asset Management LLC, since October 2010 and Direxion Advisors, LLC, since November 2017; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012 and Direxion Advisors, LLC, since November 2017. | N/A | N/A |
(1) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 93 of the 120 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 15 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
230
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Provided below is a summary of certain of the factors the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "Trust"), including the trustees who are not "interested persons" as defined in the Investment Company Act of 1940, as amended (the "1940 Act") (the "Independent Trustees"), considered in approving the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management ("Rafferty") and the ETF Trust, on behalf of the Direxion Daily Communication Services Index Bull 3X Shares and the Direxion Daily Communication Services Index Bear 3X Shares at its August 22, 2018 Board meeting and the Direxion Daily Consumer Staples Bull 3X Shares, Direxion Daily Consumer Staples Bear 3X Shares, Direxion Daily Consumer Discretionary Bull 3X Shares, and the Direxion Daily Consumer Discretionary Bear 3X Shares at its February 9, 2017 and August 22, 2018 meetings, each a series of the Trust. Each series of the Trust is referred to herein as a "Fund" and collectively as the "Funds."
The Board did not identify any particular information as most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight to the various factors discussed below. In determining whether to approve the Agreement, the Board considered the best interests of each Fund separately. The Board received a memorandum from counsel regarding the responsibilities of the Board with respect to the approval of the Agreement and participated in a question and answer session with representatives of Rafferty. The Board noted that the Funds had not yet commenced operations. Accordingly, the Board primarily considered the nature, extent and quality of the services to be provided by Rafferty, the advisory fee rates to be paid to Rafferty, the net expense ratio and break-even analysis with respect to each Fund.
Nature, Extent and Quality of Services Provided. The Board considered the nature, extent and quality of the services to be provided by Rafferty under the Agreement. The Board noted, however, that Rafferty has provided services to the ETF Trust since its inception date and has developed an expertise in managing funds with leveraged and inverse investment strategies. The Board considered Rafferty's representations that it has the financial resources and appropriate staffing to manage the Funds and to meet its contractual fee waiver and/or expense reimbursement obligations proposed. The Board considered that Rafferty currently effectively oversees all aspects of the operation of the other series of the ETF Trust, including such series' service providers, and provides high-quality compliance services to such series, and that Rafferty will provide the same suite and quality of services to the Funds. The Board acknowledged that the Funds did not have any prior performance history as they had not yet commenced operations.
Costs of Services Provided to the Funds and Profits Realized. The Board considered the fairness and reasonableness of the investment advisory fee rates proposed to be paid to Rafferty by the Funds, including in light of the investment advisory services to be provided by Rafferty under the Agreement. In this regard, the Board considered the advisory fee rate proposed for the Funds and the contractual fee waivers proposed for the Funds, pursuant to which Rafferty would waive fees and reimburse Fund expenses to cap each Fund's expense ratio, subject to certain exclusions. The Board considered Rafferty's presentation regarding the comparability of the advisory fee rate proposed for the Funds to the advisory fee rates charged to comparable exchange-traded funds and to the advisory fee rates charged to comparable series of the ETF Trust, allowing for certain management differences applicable to the Funds. The Board also considered the net expense ratios proposed for each Fund as compared to the net expense ratios of comparable exchange-traded funds, as well as the profitability of Rafferty. Because the Funds had not commenced operations, however, and Rafferty did not have any profit data specific to each Fund, the Board considered the break-even analysis provided by Rafferty for each Fund and noted that, as new series of the ETF Trust, it was unclear whether any Fund would reach break-even or be profitable to Rafferty. The Board considered the significant drivers of cost for Rafferty including, but not limited to, intellectual capital, portfolio rebalancing expertise, regulatory compliance, and entrepreneurial risk. The Board further considered the significant, and potentially prohibitive, costs that investors would likely incur if they independently sought to implement the investment strategies of the Funds.
Economies of Scale. The Board considered whether economies of scale may be realized by each Fund as it grows larger and the extent to which any such economies of scale are reflected in the Fund's contractual advisory fee rate. The Board acknowledged, however, that the Funds had not yet commenced operations and therefore did not yet have any assets, making any assessment of economies of scale premature.
DIREXION SEMI-ANNUAL REPORT
231
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Other Benefits. The Board considered Rafferty's representation that its relationship with the Funds may enable it to attract business to the other series of the ETF Trust and other funds managed by Rafferty. The Board also considered that Rafferty's relationship with brokerage firms may be enhanced by its management of the Funds and result in Rafferty's clients receiving better execution. The Board acknowledged that, for the same reasons, the Funds could benefit from Rafferty's management of other accounts, including other series of the ETF Trust.
Conclusion. Based on, but not limited to, the above considerations, the Board determined that the Agreement with respect to the Funds was fair and reasonable in light of the services to be performed by Rafferty, the fees and expenses to be incurred by the Funds, and such other matters as the Board considered relevant in the exercise of its reasonable business judgment. On this basis, the Board unanimously voted to approve the Agreement.
DIREXION SEMI-ANNUAL REPORT
232
THIS PAGE INTENTIONALLY LEFT BLANK
233
SEMI–ANNUAL REPORT APRIL 30, 2019
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
Investment Adviser
Rafferty Asset Management, LLC
1301 Avenue of Americas (6th Ave.),
28th Floor
New York, NY 10019
Administrator
U.S. Bancorp Fund Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Independent Registered Public Accounting Firm
Ernst & Young LLP
220 South 6th Street
Minneapolis, MN 55402
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York Mellon
101 Barclay Street
New York, New York 10286
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
You may obtain a description of the Direxion Shares ETF Trust proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30 (available by August 31) without charge, upon request, by calling (800) 851-0511 or by accessing the SEC's website at www.sec.gov. Such reports maybe reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330.
Each Fund's premium/discount information is available free of charge on the Funds' website, www.direxioninvestments.com or by calling (800) 851-0511.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports
Item 6. Schedule of Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors/trustees.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable.
(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Direxion Shares ETF Trust | ||
| |||
By (Signature and Title) | /s/ Patrick J. Rudnick | ||
| Patrick J. Rudnick, Principal Executive Officer | ||
| |||
| |||
Date | July 5, 2019 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Patrick J. Rudnick | |
| Patrick J. Rudnick, Principal Executive Officer | |
| ||
| ||
Date | July 5, 2019 | |
|
| |
By (Signature and Title) | /s/ Patrick J. Rudnick | |
| Patrick J. Rudnick, Principal Financial Officer | |
| ||
| ||
Date | July 5, 2019 | |