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)
1-800-851-0511
Registrant's telephone number, including area code
Date of fiscal year end: October 31, 2020
Date of reporting period: April 30, 2020
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, 2020
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 20+ Year Treasury Bear 1X Shares
2X BULL FUNDS | 2X BEAR FUNDS | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
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Direxion Daily CSI China Internet Index Bull 2X Shares |
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Direxion Daily S&P 500® Bull 2X Shares |
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Direxion Daily Small Cap Bull 2X Shares |
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Direxion Daily MSCI Brazil Bull 2X Shares |
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(formerly Direxion Daily MSCI Brazil Bull 3X Shares) |
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Direxion Daily Russia Bull 2X Shares |
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(formerly Direxion Daily Russia Bull 3X Shares) |
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Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | ||||||
(formerly Direxion Daily Energy Bull 3X Shares) | (formerly Direxion Daily Energy Bear 3X Shares) | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares | Direxion Daily Gold Miners Index Bear 2X Shares | ||||||
(formerly Direxion Daily Gold Miners Index Bull 3X Shares) | (formerly Direxion Daily Gold Miners Index Bear 3X Shares) | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | Direxion Daily Junior Gold Miners Index Bear 2X Shares | ||||||
(formerly Direxion Daily Junior Gold Miners Index Bull 3X Shares) | (formerly Direxion Daily Junior Gold Miners Index Bull 3X Shares) | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | ||||||
(formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares) | (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. 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 | 12 | ||||||
Allocation of Portfolio Holdings | 14 | ||||||
Schedules of Investments | 15 | ||||||
Statements of Assets and Liabilities | 33 | ||||||
Statements of Operations | 38 | ||||||
Statements of Changes in Net Assets | 43 | ||||||
Financial Highlights | 52 | ||||||
Notes to the Financial Statements | 56 | ||||||
Supplemental Information | 81 | ||||||
Trustees and Officers | 82 | ||||||
Board Review of Liquidity Risk Management Program | 85 |
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Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2019 to April 30, 2020 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period began amidst the enduring backdrop of U.S. and China trade negotiations. News of a phase one trade deal was enough to boost the S&P 500 Index to record levels in the U.S., while emerging markets benefitted from a weaker U.S. Dollar and global central bank easing. As U.S. equity markets began to emerge from a relatively sideways trend that had persisted since mid-summer 2019, Asian and emerging equity markets both benefitted from the reduced geo-political tensions. The formal announcement of a Phase One Trade Agreement in December served to further bolster gains, both at home and abroad, through year-end. The advent of 2020 saw Coronavirus added to the global vernacular. Emerging markets were the first to experience a significant impact from the initial outbreak of Coronavirus, as they traded down in January, while domestic equities traded relatively flat for the month. During a period where U.S. economic growth was on stable footing, and with improving economic data, accommodative central bank policy and the fear of an imminent recession diminishing, the S&P 500 Index closed at a record high on February 19, 2020. Shortly thereafter, markets began to grasp what began as a localized epidemic in China, could turn into a global pandemic that may produce economic shock around the world. U.S. equities responded by trading into correction territory with record speed off the recent highs. By the end of February, comparisons to 2008 were abundant as equity indexes posted their largest weekly losses since the financial crisis. In an effort to bolster the market, the U.S. Senate passed a $2 trillion stimulus package to help offset the effects of staggering job losses and markets that were selling off sharply. Those efforts were enough to spur a bit of optimism, as U.S. equity indexes closed the month off the lows. In April, as social distancing and working from home became the norm, equities began to rebound on hopes of the economy reopening, with signs that lockdowns would soon be ending in some parts of Europe, as well as some states in the U.S.
Fixed income markets began with trade rhetoric and Federal Reserve policy looming in the background. As investors became fearful of an economic slowdown and a drawn out trade war, bond markets rallied, driving yields lower. At the start of the year, the Federal Reserve came forth with a neutral policy stance, leaving trade war rhetoric as the ultimate catalyst for price action. Due to the evolving risks around the COVID-19 pandemic, the Federal Reserve issued two emergency rate cuts in the month of March. The first cut lowered rates 50 bps in preparation for the supply chain shocks overseas. The succeeding 100 bps cut in mid-March was seen as the Federal Reserve's attempt to assist the economy in combatting a recession, as the reality of the virus breached borders. As the Federal Reserve became increasingly accommodative, bull steepening of the yield curve resulted, and investors continued piling into treasuries as the global economic outlook and corporate earnings started to look grim. After pandemic and market correction concerns sent yields plummeting towards the zero bound range, the curve eventually started to flatten out at end of the Semi-Annual Period.
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 -100% 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.
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The ETFs with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -100% of the return of a benchmark, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of the target benchmark index.
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 a benchmark, meaning the Bull Funds attempt to move in the same direction as the 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 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 benchmark index 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 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 Performance of Bear ETFs:
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
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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 an underlying benchmark index, meaning that the Bear ETFs attempt to move in the opposite direction, or inverse, of their respective underlying benchmark index.
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 returned -2.62% The Direxion Daily CSI 300 China A Share Bear 1X Shares returned -2.56%, while the model indicated an expected return of -3.24%.
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 -3.16%. The Direxion Daily S&P 500® Bear 1X Shares -4.92%, while the model indicated an expected return of -6.03%.
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 19.77%. The Direxion Daily 20+ Year Treasury Bear 1X Shares returned -18.46%, while the model indicated an expected return of -18.84%.
Factors Affecting Performance of Bull ETFs:
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.
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Leverage – Each Bull ETF seeks daily investment results (before fees and expenses) of 200% 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 the Bull ETFs is to provide two times the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide two times 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 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. 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 – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those 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 that are comparatively less liquid.
Bull 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 -2.62%. 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 Fund. The Direxion Daily CSI 300 China A Share Bull 2X Shares returned -12.27%, while the model indicated an expected return -10.95%.
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 7.70%. 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 6.77%, while the model indicated an expected return of 8.05%.
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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 market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned -3.16%. 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 -16.21%, while the model indicated an expected return of -14.98%.
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 -15.47%. 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 Fund. The Direxion Daily Small Cap Bull 2X Shares returned -38.43%, while the model indicated an expected return of -38.01%
The Direxion Daily MSCI Brazil Bull 3X Shares sought to provide 300% of the daily return of the MSCI Brazil 25/50 Index from November 1, 2019 through March 31, 2020. 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 stated period, the MSCI Brazil 25/50 Index returned -46.40%. 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 -95.15%, while the model indicated an expected return of -94.96%.
Beginning April 1 2020, the Direxion Daily MSCI Brazil Bull 2X Shares sought to provide 200% 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 stated period, the MSCI Brazil 25/50 Index returned 4.71%. 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 2X Shares returned 5.20%, while the model indicated an expected return of 5.55%.
The Direxion Daily Russia Bull 3X Shares sought to provide 300% of the daily return of the MVIS Russia Index from November 1, 2019 through March 31, 2020. 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 stated period, the MVIS Russia Index returned -26.94%. 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 Russia Bull 3X Shares returned -80.39%, while the model indicated an expected return of -79.15%.
Beginning April 1 2020, the Direxion Daily Russia Bull 2X Shares seeks to provide 200% of the daily return of the MVIS Russia Index. 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 stated period, the MVIS Russia Index returned 14.18%. 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 ETFs. The Direxion Daily Russia Bull 2X Shares returned 25.96%, while the model indicated an expected return of 27.57%.
The Direxion Daily Energy Bull 3X Shares and the Direxion Daily Energy Bear 3X Shares sought to provide 300% and -300%, respectively, of the daily return of the Energy Select Sector Index from November 1, 2019 through March 31, 2020. The
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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 stated period, the Energy Select Sector Index returned -46.82%. 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 Bull 3X Shares returned -93.23%, while the model indicated an expected return of -92.94%. The Direxion Daily Energy Bear 3X Shares returned 132.12%, while the model indicated an expected return of 125.27%. 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.
Beginning April 1 2020, the Direxion Daily Energy Bull 2X Shares and the Direxion Daily Energy Bear 2X Shares seek to provide 200% and -200%, 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 stated period, the Energy Select Sector Index returned 30.85%. 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 Energy Bull 2X Shares returned 63.82%, while the model indicated an expected return of 64.42%. The Direxion Daily Energy Bear 2X Shares returned -49.27%, while the model indicated an expected return of -49.27%.
The Direxion Daily Gold Miners Index Bull 3X Shares and the Direxion Daily Gold Miners Index Bear 3X Shares sought to provide 300% and -300%, respectively, of the daily return of the NYSE Arca Gold Miners Index from November 1, 2019 through March 31, 2020. 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 stated period, the NYSE Arca Gold Miners Index returned -17.59%. 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 -79.06%, while the model indicated an expected return of -77.12%. The Direxion Daily Gold Miners Index Bear 3X Shares returned -56.64%, while the model indicated an expected return of -57.07%.
Beginning April 1 2020, the Direxion Daily Gold Miners Index Bull 2X Shares and the Direxion Daily Gold Miners Index Bear 2X Shares seek to provide 200% and -200%, 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 stated period, the NYSE Arca Gold Miners Index returned 40.02%. 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 2X Shares returned 89.70%, while the model indicated an expected return of 90.39%. The Direxion Daily Gold Miners Index Bear 2X Shares returned -54.16%, while the model indicated an expected return of -53.94%.
The Direxion Daily Junior Gold Miners Index Bull 3X Shares and the Direxion Daily Junior Gold Miners Index Bear 3X Shares sought to provide 300% and -300%, respectively, of the daily return of the MVIS Global Junior Gold Miners Index from November 1, 2019 through March 31, 2020. 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 stated period, the MVIS Global Junior Gold Miners Index returned -28.04%. 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 ETFs. The Direxion Daily Junior Gold Miners Index Bull 3X Shares returned -94.41%, while the model indicated an expected return of
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-93.35%. The Direxion Daily Junior Gold Miners Index Bear 3X Shares returned -79.12%, while the model indicated an expected return of -78.22%.
Beginning April 1 2020, the Direxion Daily Junior Gold Miners Index Bull 2X Shares and the Direxion Daily Junior Gold Miners Index Bear 2X Shares seek to provide 200% and -200%, 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 stated period, the MVIS Global Junior Gold Miners Index returned 43.63%. 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 2X Shares returned 97.05%, while the model indicated an expected return of 97.91%. The Direxion Daily Junior Gold Miners Index Bear 2X Shares returned -58.17%, while the model indicated an expected return of -58.03%.
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 sought to provide 300% and -300%, respectively, of the daily return of the S&P Oil & Gas Exploration & Production Select Industry Index from November 1, 2019 through March 31, 2020. The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's 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 stated period, the S&P Oil & Gas Exploration & Production Select Industry Index returned -60.51%. 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 -98.54%, while the model indicated an expected return of -98.47%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares returned 206.78%, while the model indicated an expected return of 196.05%. 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.
Beginning April 1 2020, the Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares and the Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares seek to provide 200% and -200%, 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 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 stated period, the S&P Oil & Gas Exploration & Production Select Industry Index returned 65.66%. 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 S&P Oil & Gas Exp. & Prod. Bull 2X Shares returned 161.32%, while the model indicated an expected return of 161.86%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares returned -69.19%, while the model indicated an expected return of -69.23%.
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 |
DIREXION SEMI-ANNUAL REPORT
10
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 direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
Investing in a Direxion Shares ETF may be more volatile than investing in broadly diversified funds. The use of leverage by an ETF increases the risk to the ETF. The Direxion Shares 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 Direxion Shares ETFs are not designed to track their respective underlying indices over a period of time longer than one day.
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the funds website at direxion.com.
Short-term performance, in particular, is not a good indication of the fund's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. For additional information, see the fund's prospectus.
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.
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, 2020 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
11
Expense Example (Unaudited)
April 30, 2020
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, 2019 to April 30, 2020).
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, 2019 to April 30, 2020" 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, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 2020* | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.81 | % | $ | 1,000.00 | $ | 974.40 | $ | 3.98 | |||||||||||
Based on hypothetical 5% return | 0.81 | % | 1,000.00 | 1,020.84 | 4.07 | ||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.46 | % | 1,000.00 | 950.80 | 2.23 | ||||||||||||||
Based on hypothetical 5% return | 0.46 | % | 1,000.00 | 1,022.58 | 2.31 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 815.40 | 2.03 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.63 | 2.26 | ||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 877.30 | 4.90 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.64 | 5.27 |
DIREXION SEMI-ANNUAL REPORT
12
Expense Example (Unaudited)
April 30, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 2020* | ||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | $ | 1,000.00 | $ | 1,067.70 | $ | 5.35 | |||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.69 | 5.22 | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.65 | % | 1,000.00 | 837.90 | 2.97 | ||||||||||||||
Based on hypothetical 5% return | 0.65 | % | 1,000.00 | 1,021.63 | 3.27 | ||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.64 | % | 1,000.00 | 615.70 | 2.57 | ||||||||||||||
Based on hypothetical 5% return | 0.64 | % | 1,000.00 | 1,021.68 | 3.22 | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.10 | % | 1,000.00 | 51.00 | 2.87 | ||||||||||||||
Based on hypothetical 5% return | 1.10 | % | 1,000.00 | 1,019.39 | 5.52 | ||||||||||||||
Direxion Daily Russia Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.12 | % | 1,000.00 | 247.00 | 3.47 | ||||||||||||||
Based on hypothetical 5% return | 1.12 | % | 1,000.00 | 1,019.29 | 5.62 | ||||||||||||||
Direxion Daily Energy Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.02 | % | 1,000.00 | 110.90 | 2.82 | ||||||||||||||
Based on hypothetical 5% return | 1.02 | % | 1,000.00 | 1,019.79 | 5.12 | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | 1,000.00 | 1,177.70 | 5.63 | ||||||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.69 | 5.22 | ||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.22 | % | 1,000.00 | 397.30 | 4.24 | ||||||||||||||
Based on hypothetical 5% return | 1.22 | % | 1,000.00 | 1,018.80 | 6.12 | ||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 207.90 | 2.85 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.14 | 4.77 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.14 | % | 1,000.00 | 110.20 | 3.15 | ||||||||||||||
Based on hypothetical 5% return | 1.14 | % | 1,000.00 | 1,019.19 | 5.72 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 87.30 | 2.57 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.14 | 4.77 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | 1,000.00 | 38.00 | 2.61 | ||||||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.84 | 5.07 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.38 | % | 1,000.00 | 944.50 | 6.67 | ||||||||||||||
Based on hypothetical 5% return | 1.38 | % | 1,000.00 | 1,018.00 | 6.92 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 days (the number of days in the period of November 1, 2019 to April 30, 2020), then divided by 366.
DIREXION SEMI-ANNUAL REPORT
13
Allocation of Portfolio Holdings (Unaudited)
April 30, 2020
Cash* | Common Stocks | Investment Companies | Swaps | Total | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | 102 | % | — | — | (2 | )% | 100 | % | |||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 111 | % | — | — | (11 | )% | 100 | % | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 106 | % | — | — | (6 | )% | 100 | % | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 68 | % | — | 33 | % | (1 | )% | 100 | % | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 50 | % | — | 46 | % | 4 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | (1 | )% | — | 99 | % | 2 | % | 100 | % | ||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | (1 | )% | — | 96 | % | 5 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 55 | % | — | 47 | % | (2 | )% | 100 | % | ||||||||||||||
Direxion Daily Russia Bull 2X Shares | 52 | % | — | 44 | % | 4 | % | 100 | % | ||||||||||||||
Direxion Daily Energy Bull 2X Shares | 28 | % | 52 | % | — | 20 | % | 100 | % | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | 143 | % | — | — | (43 | )% | 100 | % | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 78 | % | — | 12 | % | 10 | % | 100 | % | ||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 112 | % | — | — | (12 | )% | 100 | % | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 68 | % | — | 24 | % | 8 | % | 100 | % | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 107 | % | — | — | (7 | )% | 100 | % | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 51 | % | — | 21 | % | 28 | % | 100 | % | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 162 | % | — | — | (62 | )% | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
DIREXION SEMI-ANNUAL REPORT
14
Direxion Daily CSI 300 China A Share Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 23.2% | |||||||||||
Money Market Funds - 23.2% | |||||||||||
2,768,457 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 2,768,457 | ||||||||
1,543,150 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 1,543,150 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,311,607) (b) | $ | 4,311,607 | |||||||||
TOTAL INVESTMENTS (Cost $4,311,607) - 23.2% | $ | 4,311,607 | |||||||||
Other Assets in Excess of Liabilities - 76.8% | 14,277,970 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,589,577 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,311,607.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
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) | |||||||||||||||||||||
0.9183% representing 1 month LIBOR rate + spread | Total return of Xtrackers Harvest CSI 300 China A-Shares ETF | Bank of America Merrill Lynch | 12/3/2020 | 135,611 | $ | 3,690,361 | $ | 47,165 | |||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of Xtrackers Harvest CSI 300 China A-Shares ETF | Citibank N.A. | 12/10/2020 | 178,534 | 4,660,021 | (140,946 | ) | ||||||||||||||||||||
0.0208% representing 1 month LIBOR rate + spread | Total return of Xtrackers Harvest CSI 300 China A-Shares ETF | Credit Suisse Capital LLC | 12/17/2020 | 110,693 | 2,983,966 | 4,454 | |||||||||||||||||||||
0.0208% representing 1 month LIBOR rate + spread | Total return of Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 4/21/2021 | 203,822 | 5,208,994 | (287,462 | ) | ||||||||||||||||||||
0.0208% representing 1 month LIBOR rate + spread | Total return of Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 5/19/2021 | 4,055 | 109,249 | 83 | |||||||||||||||||||||
0.0208% representing 1 month LIBOR rate + spread | Total return of Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 5/19/2021 | 57,842 | 1,546,325 | (10,801 | ) | ||||||||||||||||||||
$ | 18,198,916 | $ | (387,507 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
15
Direxion Daily S&P 500® Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 29.9% | |||||||||||
Money Market Funds - 29.9% | |||||||||||
16,329,870 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 16,329,870 | ||||||||
24,204,712 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 24,204,712 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $40,534,582) (b) | $ | 40,534,582 | |||||||||
TOTAL INVESTMENTS (Cost $40,534,582) - 29.9% | $ | 40,534,582 | |||||||||
Other Assets in Excess of Liabilities - 70.1% | 95,083,925 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 135,618,507 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $40,534,582.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.6408% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | UBS Securities LLC | 12/9/2020 | 16,734 | $ | 40,783,477 | $ | (7,985,232 | ) | ||||||||||||||||||
0.8208% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Credit Suisse Capital LLC | 12/11/2020 | 29,831 | 79,722,003 | (7,171,496 | ) | ||||||||||||||||||||
$ | 120,505,480 | $ | (15,156,728 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
16
Direxion Daily 20+ Year Treasury Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 36.0% | |||||||||||
Money Market Funds - 36.0% | |||||||||||
500,267 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | $ | 500,267 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $500,267) (b) | $ | 500,267 | |||||||||
TOTAL INVESTMENTS (Cost $500,267) - 36.0% | $ | 500,267 | |||||||||
Other Assets in Excess of Liabilities - 64.0% | 889,580 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,389,847 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $500,267.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Citibank N.A. | 12/10/2020 | 3,405 | $ | 552,870 | $ | (15,081 | ) | ||||||||||||||||||
0.7208% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/17/2020 | 4,930 | 749,574 | (72,905 | ) | ||||||||||||||||||||
$ | 1,302,444 | $ | (87,986 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Daily CSI 300 China A Share Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 33.5% | |||||||||||
1,085,425 | Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF (a)(b) | $ | 29,219,641 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $32,816,114) | $ | 29,219,641 | |||||||||
SHORT TERM INVESTMENTS - 67.1% | |||||||||||
Money Market Funds - 67.1% | |||||||||||
53,690,150 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 53,690,150 | ||||||||
4,947,542 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 4,947,542 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $58,637,692) | $ | 58,637,692 | |||||||||
TOTAL INVESTMENTS (Cost $91,453,806) - 100.6% (e) | $ | 87,857,333 | |||||||||
Liabilities in Excess of Other Assets - (0.6)% | (501,596 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 87,355,737 |
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, 2020.
(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 $30,834,700.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 8/19/2020 | 385,861 | $10,219,102 | $747,579 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 8/19/2020 | 313,629 | 8,435,171 | (17,177) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 9/16/2020 | 130,576 | 3,491,320 | 14,756 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 9/16/2020 | 725,529 | 19,998,269 | (511,395) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 24,303 | 659,958 | (5,426) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 1.1183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 1,657,895 | 45,897,082 | (1,377,457) |
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
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2020
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 | 0.5008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 250,000 | $7,035,000 | $(264,566) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 1.1708% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/09/2020 | 440,502 | 11,876,144 | (17,208) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 1.1908% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 455,369 | 12,117,172 | 131,424 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 2/17/2021 | 94,789 | 2,473,265 | 69,760 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 416,870 | 11,095,351 | 113,743 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 136,832 | 3,701,047 | (19,164) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 0.9908% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 372,242 | 10,094,672 | (75,440) | |||||||||||||||||||||
$ | 147,093,553 | $ | (1,210,571 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion Daily CSI China Internet Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 45.7% | |||||||||||
401,208 | KraneShares CSI China Internet ETF (a)(b) | $ | 19,394,394 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $19,802,193) | $ | 19,394,394 | |||||||||
SHORT TERM INVESTMENTS - 52.2% | |||||||||||
Money Market Funds - 52.2% | |||||||||||
18,566,878 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 18,566,878 | ||||||||
3,612,740 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 3,612,740 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $22,179,618) | $ | 22,179,618 | |||||||||
TOTAL INVESTMENTS (Cost $41,981,811) - 97.9% (e) | $ | 41,574,012 | |||||||||
Other Assets in Excess of Liabilities - 2.1% | 897,859 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 42,471,871 |
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, 2020.
(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 $16,805,852.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid/(Received) at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 0.7508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 679,793 | $ | 32,436,532 | $ | 382,520 | |||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 1.4008% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 262,120 | 12,042,463 | 571,466 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | -0.2493% representing 1 month LIBOR rate + spread | BNP Paribas | 12/16/2020 | 100,170 | 4,868,262 | 6,030 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | -0.2493% representing 1 month LIBOR rate + spread | BNP Paribas | 7/21/2021 | 5,822 | 301,174 | (20,248 | ) | ||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | -0.2493% representing 1 month LIBOR rate + spread | BNP Paribas | 10/20/2021 | 279,788 | 12,618,552 | 909,042 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | -0.2493% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 28,435 | 1,390,222 | (15,537 | ) | ||||||||||||||||||||
$ | 63,657,205 | $ | 1,833,273 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.0% | |||||||||||
72,406 | iShares Core S&P 500 ETF (a) | $ | 21,081,731 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $18,920,343) | $ | 21,081,731 | |||||||||
SHORT TERM INVESTMENTS - 0.3% | |||||||||||
Money Market Funds - 0.3% | |||||||||||
7 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 7 | ||||||||
70,418 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 70,418 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $70,425) | $ | 70,425 | |||||||||
TOTAL INVESTMENTS (Cost $18,990,768) - 99.3% (c) | $ | 21,152,156 | |||||||||
Other Assets in Excess of Liabilities - 0.7% | 143,319 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 21,295,475 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,369,493.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 7,385 | $ | 21,035,280 | $ | 470,632 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily Small Cap Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 96.4% | |||||||||||
14,125 | iShares Russell 2000 ETF (a) | $ | 1,840,629 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,871,821) | $ | 1,840,629 | |||||||||
SHORT TERM INVESTMENTS - 9.0% | |||||||||||
Money Market Funds - 9.0% | |||||||||||
171,190 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 171,190 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $171,190) | $ | 171,190 | |||||||||
TOTAL INVESTMENTS (Cost $2,043,011) - 105.4% (c) | $ | 2,011,819 | |||||||||
Liabilities in Excess of Other Assets - (5.4)% | (101,586 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,910,233 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,330,558.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.0208% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 11 | $ | 14,283 | $ | 99 | |||||||||||||||||||
Total return of Russell 2000® Index | 0.7508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 1,500 | 1,868,457 | 97,380 | |||||||||||||||||||||
$ | 1,882,740 | $ | 97,479 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily MSCI Brazil Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 47.5% | |||||||||||
2,562,982 | iShares MSCI Brazil Capped ETF (a)(b) | $ | 63,228,766 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $60,069,421) | $ | 63,228,766 | |||||||||
SHORT TERM INVESTMENTS - 43.7% | |||||||||||
Money Market Funds - 43.7% | |||||||||||
51,895,029 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 51,895,029 | ||||||||
6,314,830 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 6,314,830 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $58,209,859) | $ | 58,209,859 | |||||||||
TOTAL INVESTMENTS (Cost $118,279,280) - 91.2% (e) | $ | 121,438,625 | |||||||||
Other Assets in Excess of Liabilities - 8.8% | 11,792,338 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 133,230,963 |
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, 2020.
(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 $51,239,672.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.5508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 2,662,392 | $ | 66,607,762 | $ | (1,035,257 | ) | ||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 1.4508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 1,951,341 | 45,820,913 | 2,273,277 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 2,295,888 | 60,106,348 | (3,540,930 | ) | ||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 395,530 | 9,489,262 | 267,761 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 920,104 | 23,345,711 | (651,470 | ) | ||||||||||||||||||||
$ | 205,369,996 | $ | (2,686,619 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily Russia Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 43.9% | |||||||||||
1,810,463 | VanEck VectorsTM Russia ETF (a) | $ | 34,326,379 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $30,236,288) | $ | 34,326,379 | |||||||||
SHORT TERM INVESTMENTS - 43.4% | |||||||||||
Money Market Funds - 43.4% | |||||||||||
14,381,534 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 14,381,534 | ||||||||
19,493,361 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 19,493,361 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $33,874,895) | $ | 33,874,895 | |||||||||
TOTAL INVESTMENTS (Cost $64,111,183) - 87.3% (c) | $ | 68,201,274 | |||||||||
Other Assets in Excess of Liabilities - 12.7% | 9,926,430 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 78,127,704 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $44,985,184.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Russia ETF | 1.2183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 334,279 | $ | 5,514,427 | $ | 815,913 | |||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 0.8508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 857,233 | 14,667,265 | 1,572,503 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 1.7508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 2,975,366 | 56,204,663 | 147,450 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 1.2308% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 1,302,980 | 24,109,952 | 575,630 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 1.2308% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 147,266 | 2,815,098 | (24,574 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 1.2308% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 636,471 | 11,586,859 | 477,433 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 1.2308% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 177,761 | 3,476,270 | (106,003 | ) | ||||||||||||||||||||
$ | 118,374,534 | $ | 3,458,352 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily Energy Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 52.1% | |||||||||||
Machinery Manufacturing - 1.5% | |||||||||||
186,100 | Baker Hughes, a GE Co. | $ | 2,596,095 | ||||||||
110,463 | National Oilwell Varco, Inc. | 1,396,252 | |||||||||
120,330 | TechnipFMC PLC | 1,072,140 | |||||||||
5,064,487 | |||||||||||
Oil and Gas Extraction - 9.5% | |||||||||||
107,617 | Apache Corp. | 1,407,630 | |||||||||
116,792 | Cabot Oil & Gas Corp. | 2,525,043 | |||||||||
57,548 | Concho Resources, Inc. | 3,264,123 | |||||||||
110,834 | Devon Energy Corp. | 1,382,100 | |||||||||
166,621 | EOG Resources, Inc. | 7,916,164 | |||||||||
229,079 | Marathon Oil Corp. | 1,401,964 | |||||||||
136,947 | Noble Energy, Inc. | 1,343,450 | |||||||||
255,832 | Occidental Petroleum Corp. | 4,246,811 | |||||||||
116,232 | Phillips 66 | 8,504,695 | |||||||||
31,991,980 | |||||||||||
Petroleum and Coal Products Manufacturing - 30.2% | |||||||||||
436,285 | Chevron Corp. | 40,138,220 | |||||||||
200,713 | ConocoPhillips | 8,450,017 | |||||||||
812,026 | Exxon Mobil Corp. | 37,734,848 | |||||||||
42,502 | HollyFrontier Corp. | 1,404,266 | |||||||||
185,922 | Marathon Petroleum Corp. | 5,964,378 | |||||||||
117,593 | Valero Energy Corp. | 7,449,517 | |||||||||
101,141,246 | |||||||||||
Pipeline Transportation - 2.0% | |||||||||||
347,065 | Williams Companies, Inc. | 6,722,649 | |||||||||
Support Activities for Mining - 5.9% | |||||||||||
46,107 | Diamondback Energy, Inc. | 2,007,499 | |||||||||
251,340 | Halliburton Co. | 2,639,070 | |||||||||
31,062 | Helmerich & Payne, Inc. | 614,096 | |||||||||
74,162 | Hess Corp. | 3,607,240 | |||||||||
47,449 | Pioneer Natural Resources Co. | 4,237,670 | |||||||||
396,420 | Schlumberger Ltd. (a) | 6,667,784 | |||||||||
19,773,359 |
Shares | Fair Value | ||||||||||
Utilities - 3.0% | |||||||||||
426,952 | Kinder Morgan, Inc. | $ | 6,502,479 | ||||||||
118,271 | ONEOK, Inc. | 3,539,851 | |||||||||
10,042,330 | |||||||||||
TOTAL COMMON STOCKS (Cost $151,140,094) | $ | 174,736,051 | |||||||||
SHORT TERM INVESTMENTS - 27.7% | |||||||||||
Money Market Funds - 27.7% | |||||||||||
38,225,331 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 38,225,331 | ||||||||
54,864,144 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 54,864,144 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $93,089,475) | $ | 93,089,475 | |||||||||
TOTAL INVESTMENTS (Cost $244,229,569) - 79.8% (c) | $ | 267,825,526 | |||||||||
Other Assets in Excess of Liabilities - 20.2% | 67,754,677 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 335,580,203 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $104,254,414.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Energy Select Sector Index | 1.0308% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 470,454 | $ | 149,612,875 | $ | 37,603,334 | |||||||||||||||||||
Total return of Energy Select Sector Index | 1.6108% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 584,306 | 209,562,627 | 22,938,237 | |||||||||||||||||||||
Total return of Energy Select Sector Index | 1.2008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 193,042 | 68,597,475 | 8,226,980 | |||||||||||||||||||||
$ | 427,772,977 | $ | 68,768,551 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily Energy Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 104.5% | |||||||||||
Money Market Funds - 104.5% | |||||||||||
18,979,891 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 18,979,891 | ||||||||
6,305,777 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 6,305,777 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $25,285,668) (b) | $ | 25,285,668 | |||||||||
TOTAL INVESTMENTS (Cost $25,285,668) - 104.5% | $ | 25,285,668 | |||||||||
Liabilities in Excess of Other Assets - (4.5)% | (1,095,489 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 24,190,179 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $25,285,668.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7608% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | UBS Securities LLC | 12/9/2020 | 47,173 | $ | 13,635,387 | $ | (5,141,858 | ) | ||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | Credit Suisse Capital LLC | 12/10/2020 | 34,181 | 11,715,708 | (1,888,470 | ) | ||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | BNP Paribas | 4/21/2021 | 40,252 | 12,566,780 | (3,454,371 | ) | ||||||||||||||||||||
$ | 37,917,875 | $ | (10,484,699 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily Gold Miners Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 12.4% | |||||||||||
3,810,026 | VanEck VectorsTM Gold Miners ETF (a) | $ | 122,911,439 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $101,592,497) | $ | 122,911,439 | |||||||||
SHORT TERM INVESTMENTS - 35.8% | |||||||||||
Money Market Funds - 35.8% | |||||||||||
161,043,811 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 161,043,811 | ||||||||
188,790,732 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 188,790,732 | |||||||||
5,513,489 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 5,513,489 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $355,348,032) | $ | 355,348,032 | |||||||||
TOTAL INVESTMENTS (Cost $456,940,529) - 48.2% (c) | $ | 478,259,471 | |||||||||
Other Assets in Excess of Liabilities - 51.8% | 513,384,135 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 991,643,606 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $474,950,498.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.3183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 6,547,478 | $ | 172,300,466 | $ | 38,591,958 | |||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.4708% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 7,232,194 | 199,275,617 | 33,564,385 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.4708% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/09/2020 | 4,276,440 | 139,229,439 | (1,324,978 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.6008% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 11,340,963 | 328,320,879 | 37,275,469 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 12/9/2020 | 10,731,379 | 337,541,542 | (3,072,868 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.9873% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 17,883,619 | 583,575,669 | (6,889,595 | ) | ||||||||||||||||||||
$ | 1,760,243,612 | $ | 98,144,371 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily Gold Miners Index Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 58.2% | |||||||||||
Money Market Funds - 58.2% | |||||||||||
57,845,086 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 57,845,086 | ||||||||
5,252,544 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 5,252,544 | |||||||||
4,085,735 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 4,085,735 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $67,183,365) (b) | $ | 67,183,365 | |||||||||
TOTAL INVESTMENTS (Cost $67,183,365) - 58.2% | $ | 67,183,365 | |||||||||
Other Assets in Excess of Liabilities - 41.8% | 48,185,445 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 115,368,810 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $67,183,365.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
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) | |||||||||||||||||||||
1.0808% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Credit Suisse Capital LLC | 12/9/2020 | 801,208 | $ | 25,846,381 | $ | 2,113 | |||||||||||||||||||
1.1183% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Bank of America Merrill Lynch | 12/9/2020 | 236,788 | 4,498,972 | (3,132,461 | ) | ||||||||||||||||||||
0.8308% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | UBS Securities LLC | 12/9/2020 | 2,205,510 | 57,527,202 | (13,538,484 | ) | ||||||||||||||||||||
1.0908% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | BNP Paribas | 12/9/2020 | 3,098,345 | 104,693,078 | 4,749,984 | |||||||||||||||||||||
0.9808% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Citibank N.A. | 12/11/2020 | 564,654 | 19,183,234 | 969,675 | |||||||||||||||||||||
0.7008% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | J.P. Morgan | 4/16/2021 | 240,963 | 5,124,514 | (2,643,715 | ) | ||||||||||||||||||||
$ | 216,873,381 | $ | (13,592,888 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily Junior Gold Miners Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 24.1% | |||||||||||
3,506,271 | VanEck VectorsTM Junior Gold Miners ETF (a) | $ | 141,513,098 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $112,917,627) | $ | 141,513,098 | |||||||||
SHORT TERM INVESTMENTS - 36.0% | |||||||||||
Money Market Funds - 36.0% | |||||||||||
101,241,331 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 101,241,331 | ||||||||
109,774,775 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 109,774,775 | |||||||||
6,457 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 6,457 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $211,022,563) | $ | 211,022,563 | |||||||||
TOTAL INVESTMENTS (Cost $323,940,190) - 60.1% (c) | $ | 352,535,661 | |||||||||
Other Assets in Excess of Liabilities - 39.9% | 233,849,069 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 586,384,730 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $288,788,776.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Junior Gold Miners ETF | 1.6508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 679,424 | $ | 17,293,733 | $ | 10,109,169 | |||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 2.1908% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 5,429,143 | 213,671,324 | 5,302,049 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 1.5508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 7,803,675 | 300,391,290 | 14,362,563 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 1.5508% representing 1 month LIBOR rate + spread | J.P. Morgan | 2/26/2021 | 2,077,157 | 71,714,163 | 12,042,623 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 9,445,406 | 378,099,602 | 2,990,888 | |||||||||||||||||||||
$ | 981,170,112 | $ | 44,807,292 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily Junior Gold Miners Index Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 49.3% | |||||||||||
Money Market Funds - 49.3% | |||||||||||
21,390,595 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 21,390,595 | ||||||||
22,858,514 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 22,858,514 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $44,249,109) (b) | $ | 44,249,109 | |||||||||
TOTAL INVESTMENTS (Cost $44,249,109) - 49.3% | $ | 44,249,109 | |||||||||
Other Assets in Excess of Liabilities - 50.7% | 45,594,570 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 89,843,679 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $44,249,109.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received/(Paid) at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
1.0808% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | Credit Suisse Capital LLC | 12/09/2020 | 1,087,862 | $ | 41,161,373 | $ | (2,740,833 | ) | ||||||||||||||||||
1.0308% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | Citibank N.A. | 12/11/2020 | 1,467,251 | 56,841,313 | (2,368,533 | ) | ||||||||||||||||||||
(0.9124)% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | UBS Securities LLC | 12/7/2020 | 1,088,956 | 45,507,471 | 1,553,747 | |||||||||||||||||||||
1.0908% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 4/21/2021 | 592,879 | 21,815,298 | (2,101,567 | ) | ||||||||||||||||||||
1.0908% representing 1 month LIBOR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 5/19/2021 | 200,000 | 7,271,818 | (797,759 | ) | ||||||||||||||||||||
$ | 172,597,273 | $ | (6,454,945 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 20.6% | |||||||||||
1,220,458 | SPDR® S&P® Oil & Gas Exploration & Production ETF (a) | $ | 66,344,097 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $59,880,903) | $ | 66,344,097 | |||||||||
SHORT TERM INVESTMENTS - 39.8% | |||||||||||
Money Market Funds - 39.8% | |||||||||||
33,541,022 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 33,541,022 | ||||||||
64,131,180 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 64,131,180 | |||||||||
30,245,378 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 30,245,378 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $127,917,580) | $ | 127,917,580 | |||||||||
TOTAL INVESTMENTS (Cost $187,798,483) - 60.4% (c) | $ | 194,261,677 | |||||||||
Other Assets in Excess of Liabilities - 39.6% | 127,253,755 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 321,515,432 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $127,917,580.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 0.9183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/9/2020 | 37,481 | $ | 46,333,380 | $31,577,015 | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 0.9008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 42,674 | 88,736,742 | (354 | ) | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 0.8198% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 87,776 | 151,168,333 | 31,332,885 | |||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 0.7996% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 74,421 | 154,751,772 | (424 | ) | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 35,000 | 45,429,984 | 27,324,680 | |||||||||||||||||||||
$ | 486,420,211 | $ | 90,233,802 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 97.4% | |||||||||||
Money Market Funds - 97.4% | |||||||||||
26,847,916 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 26,847,916 | ||||||||
3,797,936 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 3,797,936 | |||||||||
3,857,314 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 3,857,314 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $34,503,166) (b) | $ | 34,503,166 | |||||||||
TOTAL INVESTMENTS (Cost $34,503,166) - 97.4% | $ | 34,503,166 | |||||||||
Other Assets in Excess of Liabilities - 2.6% | 903,958 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 35,407,124 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $34,503,166.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7183% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Bank of America Merrill Lynch | 12/9/2020 | 11,598 | $ | 13,833,472 | $ | (10,278,841 | ) | ||||||||||||||||||
0.3308% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | UBS Securities LLC | 12/9/2020 | 7,487 | 8,600,243 | (6,964,393 | ) | ||||||||||||||||||||
0.2708% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Credit Suisse Capital LLC | 12/11/2020 | 7,033 | 13,684,353 | (933,635 | ) | ||||||||||||||||||||
0.2508% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | BNP Paribas | 4/21/2021 | 2,714 | 4,179,283 | (1,464,225 | ) | ||||||||||||||||||||
0.3508% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | J.P. Morgan | 4/30/2021 | 5,223 | 8,583,757 | (2,275,729 | ) | ||||||||||||||||||||
$ | 48,881,108 | $ | (21,916,823 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily 20+ Year Treasury Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 4,311,607 | $ | 40,534,582 | $ | 500,267 | $ | 87,857,333 | |||||||||||
Cash equivalents | 14,721,856 | 110,239,217 | 987,545 | 30,679,566 | |||||||||||||||
Due from Adviser, net (Note 6) | — | — | 3,345 | — | |||||||||||||||
Dividend and interest receivable | 2,347 | 14,759 | 220 | 61,022 | |||||||||||||||
Due from broker for swap contracts | 60,000 | — | 20 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 51,702 | — | — | 1,077,262 | |||||||||||||||
Prepaid expenses and other assets | 12,337 | 44,041 | 2,820 | 11,553 | |||||||||||||||
Total Assets | 19,159,849 | 150,832,599 | 1,494,217 | 119,686,736 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 27,802,991 | |||||||||||||||
Unrealized depreciation on swap contracts | 439,209 | 15,156,728 | 87,986 | 2,287,833 | |||||||||||||||
Due to Adviser, net (Note 6) | 5,522 | 27,114 | — | 53,152 | |||||||||||||||
Due to broker for swap contracts | 59,999 | 1,236 | — | 2,100,691 | |||||||||||||||
Accrued expenses and other liabilities | 65,542 | 29,014 | 16,384 | 86,332 | |||||||||||||||
Total Liabilities | 570,272 | 15,214,092 | 104,370 | 32,330,999 | |||||||||||||||
Net Assets | $ | 18,589,577 | $ | 135,618,507 | $ | 1,389,847 | $ | 87,355,737 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 38,487,701 | $ | 167,752,161 | $ | 6,129,226 | $ | 135,432,754 | |||||||||||
Total distributable loss | (19,898,124 | ) | (32,133,654 | ) | (4,739,379 | ) | (48,077,017 | ) | |||||||||||
Net Assets | $ | 18,589,577 | $ | 135,618,507 | $ | 1,389,847 | $ | 87,355,737 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 18,589,577 | $ | 135,618,507 | $ | 1,389,847 | $ | 87,355,737 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 650,000 | 5,499,983 | 100,001 | 4,650,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 28.60 | $ | 24.66 | $ | 13.90 | $ | 18.79 | |||||||||||
Cost of Investments | $ | 4,311,607 | $ | 40,534,582 | $ | 500,267 | $ | 91,453,806 |
* Securities loaned with values of $–,$–,$–and $28,554,475, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Small Cap Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 41,574,012 | $ | 21,152,156 | $ | 2,011,819 | $ | 121,438,625 | |||||||||||
Cash equivalents | 14,692,819 | 817,421 | 71,490 | 43,425,020 | |||||||||||||||
Receivable for Fund shares sold | — | — | — | 846 | |||||||||||||||
Due from Adviser, net (Note 6) | — | — | 1,367 | — | |||||||||||||||
Dividend and interest receivable | 13,043 | 311 | 86 | 19,751 | |||||||||||||||
Due from broker for swap contracts | — | 9,557 | 7,435 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 1,869,058 | 470,632 | 97,479 | 2,541,038 | |||||||||||||||
Prepaid expenses and other assets | 12,026 | 3,437 | 5,367 | 21,227 | |||||||||||||||
Total Assets | 58,160,958 | 22,453,514 | 2,195,043 | 167,446,507 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 9,232,893 | — | — | 13,037,996 | |||||||||||||||
Payable for Fund shares redeemed | — | — | — | 2,977,629 | |||||||||||||||
Payable for investments purchased | 3,446,747 | 441,195 | 270,920 | 3,890,850 | |||||||||||||||
Unrealized depreciation on swap contracts | 35,785 | — | — | 5,227,657 | |||||||||||||||
Due to Adviser, net (Note 6) | 27,040 | 4,789 | — | 78,247 | |||||||||||||||
Due to broker for swap contracts | 2,898,705 | 691,019 | 14 | 8,750,175 | |||||||||||||||
Accrued expenses and other liabilities | 47,917 | 21,036 | 13,876 | 252,990 | |||||||||||||||
Total Liabilities | 15,689,087 | 1,158,039 | 284,810 | 34,215,544 | |||||||||||||||
Net Assets | $ | 42,471,871 | $ | 21,295,475 | $ | 1,910,233 | $ | 133,230,963 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 94,353,970 | $ | 18,666,132 | $ | 2,888,893 | $ | 745,011,485 | |||||||||||
Total distributable earnings (loss) | (51,882,099 | ) | 2,629,343 | (978,660 | ) | (611,780,522 | ) | ||||||||||||
Net Assets | $ | 42,471,871 | $ | 21,295,475 | $ | 1,910,233 | $ | 133,230,963 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 42,471,871 | $ | 21,295,475 | $ | 1,910,233 | $ | 133,230,963 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,650,001 | 433,236 | 66,644 | 2,361,536 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 25.74 | $ | 49.15 | $ | 28.66 | $ | 56.42 | |||||||||||
Cost of Investments | $ | 41,981,811 | $ | 18,990,768 | $ | 2,043,011 | $ | 118,279,280 |
* Securities loaned with values of $8,832,733,$ – ,$ – and $12,137,640, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Russia Bull 2X Shares | Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | Direxion Daily Gold Miners Index Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 68,201,274 | $ | 267,825,526 | $ | 25,285,668 | $ | 478,259,471 | |||||||||||
Cash equivalents | 15,828,890 | 124,479,059 | 11,556,145 | 623,021,677 | |||||||||||||||
Receivable for Fund shares sold | — | 1,358,275 | 891 | — | |||||||||||||||
Dividend and interest receivable | 8,141 | 207,000 | 5,658 | 103,706 | |||||||||||||||
Due from broker for swap contracts | 17,092 | 303,250 | 2,890,000 | 6,927,412 | |||||||||||||||
Unrealized appreciation on swap contracts | 3,588,929 | 68,768,551 | — | 109,431,812 | |||||||||||||||
Prepaid expenses and other assets | 8,298 | 5,267 | 3,896 | 17,990 | |||||||||||||||
Total Assets | 87,652,624 | 462,946,928 | 39,742,258 | 1,217,762,068 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | — | 2,971,269 | 181,933 | |||||||||||||||
Payable for investments purchased | 3,911,800 | 46,145,354 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 130,577 | — | 10,484,699 | 11,287,441 | |||||||||||||||
Due to Adviser, net (Note 6) | 46,594 | 130,211 | 18,495 | 582,454 | |||||||||||||||
Due to broker for swap contracts | 5,375,755 | 80,841,052 | 2,024,383 | 213,276,519 | |||||||||||||||
Accrued expenses and other liabilities | 60,194 | 250,108 | 53,233 | 790,115 | |||||||||||||||
Total Liabilities | 9,524,920 | 127,366,725 | 15,552,079 | 226,118,462 | |||||||||||||||
Net Assets | $ | 78,127,704 | $ | 335,580,203 | $ | 24,190,179 | $ | 991,643,606 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 170,577,890 | $ | 944,358,760 | $ | 137,642,374 | $ | 2,908,997,410 | |||||||||||
Total distributable loss | (92,450,186 | ) | (608,778,557 | ) | (113,452,195 | ) | (1,917,353,804 | ) | |||||||||||
Net Assets | $ | 78,127,704 | $ | 335,580,203 | $ | 24,190,179 | $ | 991,643,606 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 78,127,704 | $ | 335,580,203 | $ | 24,190,179 | $ | 991,643,606 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 5,918,002 | 21,163,531 | 407,061 | 15,857,165 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 13.20 | $ | 15.86 | $ | 59.43 | $ | 62.54 | |||||||||||
Cost of Investments | $ | 64,111,183 | $ | 244,229,569 | $ | 25,285,668 | $ | 456,940,529 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Gold Miners Index Bear 2X Shares | Direxion Daily Junior Gold Miners Index Bull 2X Shares | Direxion Daily Junior Gold Miners Index Bear 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 67,183,365 | $ | 352,535,661 | $ | 44,249,109 | $ | 194,261,677 | |||||||||||
Cash equivalents | 59,256,288 | 312,314,792 | 32,023,041 | 160,439,746 | |||||||||||||||
Receivable for Fund shares sold | 6,311,053 | 1,146 | 20,011,019 | 117,333 | |||||||||||||||
Receivable for investments sold | — | — | — | 29,892,389 | |||||||||||||||
Dividend and interest receivable | 38,243 | 59,161 | 24,955 | 77,720 | |||||||||||||||
Due from broker for swap contracts | 2,220,000 | 7,927,779 | 95,345 | 27,516,582 | |||||||||||||||
Unrealized appreciation on swap contracts | 5,721,772 | 44,807,292 | 1,553,747 | 90,234,580 | |||||||||||||||
Prepaid expenses and other assets | 20,524 | 4,044 | 7,704 | 9,689 | |||||||||||||||
Total Assets | 140,751,245 | 717,649,875 | 97,964,920 | 502,549,716 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 5,224,270 | 8,147,941 | — | — | |||||||||||||||
Payable for investments purchased | — | — | — | 45,678,150 | |||||||||||||||
Unrealized depreciation on swap contracts | 19,314,660 | — | 8,008,692 | 778 | |||||||||||||||
Due to Adviser, net (Note 6) | 74,107 | 364,286 | 45,827 | 109,095 | |||||||||||||||
Due to broker for swap contracts | 595,002 | 122,280,569 | — | 135,086,264 | |||||||||||||||
Accrued expenses and other liabilities | 174,396 | 472,349 | 66,722 | 159,997 | |||||||||||||||
Total Liabilities | 25,382,435 | 131,265,145 | 8,121,241 | 181,034,284 | |||||||||||||||
Net Assets | $ | 115,368,810 | $ | 586,384,730 | $ | 89,843,679 | $ | 321,515,432 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 744,873,547 | $ | 2,118,086,706 | $ | 311,900,404 | $ | 908,525,312 | |||||||||||
Total distributable loss | (629,504,737 | ) | (1,531,701,976 | ) | (222,056,725 | ) | (587,009,880 | ) | |||||||||||
Net Assets | $ | 115,368,810 | $ | 586,384,730 | $ | 89,843,679 | $ | 321,515,432 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 115,368,810 | $ | 586,384,730 | $ | 89,843,679 | $ | 321,515,432 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 3,312,748 | 7,674,876 | 3,143,509 | 7,828,422 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 34.83 | $ | 76.40 | $ | 28.58 | $ | 41.07 | |||||||||||
Cost of Investments | $ | 67,183,365 | $ | 323,940,190 | $ | 44,249,109 | $ | 187,798,483 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | |||||||
Assets: | |||||||
Investments, at fair value (Note 2) | $ | 34,503,166 | |||||
Cash equivalents | 15,188,113 | ||||||
Receivable for Fund shares sold | 7,721,677 | ||||||
Dividend and interest receivable | 7,506 | ||||||
Prepaid expenses and other assets | 5,394 | ||||||
Total Assets | 57,425,856 | ||||||
Liabilities: | |||||||
Unrealized depreciation on swap contracts | 21,916,823 | ||||||
Due to Adviser, net (Note 6) | 19,630 | ||||||
Due to broker for swap contracts | 25,298 | ||||||
Accrued expenses and other liabilities | 56,981 | ||||||
Total Liabilities | 22,018,732 | ||||||
Net Assets | $ | 35,407,124 | |||||
Net Assets Consist of: | |||||||
Capital stock | $ | (18,726,316 | ) | ||||
Total distributable earnings | 54,133,440 | ||||||
Net Assets | $ | 35,407,124 | |||||
Calculation of Net Asset Value Per Share: | |||||||
Net assets | $ | 35,407,124 | |||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 5,069,564 | ||||||
Net assets value, redemption price and offering price per share | $ | 6.98 | |||||
Cost of Investments | $ | 34,503,166 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily 20+ Year Treasury Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | — | $ | — | $ | 306,444 | |||||||||||
Interest income | 145,159 | 146,431 | 12,771 | 550,222 | |||||||||||||||
Securities lending income | — | — | — | 130,924 | |||||||||||||||
Total investment income | 145,159 | 146,431 | 12,771 | 987,590 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 71,249 | 73,592 | 3,342 | 445,764 | |||||||||||||||
Licensing fees | 7,478 | 13,966 | 10,847 | 17,850 | |||||||||||||||
Professional fees | 6,863 | 8,739 | 5,134 | 16,903 | |||||||||||||||
Fund servicing fees | 6,490 | 11,418 | 975 | 29,824 | |||||||||||||||
Management service fees (Note 6) | 3,037 | 5,395 | 244 | 15,178 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Reports to shareholders | 2,283 | 4,342 | 174 | 10,759 | |||||||||||||||
Interest expense | 620 | 1,648 | — | 61,179 | |||||||||||||||
Trustees' fees and expenses | 608 | 1,139 | 47 | 2,911 | |||||||||||||||
Insurance fees | 314 | 585 | 24 | 1,510 | |||||||||||||||
Other | 480 | 910 | 38 | 2,312 | |||||||||||||||
Total Expenses | 104,927 | 127,239 | 26,330 | 609,695 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | — | 13,165 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (9,308 | ) | (30,958 | ) | (22,033 | ) | (1,161 | ) | |||||||||||
Net Expenses | 95,619 | 96,281 | 4,297 | 621,699 | |||||||||||||||
Net investment income | 49,540 | 50,150 | 8,474 | 365,891 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
In-kind redemptions | — | — | — | 1,679,829 | |||||||||||||||
Swap contracts | (244,499 | ) | (4,463,545 | ) | (444,115 | ) | 1,423,957 | ||||||||||||
Net realized gain (loss) | (244,499 | ) | (4,463,545 | ) | (444,115 | ) | 3,103,786 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | — | — | (1,188,750 | ) | ||||||||||||||
Swap contracts | (282,463 | ) | (14,397,645 | ) | 156,147 | (9,027,236 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (282,463 | ) | (14,397,645 | ) | 156,147 | (10,215,986 | ) | ||||||||||||
Net realized and unrealized loss | (526,962 | ) | (18,861,190 | ) | (287,968 | ) | (7,112,200 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (477,422 | ) | $ | (18,811,040 | ) | $ | (279,494 | ) | $ | (6,746,309 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Small Cap Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 23,925 | $ | 139,520 | $ | 15,435 | $ | 2,356,769 | |||||||||||
Interest income | 199,258 | 4,009 | 1,648 | 1,363,569 | |||||||||||||||
Securities lending income | 117,473 | — | — | 53,592 | |||||||||||||||
Total investment income | 340,656 | 143,529 | 17,083 | 3,773,930 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 214,105 | 32,795 | 7,116 | 1,156,769 | |||||||||||||||
Interest expense | 28,641 | 3,536 | 502 | 242,675 | |||||||||||||||
Fund servicing fees | 14,561 | 3,780 | 1,192 | 75,338 | |||||||||||||||
Professional fees | 10,492 | 6,281 | 5,270 | 35,251 | |||||||||||||||
Licensing fees | 8,879 | 3,935 | 910 | 86,442 | |||||||||||||||
Management service fees (Note 6) | 7,289 | 1,677 | 363 | 39,336 | |||||||||||||||
Reports to shareholders | 5,176 | 1,234 | 250 | 26,681 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Trustees' fees and expenses | 1,396 | 330 | 68 | 7,301 | |||||||||||||||
Insurance fees | 723 | 170 | 35 | 3,805 | |||||||||||||||
Other | 1,108 | 261 | 54 | 5,828 | |||||||||||||||
Total Expenses | 297,875 | 59,504 | 21,265 | 1,684,391 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 2,201 | — | — | 7,687 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (2,201 | ) | (16,615 | ) | (12,223 | ) | (7,687 | ) | |||||||||||
Net Expenses | 297,875 | 42,889 | 9,042 | 1,684,391 | |||||||||||||||
Net investment income | 42,781 | 100,640 | 8,041 | 2,088,999 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (2,003,201 | ) | (399,548 | ) | (271,293 | ) | (104,028,849 | ) | |||||||||||
In-kind redemptions | 1,570,183 | — | — | 19,456,598 | |||||||||||||||
Swap contracts | 5,614,862 | 622,563 | (527,537 | ) | (502,865,104 | ) | |||||||||||||
Net realized gain (loss) | 5,181,844 | 223,015 | (798,830 | ) | (587,437,355 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | (176,389 | ) | 856,892 | (318,709 | ) | (5,002,126 | ) | ||||||||||||
Swap contracts | (3,134,268 | ) | (428,498 | ) | (80,767 | ) | (83,486,316 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (3,310,657 | ) | 428,394 | (399,476 | ) | (88,488,442 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1,871,187 | 651,409 | (1,198,306 | ) | (675,925,797 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 1,913,968 | $ | 752,049 | $ | (1,190,265 | ) | $ | (673,836,798 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Russia Bull 2X Shares | Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | Direxion Daily Gold Miners Index Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 617,761 | $ | 3,859,923 | $ | — | $ | 4,724,677 | |||||||||||
Interest income | 345,873 | 685,278 | 196,525 | 4,915,185 | |||||||||||||||
Securities lending income | — | 400 | — | — | |||||||||||||||
Total investment income | 963,634 | 4,545,601 | 196,525 | 9,639,862 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 259,402 | 924,022 | 127,019 | 4,742,734 | |||||||||||||||
Interest expense | 58,102 | 90,000 | 14,815 | 1,894,448 | |||||||||||||||
Fund servicing fees | 17,553 | 60,597 | 9,176 | 309,288 | |||||||||||||||
Licensing fees | 13,931 | 98,562 | 13,549 | 283,028 | |||||||||||||||
Professional fees | 11,818 | 29,586 | 8,367 | 132,480 | |||||||||||||||
Management service fees (Note 6) | 8,833 | 31,438 | 4,337 | 161,360 | |||||||||||||||
Reports to shareholders | 6,252 | 21,677 | 3,351 | 111,974 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 4,739 | |||||||||||||||
Trustees' fees and expenses | 1,691 | 5,899 | 891 | 30,382 | |||||||||||||||
Insurance fees | 877 | 3,067 | 459 | 15,773 | |||||||||||||||
Other | 1,344 | 4,698 | 703 | 24,160 | |||||||||||||||
Total Expenses | 385,308 | 1,275,051 | 188,172 | 7,713,358 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 3,294 | 315 | — | 15,872 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (3,294 | ) | (14,937 | ) | (12,465 | ) | (15,872 | ) | |||||||||||
Less: Investment advisory fees waived (Note 6) | — | — | — | (4,112 | ) | ||||||||||||||
Net Expenses | 385,308 | 1,260,429 | 175,707 | 7,709,246 | |||||||||||||||
Net investment income | 578,326 | 3,285,172 | 20,818 | 1,930,616 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (10,357,309 | ) | (103,548,764 | ) | — | (267,842,029 | ) | ||||||||||||
In-kind redemptions | 3,341,512 | 6,531,790 | — | 109,155,498 | |||||||||||||||
Swap contracts | (34,593,957 | ) | (296,705,729 | ) | 59,384,344 | (153,689,437 | ) | ||||||||||||
Net realized gain (loss) | (41,609,754 | ) | (393,722,703 | ) | 59,384,344 | (312,375,968 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 2,992,820 | 32,613,427 | — | 9,791,875 | |||||||||||||||
Swap contracts | (7,707,682 | ) | 69,193,131 | (11,945,831 | ) | (299,943,468 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (4,714,862 | ) | 101,806,558 | (11,945,831 | ) | (290,151,593 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (46,324,616 | ) | (291,916,145 | ) | 47,438,513 | (602,527,561 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (45,746,290 | ) | $ | (288,630,973 | ) | $ | 47,459,331 | $ | (600,596,945 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Gold Miners Index Bear 2X Shares | Direxion Daily Junior Gold Miners Index Bull 2X Shares | Direxion Daily Junior Gold Miners Index Bear 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 850,196 | $ | — | $ | 1,202,704 | |||||||||||
Interest income | 2,304,544 | 4,422,593 | 915,513 | 566,914 | |||||||||||||||
Securities lending income | — | — | — | 42,316 | |||||||||||||||
Total investment income | 2,304,544 | 5,272,789 | 915,513 | 1,811,934 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 1,099,262 | 3,114,653 | 423,928 | 637,823 | |||||||||||||||
Fund servicing fees | 72,454 | 202,139 | 28,193 | 42,127 | |||||||||||||||
Licensing fees | 58,900 | 64,157 | 9,253 | 68,034 | |||||||||||||||
Interest expense | 45,710 | 1,056,163 | 21,113 | 51,006 | |||||||||||||||
Management service fees (Note 6) | 37,415 | 105,922 | 14,429 | 21,706 | |||||||||||||||
Professional fees | 33,184 | 89,774 | 16,409 | 22,175 | |||||||||||||||
Reports to shareholders | 26,010 | 72,712 | 10,043 | 15,083 | |||||||||||||||
Trustees' fees and expenses | 7,090 | 19,750 | 2,730 | 4,099 | |||||||||||||||
Insurance fees | 3,690 | 10,256 | 1,417 | 2,130 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,943 | 4,595 | 2,513 | 2,513 | |||||||||||||||
Other | 5,653 | 15,710 | 2,172 | 3,262 | |||||||||||||||
Total Expenses | 1,395,303 | 4,758,823 | 535,192 | 872,950 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 3,666 | 6,960 | 1,961 | 10 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (3,666 | ) | (6,960 | ) | (1,961 | ) | (14,044 | ) | |||||||||||
Net Expenses | 1,395,303 | 4,758,823 | 535,192 | 858,916 | |||||||||||||||
Net investment income | 909,241 | 513,966 | 380,321 | 953,018 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (108,190,944 | ) | — | (106,411,786 | ) | |||||||||||||
In-kind redemptions | — | 99,548,847 | — | 10,806,759 | |||||||||||||||
Swap contracts | (154,905,201 | ) | (393,768,375 | ) | (80,650,300 | ) | (242,265,543 | ) | |||||||||||
Net realized loss | (154,905,201 | ) | (402,410,472 | ) | (80,650,300 | ) | (337,870,570 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 23,330,367 | — | 31,084,332 | |||||||||||||||
Swap contracts | 85,897,869 | (266,512,903 | ) | 27,038,370 | 105,008,373 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 85,897,869 | (243,182,536 | ) | 27,038,370 | 136,092,705 | ||||||||||||||
Net realized and unrealized loss | (69,007,332 | ) | (645,593,008 | ) | (53,611,930 | ) | (201,777,865 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (68,098,091 | ) | $ | (645,079,042 | ) | $ | (53,231,609 | ) | $ | (200,824,847 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | |||||||
Investment Income: | |||||||
Interest income | $ | 356,572 | |||||
Total investment income | 356,572 | ||||||
Expenses: | |||||||
Investment advisory fees (Note 6) | 199,374 | ||||||
Interest expense | 113,919 | ||||||
Licensing fees | 21,266 | ||||||
Fund servicing fees | 13,950 | ||||||
Professional fees | 10,470 | ||||||
Management service fees (Note 6) | 6,803 | ||||||
Reports to shareholders | 5,110 | ||||||
Pricing fees | 2,992 | ||||||
Exchange listing fees | 2,513 | ||||||
Trustees' fees and expenses | 1,366 | ||||||
Insurance fees | 705 | ||||||
Other | 1,080 | ||||||
Total Expenses | 379,548 | ||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (13,089 | ) | |||||
Net Expenses | 366,459 | ||||||
Net investment loss | (9,887 | ) | |||||
Net realized and unrealized gain (loss) on investments: | |||||||
Net realized gain on: | |||||||
Swap contracts | 85,886,836 | ||||||
Net realized gain | 85,886,836 | ||||||
Change in net unrealized depreciation on: | |||||||
Swap contracts | (43,160,945 | ) | |||||
Change in net unrealized depreciation | (43,160,945 | ) | |||||
Net realized and unrealized gain | 42,725,891 | ||||||
Net increase in net assets resulting from operations | $ | 42,716,004 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
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, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 49,540 | $ | 758,720 | $ | 50,150 | $ | 294,858 | |||||||||||
Net realized loss | (244,499 | ) | (2,003,774 | ) | (4,463,545 | ) | (1,784,375 | ) | |||||||||||
Change in net unrealized depreciation | (282,463 | ) | (7,782,190 | ) | (14,397,645 | ) | (857,071 | ) | |||||||||||
Net decrease in net assets resulting from operations | (477,422 | ) | (9,027,244 | ) | (18,811,040 | ) | (2,346,588 | ) | |||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (94,967 | ) | (870,624 | ) | (124,654 | ) | (291,409 | ) | |||||||||||
Total distributions | (94,967 | ) | (870,624 | ) | (124,654 | ) | (291,409 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 22,167,257 | 170,966,098 | 149,027,260 | 23,449,609 | |||||||||||||||
Cost of shares redeemed | (23,624,615 | ) | (256,282,133 | ) | (13,998,114 | ) | (14,666,479 | ) | |||||||||||
Transaction fees (Note 4) | 4,147 | 78,763 | — | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (1,453,211 | ) | (85,237,272 | ) | 135,029,146 | 8,783,130 | |||||||||||||
Total increase (decrease) in net assets | (2,025,600 | ) | (95,135,140 | ) | 116,093,452 | 6,145,133 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 20,615,177 | 115,750,317 | 19,525,055 | 13,379,922 | |||||||||||||||
End of year/period | $ | 18,589,577 | $ | 20,615,177 | $ | 135,618,507 | $ | 19,525,055 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 700,000 | 3,000,000 | 749,983 | 449,983 | |||||||||||||||
Shares sold | 750,000 | 5,550,000 | 5,300,000 | 800,000 | |||||||||||||||
Shares repurchased | (800,000 | ) | (7,850,000 | ) | (550,000 | ) | (500,000 | ) | |||||||||||
Shares outstanding, end of year/period | 650,000 | 700,000 | 5,499,983 | 749,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
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, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 8,474 | $ | 76,370 | $ | 365,891 | $ | 839,148 | |||||||||||
Net realized gain (loss) | (444,115 | ) | (537,352 | ) | 3,103,786 | (2,177,252 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 156,147 | (473,203 | ) | (10,215,986 | ) | 20,771,644 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (279,494 | ) | (934,185 | ) | (6,746,309 | ) | 19,433,540 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (13,482 | ) | (80,132 | ) | (446,175 | ) | (863,144 | ) | |||||||||||
Total distributions | (13,482 | ) | (80,132 | ) | (446,175 | ) | (863,144 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 726,173 | — | 28,522,827 | 130,836,659 | |||||||||||||||
Cost of shares redeemed | (1,620,436 | ) | (1,873,890 | ) | (61,877,812 | ) | (98,073,203 | ) | |||||||||||
Transaction fees (Note 4) | — | — | 6,408 | 10,712 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (894,263 | ) | (1,873,890 | ) | (33,348,577 | ) | 32,774,168 | ||||||||||||
Total increase (decrease) in net assets | (1,187,239 | ) | (2,888,207 | ) | (40,541,061 | ) | 51,344,564 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 2,577,086 | 5,465,293 | 127,896,798 | 76,552,234 | |||||||||||||||
End of year/period | $ | 1,389,847 | $ | 2,577,086 | $ | 87,355,737 | $ | 127,896,798 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 150,001 | 250,001 | 5,950,000 | 4,800,000 | |||||||||||||||
Shares sold | 50,000 | — | 1,550,000 | 5,900,000 | |||||||||||||||
Shares repurchased | (100,000 | ) | (100,000 | ) | (2,850,000 | ) | (4,750,000 | ) | |||||||||||
Shares outstanding, end of year/period | 100,001 | 150,001 | 4,650,000 | 5,950,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Statements of Changes in Net Assets
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 42,781 | $ | 432,985 | $ | 100,640 | $ | 164,388 | |||||||||||
Net realized gain (loss) | 5,181,844 | (22,876,335 | ) | 223,015 | 610,664 | ||||||||||||||
Capital gain distributions from regulated investment companies | — | 540,329 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,310,657 | ) | 24,757,362 | 428,394 | 1,734,641 | ||||||||||||||
Net increase in net assets resulting from operations | 1,913,968 | 2,854,341 | 752,049 | 2,509,693 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (215,753 | ) | (458,946 | ) | (126,494 | ) | (169,500 | ) | |||||||||||
Total distributions | (215,753 | ) | (458,946 | ) | (126,494 | ) | (169,500 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 24,967,247 | 21,315,859 | 9,808,537 | 6,987,262 | |||||||||||||||
Cost of shares redeemed | (37,416,315 | ) | (20,431,084 | ) | — | (4,980,441 | ) | ||||||||||||
Transaction fees (Note 4) | 3,879 | 1,739 | — | 270 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (12,445,189 | ) | 886,514 | 9,808,537 | 2,007,091 | ||||||||||||||
Total increase (decrease) in net assets | (10,746,974 | ) | 3,281,909 | 10,434,092 | 4,347,284 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 53,218,845 | 49,936,936 | 10,861,383 | 6,514,099 | |||||||||||||||
End of year/period | $ | 42,471,871 | $ | 53,218,845 | $ | 21,295,475 | $ | 10,861,383 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,200,001 | 2,200,001 | 183,236 | 133,236 | |||||||||||||||
Shares sold | 850,000 | 850,000 | 250,000 | 150,000 | |||||||||||||||
Shares repurchased | (1,400,000 | ) | (850,000 | ) | — | (100,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 1,650,001 | 2,200,001 | 433,236 | 183,236 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Statements of Changes in Net Assets
Direxion Daily Small Cap Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 8,041 | $ | 23,546 | $ | 2,088,999 | $ | 4,230,081 | |||||||||||
Net realized gain (loss) | (798,830 | ) | (229,802 | ) | (587,437,355 | ) | 256,953,554 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (399,476 | ) | 290,874 | (88,488,442 | ) | (96,092,378 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,190,265 | ) | 84,618 | (673,836,798 | ) | 165,091,257 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (11,024 | ) | (28,452 | ) | (2,223,332 | ) | (4,444,723 | ) | |||||||||||
Total distributions | (11,024 | ) | (28,452 | ) | (2,223,332 | ) | (4,444,723 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | — | 671,055,760 | 849,940,786 | |||||||||||||||
Cost of shares redeemed | — | — | (275,005,347 | ) | (1,004,883,228 | ) | |||||||||||||
Transaction fees (Note 4) | — | — | 55,467 | 212,663 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | — | — | 396,105,880 | (154,729,779 | ) | ||||||||||||||
Total increase (decrease) in net assets | (1,201,289 | ) | 56,166 | (279,954,250 | ) | 5,916,755 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,111,522 | 3,055,356 | 413,185,213 | 407,268,458 | |||||||||||||||
End of year/period | $ | 1,910,233 | $ | 3,111,522 | $ | 133,230,963 | $ | 413,185,213 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 66,644 | 66,644 | 370,107 | 395,821 | |||||||||||||||
Shares sold | — | — | 2,398,572 | 884,286 | |||||||||||||||
Shares repurchased | — | — | (407,143 | ) | (910,000 | ) | |||||||||||||
Shares outstanding, end of year/period | 66,644 | 66,644 | 2,361,536 | 370,107 |
1 Effective April 23, 2020, the Fund had a 1:35 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:35 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Statements of Changes in Net Assets
Direxion Daily Russia Bull 2X Shares | Direxion Daily Energy Bull 2X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 578,326 | $ | 3,181,482 | $ | 3,285,172 | $ | 5,350,146 | |||||||||||
Net realized gain (loss) | (41,609,754 | ) | 39,086,034 | (393,722,703 | ) | (167,891,220 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (4,714,862 | ) | 11,241,642 | 101,806,558 | 29,039,959 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (45,746,290 | ) | 53,509,158 | (288,630,973 | ) | (133,501,115 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (654,758 | ) | (2,965,266 | ) | (1,311,683 | ) | (5,278,075 | ) | |||||||||||
Total distributions | (654,758 | ) | (2,965,266 | ) | (1,311,683 | ) | (5,278,075 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 91,751,373 | 42,361,478 | 421,477,412 | 302,159,263 | |||||||||||||||
Cost of shares redeemed | (43,885,968 | ) | (163,713,000 | ) | (81,142,455 | ) | (227,984,452 | ) | |||||||||||
Transaction fees (Note 4) | 20,915 | 32,946 | 88,760 | 48,477 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 47,886,320 | (121,318,576 | ) | 340,423,717 | 74,223,288 | ||||||||||||||
Total increase (decrease) in net assets | 1,485,272 | (70,774,684 | ) | 50,481,061 | (64,555,902 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 76,642,432 | 147,417,116 | 285,099,142 | 349,655,044 | |||||||||||||||
End of year/period | $ | 78,127,704 | $ | 76,642,432 | $ | 335,580,203 | $ | 285,099,142 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,418,002 | 4,018,002 | 1,985,002 | 1,380,002 | |||||||||||||||
Shares sold | 5,450,000 | 1,150,000 | 20,345,000 | 1,725,000 | |||||||||||||||
Shares repurchased | (950,000 | ) | (3,750,000 | ) | (1,166,471 | ) | (1,120,000 | ) | |||||||||||
Shares outstanding, end of year/period | 5,918,002 | 1,418,002 | 21,163,531 | 1,985,002 |
1 Effective March 23, 2020, 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
47
Statements of Changes in Net Assets
Direxion Daily Energy Bear 2X Shares | Direxion Daily Gold Miners Index Bull 2X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 20,818 | $ | 338,237 | $ | 1,930,616 | $ | 4,793,627 | |||||||||||
Net realized gain (loss) | 59,384,344 | 20,833,158 | (312,375,968 | ) | 635,204,986 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (11,945,831 | ) | (13,928,702 | ) | (290,151,593 | ) | 668,519,482 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 47,459,331 | 7,242,693 | (600,596,945 | ) | 1,308,518,095 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (84,408 | ) | (359,503 | ) | (7,134,050 | ) | (4,794,202 | ) | |||||||||||
Return of capital | — | — | — | (1,788,771 | ) | ||||||||||||||
Total distributions | (84,408 | ) | (359,503 | ) | (7,134,050 | ) | (6,582,973 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 123,448,079 | 149,492,475 | 1,256,790,562 | 1,453,301,357 | |||||||||||||||
Cost of shares redeemed | (172,805,803 | ) | (182,683,349 | ) | (1,200,427,349 | ) | (2,345,204,362 | ) | |||||||||||
Transaction fees (Note 4) | 510,018 | 55,409 | 1,464,115 | 493,789 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (48,847,706 | ) | (33,135,465 | ) | 57,827,328 | (891,409,216 | ) | ||||||||||||
Total increase (decrease) in net assets | (1,472,783 | ) | (26,252,275 | ) | (549,903,667 | ) | 410,525,906 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 25,662,962 | 51,915,237 | 1,541,547,273 | 1,131,021,367 | |||||||||||||||
End of year/period | $ | 24,190,179 | $ | 25,662,962 | $ | 991,643,606 | $ | 1,541,547,273 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 507,061 | 1,157,061 | 9,747,165 | 17,037,165 | |||||||||||||||
Shares sold | 1,550,000 | 3,000,000 | 16,230,000 | 12,870,000 | |||||||||||||||
Shares repurchased | (1,650,000 | ) | (3,650,000 | ) | (10,120,000 | ) | (20,160,000 | ) | |||||||||||
Shares outstanding, end of year/period | 407,061 | 507,061 | 15,857,165 | 9,747,165 |
1 Effective April 23, 2020, 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
48
Statements of Changes in Net Assets
Direxion Daily Gold Miners Index Bear 2X Shares1 | Direxion Daily Junior Gold Miners Index Bull 2X Shares2 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 909,241 | $ | 3,292,384 | $ | 513,966 | $ | 4,839,198 | |||||||||||
Net realized gain (loss) | (154,905,201 | ) | (98,159,625 | ) | (402,410,472 | ) | 118,018,925 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 85,897,869 | (141,822,059 | ) | (243,182,536 | ) | 577,930,110 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (68,098,091 | ) | (236,689,300 | ) | (645,079,042 | ) | 700,788,233 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,503,982 | ) | (2,899,040 | ) | (1,033,218 | ) | (5,035,748 | ) | |||||||||||
Return of capital | — | — | — | (475,303 | ) | ||||||||||||||
Total distributions | (1,503,982 | ) | (2,899,040 | ) | (1,033,218 | ) | (5,511,051 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 512,739,030 | 1,242,075,220 | 997,451,829 | 1,060,132,994 | |||||||||||||||
Cost of shares redeemed | (707,662,354 | ) | (778,801,391 | ) | (714,734,182 | ) | (1,442,792,123 | ) | |||||||||||
Transaction fees (Note 4) | 1,220,378 | 235,330 | 1,048,440 | 311,826 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (193,702,946 | ) | 463,509,159 | 283,766,087 | (382,347,303 | ) | |||||||||||||
Total increase (decrease) in net assets | (263,305,019 | ) | 223,920,819 | (362,346,173 | ) | 312,929,879 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 378,673,829 | 154,753,010 | 948,730,903 | 635,801,024 | |||||||||||||||
End of year/period | $ | 115,368,810 | $ | 378,673,829 | $ | 586,384,730 | $ | 948,730,903 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,230,748 | 176,748 | 1,364,876 | 1,778,138 | |||||||||||||||
Shares sold | 5,210,000 | 4,306,000 | 10,295,000 | 2,156,000 | |||||||||||||||
Shares repurchased | (4,128,000 | ) | (2,252,000 | ) | (3,985,000 | ) | (2,569,262 | ) | |||||||||||
Shares outstanding, end of year/period | 3,312,748 | 2,230,748 | 7,674,876 | 1,364,876 |
1 Effective April 23, 2020, the Fund had a 1:25 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:25 stock split.
2 Effective April 23, 2020, 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
49
Statements of Changes in Net Assets
Direxion Daily Junior Gold Miners Index Bear 2X Shares1 | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares2,3 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 380,321 | $ | 1,266,255 | $ | 953,018 | $ | 2,127,020 | |||||||||||
Net realized loss | (80,650,300 | ) | (46,481,483 | ) | (337,870,570 | ) | (308,986,613 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 27,038,370 | (48,164,255 | ) | 136,092,705 | (36,472,947 | ) | |||||||||||||
Net decrease in net assets resulting from operations | (53,231,609 | ) | (93,379,483 | ) | (200,824,847 | ) | (343,332,540 | ) | |||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (576,068 | ) | (1,163,840 | ) | (436,385 | ) | (2,084,795 | ) | |||||||||||
Total distributions | (576,068 | ) | (1,163,840 | ) | (436,385 | ) | (2,084,795 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 424,332,831 | 657,490,189 | 516,320,315 | 805,131,458 | |||||||||||||||
Cost of shares redeemed | (430,244,889 | ) | (474,485,478 | ) | (187,485,213 | ) | (422,723,234 | ) | |||||||||||
Transaction fees (Note 4) | 1,334,271 | 143,801 | 208,158 | 87,718 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (4,577,787 | ) | 183,148,512 | 329,043,260 | 382,495,942 | ||||||||||||||
Total increase (decrease) in net assets | (58,385,464 | ) | 88,605,189 | 127,782,028 | 37,078,607 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 148,229,143 | 59,623,954 | 193,733,404 | 156,654,797 | |||||||||||||||
End of year/period | $ | 89,843,679 | $ | 148,229,143 | $ | 321,515,432 | $ | 193,733,404 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 441,509 | 31,509 | 179,149 | 17,899 | |||||||||||||||
Shares sold | 4,406,000 | 1,118,000 | 9,177,500 | 321,375 | |||||||||||||||
Shares repurchased | (1,704,000 | ) | (708,000 | ) | (1,528,227 | ) | 160,125 | ||||||||||||
Shares outstanding, end of year/period | 3,143,509 | 441,509 | 7,828,422 | 179,149 |
1 Effective April 23, 2020, the Fund had a 1:25 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:25 stock split.
2 Effective November 22, 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.
3 Effective March 23, 2020, the Fund had a 1:40 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:40 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Statements of Changes in Net Assets
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares1 | |||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||
Operations: | |||||||||||
Net investment income (loss) | $ | (9,887 | ) | $ | 343,856 | ||||||
Net realized gain | 85,886,836 | 39,293,317 | |||||||||
Change in net unrealized appreciation (depreciation) | (43,160,945 | ) | 5,048,181 | ||||||||
Net increase in net assets resulting from operations | 42,716,004 | 44,685,354 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (26,156 | ) | (419,941 | ) | |||||||
Total distributions | (26,156 | ) | (419,941 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 352,398,215 | 427,638,686 | |||||||||
Cost of shares redeemed | (396,269,231 | ) | (478,507,159 | ) | |||||||
Transaction fees (Note 4) | 582,583 | 143,549 | |||||||||
Net decrease in net assets resulting from capital transactions | (43,288,433 | ) | (50,724,924 | ) | |||||||
Total decrease in net assets | (598,585 | ) | (6,459,511 | ) | |||||||
Net assets: | |||||||||||
Beginning of year/period | 36,005,709 | 42,465,220 | |||||||||
End of year/period | $ | 35,407,124 | $ | 36,005,709 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of year/period | 4,869,564 | 11,711,532 | |||||||||
Shares sold | 34,500,000 | 79,200,000 | |||||||||
Shares repurchased | (34,300,000 | ) | (86,041,968 | ) | |||||||
Shares outstanding, end of year/period | 5,069,564 | 4,869,564 |
1 Effective March 27, 2020, the Fund had a 12:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 12:1 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Financial Highlights
April 30, 2020
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, 2020 (Unaudited) | $ | 29.45 | $ | 0.06 | $ | 0.06 | $ | (0.81 | ) | $ | (0.75 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | (0.10 | ) | $ | 28.60 | -2.56 | % | $ | 18,590 | 0.81 | % | 0.89 | % | 0.41 | % | 0.80 | % | 0.88 | % | 0.42 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 38.58 | 0.48 | 0.50 | (8.59 | ) | (8.11 | ) | (1.02 | ) | — | — | (1.02 | ) | $ | 29.45 | -21.08 | % | $ | 20,615 | 0.87 | % | 0.88 | % | 1.44 | % | 0.80 | % | 0.79 | % | 1.52 | % | 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, 2020 (Unaudited) | $ | 26.03 | 0.03 | 0.03 | (1.31 | ) | (1.28 | ) | (0.09 | ) | — | — | (0.09 | ) | $ | 24.66 | -4.92 | % | $ | 135,619 | 0.46 | % | 0.61 | % | 0.24 | % | 0.45 | % | 0.60 | % | 0.25 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 29.73 | 0.52 | 0.52 | (3.72 | ) | (3.20 | ) | (0.50 | ) | — | — | (0.50 | ) | $ | 26.03 | -10.90 | % | $ | 19,525 | 0.45 | % | 0.73 | % | 1.86 | % | 0.45 | % | 0.73 | % | 1.86 | % | 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 20+ Year Treasury Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 17.18 | 0.07 | 0.07 | (3.23 | ) | (3.16 | ) | (0.12 | ) | — | — | (0.12 | ) | $ | 13.90 | -18.46 | % | $ | 1,390 | 0.45 | % | 2.76 | % | 0.89 | % | 0.45 | % | 2.76 | % | 0.89 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 21.86 | 0.36 | 0.37 | (4.63 | ) | (4.27 | ) | (0.41 | ) | — | — | (0.41 | ) | $ | 17.18 | -19.67 | % | $ | 2,577 | 0.47 | % | 1.56 | % | 1.86 | % | 0.45 | % | 1.54 | % | 1.88 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 21.50 | 0.07 | 0.08 | (2.70 | ) | (2.63 | ) | (0.08 | ) | — | — | (0.08 | ) | $ | 18.79 | -12.27 | % | $ | 87,356 | 1.04 | % | 1.02 | % | 0.62 | % | 0.94 | % | 0.92 | % | 0.72 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 15.95 | 0.14 | 0.19 | 5.56 | 5.70 | (0.15 | ) | — | — | (0.15 | ) | $ | 21.50 | 35.87 | % | $ | 127,897 | 1.20 | % | 1.17 | % | 0.69 | % | 0.95 | % | 0.92 | % | 0.94 | % | 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, 2020 (Unaudited) | $ | 24.19 | 0.02 | 0.03 | 1.63 | 1.65 | (0.10 | ) | — | — | (0.10 | ) | $ | 25.74 | 6.77 | % | $ | 42,472 | 1.04 | % | 1.04 | % | 0.15 | % | 0.94 | % | 0.94 | % | 0.25 | % | 37 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 22.70 | 0.18 | 0.20 | 1.50 | 1.68 | (0.19 | ) | — | — | (0.19 | ) | $ | 24.19 | 7.53 | % | $ | 53,219 | 1.03 | % | 1.03 | % | 0.74 | % | 0.94 | % | 0.94 | % | 0.83 | % | 13 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Financial Highlights
April 30, 2020
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 S&P 500® Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 59.28 | $ | 0.41 | $ | 0.43 | $ | (9.85 | ) | $ | (9.44 | ) | $ | (0.48 | ) | $ | (0.21 | ) | $ | — | $ | (0.69 | ) | $ | 49.15 | -16.21 | % | $ | 21,295 | 0.65 | % | 0.90 | % | 1.54 | % | 0.60 | % | 0.85 | % | 1.59 | % | 48 | % | ||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 48.89 | 0.96 | 0.98 | 10.36 | 11.32 | (0.93 | ) | — | — | (0.93 | ) | $ | 59.28 | 23.64 | % | $ | 10,861 | 0.51 | % | 0.97 | % | 1.85 | % | 0.47 | %9 | 0.93 | % | 1.89 | % | 75 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 46.69 | 0.12 | 0.13 | (17.98 | ) | (17.86 | ) | (0.17 | ) | — | — | (0.17 | ) | $ | 28.66 | -38.43 | % | $ | 1,910 | 0.64 | % | 1.50 | % | 0.56 | % | 0.60 | % | 1.46 | % | 0.60 | % | 27 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 45.85 | 0.35 | 0.41 | 0.92 | 1.27 | (0.43 | ) | — | — | (0.43 | ) | $ | 46.69 | 2.97 | % | $ | 3,112 | 0.59 | % | 1.55 | % | 0.78 | % | 0.46 | %9 | 1.42 | % | 0.91 | % | 43 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 1,116.50 | 2.51 | 2.81 | (1,056.36 | ) | (1,053.85 | ) | (6.23 | ) | — | — | (6.23 | ) | $ | 56.42 | -94.90 | % | $ | 133,231 | 1.10 | % | 1.10 | % | 1.36 | % | 0.94 | % | 0.94 | % | 1.52 | % | 155 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 1,029.00 | 10.85 | 15.05 | 88.90 | 99.75 | (12.25 | ) | — | — | (12.25 | ) | $ | 1,116.50 | 9.85 | % | $ | 413,185 | 1.35 | % | 1.33 | % | 1.04 | % | 0.95 | % | 0.93 | % | 1.44 | % | 208 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 1,410.15 | 14.00 | 15.75 | (380.80 | ) | (366.80 | ) | (13.65 | ) | — | (0.70 | ) | (14.35 | ) | $ | 1,029.00 | -25.98 | % | $ | 407,268 | 1.15 | % | 1.14 | % | 1.54 | % | 0.95 | % | 0.94 | % | 1.74 | % | 133 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 1,660.75 | (1.05 | ) | 1.40 | (249.55 | ) | (250.60 | ) | — | — | — | — | $ | 1,410.15 | -15.09 | % | $ | 153,270 | 1.13 | % | 1.15 | % | (0.08 | )% | 0.95 | % | 0.97 | % | 0.10 | % | 42 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 576.80 | (5.25 | ) | (4.20 | ) | 1,089.20 | 1,083.95 | — | — | — | — | $ | 1,660.75 | 187.92 | % | $ | 78,470 | 1.10 | % | 1.17 | % | (0.77 | )% | 0.95 | % | 1.02 | % | (0.62 | )% | 164 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 5,285.00 | (14.00 | ) | (14.00 | ) | (4,694.20 | ) | (4,708.20 | ) | — | — | — | — | $ | 576.80 | -89.09 | % | $ | 41,284 | 0.95 | % | 1.04 | % | (0.92 | )% | 0.95 | % | 1.04 | % | (0.92 | )% | 56 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 54.05 | 0.25 | 0.27 | (40.97 | ) | (40.72 | ) | (0.13 | ) | — | — | (0.13 | ) | $ | 13.20 | -75.30 | % | $ | 78,128 | 1.12 | % | 1.12 | % | 1.68 | % | 0.95 | % | 0.95 | % | 1.85 | % | 225 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 36.69 | 1.13 | 1.27 | 17.14 | 18.27 | (0.91 | ) | — | — | (0.91 | ) | $ | 54.05 | 50.52 | % | $ | 76,642 | 1.25 | % | 1.25 | % | 2.79 | % | 0.92 | % | 0.92 | % | 3.12 | % | 8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 143.60 | 0.57 | 0.58 | (127.57 | ) | (127.00 | ) | (0.74 | ) | — | — | (0.74 | ) | $ | 15.86 | -88.91 | % | $ | 335,580 | 1.02 | % | 1.03 | % | 2.67 | % | 0.95 | % | 0.96 | % | 2.74 | % | 32 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 253.40 | 3.00 | 3.30 | (110.00 | ) | (107.00 | ) | (2.80 | ) | — | — | (2.80 | ) | $ | 143.60 | -42.46 | % | $ | 285,099 | 1.10 | % | 1.11 | % | 1.56 | % | 0.95 | % | 0.96 | % | 1.71 | % | 204 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 291.60 | 4.20 | 4.60 | (36.40 | ) | (32.20 | ) | (5.90 | ) | — | (0.10 | ) | (6.00 | ) | $ | 253.40 | -11.59 | % | $ | 349,655 | 1.08 | % | 1.08 | % | 1.24 | % | 0.95 | % | 0.95 | % | 1.37 | % | 56 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 304.00 | 2.70 | 2.90 | (14.30 | ) | (11.60 | ) | (0.80 | ) | — | — | (0.80 | ) | $ | 291.60 | -3.77 | % | $ | 481,130 | 1.00 | % | 1.00 | % | 0.90 | % | 0.95 | % | 0.95 | % | 0.95 | % | 59 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 344.60 | (0.80 | ) | (0.60 | ) | (39.80 | ) | (40.60 | ) | — | — | — | — | $ | 304.00 | -11.78 | % | $ | 452,886 | 1.01 | % | 1.02 | % | (0.30 | )% | 0.95 | % | 0.96 | % | (0.24 | )% | 82 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 842.10 | (1.70 | ) | (1.70 | ) | (495.80 | ) | (497.50 | ) | — | — | — | — | $ | 344.60 | -59.08 | % | $ | 489,320 | 0.96 | % | 0.96 | % | (0.36 | )% | 0.95 | % | 0.95 | % | (0.35 | )% | 70 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Financial Highlights
April 30, 2020
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 Energy Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 50.61 | $ | 0.04 | $ | 0.07 | $ | 9.01 | $ | 9.05 | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | 59.43 | 17.77 | % | $ | 24,190 | 1.04 | % | 1.11 | % | 0.12 | % | 0.95 | % | 1.02 | % | 0.21 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 44.87 | 0.57 | 0.66 | 5.89 | 6.46 | (0.72 | ) | — | — | (0.72 | ) | $ | 50.61 | 14.51 | % | $ | 25,663 | 1.14 | % | 1.22 | % | 1.22 | % | 0.95 | % | 1.03 | % | 1.41 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 158.15 | 0.17 | 0.33 | (95.07 | ) | (94.90 | ) | (0.71 | ) | — | — | (0.71 | ) | $ | 62.54 | -60.27 | % | $ | 991,644 | 1.22 | % | 1.22 | % | 0.31 | % | 0.92 | % | 0.92 | % | 0.61 | % | 168 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 66.40 | 0.40 | 0.80 | 91.90 | 92.30 | (0.40 | ) | — | (0.15 | ) | (0.55 | ) | $ | 158.15 | 139.42 | % | $ | 1,541,547 | 1.30 | % | 1.30 | % | 0.37 | % | 0.91 | % | 0.91 | % | 0.76 | % | 231 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 145.15 | 0.55 | 0.60 | (79.00 | ) | (78.45 | ) | (0.10 | ) | — | (0.20 | ) | (0.30 | ) | $ | 66.40 | -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 | $ | 281.40 | (0.70 | ) | (0.65 | ) | (135.55 | ) | (136.25 | ) | — | — | — | — | $ | 145.15 | -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 | $ | 138.00 | (2.20 | ) | (2.00 | ) | 145.60 | 143.40 | — | — | — | — | $ | 281.40 | 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 | $ | 441.20 | (2.80 | ) | (2.80 | ) | (300.40 | ) | (303.20 | ) | — | — | — | — | $ | 138.00 | -68.72 | % | $ | 610,269 | 0.95 | % | 0.95 | % | (0.94 | )% | 0.94 | % | 0.94 | % | (0.93 | )% | 633 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 169.75 | 0.41 | 0.44 | (134.28 | ) | (133.87 | ) | (1.05 | ) | — | — | (1.05 | ) | $ | 34.83 | -79.21 | % | $ | 115,369 | 0.95 | % | 0.95 | % | 0.62 | % | 0.92 | % | 0.92 | % | 0.65 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 875.50 | 4.00 | 4.25 | (706.00 | ) | (702.00 | ) | (3.75 | ) | — | — | (3.75 | ) | $ | 169.75 | -80.38 | % | $ | 378,674 | 1.01 | % | 1.01 | % | 1.57 | % | 0.92 | % | 0.92 | % | 1.66 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 683.50 | 2.75 | 3.75 | 190.75 | 193.50 | (1.50 | ) | — | — | (1.50 | ) | $ | 875.50 | 28.33 | % | $ | 154,753 | 1.04 | % | 1.04 | % | 0.43 | % | 0.91 | % | 0.91 | % | 0.56 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 955.50 | (2.25 | ) | (1.75 | ) | (269.75 | ) | (272.00 | ) | — | — | — | — | $ | 683.50 | -28.47 | % | $ | 383,331 | 1.01 | % | 0.99 | % | (0.31 | )% | 0.94 | % | 0.92 | % | (0.24 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 19,975.00 | (11.50 | ) | (11.25 | ) | (19,008.00 | ) | (19,019.50 | ) | — | — | — | — | $ | 955.50 | -95.22 | % | $ | 258,711 | 0.97 | % | 0.97 | % | (0.76 | )% | 0.95 | % | 0.95 | % | (0.74 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 58,150.00 | (212.50 | ) | (212.50 | ) | (37,962.50 | ) | (38,175.00 | ) | — | — | — | — | $ | 19,975.00 | -65.65 | % | $ | 287,615 | 0.98 | % | 0.98 | % | (0.97 | )% | 0.95 | % | 0.95 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 695.10 | 0.16 | 0.49 | (618.74 | ) | (618.58 | ) | (0.12 | ) | — | — | (0.12 | ) | $ | 76.40 | -88.98 | % | $ | 586,385 | 1.14 | % | 1.14 | % | 0.13 | % | 0.89 | % | 0.89 | % | 0.38 | % | 137 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 357.50 | 3.20 | 5.10 | 338.50 | 341.70 | (3.70 | ) | — | (0.40 | ) | (4.10 | ) | $ | 695.10 | 95.77 | % | $ | 948,731 | 1.26 | % | 1.26 | % | 0.62 | % | 0.89 | % | 0.89 | % | 0.99 | % | 279 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 756.50 | 2.00 | 2.50 | (401.00 | ) | (399.00 | ) | — | — | — | — | $ | 357.50 | -52.74 | % | $ | 635,801 | 0.93 | % | 0.93 | % | 0.35 | % | 0.89 | % | 0.89 | % | 0.39 | % | 116 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 2,448.00 | 4.00 | 4.00 | (1,691.00 | ) | (1,687.00 | ) | (4.50 | ) | — | — | (4.50 | ) | $ | 756.50 | -69.00 | % | $ | 751,846 | 0.94 | % | 0.94 | % | 0.33 | % | 0.90 | % | 0.90 | % | 0.37 | % | 245 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 798.00 | (22.00 | ) | (18.00 | ) | 1,672.00 | 1,650.00 | — | — | — | — | $ | 2,448.00 | 207.07 | % | $ | 712,681 | 1.05 | % | 1.03 | % | (0.92 | )% | 0.94 | % | 0.92 | % | (0.81 | )% | 289 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 3,906.00 | (18.00 | ) | (18.00 | ) | (2,978.00 | ) | (2,996.00 | ) | — | (112.00 | ) | — | (112.00 | ) | $ | 798.00 | -78.75 | % | $ | 106,686 | 0.95 | % | 0.98 | % | (0.94 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 589 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 335.75 | 0.54 | 0.57 | (305.89 | ) | (305.35 | ) | (1.82 | ) | — | — | (1.82 | ) | $ | 28.58 | -91.27 | % | $ | 89,844 | 0.95 | % | 0.95 | % | 0.67 | % | 0.91 | % | 0.91 | % | 0.71 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 1,892.25 | 8.50 | 9.00 | (1,555.75 | ) | (1,547.25 | ) | (9.25 | ) | — | — | (9.25 | ) | $ | 335.75 | -82.03 | % | $ | 148,229 | 1.06 | % | 1.03 | % | 10.44 | % | 0.95 | % | 0.92 | % | 1.55 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 1,612.00 | 7.00 | 8.25 | 278.00 | 285.00 | (4.75 | ) | — | — | (4.75 | ) | $ | 1,892.25 | 17.07 | % | $ | 59,624 | 1.03 | % | 0.99 | % | 0.51 | % | 0.95 | % | 0.91 | % | 0.59 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 2,686.00 | (5.00 | ) | (3.50 | ) | (1,069.00 | ) | (1,074.00 | ) | — | — | — | — | $ | 1,612.00 | -39.99 | % | $ | 115,274 | 1.03 | % | 1.00 | % | (0.29 | )% | 0.95 | % | 0.92 | % | (0.21 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 145,400.00 | (37.00 | ) | (37.00 | ) | (142,677.00 | ) | (142,714.00 | ) | — | — | — | — | $ | 2,686.00 | 98.15 | % | $ | 82,096 | 0.97 | % | 1.04 | % | (0.74 | )% | 0.95 | % | 1.02 | % | (0.72 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 692,000.00 | (1900.00 | ) | (1850.00 | ) | (525,700.00 | ) | (527,600.00 | ) | — | (19000.00 | ) | — | (19000.00 | ) | $ | 145,400.00 | -77.88 | % | $ | 68,335 | 0.97 | % | 1.00 | % | (0.96 | )% | 0.95 | % | 0.98 | % | (0.94 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Financial Highlights
April 30, 2020
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 S&P Oil & Gas Exp. & Prod. Bull 2X Shares11,13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 270.40 | $ | 0.50 | $ | 0.52 | $ | (226.91 | ) | $ | (226.41 | ) | $ | (2.92 | ) | $ | — | $ | — | $ | (2.92 | ) | $ | 41.07 | -96.20 | % | $ | 321,515 | 1.01 | % | 1.03 | % | 1.12 | % | 0.95 | % | 0.97 | % | 1.18 | % | 204 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 2,188.00 | 6.00 | 6.90 | (1,917.80 | ) | (1,911.80 | ) | (5.80 | ) | — | — | (5.80 | ) | $ | 270.40 | -87.55 | % | $ | 193,733 | 1.09 | % | 1.10 | % | 0.95 | % | 0.95 | % | 0.96 | % | 1.09 | % | 257 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 2,443.00 | 6.00 | 9.00 | (260.00 | ) | (254.00 | ) | (1.00 | ) | — | — | (1.00 | ) | $ | 2,188.00 | -10.42 | % | $ | 156,655 | 1.04 | % | 1.05 | % | 0.21 | % | 0.95 | % | 0.96 | % | 0.30 | % | 119 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 3,453.00 | (6.00 | ) | (4.00 | ) | (838.00 | ) | (844.00 | ) | — | (166.00 | ) | — | (166.00 | ) | $ | 2,443.00 | -27.03 | % | $ | 129,723 | 1.02 | % | 1.04 | % | (0.24 | )% | 0.95 | % | 0.97 | % | (0.17 | )% | 350 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 6,745.00 | (26.00 | ) | (25.00 | ) | (3,266.00 | ) | (3,292.00 | ) | — | — | — | — | $ | 3,453.00 | -48.81 | % | $ | 59,024 | 0.98 | % | 1.06 | % | (0.77 | )% | 0.95 | % | 1.03 | % | (0.74 | )% | 76 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20158 through October 31, 2015 | $ | 20,000.00 | (25.00 | ) | (25.00 | ) | (13,230.00 | ) | (13,255.00 | ) | — | — | — | — | $ | 6,745.00 | -66.28 | % | $ | 8,770 | 0.95 | % | 2.44 | % | (0.76 | )% | 0.95 | % | 2.44 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares14 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 7.39 | 0.0010 | 0.02 | (0.41 | ) | (0.41 | ) | 0.0010 | — | — | 0.0010 | $ | 6.98 | -5.55 | % | $ | 35,407 | 1.38 | % | 1.43 | % | (0.04 | )% | 0.95 | % | 1.00 | % | 0.39 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 3.63 | 0.04 | 0.07 | 3.79 | 3.83 | (0.07 | ) | — | — | (0.07 | ) | $ | 7.39 | 106.33 | % | $ | 36,006 | 1.40 | % | 1.46 | % | 0.88 | % | 0.95 | % | 1.01 | % | 1.33 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 6.86 | 0.03 | 0.03 | (3.24 | ) | (3.21 | ) | (0.02 | ) | — | — | (0.02 | ) | $ | 3.63 | -46.86 | % | $ | 42,465 | 0.99 | % | 1.02 | % | 0.77 | % | 0.95 | % | 0.98 | % | 0.81 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 10.40 | (0.03 | ) | (0.02 | ) | (3.51 | ) | (3.54 | ) | — | — | — | — | $ | 6.86 | -34.05 | % | $ | 30,119 | 1.05 | % | 1.18 | % | (0.38 | )% | 0.95 | % | 1.08 | % | (0.28 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 29.57 | (0.11 | ) | (0.11 | ) | (19.06 | ) | (19.17 | ) | — | — | — | — | $ | 10.40 | -64.83 | % | $ | 26,950 | 0.96 | % | 1.12 | % | (0.75 | )% | 0.95 | % | 1.11 | % | (0.74 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period May 28, 20158 through October 31, 2015 | $ | 20.83 | (0.14 | ) | (0.14 | ) | 8.88 | 8.74 | — | — | — | — | $ | 29.57 | 41.93 | % | $ | 5,677 | 0.98 | % | 2.13 | % | (0.97 | )% | 0.95 | % | 2.10 | % | (0.94 | )% | 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 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%.
10 Between $(0.005) and $0.005.
11 Effective November 22, 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.
12 Effective March 23, 2020, 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.
13 Effective March 23, 2020, the Fund had a 1:40 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:40 stock split.
14 Effective March 27, 2020, the Fund had a 12:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 12:1 stock split.
15 Effective April 23, 2020, the Fund had a 1:35 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:35 stock split.
16 Effective April 23, 2020, 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.
17 Effective April 23, 2020, the Funds had a 1:25 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:25 stock split.
18 Effective April 23, 2020, 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
55
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2020
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 89 separate series (each, a "Fund" and together the "Funds"). 17 of these Funds are included in this report:
Bull Funds | Bear Funds | ||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | |||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||
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 S&P 500® Bull 2X Shares | |||||||
Direxion Daily Small Cap Bull 2X Shares | |||||||
Direxion Daily MSCI Brazil Bull 2X Shares* | |||||||
Direxion Daily Russia Bull X Shares* | |||||||
Direxion Daily Energy Bull 2X Shares* | Direxion Daily Energy Bear 2X Shares* | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares* | Direxion Daily Gold Miners Index Bear 2X Shares* | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares* | Direxion Daily Junior Gold Miners Index Bear 2X Shares* | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares* | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares* |
* Effective April 1, 2020, these Funds' new investment objective and strategy changed to seek daily leveraged, or daily inverse leveraged, investment results, before fees and expenses, of 200% or -200%, as applicable, of the performance of their underlying index. Prior to April 1, 2020, the investment objective and strategy were 300% or -300%.
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 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 SEMI-ANNUAL REPORT
56
Funds | Index or Benchmark | Daily Target | |||||||||
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 Daily MSCI Brazil Bull 2X Shares | MSCI Brazil 25/50 Index | 200 | % | ||||||||
Direxion Daily Russia Bull 2X Shares | MVIS Russia Index | 200 | % | ||||||||
Direxion Daily Energy Bull 2X Shares | 200 | % | |||||||||
Direxion Daily Energy Bear 2X Shares | Energy Select Sector Index | -200 | % | ||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 200 | % | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | NYSE Arca Gold Miners Index | -200 | % | ||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 200 | % | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | MVIS Global Junior Gold Miners Index | -200 | % | ||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 200 | % | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | S&P Oil & Gas Exploration & Production Select Industry Index | -200 | % |
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, 2020.
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 20+ Year Treasury Bear 1X Shares (the "Fixed Income Fund") does not calculate it's NAV, even if the NYSE is open for business. Similarly, on days that SIFMA recommends that the bond markets close early, the Fixed Income Fund calculates 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 Fund's pricing service does not provide a valuation for such securities; c) the Fund's 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
DIREXION SEMI-ANNUAL REPORT
57
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.
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. Interest earned on collateral pledged to a counterparty is presented as part of Interest income on the Statements of Operations. Interest incurred on collateral received from a counterparty is presented as Interest expense on the Statements of Operations.
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
DIREXION SEMI-ANNUAL REPORT
58
Statements of Assets and Liabilities. As of April 30, 2020, 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, 2020 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 | $ | 47,165 | $ | — | $ | 47,1651 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | — | — | — | — | 1,377,457 | — | 1,377,4571 | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 815,913 | — | 640,000 | 175,913 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 38,591,958 | — | 38,591,9581 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 3,132,461 | — | 3,132,4611 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 31,577,015 | — | 23,040,000 | 8,537,015 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — | 10,278,841 | — | 10,278,8411 | — |
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
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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 | $ | 83 | $ | 83 | $ | — | $ | — | $ | 298,263 | $ | 83 | $ | 298,1801 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 945,838 | 628,602 | 317,2361 | — | 628,602 | 628,602 | — | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 915,072 | 35,785 | 879,2871 | — | 35,785 | 35,785 | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 267,761 | 267,761 | — | — | 4,192,400 | 267,761 | 3,924,6391 | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 1,053,063 | 130,577 | 360,000 | 562,486 | 130,577 | 130,577 | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 8,226,980 | — | 8,226,9801 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | — | — | 3,454,371 | — | 3,454,3711 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | — | — | — | 3,072,868 | — | 3,072,8681 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 4,749,984 | — | — | 4,749,984 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 2,990,888 | — | 2,990,8881 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 2,899,326 | — | 2,899,3261 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 27,324,680 | — | 19,340,000 | 7,984,680 | — | — | — | — |
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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. Bear 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 1,464,225 | $ | — | $ | 1,464,2251 | $ | — |
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 CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 140,946 | $ | — | $ | 140,9461 | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | — | — | — | 15,081 | — | 15,0811 | — | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | — | — | — | — | 17,208 | — | 17,2081 | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 571,466 | — | 571,4661 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 99 | — | — | 99 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | — | — | — | 1,324,978 | — | 1,324,9781 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 969,675 | — | 19,000 | 950,675 | — | — | — | — |
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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 Junior Gold Miners Index Bull 2X Shares | $ | 14,362,563 | $ | — | $ | 14,362,5631 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 2,368,533 | — | 2,368,5331 | — |
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 | $ | 4,454 | $ | — | $ | — | $ | 4,454 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | — | — | 7,171,496 | — | 7,171,4961 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | — | — | — | 72,905 | — | 72,9051 | — | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 131,424 | — | — | 131,424 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 470,632 | — | — | 470,632 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 97,380 | — | — | 97,380 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 2,273,277 | — | 2,070,000 | 203,277 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 147,450 | — | — | 147,450 | — | — | — | — |
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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 Energy Bull 2X Shares | $ | 22,938,237 | $ | — | $ | 11,690,000 | $ | 11,248,237 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | — | — | 1,888,470 | — | 1,888,4701 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | — | — | — | 6,889,595 | — | 6,889,5951 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 2,113 | — | — | 2,113 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 5,302,049 | — | 5,302,0491 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 2,740,833 | — | 2,740,8331 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 424 | — | 4241 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — | 933,635 | — | 933,6351 | — |
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: J.P. Morgan
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 Gold Miners Index Bull 2X Shares | $ | 37,275,469 | $ | — | $ | 37,275,4691 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 2,643,715 | — | 2,643,7151 | — |
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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 Junior Gold Miners Index Bull 2X Shares | $ | 12,042,623 | $ | — | $ | 12,042,6231 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 31,332,885 | — | 11,320,000 | 20,012,885 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — | 2,275,729 | — | 2,275,7291 | — |
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® Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 7,985,232 | $ | — | $ | 7,985,2321 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | — | — | — | — | 264,566 | — | 264,5661 | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 382,520 | — | 382,5201 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | — | — | — | 1,035,257 | — | 1,035,2571 | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 1,572,503 | — | 1,250,000 | 322,503 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 37,603,334 | — | 37,603,3341 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
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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 Energy Bear 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 5,141,858 | $ | — | $ | 5,141,8581 | $ | — | |||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 33,564,385 | — | 33,564,3851 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 13,538,484 | — | 13,538,4841 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 10,109,169 | — | 10,109,1691 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 1,553,747 | — | — | 1,553,747 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 354 | — | 3541 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — | 6,964,393 | — | 6,964,3931 | — |
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 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
DIREXION SEMI-ANNUAL REPORT
65
contracts and short positions. The Funds were not invested in any type of options during the six months ended April 30, 2020.
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, 2020, 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, 2020, 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 | $ | 28,554,475 | $ | 27,802,991 | $ | 1,897,453 | $ | 29,700,444 | |||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 8,832,733 | 9,232,893 | — | 9,232,893 | |||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 12,137,640 | 13,037,996 | — | 13,037,996 |
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i) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains 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. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. No Funds paid this excise tax during the six months ended April 30, 2020.
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, 2020 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, 2020 (Unaudited) | Year/Period Ended October 31, 2019 | ||||||||||||||||||||||||||
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 | $ | 94,967 | $ | — | $ | — | $ | 870,624 | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 124,654 | — | — | 291,409 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 13,482 | — | — | 80,132 | — | — | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 446,175 | — | — | 863,144 | — | — | |||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 215,753 | — | — | 458,946 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 126,494 | — | — | 169,500 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 11,024 | — | — | 28,452 | — | — |
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Six Months Ended April 30, 2020 (Unaudited) | Year/Period Ended October 31, 2019 | ||||||||||||||||||||||||||
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 Brazil Bull 2X Shares | $ | 2,223,333 | $ | — | $ | — | $ | 4,444,273 | $ | — | $ | — | |||||||||||||||
Direxion Daily Russia Bull 2X Shares | 654,758 | — | — | 2,965,266 | — | — | |||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 1,311,683 | — | — | 5,278,075 | — | — | |||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 84,408 | — | — | 359,503 | — | — | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 7,134,050 | — | — | 4,794,202 | — | 1,788,771 | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 1,503,982 | — | — | 2,899,040 | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 1,033,218 | — | — | 5,035,748 | — | 475,303 | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 576,068 | — | — | 1,163,840 | — | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 436,385 | — | — | 2,084,795 | — | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 26,156 | — | — | 419,941 | — | — |
At October 31, 2019, the components of accumulated earnings/(losses) 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 CSI 300 China A Share Bear 1X Shares | $ | (1,680,374 | ) | $ | 22,167 | $ | — | $ | (17,667,528 | ) | $ | (19,325,735 | ) | ||||||||||
Direxion Daily S&P 500® Bear 1X Shares | (3,511,415 | ) | 29,424 | — | (9,715,969 | ) | (13,197,960 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | (585,609 | ) | 4,228 | — | (3,865,022 | ) | (4,446,403 | ) | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | (26,030,952 | ) | 60,527 | — | (14,914,108 | ) | (40,884,533 | ) | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | (10,240,691 | ) | 46,338 | — | (43,385,961 | ) | (53,580,314 | ) | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 1,939,526 | 64,262 | — | — | 2,003,788 | ||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 344,637 | 3,411 | — | (125,419 | ) | 222,629 | |||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 64,279,608 | — | — | — | 64,279,608 | ||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 10,616,684 | 12,923 | — | (56,678,745 | ) | (46,049,138 | ) | ||||||||||||||||
Direxion Daily Energy Bull 2X Shares | (108,394,848 | ) | 71,248 | — | (210,512,301 | ) | (318,835,901 | ) | |||||||||||||||
Direxion Daily Energy Bear 2X Shares | (5,798,535 | ) | 23,214 | — | (155,051,797 | ) | (160,827,118 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 145,512,402 | — | — | (1,455,135,211 | ) | (1,309,622,809 | ) | ||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | (213,105,163 | ) | 487,595 | — | (347,285,096 | ) | (559,902,664 | ) | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | (84,250,620 | ) | — | — | (801,339,096 | ) | (885,589,716 | ) |
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Funds | Net Unrealized Appreciation (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | $ | (94,184,553 | ) | $ | 151,337 | $ | — | $ | (74,215,832 | ) | $ | (168,249,048 | ) | ||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | (239,142,498 | ) | 69,166 | — | (146,675,316 | ) | (385,748,648 | ) | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 16,107,724 | 1,005 | — | (4,665,137 | ) | 11,443,592 |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover.
At April 30, 2020, 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 | $ | 4,311,607 | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 40,534,582 | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 500,267 | — | — | — | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 91,453,806 | — | (3,596,473 | ) | (3,596,473 | ) | |||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 41,981,811 | — | (407,799 | ) | (407,799 | ) | |||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 18,990,768 | 2,161,388 | — | 2,161,388 | |||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 2,043,011 | — | (31,192 | ) | (31,192 | ) | |||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 118,279,280 | 3,159,345 | — | 3,159,345 | |||||||||||||||
Direxion Daily Russia Bull 2X Shares | 64,111,183 | 4,090,091 | — | 4,090,091 | |||||||||||||||
Direxion Daily Energy Bull 2X Shares | 244,229,569 | 23,595,957 | — | 23,595,957 | |||||||||||||||
Direxion Daily Energy Bear 2X Shares | 25,285,668 | — | — | — | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 456,940,529 | 21,318,942 | — | 21,318,942 | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 67,183,365 | — | — | — | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 323,940,190 | 28,595,471 | — | 28,595,471 | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 44,249,109 | — | — | — | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 187,798,483 | 6,463,194 | — | 6,463,194 | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 34,503,166 | — | — | — |
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.
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, 2019. At October 31, 2019, no Funds deferred any 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.
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At October 31, 2019, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Unlimited ST | Unlimited LT | |||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 17,667,528 | $ | — | |||||||
Direxion Daily S&P 500® Bear 1X Shares | 9,715,969 | — | |||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | 3,865,022 | — | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 14,914,108 | — | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 43,385,961 | — | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | — | |||||||||
Direxion Daily Small Cap Bull 2X Shares | 116,642 | 8,777 | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | — | |||||||||
Direxion Daily Russia Bull 2X Shares | 56,678,745 | — | |||||||||
Direxion Daily Energy Bull 2X Shares | 165,342,435 | 45,166,131 | |||||||||
Direxion Daily Energy Bear 2X Shares | 155,049,961 | — | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 850,559,703 | 604,575,508 | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 347,285,096 | — | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 801,339,096 | — | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 74,215,832 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 144,673,738 | 2,001,578 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 4,665,137 | — |
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 of April 30, 2020, open U.S. Federal and state income tax years include the tax years ended October 31, 2017 through October 31, 2019. 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, 2020. 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,
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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 20+ Year Treasury Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 24,993,650 | — | 25,171,282 | 59,584,331 | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 23,938,269 | 9,217,615 | 19,639,351 | 35,696,438 | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 12,191,670 | 6,276,025 | 4,117,744 | — | |||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 696,424 | 1,223,229 | — | — | |||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 222,742,340 | 683,014,439 | 679,086,996 | 266,347,149 | |||||||||||||||
Direxion Daily Russia Bull 2X Shares | 43,457,925 | 49,920,178 | 75,078,573 | 43,706,037 | |||||||||||||||
Direxion Daily Energy Bull 2X Shares | 50,680,003 | 299,324,525 | 350,658,146 | 70,844,945 | |||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 865,304,000 | 1,455,433,838 | 1,136,276,878 | 1,016,337,618 | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 301,649,950 | 681,971,325 | 817,243,140 | 613,710,671 | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 204,985,911 | 352,033,946 | 307,056,166 | 169,741,121 | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the six months ended April 30, 2020.
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 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 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 S&P 500® Bull 2X Shares | 0.50 | % | |||||
Direxion Daily Small Cap Bull 2X Shares | 0.50 | % | |||||
Direxion Daily MSCI Brazil Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Russia Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Energy Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Energy Bear 2X Shares | 0.75 | % | |||||
Direxion Daily Gold Miners Index Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Gold Miners Index Bear 2X Shares | 0.75 | % | |||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 0.75 | % | |||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 0.75 | % | |||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 0.75 | % |
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
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respective average daily net assets at least until September 1, 2021. 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 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 S&P 500® Bull 2X Shares | 0.60 | % | |||||
Direxion Daily Small Cap Bull 2X Shares | 0.60 | % | |||||
Direxion Daily MSCI Brazil Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Russia Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Energy Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Energy Bear 2X Shares | 0.95 | % | |||||
Direxion Daily Gold Miners Index Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Gold Miners Index Bear 2X Shares | 0.95 | % | |||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 0.95 | % | |||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 0.95 | % | |||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 0.95 | % |
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 | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2020 | October 31, 2021 | October 31, 2022 | April 30, 2023 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | 9,308 | $ | 401 | $ | — | $ | 6,269 | $ | 9,308 | $ | 15,978 | |||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 30,958 | 26,277 | 49,159 | 45,074 | 30,958 | 151,468 | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 22,033 | 20,617 | 47,120 | 44,586 | 22,033 | 134,356 | ||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 13,165 | 1,161 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 2,201 | 2,201 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | 16,615 | 17,776 | 29,764 | 29,047 | 16,615 | 93,202 | ||||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | — | 12,223 | 29,214 | 47,880 | 24,631 | 12,223 | 113,948 | ||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 7,687 | 7,687 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 3,294 | 3,294 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 315 | 14,937 | 14,550 | 11,598 | 19,138 | 14,937 | 60,223 | ||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | 12,465 | 18,020 | 23,235 | 21,811 | 12,465 | 75,531 | ||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 15,872 | 15,872 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 3,666 | 3,666 | — | — | — | — | — |
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2020 | October 31, 2021 | October 31, 2022 | April 30, 2023 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | $ | 6,960 | $ | 6,960 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 1,961 | 1,961 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 10 | 14,044 | 15,806 | 22,234 | 20,053 | 14,044 | 72,137 | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | 13,089 | 14,337 | 20,109 | 21,966 | 13,089 | 69,501 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2020 is presented on the Statement of Assets and Liabilities as Due from (to) 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, 2020:
Asset Class | Liability Class | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | 4,311,607 | $ | 14,721,856 | $ | 51,702 | $ | (439,209 | ) | ||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | 40,534,582 | 110,239,217 | — | (15,156,728 | ) | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | — | 500,267 | 987,545 | — | (87,986 | ) |
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Asset Class | Liability Class | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | $ | 29,219,641 | $ | — | $ | 58,637,692 | $ | 30,679,566 | $ | 1,077,262 | $ | (2,287,833 | ) | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 19,394,394 | — | 22,179,618 | 14,692,819 | 1,869,058 | (35,785 | ) | ||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 21,081,731 | — | 70,425 | 817,421 | 470,632 | — | |||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 1,840,629 | — | 171,190 | 71,490 | 97,479 | — | |||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 63,228,766 | — | 58,209,859 | 43,425,020 | 2,541,038 | (5,227,657 | ) | ||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 34,326,379 | — | 33,874,895 | 15,828,890 | 3,588,929 | (130,577 | ) | ||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | 174,736,051 | 93,089,475 | 124,479,059 | 68,768,551 | — | |||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | 25,285,668 | 11,556,145 | — | (10,484,699 | ) | ||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 122,911,439 | — | 355,348,032 | 623,021,677 | 109,431,812 | (11,287,441 | ) | ||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | 67,183,365 | 59,256,288 | 5,721,772 | (19,314,660 | ) | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 141,513,098 | — | 211,022,563 | 312,314,792 | 44,807,292 | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | 44,249,109 | 32,023,041 | 1,553,747 | (8,008,692 | ) | ||||||||||||||||||||
Direxion Daily S&P Oil & GasExp. & Prod. Bull 2X Shares | 66,344,097 | — | 127,917,580 | 160,439,746 | 90,234,580 | (778 | ) | ||||||||||||||||||||
Direxion Daily S&P Oil & GasExp. & Prod. Bear 2X Shares | — | — | 34,503,166 | 15,188,113 | — | (21,916,823 | ) |
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, and b) 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, 2020.
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
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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, 2020, the Funds were invested in swap contracts. At April 30, 2020, 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 | $ | 51,702 | $ | — | $ | 51,702 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 1,077,262 | — | 1,077,262 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 1,869,058 | — | 1,869,058 | ||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 470,632 | — | 470,632 | ||||||||||||
Direxion Daily Small Cap Bull 2X Shares | 97,479 | — | 97,479 | ||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 2,541,038 | — | 2,541,038 | ||||||||||||
Direxion Daily Russia Bull 2X Shares | 3,588,929 | — | 3,588,929 | ||||||||||||
Direxion Daily Energy Bull 2X Shares | 68,768,551 | — | 68,768,551 | ||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 109,431,812 | — | 109,431,812 | ||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 5,721,772 | — | 5,721,772 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 44,807,292 | — | 44,807,292 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 1,553,747 | — | 1,553,747 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 90,234,580 | — | 90,234,580 | ||||||||||||
Liability Derivatives2 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 439,209 | $ | — | $ | 439,209 | |||||||||
Direxion Daily S&P 500® Bear 1X Shares | 15,156,728 | — | 15,156,728 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 87,986 | 87,986 | ||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 2,287,833 | — | 2,287,833 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 35,785 | — | 35,785 | ||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 5,227,657 | — | 5,227,657 | ||||||||||||
Direxion Daily Russia Bull 2X Shares | 130,577 | — | 130,577 | ||||||||||||
Direxion Daily Energy Bear 2X Shares | 10,484,699 | — | 10,484,699 | ||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 11,287,441 | — | 11,287,441 | ||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 19,314,660 | — | 19,314,660 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 8,008,692 | — | 8,008,692 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 778 | — | 778 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 21,916,823 | — | 21,916,823 |
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, 2020, 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 | $ | (244,499 | ) | $ | — | $ | — | $ | (282,463 | ) | $ | — | $ | — | ||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | Swap Contracts | (4,463,545 | ) | — | — | (14,397,645 | ) | — | — | ||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | Swap Contracts | — | (444,115 | ) | — | — | 156,147 | — | |||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | Swap Contracts | 1,423,957 | — | — | (9,027,236 | ) | — | — |
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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 China Internet Index Bull 2X Shares | Swap Contracts | $ | 5,614,862 | $ | — | $ | — | $ | (3,134,268 | ) | $ | — | $ | — | |||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | Swap Contracts | 622,563 | — | — | (428,498 | ) | — | — | |||||||||||||||||||||||
Direxion Daily Small Cap Bull 2X Shares | Swap Contracts | (527,537 | ) | — | — | (80,767 | ) | — | — | ||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | Swap Contracts | (502,865,104 | ) | — | — | (83,486,316 | ) | — | — | ||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | Swap Contracts | (34,593,957 | ) | — | — | (7,707,682 | ) | — | — | ||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | Swap Contracts | (296,705,729 | ) | — | — | 69,193,131 | — | — | |||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | Swap Contracts | 59,384,344 | — | — | (11,945,831 | ) | — | — | |||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | Swap Contracts | (153,689,437 | ) | — | — | (299,943,468 | ) | — | — | ||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | Swap Contracts | (154,905,201 | ) | — | — | 85,897,869 | — | — | |||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | Swap Contracts | (393,768,375 | ) | — | — | (266,512,903 | ) | — | — | ||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | Swap Contracts | (80,650,300 | ) | — | — | 27,038,370 | — | — | |||||||||||||||||||||||
Direxion Daily S&P Oil & GasExp. & Prod. Bull 2X Shares | Swap Contracts | (242,265,543 | ) | — | — | 105,008,373 | — | — | |||||||||||||||||||||||
Direxion Daily S&P Oil & GasExp. & Prod. Bear 2X Shares | Swap Contracts | 85,886,836 | — | — | (43,160,945 | ) | — | �� | — |
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, 2020, 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 | $ | — | $ | 23,537,598 | |||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 52,044,784 | |||||||||
Direxion Daily 20+ Year Treasury Bear 1X Shares | — | 1,736,354 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 186,576,107 | — | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 77,934,912 | — | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 14,620,175 | — | |||||||||
Direxion Daily Small Cap Bull 2X Shares | 2,849,888 | — | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 673,050,514 | — | |||||||||
Direxion Daily Russia Bull 2X Shares | 168,588,781 | — | |||||||||
Direxion Daily Energy Bull 2X Shares | 553,567,797 | — | |||||||||
Direxion Daily Energy Bear 2X Shares | — | 71,145,935 | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 2,908,491,621 | — | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | 720,191,751 |
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Quarterly Average Gross Notional Amounts | |||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | ||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | $ | 1,980,858,551 | $ | — | |||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | 313,279,985 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 449,175,768 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | 107,708,416 |
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
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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.
Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
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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. ADDITIONAL INFORMATION
On March 23, 2020 and April 23, 2020, 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 Energy Bull 2X Shares | 3/23/20 | 1 | :10 | $ | 0.57 | $ | 5.70 | 117,050,017 | 11,705,002 | ||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 3/23/20 | 1 | :40 | 0.33 | 13.20 | 194,869,703 | 4,871,743 | ||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 4/23/20 | 1 | :35 | 1.68 | 58.80 | 80,903,728 | 2,311,535 | ||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 4/23/20 | 1 | :5 | 12.76 | 63.80 | 84,985,823 | 16,997,165 | ||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 4/23/20 | 1 | :25 | 1.39 | 34.75 | 79,068,705 | 3,162,748 | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 4/23/20 | 1 | :10 | 7.56 | 75.60 | 92,048,763 | 9,204,876 | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 4/23/20 | 1 | :25 | 1.18 | 29.50 | 63,087,735 | 2,523,509 |
On March 27, 2020, shares of the following fund were adjusted to reflect a forward stock split. The effect of the forward stock split was to increase the number of shares outstanding and decrease the net asset value. The forward stock split has no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the forward stock split 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 S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 3/27/20 | 12 | :1 | 232.49 | 19.37 | 55,797 | 669,564 |
11. RECENT ACCOUNTING PRONOUNCEMENT
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management has assessed these changes and concluded these changes do not have a material impact on the Fund's financial statements.
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12. 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 22, 2020, certain Funds declared income distributions with an ex-date of June 23, 2020 and payable date of June 30, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | $ | 0.00884 | |||||
Direxion Daily S&P 500® Bull 2X Shares | 0.26575 | ||||||
Direxion Daily Small Cap Bull 2X Shares | 0.12415 | ||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 0.34908 | ||||||
Direxion Daily Energy Bull 2X Shares | 0.16120 | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 0.00909 |
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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.
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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: 52 | 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. | 130 | 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: 76 | 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. | 130 | None. | ||||||||||||||||||
David L. Driscoll Age: 50 | 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. | 130 | None. | ||||||||||||||||||
Jacob C. Gaffey Age: 72 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. | 130 | None. |
(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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
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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 | ||||||||||||||||||
Henry W. Mulholland Age: 57 | 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. | 130 | None. | ||||||||||||||||||
Kathleen M. Berkery(3) Age: 52 | Trustee | Lifetime of Trust until removal or resignation; Since 2019 | Rynkar, Vail & Barrett, LLC, since 2018 as Manager – Trusts & Estates; Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017 as Financial Advisor | 130 | 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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
(3) Ms. Berkery was elected as a Trustee on November 26, 2019.
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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: 51 | 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: 46 | 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: 44 | 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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
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Direxion Shares ETF Trust
Board Review of Liquidity Risk Management Program (Unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule") to promote effective liquidity risk management throughout the open-end investment company industry.
The Board of Trustees (the "Board") of the Direxion Shares ETF Trust, on behalf of the series of the Direxion Shares ETF Trust (the "Funds"), met on November 26, 2019 to review the liquidity risk management program (the "Liquidity Program"). The Board has appointed Rafferty Asset Management, LLC, the investment advisor to certain Funds as the Liquidity Program administrator of each Fund's Liquidity Program. At the meeting, Rafferty Asset Management, LLC provided the Board with a report that addressed the operation of the Funds' Liquidity Program and assessed the adequacy and effectiveness of the implementation of the Liquidity Program, including:
• The Liquidity Program supported each Fund's ability to meet redemption requests timely;
• The Liquidity Program supported Rafferty Asset Management, LLC's management of each Fund's liquidity, including during periods of market volatility and net redemptions;
• No material liquidity issues were identified during the report period;
• There were no material changes to the Liquidity Program during the report period; and
• The Liquidity Program operated adequately during the report period.
The report covered the period from December 1, 2018 through October 31, 2019. The report also described the Liquidity Program's liquidity classification methodology for categorizing a Fund's investment (including derivative transactions) into one of four liquidity buckets as required by the Liquidity Rule. The report provided to the Board stated that the Liquidity Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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SEMI-ANNUAL REPORT APRIL 30, 2020
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.
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DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2020
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 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 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 Developed Markets Bull 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 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 Dow Jones Internet Bull 3X Shares | Direxion Daily Dow Jones Internet Bear 3X Shares | ||||||
Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | ||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||
Direxion Daily Industrials Bull 3X Shares | |||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||
Direxion Daily Retail Bull 3X Shares | |||||||
Direxion Daily Robotics, Artificial Intelligence & | |||||||
Automation Index Bull 3X Shares | |||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | Direxion Daily S&P 500® High Beta Bear 3X Shares | ||||||
Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech 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 | 15 | ||||||
Allocation of Portfolio Holdings | 19 | ||||||
Schedules of Investments | 20 | ||||||
Statements of Assets and Liabilities | 93 | ||||||
Statements of Operations | 106 | ||||||
Statements of Changes in Net Assets | 119 | ||||||
Financial Highlights | 144 | ||||||
Notes to the Financial Statements | 153 | ||||||
Supplemental Information | 196 | ||||||
Trustees and Officers | 197 | ||||||
Board Review of Investment Advisory Agreement | 200 | ||||||
Board Review of Liquidity Risk Management Program | 202 |
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Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2019 to April 30, 2020 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period began amidst the enduring backdrop of U.S. and China trade negotiations. News of a phase one trade deal was enough to boost the S&P 500 Index to record levels in the U.S., while emerging markets benefitted from a weaker U.S. Dollar and global central bank easing. As U.S. equity markets began to emerge from a relatively sideways trend that had persisted since mid-summer 2019, Asian and emerging equity markets both benefitted from the reduced geo-political tensions. The formal announcement of a Phase One Trade Agreement in December served to further bolster gains, both at home and abroad, through year-end. The advent of 2020 saw Coronavirus added to the global vernacular. Emerging markets were the first to experience a significant impact from the initial outbreak of Coronavirus, as they traded down in January, while domestic equities traded relatively flat for the month. During a period where U.S. economic growth was on stable footing, and with improving economic data, accommodative central bank policy and the fear of an imminent recession diminishing, the S&P 500 Index closed at a record high on February 19, 2020. Shortly thereafter, markets began to grasp what began as a localized epidemic in China, could turn into a global pandemic that may produce economic shock around the world. U.S. equities responded by trading into correction territory with record speed off the recent highs. By the end of February, comparisons to 2008 were abundant as equity indexes posted their largest weekly losses since the financial crisis. In an effort to bolster the market, the U.S. Senate passed a $2 trillion stimulus package to help offset the effects of staggering job losses and markets that were selling off sharply. Those efforts were enough to spur a bit of optimism, as U.S. equity indexes closed the month off the lows. In April, as social distancing and working from home became the norm, equities began to rebound on hopes of the economy reopening, with signs that lockdowns would soon be ending in some parts of Europe, as well as some states in the U.S.
Fixed income markets began with trade rhetoric and Federal Reserve policy looming in the background. As investors became fearful of an economic slowdown and a drawn out trade war, bond markets rallied, driving yields lower. At the start of the year, the Federal Reserve came forth with a neutral policy stance, leaving trade war rhetoric as the ultimate catalyst for price action. Due to the evolving risks around the COVID-19 pandemic, the Federal Reserve issued two emergency rate cuts in the month of March. The first cut lowered rates 50 bps in preparation for the supply chain shocks overseas. The succeeding 100 bps cut in mid-March was seen as the Federal Reserve's attempt to assist the economy in combatting a recession, as the reality of the virus breached borders. As the Federal Reserve became increasingly accommodative, bull steepening of the yield curve resulted, and investors continued piling into treasuries as the global economic outlook and corporate earnings started to look grim. After pandemic and market correction concerns sent yields plummeting towards the zero bound range, the curve eventually started to flatten out at end of the Semi-Annual Period.
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.
DIREXION SEMI-ANNUAL REPORT
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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 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 benchmark index 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 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.
DIREXION SEMI-ANNUAL REPORT
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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.
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 seeks to provide 300% of the daily return of the S&P Mid Cap 400® Index. The S&P Mid Cap 400® Index is a float-adjusted market capitalization weighted index that attempts to measure the performance of 400 mid-sized companies in the United States. For the Semi-Annual Period, the S&P Mid Cap 400® Index returned -15.02%. 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 -60.81%, while the model indicated an expected return of -59.52%.
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 -3.16%. 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 -34.87%, while the model indicated an expected return of -32.88%. The Direxion Daily S&P 500® Bear 3X Shares returned -36.56%, while the model indicated an expected return of -37.75%.
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 -15.47%. 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 Small Cap Bull 3X Shares returned -62.25%, while the model indicated an expected return of -61.43%. The Direxion Daily Small Cap Bear 3X Shares returned -21.98%, while the model indicated an expected return of -23.00%.
DIREXION SEMI-ANNUAL REPORT
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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 -4.48%. 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 ETFs. The Direxion Daily FTSE China Bull 3X Shares returned -31.57%, while the model indicated an expected return of -29.47%. The Direxion Daily FTSE China Bear 3X Shares returned -20.35%, while the model indicated an expected return of -21.91%.
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 -16.22%. 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 -57.57%, while the model indicated an expected return of -56.22%.
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 -41.17%. 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 -90.96%, while the model indicated an expected return of -90.63%.
The Direxion Daily MSCI Developed Markets Bull 3X Shares seeks to provide 300% 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 -15.16%. 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 -53.62%, while the model indicated an expected return of -52.18%.
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 represent the performance of large-and mid-capitalizations securities across 24 emerging markets countries. For the Semi-Annual Period, the MSCI Emerging Market IndexSM returned -12.13%. 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 -51.12%, while the model indicated an expected return of -49.81%. The Direxion Daily MSCI Emerging Markets Bear 3X Shares returned -11.12%, while the model indicated an expected return of -12.25%.
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 equity market, covering approximately 85% of companies in the Indian equity universe. For the Semi-Annual Period, the MSCI India Index returned -21.86%. 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 MSCI India Bull 3X Shares returned -73.26%, while the model indicated an expected return of -72.25%.
DIREXION SEMI-ANNUAL REPORT
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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 -10.75%. 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 MSCI Japan Bull 3X Shares returned -40.75%, while the model indicated an expected return of -38.78%.
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 -33.32%. 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 Fund. The Direxion Daily MSCI Mexico Bull 3X Shares returned -81.74%, while the model indicated an expected return of -81.23%.
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 -10.51%. 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 -55.67%, while the model indicated an expected return of -54.24%.
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. 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 -28.13%. 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 -78.59% for the same period, while the model indicated an expected return of -77.87%.
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. For the Semi-Annual Period, the Communication Services Select Sector Index returned -0.02%. 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 -24.50% for the same period, while the model indicated an expected return of -22.19%. The Direxion Daily Communication Services Index Bear 3X Shares returned -35.84% for the same period, while the model indicated an expected return of -37.04%.
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: retail (specialty, multiline, internet & direct marketing); hotels, restaurants & leisure; textiles, apparel & luxury goods; household durables; automobiles; automobile
DIREXION SEMI-ANNUAL REPORT
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components; distributors; leisure equipment & products; and diversified consumer services. For the Semi-Annual Period, the Consumer Discretionary Select Sector Index returned -2.67%. 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 ETFs. The Direxion Daily Consumer Discretionary Bull 3X Shares returned -33.05% for the same period, while the model indicated an expected return of -30.98%. The Direxion Daily Consumer Discretionary Bear 3X Shares returned -34.28% for the same period, while the model indicated an expected return of -35.54%.
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. For the Semi-Annual Period the Consumer Staples Select Sector Index returned -3.28%. 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 ETFs. The Direxion Daily Consumer Staples Bull 3X Shares returned -27.91% for the same period, while the model indicated an expected return of -25.70%. The Direxion Daily Consumer Staples Bear 3X Shares returned -23.99% for the same period, while the model indicated an expected return of -25.53%.
The Direxion Daily Dow Jones Internet Bull 3X Shares and the Direxion Daily Dow Jones Internet Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Dow Jones Internet Composite Index. The Dow Jones Internet Composite Index includes companies that generate at least 50% of their annual sales/revenue from the internet as determined by the Index Provider. Additionally, each stock must have a minimum of three months' trading history and a three month average market capitalization of at least $100 million. The Index consists of 40 stocks that are included in two different sectors, internet commerce and internet services. Since the Funds' inception on November 7, 2019, the Dow Jones Internet Composite Index returned 10.93%. 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 Dow Jones Internet Bull 3X Shares returned 1.62%, while the model indicated an expected return of 4.49%. The Direxion Daily Dow Jones Internet Bear 3X Shares returned -54.85%, while the model indicated an expected return of -55.57%.
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. This includes companies that are classified as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, financial investments, and real estate, including real estate investment trusts (REITS). For the Semi-Annual Period, the Russell 1000® Financial Services Index returned -15.80%. 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 -63.55%, while the model indicated an expected return of -62.37%. The Direxion Daily Financial Bear 3X Shares returned -27.10%, while the model indicated an expected return of -28.42%.
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 7.04%. 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 ETFs. The Direxion Daily Healthcare Bull 3X Shares returned -5.28%, while the model indicated an expected return of -2.44%.
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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 -17.80%. 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 -75.61%, while the model indicated an expected return of -74.73%.
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; machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction and engineering; trading companies and distributors; airlines; and building products. For the Semi-Annual Period, the Industrials Select Sector Index returned -17.19%. 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 -61.76%, while the model indicated an expected return of -60.40%.
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 US IMI Real Estate 25/50 Index. The MSCI US IMI Real Estate 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the U.S. equity universe that are classified in the real estate sector as per the Global Industry Classification Standard (GICS). For Semi-Annual Period, the MSCI US IMI Real Estate 25/50 Index returned -17.71%. 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 -67.50%, while the model indicated an expected return of -66.42%. The Direxion Daily MSCI Real Estate Bear 3X Shares returned -18.48%, while the model indicated an expected return of -19.62%.
The Direxion Daily Pharmaceutical & Medical Bull 3X Shares seeks to provide 300% of the daily return of the S&P Pharmaceuticals Select Industry Index. The S&P Pharmaceuticals 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 (GICS) pharmaceuticals subindustry. For the Semi-Annual Period, the S&P Pharmaceuticals Select Industry Index 8.86%. 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 Pharmaceutical & Medical Bull 3X Shares returned -5.81%, while the model indicated an expected return of -2.91%.
The Direxion Daily Regional Banks Bull 3X Shares seeks to provide 300% 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 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 -28.03%. 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 Regional Banks Bull 3X Shares returned -81.83%, while the model indicated an expected return of -81.22%.
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 -14.28%. 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
DIREXION SEMI-ANNUAL REPORT
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not generate expectations of annual performance of the ETFs. The Direxion Daily Retail Bull 3X Shares returned -58.23%, while the model indicated an expected return of -57.03%.
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 -1.64%. 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 Robotics, Artificial Intelligence & Automation Index Bull 3X Shares returned -36.44%, while the model indicated an expected return of -34.32%.
The Direxion Daily S&P 500® High Beta Bull 3X Shares and the Direxion Daily S&P 500® High Beta Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® High Beta Index. The S&P 500® High Beta Index selects 100 securities to include in the Index from the S&P 500® Index that have the highest sensitivity to market movements, or "beta" over the past 12 months as determined by the Index Provider. Securities with the highest beta are generally the most volatile securities of the S&P 500® Index. The Index is reviewed and rebalanced quarterly. Since the Funds' inception on November 7, 2019, the Dow Jones Internet Composite Index returned -18.12%. 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® High Beta Bull 3X Shares returned -69.92%, while the model indicated an expected return of -68.94%. The Direxion Daily S&P 500® High Beta Bear 3X Shares returned -33.04%, while the model indicated an expected return of -33.53%.
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 16.64%. 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 S&P Biotech Bull 3X Shares returned -0.64%, while the model indicated an expected return of 2.11%. The Direxion Daily S&P Biotech Bear 3X Shares returned -66.10%, while the model indicated an expected return of -66.51%.
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 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 5.76%. 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 Semiconductor Bull 3X Shares returned -34.14%, while the model indicated an expected return of -32.18%. The Direxion Daily Semiconductor Bear 3X Shares returned -69.25%, while the model indicated an expected return of -68.94%.
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 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;
DIREXION SEMI-ANNUAL REPORT
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and office electronics. For the Semi-Annual Period, the Technology Select Sector Index returned 10.36%. 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 Technology Bull 3X Shares returned -12.36%, while the model indicated an expected return of -9.54%. The Direxion Daily Technology Bear 3X Shares returned -64.80%, while the model indicated an expected return of -65.38%.
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 -19.59%. 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 -64.81%, while the model indicated an expected return of -63.65%.
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 -9.33%. 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 -51.04%, while the model indicated an expected return of -49.52%.
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 9.41%. 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 ETFs. The Direxion Daily 7-10 Year Treasury Bull 3X Shares returned 25.40%, while the model indicated an expected return of 28.59%. The Direxion Daily 7-10 Year Treasury Bear 3X Shares returned -23.84%, while the model indicated and an expected return of -25.14%.
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 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 19.77%. 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 47.36%, while the model indicated an expected return of 56.78%. 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 20+ Year Treasury Bear 3X Shares returned -52.48%, while the model indicated an expected return of -51.23%.
DIREXION SEMI-ANNUAL REPORT
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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 |
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 direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
Investing in a Direxion Shares ETF may be more volatile than investing in broadly diversified funds. The use of leverage by an ETF increases the risk to the ETF. The Direxion Shares 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 Direxion Shares ETFs are not designed to track their respective underlying indices over a period of time longer than one day.
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the funds website at direxion.com.
Short-term performance, in particular, is not a good indication of the fund's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. For additional information, see the fund's prospectus.
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 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.
DIREXION SEMI-ANNUAL REPORT
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The views of this letter were those of the Adviser as of April 30, 2020 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
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Expense Example (Unaudited)
April 30, 2020
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, 2019 to April 30, 2020).
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, 2019 to April 30, 2020" 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, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | $ | 1,000.00 | $ | 391.90 | $ | 3.63 | |||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.64 | 5.27 | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.13 | % | 1,000.00 | 651.30 | 4.64 | ||||||||||||||
Based on hypothetical 5% return | 1.13 | % | 1,000.00 | 1,019.24 | 5.67 | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 634.40 | 3.98 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.99 | 4.92 | ||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 377.50 | 3.80 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.34 | 5.57 | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 780.20 | 4.38 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.94 | 4.97 |
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Expense Example (Unaudited)
April 30, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | $ | 1,000.00 | $ | 684.30 | $ | 4.31 | |||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.74 | 5.17 | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 796.50 | 4.47 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.89 | 5.02 | ||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.07 | % | 1,000.00 | 424.30 | 3.79 | ||||||||||||||
Based on hypothetical 5% return | 1.07 | % | 1,000.00 | 1,019.54 | 5.37 | ||||||||||||||
Direxion Daily Latin America Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | 1,000.00 | 90.40 | 2.82 | ||||||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.69 | 5.22 | ||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 463.80 | 3.64 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.89 | 5.02 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.06 | % | 1,000.00 | 488.80 | 3.92 | ||||||||||||||
Based on hypothetical 5% return | 1.06 | % | 1,000.00 | 1,019.59 | 5.32 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 888.80 | 4.70 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.89 | 5.02 | ||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | 1,000.00 | 267.40 | 3.18 | ||||||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.84 | 5.07 | ||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | 1,000.00 | 592.50 | 4.00 | ||||||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.84 | 5.07 | ||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.10 | % | 1,000.00 | 182.70 | 3.23 | ||||||||||||||
Based on hypothetical 5% return | 1.10 | % | 1,000.00 | 1,019.39 | 5.52 | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 443.30 | 3.91 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.44 | 5.47 | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 214.10 | 3.29 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.44 | 5.47 | ||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 755.00 | 4.36 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.89 | 5.02 | ||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 641.60 | 3.88 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.14 | 4.77 | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | 1,000.00 | 669.50 | 4.32 | ||||||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.69 | 5.22 | ||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 657.20 | 3.96 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.09 | 4.82 | ||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | 1,000.00 | 720.90 | 4.41 | ||||||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.74 | 5.17 | ||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 760.10 | 4.16 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.14 | 4.77 |
DIREXION SEMI-ANNUAL REPORT
16
Expense Example (Unaudited)
April 30, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 1.00 | % | $ | 1,000.00 | $ | 1,016.20 | $ | 4.85 | |||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.24 | 4.85 | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 451.50 | 3.42 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.33 | 4.76 | ||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 364.50 | 3.77 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.34 | 5.57 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 729.00 | 4.21 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.99 | 4.92 | ||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.06 | % | 1,000.00 | 947.20 | 5.13 | ||||||||||||||
Based on hypothetical 5% return | 1.06 | % | 1,000.00 | 1,019.59 | 5.32 | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.15 | % | 1,000.00 | 243.90 | 3.56 | ||||||||||||||
Based on hypothetical 5% return | 1.15 | % | 1,000.00 | 1,019.14 | 5.77 | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.01 | % | 1,000.00 | 382.40 | 3.47 | ||||||||||||||
Based on hypothetical 5% return | 1.01 | % | 1,000.00 | 1,019.84 | 5.07 | ||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 325.00 | 3.46 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.64 | 5.27 | ||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 815.20 | 4.38 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.04 | 4.87 | ||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.13 | % | 1,000.00 | 941.90 | 5.46 | ||||||||||||||
Based on hypothetical 5% return | 1.13 | % | 1,000.00 | 1,019.24 | 5.67 | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | 1,000.00 | 181.70 | 3.03 | ||||||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.74 | 5.17 | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | 1,000.00 | 417.70 | 3.67 | ||||||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.69 | 5.22 | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.18 | % | 1,000.00 | 635.60 | 4.80 | ||||||||||||||
Based on hypothetical 5% return | 1.18 | % | 1,000.00 | 1,019.00 | 5.92 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 300.80 | 3.00 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,019.43 | 4.66 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares1 | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 669.60 | 3.97 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.28 | 4.81 | ||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 993.60 | 5.50 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.34 | 5.57 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.02 | % | 1,000.00 | 339.00 | 3.40 | ||||||||||||||
Based on hypothetical 5% return | 1.02 | % | 1,000.00 | 1,019.79 | 5.12 | ||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.23 | % | 1,000.00 | 658.60 | 5.07 | ||||||||||||||
Based on hypothetical 5% return | 1.23 | % | 1,000.00 | 1,018.75 | 6.17 |
DIREXION SEMI-ANNUAL REPORT
17
Expense Example (Unaudited)
April 30, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | $ | 1,000.00 | $ | 307.50 | $ | 3.22 | |||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.94 | 4.97 | ||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.20 | % | 1,000.00 | 876.40 | 5.60 | ||||||||||||||
Based on hypothetical 5% return | 1.20 | % | 1,000.00 | 1,018.90 | 6.02 | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 352.00 | 3.29 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.99 | 4.92 | ||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.00 | % | 1,000.00 | 351.90 | 3.36 | ||||||||||||||
Based on hypothetical 5% return | 1.00 | % | 1,000.00 | 1,019.89 | 5.02 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.07 | % | 1,000.00 | 489.60 | 3.96 | ||||||||||||||
Based on hypothetical 5% return | 1.07 | % | 1,000.00 | 1,019.54 | 5.37 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.02 | % | 1,000.00 | 1,254.00 | 5.72 | ||||||||||||||
Based on hypothetical 5% return | 1.02 | % | 1,000.00 | 1,019.79 | 5.12 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 761.60 | 4.16 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.14 | 4.77 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.02 | % | 1,000.00 | 1,473.60 | 6.27 | ||||||||||||||
Based on hypothetical 5% return | 1.02 | % | 1,000.00 | 1,019.79 | 5.12 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.94 | % | 1,000.00 | 475.20 | 3.45 | ||||||||||||||
Based on hypothetical 5% return | 0.94 | % | 1,000.00 | 1,020.19 | 4.72 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 days (the number of days in the period of November 1, 2019 to April 30, 2020), then divided by 366.
1 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value during the period from November 7, 2019 (commencement of operations) to April 30, 2020, multiplied by 176 days (the number of days since commencement of operations to April 30, 2020), then divided by 366.
DIREXION SEMI-ANNUAL REPORT
18
Allocation of Portfolio Holdings (Unaudited)
April 30, 2020
Cash* | Common Stocks | Investment Companies | Swaps | Total | |||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | 38 | % | — | 56 | % | 6 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 17 | % | — | 70 | % | 13 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 128 | % | — | — | (28 | )% | 100 | % | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 51 | % | — | 27 | % | 22 | % | 100 | % | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 139 | % | — | — | (39 | )% | 100 | % | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 68 | % | — | 28 | % | 4 | % | 100 | % | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 118 | % | — | — | (18 | )% | 100 | % | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 41 | % | — | 50 | % | 9 | % | 100 | % | ||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 51 | % | — | 38 | % | 11 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 39 | % | — | 49 | % | 12 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 67 | % | — | 30 | % | 3 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 122 | % | — | — | (22 | )% | 100 | % | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 44 | % | — | 35 | % | 21 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 81 | % | — | 16 | % | 3 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 67 | % | — | 48 | % | (15 | )% | 100 | % | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 66 | % | — | 23 | % | 11 | % | 100 | % | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 27 | % | 59 | % | — | 14 | % | 100 | % | ||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 25 | % | 62 | % | — | 13 | % | 100 | % | ||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 142 | % | — | — | (42 | )% | 100 | % | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 17 | % | 59 | % | — | 24 | % | 100 | % | ||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 146 | % | — | — | (46 | )% | 100 | % | |||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 52 | % | 50 | % | — | (2 | )% | 100 | % | ||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | 126 | % | — | — | (26 | )% | 100 | % | |||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 24 | % | 58 | % | — | 18 | % | 100 | % | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 114 | % | — | — | (14 | )% | 100 | % | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 31 | % | 69 | % | — | 0 | %** | 100 | % | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | 123 | % | — | — | (23 | )% | 100 | % | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 40 | % | 50 | % | — | 10 | % | 100 | % | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 22 | % | 58 | % | — | 20 | % | 100 | % | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 31 | % | 60 | % | — | 9 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 24 | % | 62 | % | — | 14 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 120 | % | — | — | (20 | )% | 100 | % | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 28 | % | 51 | % | — | 21 | % | 100 | % | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 31 | % | 51 | % | — | 18 | % | 100 | % | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | 25 | % | 55 | % | — | 20 | % | 100 | % | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 31 | % | — | 49 | % | 20 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 81 | % | 15 | % | — | 4 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 130 | % | — | — | (30 | )% | 100 | % | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 47 | % | 43 | % | — | 10 | % | 100 | % | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 131 | % | — | — | (31 | )% | 100 | % | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 24 | % | 57 | % | — | 19 | % | 100 | % | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 128 | % | — | — | (28 | )% | 100 | % | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 23 | % | 55 | % | — | 22 | % | 100 | % | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | 140 | % | — | — | (40 | )% | 100 | % | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 53 | % | 44 | % | — | 3 | % | 100 | % | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 42 | % | 58 | % | — | 0 | %** | 100 | % | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 55 | % | — | 37 | % | 8 | % | 100 | % | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 115 | % | — | — | (15 | )% | 100 | % | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 34 | % | — | 49 | % | 17 | % | 100 | % | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 119 | % | — | — | (19 | )% | 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
19
Direxion Daily Mid Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 55.6% | |||||||||||
111,856 | iShares Core S&P Mid-Cap ETF (a) | $ | 18,364,518 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $17,604,815) | $ | 18,364,518 | |||||||||
SHORT TERM INVESTMENTS - 42.7% | |||||||||||
Money Market Funds - 42.7% | |||||||||||
6,245,770 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 6,245,770 | ||||||||
1,992,179 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 1,992,179 | |||||||||
5,861,921 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 5,861,921 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,099,870) | $ | 14,099,870 | |||||||||
TOTAL INVESTMENTS (Cost $31,704,685) - 98.3% (c) | $ | 32,464,388 | |||||||||
Other Assets in Excess of Liabilities - 1.7% | 535,901 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 33,000,289 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $22,514,916.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 633 | $ | 1,193,203 | $ | (152,752 | ) | ||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 2,146 | 4,232,167 | (701,165 | ) | ||||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.0183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 2,206 | 4,499,331 | (870,672 | ) | ||||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.0508% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 21,536 | 34,247,202 | 1,215,437 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/15/2020 | 11,751 | 18,920,070 | 426,205 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 438 | 794,532 | (72,963 | ) | ||||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 8,173 | 11,401,570 | 2,059,699 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 2,099 | 3,422,165 | 34,459 | |||||||||||||||||||||
$ | 78,710,240 | $ | 1,938,248 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 70.1% | |||||||||||
3,451,591 | iShares Core S&P 500 ETF (a) | $ | 1,004,965,236 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $933,815,345) | $ | 1,004,965,236 | |||||||||
SHORT TERM INVESTMENTS - 27.5% | |||||||||||
Money Market Funds - 27.5% | |||||||||||
247,352,126 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 247,352,126 | ||||||||
109,482,910 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 109,482,910 | |||||||||
37,888,616 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 37,888,616 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $394,723,652) | $ | 394,723,652 | |||||||||
TOTAL INVESTMENTS (Cost $1,328,538,997) - 97.6% (c) | $ | 1,399,688,888 | |||||||||
Other Assets in Excess of Liabilities - 2.4% | 33,958,800 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,433,647,688 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $847,776,764.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 500® Index | 1.0883% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 218,906 | $ | 605,966,007 | $ | 31,638,235 | |||||||||||||||||||
Total return of S&P 500® Index | 0.8808% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 167,930 | 458,811,322 | 30,461,291 | |||||||||||||||||||||
Total return of S&P 500® Index | 0.7876% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 241,558 | 695,319,872 | 8,208,533 | |||||||||||||||||||||
Total return of S&P 500® Index | 1.2008% representing 1 month LIBOR rate + spread | BNP Paribas | 12/9/2020 | 80,000 | 209,210,170 | 23,822,865 | |||||||||||||||||||||
Total return of S&P 500® Index | 1.2008% representing 1 month LIBOR rate + spread | BNP Paribas | 12/9/2020 | 17,522 | 59,332,120 | (8,307,388 | ) | ||||||||||||||||||||
Total return of S&P 500® Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 211,043 | 555,606,179 | 59,152,822 | |||||||||||||||||||||
Total return of S&P 500® Index | 1.2508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 194,820 | 526,358,920 | 41,060,223 | |||||||||||||||||||||
$ | 3,110,604,590 | $ | 186,036,581 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily S&P 500® Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 90.1% | |||||||||||
Money Market Funds - 90.1% | |||||||||||
458,703,392 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 458,703,392 | ||||||||
389,097,346 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 389,097,346 | |||||||||
220,833,352 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 220,833,352 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,068,634,090) (b) | $ | 1,068,634,090 | |||||||||
TOTAL INVESTMENTS (Cost $1,068,634,090) - 90.1% | $ | 1,068,634,090 | |||||||||
Other Assets in Excess of Liabilities - 9.9% | 116,778,577 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,185,412,667 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,068,634,090.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8208% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Credit Suisse Capital LLC | 12/9/2020 | 232,119 | $ | 648,965,728 | $ | (27,084,729 | ) | ||||||||||||||||||
0.8883% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Bank of America Merrill Lynch | 12/9/2020 | 215,819 | 549,855,933 | (78,945,120 | ) | ||||||||||||||||||||
0.6408% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | UBS Securities LLC | 12/9/2020 | 144,474 | 349,204,078 | (71,846,152 | ) | ||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | J.P. Morgan | 12/9/2020 | 263,725 | 693,278,714 | (75,048,439 | ) | ||||||||||||||||||||
1.0508% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Citibank N.A. | 12/11/2020 | 269,948 | 732,405,096 | (53,870,845 | ) | ||||||||||||||||||||
.7508% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | BNP Paribas | 4/21/2021 | 95,000 | 250,550,015 | (26,193,085 | ) | ||||||||||||||||||||
$ | 3,224,259,564 | $ | (332,988,370 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily Small Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 26.6% | |||||||||||
1,502,866 | iShares Russell 2000 ETF (a)(b) | $ | 195,838,468 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $190,840,262) | $ | 195,838,468 | |||||||||
SHORT TERM INVESTMENTS - 61.1% | |||||||||||
Money Market Funds - 61.1% | |||||||||||
266,567,613 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 266,567,613 | ||||||||
175,586,536 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 175,586,536 | |||||||||
8,170,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 8,170,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $450,324,149) | $ | 450,324,149 | |||||||||
TOTAL INVESTMENTS (Cost $641,164,411) - 87.7% (e) | $ | 646,162,617 | |||||||||
Other Assets in Excess of Liabilities - 12.3% | 90,895,842 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 737,058,459 |
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, 2020.
(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 $378,809,797.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 0.9683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/03/2020 | 244,445 | $ | 319,759,024 | $ | 682,190 | |||||||||||||||||||
Total return of Russell 2000® Index | 0.8808% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/09/2020 | 224,777 | 279,772,665 | 14,918,889 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.7508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 189,444 | 207,468,536 | 40,976,438 | |||||||||||||||||||||
Total return of Russell 2000® Index | 1.0208% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 554,824 | 662,000,849 | 65,026,677 | |||||||||||||||||||||
Total return of Russell 2000® Index | 1.0508% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 261,311 | 306,894,195 | 35,568,546 | |||||||||||||||||||||
Total return of Russell 2000® Index | 1.0508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 32,905 | 39,547,975 | 3,575,631 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.6701% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 30,000 | 40,829,013 | (1,508,662 | ) | ||||||||||||||||||||
$ | 1,856,272,257 | $ | 159,239,709 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily Small Cap Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 99.8% | |||||||||||
Money Market Funds - 99.8% | |||||||||||
346,097,132 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 346,097,132 | ||||||||
219,601,241 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 219,601,241 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $565,698,373) (b) | $ | 565,698,373 | |||||||||
TOTAL INVESTMENTS (Cost $565,698,373) - 99.8% | $ | 565,698,373 | |||||||||
Other Assets in Excess of Liabilities - 0.2% | 1,357,139 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 567,055,512 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $565,698,373.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.4108% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Credit Suisse Capital LLC | 12/9/2020 | 246,839 | $ | 265,211,686 | $ | (58,480,807 | ) | ||||||||||||||||||
0.8008% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Citibank N.A. | 12/9/2020 | 274,710 | 334,281,804 | (25,749,596 | ) | ||||||||||||||||||||
0.5008% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | UBS Securities LLC | 12/9/2020 | 205,385 | 230,766,651 | (38,437,797 | ) | ||||||||||||||||||||
0.7683% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Bank of America Merrill Lynch | 12/10/2020 | 266,729 | 301,704,445 | (47,954,144 | ) | ||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 4/21/2021 | 229,430 | 256,452,996 | (44,231,726 | ) | ||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 5/19/2021 | 45,000 | 54,584,280 | (4,391,046 | ) | ||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | J.P. Morgan | 6/1/2021 | 30,000 | 39,310,090 | — | |||||||||||||||||||||
$ | 1,482,311,952 | $ | (219,245,116 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily FTSE China Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 28.2% | |||||||||||
1,728,799 | iShares China Large-Cap ETF (a)(b) | $ | 66,714,354 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $67,423,947) | $ | 66,714,354 | |||||||||
SHORT TERM INVESTMENTS - 50.0% | |||||||||||
Money Market Funds - 50.0% | |||||||||||
88,074,419 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 88,074,419 | ||||||||
30,392,141 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 30,392,141 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $118,466,560) | $ | 118,466,560 | |||||||||
TOTAL INVESTMENTS (Cost $185,890,507) - 78.2% (e) | $ | 185,180,914 | |||||||||
Other Assets in Excess of Liabilities - 21.8% | 51,616,191 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 236,797,105 |
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, 2020.
(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 $132,840,753.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.2508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 7,722,054 | $ | 287,875,952 | $ | 9,733,040 | |||||||||||||||||||
Total return of iShares China Large-Cap ETF | 1.4408% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 4,434,754 | 165,993,269 | 4,903,324 | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 1.2183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/10/2020 | 2,415,153 | 95,486,201 | (2,036,561 | ) | ||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 610,018 | 26,156,702 | (2,701,688 | ) | ||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 1.1008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 1,499,424 | 57,230,458 | 616,070 | |||||||||||||||||||||
$ | 632,742,582 | $ | 10,514,185 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily FTSE China Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 55.4% | |||||||||||
Money Market Funds - 55.4% | |||||||||||
23,206,012 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 23,206,012 | ||||||||
8,081,676 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 8,081,676 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $31,287,688) (b) | $ | 31,287,688 | |||||||||
TOTAL INVESTMENTS (Cost $31,287,688) - 55.4% | $ | 31,287,688 | |||||||||
Other Assets in Excess of Liabilities - 44.6% | 25,233,501 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 56,521,189 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,287,688.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
1.0183% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | Bank of America Merrill Lynch | 12/3/2020 | 1,416,336 | $ | 52,005,096 | $ | (2,608,498 | ) | ||||||||||||||||||
0.6708% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | Credit Suisse Capital LLC | 12/8/2020 | 1,221,468 | 46,345,025 | (786,465 | ) | ||||||||||||||||||||
0.6008% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | UBS Securities LLC | 12/9/2020 | 1,756,558 | 60,738,376 | (7,005,056 | ) | ||||||||||||||||||||
$ | 159,088,497 | $ | (10,400,019 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily FTSE Europe Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 50.1% | |||||||||||
107,015 | Vanguard FTSE Europe ETF (a)(b) | $ | 4,930,181 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $5,048,454) | $ | 4,930,181 | |||||||||
SHORT TERM INVESTMENTS - 59.7% | |||||||||||
Money Market Funds - 59.7% | |||||||||||
2,529,350 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 2,529,350 | ||||||||
3,344,006 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 3,344,006 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,873,356) | $ | 5,873,356 | |||||||||
TOTAL INVESTMENTS (Cost $10,921,810) - 109.8% (e) | $ | 10,803,537 | |||||||||
Liabilities in Excess of Other Assets - (9.8)% | (958,538 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,844,999 |
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, 2020.
(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 $5,775,973.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.2796% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 362,867 | $ | 17,029,348 | $ | (312,854 | ) | ||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 1.0008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 171,230 | 6,914,392 | 1,212,113 | |||||||||||||||||||||
$ | 23,943,740 | $ | 899,259 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily Latin America Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 37.7% | |||||||||||
174,566 | iShares Latin America 40 ETF (a) | $ | 3,341,194 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,289,581) | $ | 3,341,194 | |||||||||
SHORT TERM INVESTMENTS - 46.4% | |||||||||||
Money Market Funds - 46.4% | |||||||||||
3,515,823 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 3,515,823 | ||||||||
595,827 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 595,827 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,111,650) | $ | 4,111,650 | |||||||||
TOTAL INVESTMENTS (Cost $7,401,231) - 84.1% (c) | $ | 7,452,844 | |||||||||
Other Assets in Excess of Liabilities - 15.9% | 1,407,258 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,860,102 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,341,194.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.1683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 176,906 | $ | 3,214,647 | $ | 167,424 | |||||||||||||||||||
Total return of iShares Latin America 40 ETF | 1.5008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 462,520 | 8,893,831 | (43,207 | ) | ||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 1.0008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 486,530 | 8,553,082 | 752,180 | |||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 1.0008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 88,329 | 1,571,844 | 118,642 | |||||||||||||||||||||
$ | 22,233,404 | $ | 995,039 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily MSCI Developed Markets Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 48.8% | |||||||||||
66,222 | iShares MSCI EAFE ETF (a) | $ | 3,746,179 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,562,171) | $ | 3,746,179 | |||||||||
SHORT TERM INVESTMENTS - 38.7% | |||||||||||
Money Market Funds - 38.7% | |||||||||||
2,127,895 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 2,127,895 | ||||||||
840,525 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 840,525 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,968,420) | $ | 2,968,420 | |||||||||
TOTAL INVESTMENTS (Cost $6,530,591) - 87.5% (c) | $ | 6,714,599 | |||||||||
Other Assets in Excess of Liabilities - 12.5% | 959,003 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,673,602 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,143,266.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.1508% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/09/2020 | 151,888 | $ | 8,267,659 | $ | 316,492 | |||||||||||||||||||
Total return of iShares MSCI EAFE ETF | 1.7008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 101,868 | 5,636,430 | 121,082 | |||||||||||||||||||||
Total return of iShares MSCI EAFE ETF | 1.3008% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 86,982 | 4,418,668 | 495,878 | |||||||||||||||||||||
$ | 18,322,757 | $ | 933,452 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 29.8% | |||||||||||
825,219 | iShares MSCI Emerging Markets ETF (a)(b) | $ | 30,236,024 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $29,451,519) | $ | 30,236,024 | |||||||||
SHORT TERM INVESTMENTS - 67.4% | |||||||||||
Money Market Funds - 67.4% | |||||||||||
30,442,096 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c) | $ | 30,442,096 | ||||||||
31,212,603 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 31,212,603 | |||||||||
6,727,739 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 6,727,739 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $68,382,438) | $ | 68,382,438 | |||||||||
TOTAL INVESTMENTS (Cost $97,833,957) - 97.2% (d) | $ | 98,618,462 | |||||||||
Other Assets in Excess of Liabilities - 2.8% | 2,796,000 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 101,414,462 |
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, 2020.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $76,819,458.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid/(Received) at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.8508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 1,100,000 | $ | 39,365,424 | $ | 918,745 | |||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | -0.9793% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 1,609,993 | 57,612,129 | 1,395,518 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.9808% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/15/2020 | 1,646,344 | 63,625,615 | (3,462,806 | ) | ||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 1.1008% representing 1 month LIBOR rate + spread | J.P. Morgan | 2/23/2021 | 500,000 | 22,520,378 | (4,284,103 | ) | ||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.9208% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 552,456 | 18,623,292 | 1,592,278 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.9208% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 2,069,912 | 69,277,109 | 6,503,515 | |||||||||||||||||||||
$ | 271,023,947 | $ | 2,663,147 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 90.3% | |||||||||||
Money Market Funds - 90.3% | |||||||||||
33,299,623 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 33,299,623 | ||||||||
10,042,223 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 10,042,223 | |||||||||
3,511,695 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 3,511,695 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $46,853,541) (b) | $ | 46,853,541 | |||||||||
TOTAL INVESTMENTS (Cost $46,853,541) - 90.3% | $ | 46,853,541 | |||||||||
Other Assets in Excess of Liabilities - 9.7% | 5,044,632 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 51,898,173 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $46,853,541.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received/(Paid) at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
0.2108% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | UBS Securities LLC | 12/9/2020 | 750,000 | $ | 23,144,333 | $ | (4,324,127 | ) | ||||||||||||||||||
(1.5993)% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | Credit Suisse Capital LLC | 12/10/2020 | 609,170 | 21,671,137 | (687,871 | ) | ||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | Citibank N.A. | 12/11/2020 | 882,386 | 30,990,991 | (1,329,112 | ) | ||||||||||||||||||||
0.4508% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | J.P. Morgan | 4/5/2021 | 460,715 | 17,526,554 | 661,706 | |||||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 4/21/2021 | 1,547,464 | 50,985,725 | (5,684,979 | ) | ||||||||||||||||||||
$ | 144,318,740 | $ | (11,364,383 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily MSCI India Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 35.3% | |||||||||||
686,354 | iShares MSCI India ETF (a)(b) | $ | 18,565,876 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $16,929,202) | $ | 18,565,876 | |||||||||
SHORT TERM INVESTMENTS - 50.9% | |||||||||||
Money Market Funds - 50.9% | |||||||||||
21,249,451 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 21,249,451 | ||||||||
5,558,602 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 5,558,602 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $26,808,053) | $ | 26,808,053 | |||||||||
TOTAL INVESTMENTS (Cost $43,737,255) - 86.2% (e) | $ | 45,373,929 | |||||||||
Other Assets in Excess of Liabilities - 13.8% | 7,260,433 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 52,634,362 |
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, 2020.
(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 $27,886,800.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.1683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 516,367 | $ | 11,169,018 | $ | 2,783,645 | |||||||||||||||||||
Total return of iShares MSCI India ETF | 1.3008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 2,105,976 | 52,571,277 | 4,331,049 | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 2.2508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 1,197,755 | 28,753,231 | 3,589,261 | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 749,576 | 19,693,592 | 578,197 | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 581,674 | 16,093,930 | (360,037 | ) | ||||||||||||||||||||
$ | 128,281,048 | $ | 10,922,115 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion Daily MSCI Japan Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 15.9% | |||||||||||
22,030 | iShares MSCI Japan ETF (a)(b) | $ | 1,140,273 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,171,697) | $ | 1,140,273 | |||||||||
SHORT TERM INVESTMENTS - 57.3% | |||||||||||
Money Market Funds - 57.3% | |||||||||||
1,131,479 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 1,131,479 | ||||||||
2,968,722 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 2,968,722 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,100,201) | $ | 4,100,201 | |||||||||
TOTAL INVESTMENTS (Cost $5,271,898) - 73.2% (e) | $ | 5,240,474 | |||||||||
Other Assets in Excess of Liabilities - 26.8% | 1,909,406 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,149,880 |
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, 2020.
(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 $4,100,178.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.7508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 275,965 | $ | 14,101,408 | $ | 172,010 | |||||||||||||||||||
Total return of iShares MSCI Japan ETF | 1.2008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2020 | 116,449 | 5,999,085 | 49,194 | |||||||||||||||||||||
$ | 20,100,493 | $ | 221,204 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion Daily MSCI Mexico Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 48.0% | |||||||||||
110,152 | iShares MSCI Mexico ETF (a)(b) | $ | 3,224,149 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,115,585) | $ | 3,224,149 | |||||||||
SHORT TERM INVESTMENTS - 39.8% | |||||||||||
Money Market Funds - 39.8% | |||||||||||
1,492,814 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 1,492,814 | ||||||||
1,182,996 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 1,182,996 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,675,810) | $ | 2,675,810 | |||||||||
TOTAL INVESTMENTS (Cost $5,791,395) - 87.8% (e) | $ | 5,899,959 | |||||||||
Other Assets in Excess of Liabilities - 12.2% | 821,146 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,721,105 |
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, 2020.
(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 $3,614,715.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 0.6508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 119,347 | $ | 4,102,311 | $ | (614,512 | ) | ||||||||||||||||||
Total return of iShares MSCI Mexico Capped ETF | 1.0683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/9/2020 | 42,499 | 1,206,776 | 35,530 | |||||||||||||||||||||
Total return of iShares MSCI Mexico Capped ETF | 0.3296% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 416,924 | 12,645,305 | (442,160 | ) | ||||||||||||||||||||
$ | 17,954,392 | $ | (1,021,142 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion Daily MSCI South Korea Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 22.5% | |||||||||||
96,211 | iShares MSCI South Korea Capped ETF (a) | $ | 4,966,412 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $4,152,933) | $ | 4,966,412 | |||||||||
SHORT TERM INVESTMENTS - 53.1% | |||||||||||
Money Market Funds - 53.1% | |||||||||||
6,312,964 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 6,312,964 | ||||||||
1,825,901 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 1,825,901 | |||||||||
3,574,160 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 3,574,160 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $11,713,025) | $ | 11,713,025 |
Fair Value | |||||||||||
TOTAL INVESTMENTS (Cost $15,865,958) - 75.6% (c) | $ | 16,679,437 | |||||||||
Other Assets in Excess of Liabilities - 24.4% | 5,367,708 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 22,047,145 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $15,984,891.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.2008% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/09/2020 | 528,817 | $ | 26,127,908 | $ | 1,154,225 | |||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.7508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 176,549 | 8,468,151 | 632,719 | |||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 1/20/2021 | 36,788 | 2,304,115 | (315,773 | ) | ||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 2/17/2021 | 1,014 | 61,562 | (9,493 | ) | ||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 85,028 | 4,812,377 | (435,981 | ) | ||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 257,858 | 11,838,859 | 1,454,627 | |||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 66,386 | 3,398,655 | 27,836 | |||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 32,713 | 1,723,838 | (35,234 | ) | ||||||||||||||||||||
$ | 58,735,465 | $ | 2,472,926 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion Daily Aerospace & Defense Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 58.9% | |||||||||||
Computer and Electronic Product Manufacturing - 9.7% | |||||||||||
15,237 | Aerojet Rocketdyne Holdings, Inc. (a) | $ | 626,850 | ||||||||
6,575 | Cubic Corp. | 251,231 | |||||||||
12,550 | L3 Harris Technologies, Inc. | 2,430,935 | |||||||||
11,693 | Mercury Systems, Inc. (a) | 1,042,548 | |||||||||
6,778 | Moog, Inc. Class A | 335,375 | |||||||||
7,237 | Northrop Grumman Corp. | 2,393,059 | |||||||||
41,653 | Otis Worldwide Corp. (a) | 2,120,554 | |||||||||
9,200,552 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.0% | |||||||||||
12,494 | Axon Enterprise, Inc. (a) | 908,439 | |||||||||
Fabricated Metal Product Manufacturing - 3.1% | |||||||||||
11,529 | American Outdoor Brands Corp. (a) | 109,122 | |||||||||
20,035 | BWX Technologies, Inc. | 1,063,057 | |||||||||
8,977 | Curtiss-Wright Corp. | 930,466 | |||||||||
5,265 | RBC Bearings, Inc. (a) | 666,970 | |||||||||
3,500 | Sturm, Ruger & Co, Inc. | 186,200 | |||||||||
2,955,815 | |||||||||||
Machinery Manufacturing - 1.6% | |||||||||||
83,297 | Carrier Global Corp. (a) | 1,475,190 | |||||||||
Merchant Wholesalers, Durable Goods - 2.4% | |||||||||||
17,762 | Hexcel Corp. | 614,387 | |||||||||
8,604 | Huntington Ingalls Industries, Inc. | 1,646,892 | |||||||||
2,261,279 | |||||||||||
Miscellaneous Manufacturing - 1.3% | |||||||||||
48,031 | Textron, Inc. | 1,266,097 | |||||||||
Paper Manufacturing - 0.0% (†) | |||||||||||
4,864 | Astronics Corp. (a) | 43,679 | |||||||||
Primary Metal Manufacturing - 1.3% | |||||||||||
20,381 | Arconic Corp. (a) | 177,722 | |||||||||
81,519 | Howmet Aerospace, Inc. | 1,065,454 | |||||||||
1,243,176 | |||||||||||
Professional, Scientific, and Technical Services - 2.8% | |||||||||||
3,977 | Parsons Corp. (a) | 148,740 | |||||||||
7,657 | Teledyne Technologies, Inc. (a) | 2,493,655 | |||||||||
2,642,395 | |||||||||||
Textile Mills - 0.1% | |||||||||||
1,059 | National Presto Industries, Inc. | 86,107 | |||||||||
Transportation Equipment Manufacturing - 35.6% | |||||||||||
6,921 | AAR Corp. | 135,513 | |||||||||
4,538 | AeroVironment, Inc. (a) | 273,460 | |||||||||
45,060 | Boeing Co. | 6,354,361 | |||||||||
17,806 | General Dynamics Corp. | 2,325,820 | |||||||||
15,221 | HEICO Corp. | 1,100,935 | |||||||||
8,495 | HEICO Corp. Class A | 744,162 | |||||||||
19,012 | Kratos Defense & Security Solutions, Inc. (a) | 285,560 | |||||||||
25,489 | Lockheed Martin Corp. | 9,916,750 | |||||||||
150,717 | Raytheon Technologies Corp. | 9,767,969 | |||||||||
21,782 | Spirit AeroSystems Holdings, Inc. | 482,689 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing (continued) | |||||||||||
6,249 | TransDigm Group, Inc. | $ | 2,268,887 | ||||||||
10,541 | Triumph Group, Inc. | 74,209 | |||||||||
33,730,315 | |||||||||||
TOTAL COMMON STOCKS (Cost $52,050,610) | $ | 55,813,044 | |||||||||
SHORT TERM INVESTMENTS - 37.1% | |||||||||||
Money Market Funds - 37.1% | |||||||||||
9,870,031 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 9,870,031 | ||||||||
20,460,830 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 20,460,830 | |||||||||
4,800,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 4,800,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $35,130,861) | $ | 35,130,861 | |||||||||
TOTAL INVESTMENTS (Cost $87,181,471) - 96.0% (c) | $ | 90,943,905 | |||||||||
Other Assets in Excess of Liabilities - 4.0% | 3,769,869 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 94,713,774 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $59,139,973.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Daily Aerospace & Defense Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Dow Jones U.S. Select Aerospace & Defense Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 3,906 | $ | 65,139,056 | $ | 11,538,940 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 1.7008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 6,524 | 125,913,180 | 2,167,085 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 0.8701% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 1,193 | 23,964,975 | (529,535 | ) | ||||||||||||||||||||
$ | 215,017,211 | $ | 13,176,490 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Daily Communication Services Index Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 62.2% | |||||||||||
Amusement, Gambling, and Recreation Industries - 2.6% | |||||||||||
1,258 | The Walt Disney Co. | $ | 136,053 | ||||||||
Broadcasting (except Internet) - 8.9% | |||||||||||
275 | Charter Communications, Inc. (a) | 136,188 | |||||||||
3,507 | Comcast Corp. Class A | 131,968 | |||||||||
750 | Discovery Communications, Inc. Class A (a)(b) | 16,815 | |||||||||
1,588 | Discovery Communications, Inc. Class C (a) | 32,411 | |||||||||
1,213 | Dish Network Corp. (a) | 30,343 | |||||||||
1,679 | FOX Corp. Class A | 43,436 | |||||||||
769 | FOX Corp. Class B | 19,656 | |||||||||
2,560 | ViacomCBS, Inc. Class B | 44,185 | |||||||||
455,002 | |||||||||||
Motion Picture and Sound Recording Industries - 4.0% | |||||||||||
340 | Netflix, Inc. (a) | 142,749 | |||||||||
536 | Take-Two Interactive Software, Inc. (a) | 64,883 | |||||||||
207,632 | |||||||||||
Other Information Services - 16.7% | |||||||||||
280 | Alphabet, Inc. Class A (a) | 377,076 | |||||||||
278 | Alphabet, Inc. Class C (a) | 374,927 | |||||||||
3,679 | Twitter, Inc. (a) | 105,514 | |||||||||
857,517 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 6.1% | |||||||||||
2,128 | Activision Blizzard, Inc. | 135,617 | |||||||||
1,271 | Electronic Arts, Inc. (a) | 145,225 | |||||||||
668 | Live Nation Entertainment, Inc. (a)(b) | 29,973 | |||||||||
310,815 | |||||||||||
Professional, Scientific, and Technical Services - 14.4% | |||||||||||
3,182 | Facebook, Inc. (a) | 651,387 | |||||||||
1,837 | Interpublic Group of Companies, Inc. | 31,193 | |||||||||
1,032 | Omnicom Group, Inc. | 58,855 | |||||||||
741,435 | |||||||||||
Publishing Industries (except Internet) - 0.5% | |||||||||||
1,840 | News Corp. Class A | 18,234 | |||||||||
577 | News Corp. Class B | 5,897 | |||||||||
24,131 | |||||||||||
Telecommunications - 9.0% | |||||||||||
4,062 | AT&T, Inc. | 123,769 | |||||||||
4,648 | CenturyLink, Inc. | 49,362 | |||||||||
1,804 | T-Mobile US, Inc. (a) | 158,391 | |||||||||
2,297 | Verizon Communications, Inc. | 131,963 | |||||||||
463,485 | |||||||||||
TOTAL COMMON STOCKS (Cost $2,931,228) | $ | 3,196,070 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 31.6% | |||||||||||
Money Market Funds - 31.6% | |||||||||||
56,488 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 56,488 | ||||||||
1,288,113 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 1,288,113 | |||||||||
280,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 280,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,624,601) | $ | 1,624,601 | |||||||||
TOTAL INVESTMENTS (Cost $4,555,829) - 93.8% (e) | $ | 4,820,671 | |||||||||
Other Assets in Excess of Liabilities - 6.2% | 319,223 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 5,139,894 |
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, 2020.
(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 $3,316,319.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Daily Communication Services Index Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.1308% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 18,099 | $ | 4,381,006 | $ | 380,440 | |||||||||||||||||||
Total return of Communication Services Select Sector Index | 1.5708% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 23,250 | 5,846,628 | 264,634 | |||||||||||||||||||||
Total return of Communication Services Select Sector Index | 0.8701% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 5,128 | 1,355,123 | (6,441 | ) | ||||||||||||||||||||
$ | 11,582,757 | $ | 638,633 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Daily Communication Services Index Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 94.9% | |||||||||||
Money Market Funds - 94.9% | |||||||||||
271,310 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 271,310 | ||||||||
179,278 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 179,278 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $450,588) (b) | $ | 450,588 | |||||||||
TOTAL INVESTMENTS (Cost $450,588) - 94.9% | $ | 450,588 | |||||||||
Other Assets in Excess of Liabilities - 5.1% | 24,427 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 475,015 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $450,588.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing | Total return of Communication | Credit Suisse | |||||||||||||||||||||||||
1 month LIBOR rate + spread | Services Select Sector Index | Capital LLC | 12/09/2020 | 3,234 | $ | 763,131 | $ | (87,660 | ) | ||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Communication Services Select Sector Index | UBS Securities LLC | 12/09/2020 | 2,184 | 463,852 | (111,058 | ) | ||||||||||||||||||||
$ | 1,226,983 | $ | (198,718 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 58.9% | |||||||||||
Accommodation - 1.6% | |||||||||||
613 | Hilton Worldwide Holdings, Inc. | $ | 46,410 | ||||||||
590 | Marriott International, Inc. Class A | 53,655 | |||||||||
1,121 | MGM Resorts International | 18,866 | |||||||||
118,931 | |||||||||||
Administrative and Support Services - 2.1% | |||||||||||
92 | Booking Holdings, Inc. (a) | 136,212 | |||||||||
305 | Expedia, Inc. | 21,649 | |||||||||
157,861 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.2% | |||||||||||
210 | Wynn Resorts Ltd. | 17,961 | |||||||||
Apparel Manufacturing - 1.1% | |||||||||||
329 | Capri Holdings Ltd. (a) | 5,018 | |||||||||
786 | Hanesbrands, Inc. | 7,813 | |||||||||
161 | PVH Corp. | 7,926 | |||||||||
108 | Ralph Lauren Corp. | 7,968 | |||||||||
409 | Under Armour, Inc. Class A (a) | 4,262 | |||||||||
423 | Under Armour, Inc. Class C (a) | 3,921 | |||||||||
712 | V F Corp. | 41,367 | |||||||||
78,275 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 9.4% | |||||||||||
1,666 | Lowe's Companies, Inc. | 174,513 | |||||||||
2,373 | The Home Depot, Inc. | 521,657 | |||||||||
696,170 | |||||||||||
Clothing and Clothing Accessories Stores - 3.3% | |||||||||||
462 | Gap, Inc. | 3,751 | |||||||||
505 | L Brands, Inc. | 6,004 | |||||||||
233 | Nordstrom, Inc. (b) | 4,376 | |||||||||
786 | Ross Stores, Inc. | 71,809 | |||||||||
235 | Tiffany & Co. | 29,728 | |||||||||
2,638 | TJX Companies, Inc. | 129,394 | |||||||||
245,062 | |||||||||||
Construction of Buildings - 1.5% | |||||||||||
728 | D.R. Horton, Inc. | 34,376 | |||||||||
608 | Lennar Corp. Class A | 30,442 | |||||||||
9 | NVR, Inc. (a) | 27,900 | |||||||||
554 | PulteGroup, Inc. | 15,662 | |||||||||
108,380 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.2% | |||||||||||
138 | Whirlpool Corp. | 15,420 | |||||||||
Electronics and Appliance Stores - 0.5% | |||||||||||
496 | Best Buy Co., Inc. | 38,058 | |||||||||
Food Services and Drinking Places - 8.5% | |||||||||||
55 | Chipotle Mexican Grill, Inc. (a) | 48,320 | |||||||||
270 | Darden Restaurants, Inc. | 19,923 | |||||||||
1,637 | McDonald's Corp. | 307,036 | |||||||||
2,569 | Starbucks Corp. | 197,119 | |||||||||
657 | Yum! Brands, Inc. | 56,785 | |||||||||
629,183 |
Shares | Fair Value | ||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.3% | |||||||||||
315 | Garmin Ltd. ADR (Switzerland) | $ | 25,565 | ||||||||
General Merchandise Stores - 3.9% | |||||||||||
554 | Dollar General Corp. | 97,116 | |||||||||
515 | Dollar Tree, Inc. (a) | 41,030 | |||||||||
341 | Kohl's Corp. | 6,295 | |||||||||
1,101 | Target Corp. | 120,824 | |||||||||
257 | Tractor Supply Co. | 26,067 | |||||||||
291,332 | |||||||||||
Health and Personal Care Stores - 0.4% | |||||||||||
124 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 27,022 | |||||||||
Leather and Allied Product Manufacturing - 3.3% | |||||||||||
2,709 | NIKE, Inc. Class B | 236,171 | |||||||||
599 | Tapestry, Inc. | 8,913 | |||||||||
245,084 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.5% | |||||||||||
287 | Leggett & Platt, Inc. | 10,082 | |||||||||
666 | LKQ Corp. (a) | 17,416 | |||||||||
129 | Mohawk Industries, Inc. (a) | 11,316 | |||||||||
38,814 | |||||||||||
Miscellaneous Manufacturing - 0.3% | |||||||||||
276 | Hasbro, Inc. | 19,930 | |||||||||
Motor Vehicle and Parts Dealers - 2.2% | |||||||||||
151 | Advance Auto Parts, Inc. | 18,257 | |||||||||
53 | AutoZone, Inc. (a) | 54,077 | |||||||||
358 | CarMax, Inc. (a) | 26,367 | |||||||||
164 | O'Reilly Automotive, Inc. (a) | 63,360 | |||||||||
162,061 | |||||||||||
Nonstore Retailers - 15.7% | |||||||||||
444 | Amazon.com, Inc. (a) | 1,098,456 | |||||||||
1,662 | eBay, Inc. | 66,198 | |||||||||
1,164,654 | |||||||||||
Plastics and Rubber Products Manufacturing - 0.2% | |||||||||||
829 | Newell Rubbermaid, Inc. | 11,507 | |||||||||
Professional, Scientific, and Technical Services - 0.1% | |||||||||||
424 | H & R Block, Inc. | 7,060 | |||||||||
Specialty Trade Contractors - 0.5% | |||||||||||
735 | Las Vegas Sands Corp. | 35,295 | |||||||||
Transportation Equipment Manufacturing - 2.2% | |||||||||||
555 | Aptiv PLC ADR (Ireland) | 38,600 | |||||||||
449 | BorgWarner, Inc. | 12,828 | |||||||||
8,469 | Ford Motor Co. | 43,107 | |||||||||
2,734 | General Motors Co. | 60,941 | |||||||||
336 | Harley-Davidson, Inc. (b) | 7,335 | |||||||||
162,811 | |||||||||||
Water Transportation - 0.6% | |||||||||||
1,013 | Carnival Corp. (b) | 16,107 | |||||||||
462 | Norwegian Cruise Line Holdings Ltd. (a) | 7,577 | |||||||||
373 | Royal Caribbean Cruises Ltd. ADR (Liberia) | 17,445 | |||||||||
41,129 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.3% | |||||||||||
315 | Genuine Parts Co. | $ | 24,973 | ||||||||
TOTAL COMMON STOCKS (Cost $4,080,674) | $ | 4,362,538 | |||||||||
SHORT TERM INVESTMENTS - 31.9% | |||||||||||
Money Market Funds - 31.9% | |||||||||||
1,137,069 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 1,137,069 | ||||||||
743,267 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 743,267 | |||||||||
480,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 480,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,360,336) | $ | 2,360,336 | |||||||||
TOTAL INVESTMENTS (Cost $6,441,010) - 90.8% (e) | $ | 6,722,874 | |||||||||
Other Assets in Excess of Liabilities - 9.2% | 686,090 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,408,964 |
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, 2020.
(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 $4,634,228.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Consumer Discretionary Select Sector Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 5,719 | $ | 5,539,570 | $ | 1,195,404 | |||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 1.2508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2020 | 2,951 | 3,026,237 | 449,543 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 155 | 171,858 | 10,702 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 1.2508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 4,335 | 4,964,316 | 143,696 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 0.8201% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 2,000 | 2,370,816 | (13,948 | ) | ||||||||||||||||||||
$ | 16,072,797 | $ | 1,785,397 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Daily Consumer Discretionary Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 110.2% | |||||||||||
Money Market Funds - 110.2% | |||||||||||
80,000 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 80,000 | ||||||||
4,830,522 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 4,830,522 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,910,522) (b) | $ | 4,910,522 | |||||||||
TOTAL INVESTMENTS (Cost $4,910,522) - 110.2% | $ | 4,910,522 | |||||||||
Liabilities in Excess of Other Assets - (10.2)% | (454,838 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,455,684 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,910,522.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.6708% representing 1 month LIBOR rate + spread | Total return of Consumer Discretionary Select Sector Index | Credit Suisse Capital LLC | 12/9/2020 | 8,181 | $ | 7,925,643 | $ | (1,714,483 | ) | ||||||||||||||||||
0.9508% representing 1 month LIBOR rate + spread | Total return of Consumer Discretionary Select Sector Index | Citibank N.A. | 12/10/2020 | 2,715 | 2,869,007 | (329,810 | ) | ||||||||||||||||||||
0.8008% representing 1 month LIBOR rate + spread | Total return of Consumer Discretionary Select Sector Index | BNP Paribas | 5/19/2021 | 448 | 510,954 | (16,936 | ) | ||||||||||||||||||||
$ | 11,305,604 | $ | (2,061,229 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Daily Consumer Staples Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 50.2% | |||||||||||
Beverage and Tobacco Product Manufacturing - 16.6% | |||||||||||
4,647 | Altria Group, Inc. | $ | 182,395 | ||||||||
8,463 | Coca-Cola Co. | 388,367 | |||||||||
417 | Constellation Brands, Inc. Class A | 68,676 | |||||||||
467 | Molson Coors Brewing Co. Class B | 19,152 | |||||||||
949 | Monster Beverage Corp. (a) | 58,658 | |||||||||
3,060 | PepsiCo, Inc. | 404,807 | |||||||||
2,341 | Philip Morris International, Inc. | 174,638 | |||||||||
1,296,693 | |||||||||||
Chemical Manufacturing - 13.1% | |||||||||||
611 | Church & Dwight Co., Inc. | 42,764 | |||||||||
312 | Clorox Co. | 58,169 | |||||||||
2,132 | Colgate-Palmolive Co. | 149,816 | |||||||||
735 | Coty, Inc. Class A | 4,006 | |||||||||
852 | Kimberly-Clark Corp. | 117,985 | |||||||||
5,473 | Procter & Gamble Co. | 645,102 | |||||||||
1,017,842 | |||||||||||
Food and Beverage Stores - 0.8% | |||||||||||
1,995 | Kroger Co. | 63,062 | |||||||||
Food Manufacturing - 8.5% | |||||||||||
1,385 | Archer-Daniels-Midland Co. | 51,439 | |||||||||
420 | Campbell Soup Co. | 20,992 | |||||||||
1,503 | General Mills, Inc. | 90,015 | |||||||||
692 | Hormel Foods Corp. | 32,420 | |||||||||
619 | Kellogg Co. | 40,545 | |||||||||
364 | Lamb Weston Holdings, Inc. | 22,335 | |||||||||
307 | McCormick & Co, Inc. | 48,150 | |||||||||
3,581 | Mondelez International, Inc. | 184,207 | |||||||||
368 | The Hershey Co. | 48,734 | |||||||||
284 | The J.M. Smucker Co. | 32,634 | |||||||||
1,549 | The Kraft Heinz Co. | 46,981 | |||||||||
734 | Tyson Foods, Inc. Class A | 45,647 | |||||||||
664,099 | |||||||||||
General Merchandise Stores - 7.1% | |||||||||||
569 | Costco Wholesale Corp. | 172,407 | |||||||||
3,113 | Wal-Mart Stores, Inc. | 378,385 | |||||||||
550,792 | |||||||||||
Health and Personal Care Stores - 1.0% | |||||||||||
1,865 | Walgreens Boots Alliance, Inc. | 80,736 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Nondurable Goods - 1.8% | |||||||||||
454 | Brown Forman Corp. Class B | $ | 28,239 | ||||||||
1,210 | ConAgra Brands, Inc. | 40,462 | |||||||||
1,269 | Sysco Corp. | 71,407 | |||||||||
140,108 | |||||||||||
Miscellaneous Manufacturing - 1.3% | |||||||||||
554 | Estee Lauder Companies, Inc. Class A | 97,725 | |||||||||
TOTAL COMMON STOCKS (Cost $3,712,282) | $ | 3,911,057 | |||||||||
SHORT TERM INVESTMENTS - 35.2% | |||||||||||
Money Market Funds - 35.2% | |||||||||||
523,806 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 523,806 | ||||||||
2,215,082 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 2,215,082 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,738,888) | $ | 2,738,888 | |||||||||
TOTAL INVESTMENTS (Cost $6,451,170) - 85.4% (c) | $ | 6,649,945 | |||||||||
Other Assets in Excess of Liabilities - 14.6% | 1,140,856 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,790,801 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,441,720.
The accompanying notes are an integral part of these financial statements.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Consumer Staples Select Sector Index | 1.3008% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/9/2020 | 6,874 | $ | 3,887,339 | $ | 144,282 | |||||||||||||||||||
Total return of Consumer Staples Select Sector Index | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 21,646 | 13,012,097 | (312,774 | ) | ||||||||||||||||||||
Total return of Consumer Staples Select Sector Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2020 | 4,690 | 2,726,647 | 29,826 | |||||||||||||||||||||
$ | 19,626,083 | $ | (138,666 | ) |
DIREXION SEMI-ANNUAL REPORT
44
Direxion Daily Consumer Staples Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 92.3% | |||||||||||
Money Market Funds - 92.3% | |||||||||||
212,845 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 212,845 | ||||||||
375,802 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 375,802 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $588,647) (b) | $ | 588,647 | |||||||||
TOTAL INVESTMENTS (Cost $588,647) - 92.3% | $ | 588,647 | |||||||||
Other Assets in Excess of Liabilities - 7.7% | 48,865 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 637,512 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $588,647.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of Consumer Staples Select Sector Index | UBS Securities LLC | 12/10/2020 | 1,400 | �� | $ | 685,034 | $ | (137,408 | ) | |||||||||||||||||
0.9508% representing 1 month LIBOR rate + spread | Total return of Consumer Staples Select Sector Index | Citibank N.A. | 12/11/2020 | 1,864 | 1,067,125 | (26,986 | ) | ||||||||||||||||||||
$ | 1,752,159 | $ | (164,394 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Daily Dow Jones Internet Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 57.6% | |||||||||||
Computer and Electronic Product Manufacturing - 3.7% | |||||||||||
588 | Arista Networks, Inc. (a) | $ | 128,948 | ||||||||
7,000 | Cisco Systems, Inc. | 296,660 | |||||||||
425,608 | |||||||||||
Electronics and Appliance Stores - 0.8% | |||||||||||
1,809 | Smartsheet, Inc. (a) | 95,371 | |||||||||
Food and Beverage Stores - 0.8% | |||||||||||
1,870 | Grubhub, Inc. (a) | 89,367 | |||||||||
Merchant Wholesalers, Durable Goods - 0.7% | |||||||||||
1,470 | New Relic, Inc. (a) | 78,924 | |||||||||
Miscellaneous Store Retailers - 1.1% | |||||||||||
1,973 | Etsy, Inc. (a) | 127,989 | |||||||||
Motion Picture and Sound Recording Industries - 2.9% | |||||||||||
782 | Netflix, Inc. (a) | 328,323 | |||||||||
Nonstore Retailers - 7.0% | |||||||||||
245 | Amazon.com, Inc. (a) | 606,130 | |||||||||
4,777 | eBay, Inc. | 190,268 | |||||||||
796,398 | |||||||||||
Other Information Services - 7.5% | |||||||||||
193 | Alphabet, Inc. Class A (a) | 259,913 | |||||||||
193 | Alphabet, Inc. Class C (a) | 260,291 | |||||||||
989 | J2 Global, Inc. | 79,753 | |||||||||
4,054 | Pinterest, Inc. (a) | 83,756 | |||||||||
5,948 | Twitter, Inc. (a) | 170,589 | |||||||||
854,302 | |||||||||||
Professional, Scientific, and Technical Services - 12.1% | |||||||||||
3,099 | 2U, Inc. (a) | 73,601 | |||||||||
2,312 | Ciena Corp. (a) | 106,930 | |||||||||
2,309 | Facebook, Inc. (a) | 472,675 | |||||||||
2,234 | GoDaddy, Inc. (a) | 155,107 | |||||||||
52,564 | Groupon, Inc. (a) | 64,128 | |||||||||
4,719 | Juniper Networks, Inc. | 101,930 | |||||||||
1,093 | Okta, Inc. (a) | 165,371 | |||||||||
4,624 | Pluralsight, Inc. (a) | 76,019 | |||||||||
796 | VeriSign, Inc. (a) | 166,754 | |||||||||
1,382,515 | |||||||||||
Publishing Industries (except Internet) - 13.1% | |||||||||||
1,301 | Akamai Technologies, Inc. (a) | 127,121 | |||||||||
5,106 | Box, Inc. (a) | 82,411 | |||||||||
950 | Citrix Systems, Inc. | 137,760 | |||||||||
1,952 | Cornerstone OnDemand, Inc. (a) | 65,509 | |||||||||
1,356 | DocuSign, Inc. (a) | 142,041 | |||||||||
4,203 | Dropbox, Inc. (a) | 88,347 | |||||||||
710 | HubSpot, Inc. (a) | 119,727 | |||||||||
914 | LogMein, Inc. | 78,110 | |||||||||
1,744 | Salesforce.com, Inc. (a) | 282,441 | |||||||||
10,649 | Snap, Inc. (a) | 187,529 | |||||||||
961 | Veeva Systems, Inc. (a) | 183,359 | |||||||||
1,494,355 |
Shares | Fair Value | ||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 2.9% | |||||||||||
7,706 | CommScope Holding Co., Inc. (a) | $ | 84,843 | ||||||||
3,047 | E*TRADE Financial Corp. | 123,739 | |||||||||
3,139 | TD Ameritrade Holding Corp. | 123,268 | |||||||||
331,850 | |||||||||||
Support Activities for Transportation - 1.2% | |||||||||||
1,928 | Expedia, Inc. | 136,849 | |||||||||
Telecommunications - 3.8% | |||||||||||
3,700 | 8x8, Inc. (a) | 62,752 | |||||||||
2,433 | PayPal Holdings, Inc. (a) | 299,259 | |||||||||
9,483 | Vonage Holdings Corp. (a) | 79,278 | |||||||||
441,289 | |||||||||||
TOTAL COMMON STOCKS (Cost $5,706,054) | $ | 6,583,140 | |||||||||
SHORT TERM INVESTMENTS - 23.3% | |||||||||||
Money Market Funds - 23.3% | |||||||||||
2,582,659 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 2,582,659 | ||||||||
79,624 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 79,624 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,662,283) | $ | 2,662,283 | |||||||||
TOTAL INVESTMENTS (Cost $8,368,337) - 80.9% (c) | $ | 9,245,423 | |||||||||
Other Assets in Excess of Liabilities - 19.1% | 2,181,194 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 11,426,617 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $7,858,543.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Daily Dow Jones Internet Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Internet Composite Index | 1.0683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 19,952 | $ | 12,875,580 | $ | 450,593 | |||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 1.4608% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 21,495 | 12,762,761 | 1,589,621 | |||||||||||||||||||||
$ | 25,638,341 | $ | 2,040,214 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Direxion Daily Dow Jones Internet Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 81.5% | |||||||||||
Money Market Funds - 81.5% | |||||||||||
150,561 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 150,561 | ||||||||
1,225,676 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 1,225,676 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,376,237) (b) | $ | 1,376,237 | |||||||||
TOTAL INVESTMENTS (Cost $1,376,237) - 81.5% | $ | 1,376,237 | |||||||||
Other Assets in Excess of Liabilities - 18.5% | 313,020 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,689,257 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,376,237.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8683% representing 1 month LIBOR rate + spread | Total return of Dow Jones Internet Composite Index | Bank of America Merrill Lynch | 12/3/2020 | 930 | $ | 578,893 | $ | (41,837 | ) | ||||||||||||||||||
0.5409% representing 1 month LIBOR rate + spread | Total return of Dow Jones Internet Composite Index | Credit Suisse Capital LLC | 12/11/2020 | 6,654 | 4,243,321 | (202,798 | ) | ||||||||||||||||||||
$ | 4,822,214 | $ | (244,635 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Direxion Daily Financial Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 69.5% | |||||||||||
Accommodation - 0.0% (†) | |||||||||||
36,841 | Park Hotels & Resorts, Inc. | $ | 350,358 | ||||||||
Administrative and Support Services - 6.0% | |||||||||||
17,578 | Broadridge Financial Solutions, Inc. | 2,039,048 | |||||||||
73,793 | Colony Capital, Inc. | 170,462 | |||||||||
5,790 | FactSet Research System, Inc. | 1,592,250 | |||||||||
13,162 | FleetCor Technologies, Inc. (a) | 3,175,332 | |||||||||
44,026 | Iron Mountain, Inc. | 1,064,549 | |||||||||
25,158 | Moody's Corp. | 6,136,036 | |||||||||
30,014 | Navient Corp. | 228,707 | |||||||||
28,895 | TransUnion | 2,276,637 | |||||||||
265,158 | Visa, Inc. Class A | 47,389,038 | |||||||||
64,072,059 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.7% | |||||||||||
46,094 | Global Payments, Inc. | 7,652,526 | |||||||||
Credit Intermediation and Related Activities - 22.9% | |||||||||||
57,910 | Ally Financial, Inc. | 949,145 | |||||||||
102,437 | American Express Co. | 9,347,376 | |||||||||
23,850 | Associated Banc-Corp | 337,239 | |||||||||
1,237,169 | Bank of America Corp. | 29,753,914 | |||||||||
6,126 | Bank of Hawaii Corp. | 417,671 | |||||||||
123,930 | Bank of New York Mellon Corp. | 4,652,332 | |||||||||
18,748 | Bank OZK | 424,080 | |||||||||
14,468 | BankUnited, Inc. | 286,611 | |||||||||
4,937 | BOK Financial Corp. | 255,687 | |||||||||
70,302 | Capital One Financial Corp. | 4,552,758 | |||||||||
14,599 | CIT Group, Inc. | 277,089 | |||||||||
327,050 | Citigroup, Inc. | 15,881,548 | |||||||||
67,144 | Citizens Financial Group, Inc. | 1,503,354 | |||||||||
21,726 | Comerica, Inc. | 757,368 | |||||||||
15,661 | Commerce Bancshares, Inc. | 958,297 | |||||||||
1,558 | Credit Acceptance Corp. (a)(b) | 485,426 | |||||||||
47,832 | Discover Financial Services | 2,055,341 | |||||||||
22,409 | East West Bancorp, Inc. | 785,884 | |||||||||
7,711 | Euronet Worldwide, Inc. (a) | 707,561 | |||||||||
50,008 | F.N.B. Corp. | 404,565 | |||||||||
94,374 | Fidelity National Information Services, Inc. | 12,446,987 | |||||||||
109,541 | Fifth Third Bancorp | 2,047,321 | |||||||||
1,075 | First Citizens BancShares, Inc. Class A | 410,650 | |||||||||
20,259 | First Hawaiian, Inc. | 356,356 | |||||||||
47,523 | First Horizon National Corp. | 431,509 | |||||||||
26,275 | First Republic Bank | 2,740,220 | |||||||||
156,764 | Huntington Bancshares, Inc. | 1,448,499 | |||||||||
482,653 | JPMorgan Chase & Co. | 46,218,851 | |||||||||
151,497 | KeyCorp | 1,764,940 | |||||||||
1,174 | LendingTree, Inc. (a)(b) | 292,760 | |||||||||
20,140 | M&T Bank Corp. | 2,257,291 | |||||||||
137,209 | MasterCard, Inc. Class A | 37,728,359 | |||||||||
69,981 | New York Community Bancorp, Inc. | 759,994 | |||||||||
29,813 | Northern Trust Corp. | 2,359,997 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
10,052 | OneMain Holdings, Inc. | $ | 243,359 | ||||||||
18,192 | PacWest Bancorp | 368,206 | |||||||||
68,088 | People's United Financial, Inc. | 864,037 | |||||||||
11,567 | Pinnacle Financial Partners, Inc. | 465,572 | |||||||||
66,895 | PNC Financial Services Group, Inc. | 7,135,690 | |||||||||
14,528 | Popular, Inc. | 560,636 | |||||||||
14,077 | Prosperity Bancshares, Inc. | 843,635 | |||||||||
149,065 | Regions Financial Corp. | 1,602,449 | |||||||||
15,848 | Santander Consumer USA Holdings, Inc. (b) | 247,070 | |||||||||
8,180 | Signature Bank | 876,732 | |||||||||
65,128 | SLM Corp. | 543,168 | |||||||||
55,160 | State Street Corp. | 3,477,286 | |||||||||
30,235 | Sterling Bancorp | 372,798 | |||||||||
8,046 | SVB Financial Group (a) | 1,554,246 | |||||||||
94,746 | Synchrony Financial | 1,875,023 | |||||||||
21,620 | Synovus Financial Corp. | 454,236 | |||||||||
23,351 | TCF Financial Corp. | 693,291 | |||||||||
7,735 | Texas Capital Bancshares, Inc. (a) | 214,878 | |||||||||
7,550 | TFS Financial Corp. | 103,057 | |||||||||
207,069 | Truist Financial Corp. | 7,727,815 | |||||||||
215,491 | U.S. Bancorp | 7,865,421 | |||||||||
14,103 | Webster Financial Corp. | 398,410 | |||||||||
576,570 | Wells Fargo & Co. | 16,749,358 | |||||||||
14,693 | Western Alliance Bancorp | 527,185 | |||||||||
64,737 | Western Union Co. | 1,234,535 | |||||||||
8,839 | Wintrust Financial Corp. | 370,354 | |||||||||
25,142 | Zions Bancorp | 794,739 | |||||||||
244,220,166 | |||||||||||
Data Processing, Hosting and Related Services - 1.0% | |||||||||||
17,268 | CyrusOne, Inc. | 1,211,350 | |||||||||
87,258 | Fiserv, Inc. (a) | 8,992,810 | |||||||||
6,643 | WEX, Inc. (a) | 879,002 | |||||||||
11,083,162 | |||||||||||
Forestry and Logging - 0.1% | |||||||||||
19,997 | Rayonier, Inc. | 480,528 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
83,546 | AGNC Investment Corp. | 1,037,641 | |||||||||
28,762 | Chimera Investment Corp. (b) | 223,481 | |||||||||
1,261,122 | |||||||||||
Insurance Carriers and Related Activities - 13.7% | |||||||||||
112,322 | Aflac, Inc. | 4,182,871 | |||||||||
2,167 | Alleghany Corp. | 1,156,550 | |||||||||
49,223 | Allstate Corp. | 5,006,964 | |||||||||
11,390 | American Financial Group, Inc. | 754,474 | |||||||||
134,618 | American International Group, Inc. | 3,423,336 | |||||||||
1,130 | American National Insurance Co. | 90,965 | |||||||||
35,546 | AON PLC | 6,137,728 | |||||||||
59,189 | Arch Capital Group Ltd. (a) | 1,422,312 | |||||||||
28,857 | Arthur J. Gallagher & Co. | 2,265,274 | |||||||||
9,343 | Assurant, Inc. | 992,600 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
14,391 | Assured Guaranty Ltd. | $ | 427,844 | ||||||||
21,157 | Athene Holding Ltd. (a) | 571,239 | |||||||||
12,750 | Axis Capital Holdings Ltd. | 466,650 | |||||||||
302,761 | Berkshire Hathaway, Inc. Class B (a) | 56,725,301 | |||||||||
16,407 | Brighthouse Financial, Inc. (a) | 421,824 | |||||||||
36,396 | Brown & Brown, Inc. | 1,306,980 | |||||||||
69,730 | Chubb Limited (Switzerland) | 7,531,537 | |||||||||
23,511 | Cincinnati Financial Corp. | 1,547,024 | |||||||||
4,353 | CNA Financial Corp. | 137,468 | |||||||||
64,027 | Equitable Holdings, Inc. | 1,172,975 | |||||||||
3,809 | Erie Indemnity Co. Class A | 678,230 | |||||||||
6,200 | Everest Re Group Ltd. | 1,073,406 | |||||||||
16,854 | First American Financial Corp. | 777,306 | |||||||||
16,479 | Globe Life, Inc. | 1,356,881 | |||||||||
5,917 | Hanover Insurance Group, Inc. | 593,948 | |||||||||
55,685 | Hartford Financial Services Group, Inc. | 2,115,473 | |||||||||
9,726 | Kemper Corp. | 653,782 | |||||||||
30,846 | Lincoln National Corp. | 1,094,108 | |||||||||
38,274 | Loews Corp. | 1,326,577 | |||||||||
2,092 | Markel Corp. (a) | 1,811,337 | |||||||||
78,446 | Marsh & McLennan Companies, Inc. | 7,635,149 | |||||||||
4,232 | Mercury General Corp. | 173,343 | |||||||||
120,290 | MetLife, Inc. | 4,340,063 | |||||||||
53,599 | MGIC Investment Corp. | 391,809 | |||||||||
43,544 | Old Republic International Corp. | 694,527 | |||||||||
6,355 | Primerica, Inc. | 660,348 | |||||||||
42,074 | Principal Financial Group, Inc. | 1,531,914 | |||||||||
90,163 | Progressive Corp. | 6,969,600 | |||||||||
61,365 | Prudential Financial, Inc. | 3,827,335 | |||||||||
9,667 | Reinsurance Group of America, Inc. | 1,011,942 | |||||||||
6,725 | RenaissanceRe Holdings Ltd. | 981,917 | |||||||||
39,411 | Travelers Companies, Inc. | 3,988,787 | |||||||||
31,335 | Unum Group | 546,796 | |||||||||
20,772 | Voya Financial, Inc. | 938,271 | |||||||||
22,200 | W.R. Berkley Corp. | 1,198,800 | |||||||||
481 | White Mountains Insurance Group Ltd. | 468,013 | |||||||||
19,952 | Willis Towers Watson PLC (Ireland) | 3,557,242 | |||||||||
146,138,820 | |||||||||||
Management of Companies and Enterprises - 0.1% | |||||||||||
8,718 | Cullen/Frost Bankers, Inc. | 626,475 | |||||||||
34,009 | Umpqua Holdings Corp. | 425,963 | |||||||||
1,052,438 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
38,814 | Jefferies Financial Group, Inc. | 532,528 | |||||||||
Other Information Services - 0.1% | |||||||||||
5,765 | CoreSite Realty Corp. | 698,660 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services - 0.5% | |||||||||||
6,213 | Alliance Data Systems Corp. | $ | 311,085 | ||||||||
19,379 | Extra Space Storage, Inc. | 1,710,003 | |||||||||
11,872 | Jack Henry & Associates, Inc. | 1,941,665 | |||||||||
13,132 | Lamar Advertising Co. | 757,060 | |||||||||
22,056 | Outfront Media, Inc. | 346,059 | |||||||||
5,065,872 | |||||||||||
Publishing Industries (except Internet) - 0.5% | |||||||||||
1,520 | Bill.com Holdings, Inc. (a)(b) | 89,513 | |||||||||
4,380 | Fair Isaac Corp. (a) | 1,545,877 | |||||||||
53,128 | Square, Inc. (a) | 3,460,758 | |||||||||
5,096,148 | |||||||||||
Real Estate - 10.9% | |||||||||||
18,736 | Alexandria Real Estate Equities, Inc. | 2,943,238 | |||||||||
21,107 | American Campus Communities, Inc. | 744,866 | |||||||||
39,707 | American Homes 4 Rent | 958,527 | |||||||||
67,962 | American Tower Corp. | 16,174,956 | |||||||||
29,579 | Americold Realty Trust | 904,822 | |||||||||
220,816 | Annaly Capital Management, Inc. | 1,380,100 | |||||||||
22,804 | Apartment Investment & Management Co. Class A | 859,027 | |||||||||
32,442 | Apple Hospitality REIT, Inc. | 314,039 | |||||||||
21,524 | AvalonBay Communities, Inc. | 3,507,336 | |||||||||
23,881 | Boston Properties, Inc. | 2,320,756 | |||||||||
26,914 | Brandywine Realty Trust | 300,360 | |||||||||
45,842 | Brixmor Property Group, Inc. | 524,891 | |||||||||
10,132 | Brookfield Property REIT, Inc. Class A (b) | 99,243 | |||||||||
14,413 | Camden Property Trust | 1,269,353 | |||||||||
51,718 | CBRE Group, Inc. Class A (a) | 2,220,254 | |||||||||
17,714 | Columbia Property Trust, Inc. | 253,133 | |||||||||
17,277 | Corporate Office Properties Trust | 456,458 | |||||||||
22,487 | Cousins Properties, Inc. | 678,433 | |||||||||
29,669 | CubeSmart | 747,659 | |||||||||
40,341 | Digital Realty Trust, Inc. | 6,030,576 | |||||||||
25,582 | Douglas Emmett, Inc. | 779,995 | |||||||||
56,781 | Duke Realty Corp. | 1,970,301 | |||||||||
23,110 | Empire State Realty Trust, Inc. | 193,200 | |||||||||
12,022 | EPR Properties | 353,687 | |||||||||
18,599 | Equity Commonwealth | 631,436 | |||||||||
26,782 | Equity Lifestyle Properties, Inc. | 1,615,222 | |||||||||
56,543 | Equity Residential | 3,678,688 | |||||||||
10,108 | Essex Property Trust, Inc. | 2,467,363 | |||||||||
11,529 | Federal Realty Investment Trust | 960,020 | |||||||||
31,230 | Gaming & Leisure Properties, Inc. | 881,935 | |||||||||
33,189 | Healthcare Trust of America, Inc. Class A | 817,445 | |||||||||
78,190 | Healthpeak Properties, Inc. | 2,043,887 | |||||||||
15,752 | Highwoods Properties, Inc. | 611,335 | |||||||||
109,817 | Host Hotels & Resorts, Inc. | 1,351,847 | |||||||||
6,180 | Howard Hughes Corp. (a) | 334,709 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
23,446 | Hudson Pacific Properties, Inc. | $ | 576,303 | ||||||||
82,591 | Invitation Homes, Inc. | 1,953,277 | |||||||||
18,845 | JBG SMITH Properties | 639,788 | |||||||||
7,923 | Jones Lang LaSalle, Inc. | 836,510 | |||||||||
16,035 | Kilroy Realty Corp. | 998,339 | |||||||||
63,779 | Kimco Realty Corp. | 695,829 | |||||||||
7,161 | Life Storage, Inc. | 627,232 | |||||||||
21,802 | Macerich Co. (b) | 162,861 | |||||||||
79,251 | Medical Properties Trust, Inc. | 1,358,362 | |||||||||
69,291 | MFA Financial, Inc. | 121,259 | |||||||||
17,561 | Mid-America Apartment Communities, Inc. | 1,965,427 | |||||||||
26,410 | National Retail Properties, Inc. | 862,022 | |||||||||
64,071 | New Residential Investment Corp. (b) | 390,192 | |||||||||
31,936 | Omega Healthcare Investors, Inc. | 930,934 | |||||||||
30,151 | Paramount Group, Inc. | 290,957 | |||||||||
113,334 | Prologis, Inc. | 10,112,793 | |||||||||
22,890 | Public Storage | 4,244,950 | |||||||||
50,373 | Realty Income Corp. | 2,766,485 | |||||||||
25,703 | Regency Centers Corp. | 1,128,619 | |||||||||
32,897 | Retail Properties of America, Inc. Class A | 203,961 | |||||||||
25,142 | Service Property Trust | 174,234 | |||||||||
47,526 | Simon Property Group, Inc. | 3,173,311 | |||||||||
23,151 | SITE Centers Corp. | 140,295 | |||||||||
12,186 | SL Green Realty Corp. | 646,467 | |||||||||
15,331 | Spirit Realty Capital, Inc. | 471,582 | |||||||||
42,058 | Starwood Property Trust, Inc. | 544,231 | |||||||||
33,094 | Store Capital Corp. | 664,197 | |||||||||
13,963 | Sun Communities, Inc. | 1,876,627 | |||||||||
9,011 | Taubman Centers, Inc. | 388,374 | |||||||||
41,904 | Two Harbors Investment Corp. | 191,501 | |||||||||
44,816 | UDR, Inc. | 1,679,256 | |||||||||
57,547 | Ventas, Inc. | 1,861,645 | |||||||||
165,040 | VEREIT, Inc. | 904,419 | |||||||||
71,311 | VICI Properties, Inc. | 1,242,238 | |||||||||
26,698 | Vornado Realty Trust | 1,169,906 | |||||||||
18,683 | Weingarten Realty Investors | 339,844 | |||||||||
63,480 | Welltower, Inc. | 3,252,080 | |||||||||
115,102 | Weyerhaeuser Co. | 2,517,281 | |||||||||
26,408 | WP Carey, Inc. | 1,737,118 | |||||||||
8,705 | Zillow Group, Inc. Class A (a) | 379,016 | |||||||||
19,338 | Zillow Group, Inc. Class C (a)(b) | 850,098 | |||||||||
116,448,917 |
Shares | Fair Value | ||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 8.5% | |||||||||||
7,587 | Affiliated Managers Group | 530,786 | |||||||||
19,577 | Ameriprise Financial, Inc. | 2,250,180 | |||||||||
46,152 | BGC Partners, Inc. | 142,840 | |||||||||
18,305 | BlackRock, Inc. | 9,189,842 | |||||||||
17,112 | CBOE Holdings, Inc. | 1,700,591 | |||||||||
177,757 | Charles Schwab Corp. | 6,704,994 | |||||||||
54,771 | CME Group, Inc. | 9,760,740 | |||||||||
34,441 | E*TRADE Financial Corp. | 1,398,649 | |||||||||
16,448 | Eaton Vance Corp. | 603,642 | |||||||||
5,981 | Evercore, Inc. | 308,620 | |||||||||
40,814 | FNF Group | 1,104,019 | |||||||||
42,653 | Franklin Resources, Inc. | 803,583 | |||||||||
49,290 | Goldman Sachs Group, Inc. | 9,040,772 | |||||||||
11,511 | Interactive Brokers Group, Inc. Class A | 471,951 | |||||||||
84,971 | IntercontinentalExchange, Inc. | 7,600,656 | |||||||||
58,875 | Invesco Ltd. | 507,502 | |||||||||
24,293 | Janus Henderson Group PLC (United Kingdom) | 434,845 | |||||||||
15,726 | Lazard Ltd. Class A | 432,465 | |||||||||
13,255 | Legg Mason, Inc. | 660,497 | |||||||||
12,436 | LPL Investment Holdings, Inc. | 748,896 | |||||||||
5,682 | MarketAxess Holdings, Inc. | 2,585,367 | |||||||||
180,059 | Morgan Stanley | 7,099,726 | |||||||||
3,031 | Morningstar, Inc. | 472,715 | |||||||||
12,724 | MSCI, Inc. Class A | 4,160,748 | |||||||||
17,705 | NASDAQ OMX Group, Inc. | 1,941,707 | |||||||||
19,210 | Raymond James Financial, Inc. | 1,266,323 | |||||||||
38,065 | S&P Global, Inc. | 11,148,477 | |||||||||
19,642 | SEI Investments Co. | 1,000,956 | |||||||||
35,583 | T. Rowe Price Group, Inc. | 4,114,462 | |||||||||
41,293 | TD Ameritrade Holding Corp. | 1,621,576 | |||||||||
7,843 | Virtu Financial, Inc. (b) | 183,291 | |||||||||
89,991,418 | |||||||||||
Telecommunications - 4.4% | |||||||||||
64,142 | Crown Castle International Corp. | 10,226,159 | |||||||||
13,143 | Equinix, Inc. | 8,874,153 | |||||||||
181,832 | PayPal Holdings, Inc. (a) | 22,365,336 | |||||||||
17,304 | SBA Communications Corp. | 5,016,776 | |||||||||
46,482,424 | |||||||||||
TOTAL COMMON STOCKS (Cost $696,804,669) | $ | 740,627,146 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 28.2% | |||||||||||
Money Market Funds - 28.2% | |||||||||||
226,081,263 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 226,081,263 | ||||||||
9,970 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 9,970 | |||||||||
74,922,786 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 74,922,786 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $301,014,019) | $ | 301,014,019 |
Fair Value | |||||||||||
TOTAL INVESTMENTS (Cost $997,818,688) - 97.7% (e) | $ | 1,041,641,165 | |||||||||
Other Assets in Excess of Liabilities - 2.5% | 24,652,964 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,066,294,129 |
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, 2020.
(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 $830,120,918.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 1000® Financial Services Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 8/19/2020 | 50,856 | $ | 96,765,057 | $ | (12,100,732 | ) | ||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 9/16/2020 | 35,000 | 67,526,232 | (9,263,309 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 20,000 | 39,181,545 | (5,901,868 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.2183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 342,897 | 561,581,719 | 9,018,604 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.1408% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 249,466 | 397,910,997 | 17,264,601 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.2508% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 416,969 | 694,486,524 | (912,369 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.5508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 302,797 | 507,980,026 | (4,404,969 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 50,000 | 78,413,930 | 4,855,364 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 10,000 | 15,700,029 | 934,794 | |||||||||||||||||||||
$ | 2,459,546,059 | $ | (509,884 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Direxion Daily Financial Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 81.6% | |||||||||||
Money Market Funds - 81.6% | |||||||||||
119,575,031 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 119,575,031 | ||||||||
41,053,788 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 41,053,788 | |||||||||
113,284,603 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 113,284,603 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $273,913,422) (b) | $ | 273,913,422 | |||||||||
TOTAL INVESTMENTS (Cost $273,913,422) - 81.6% | $ | 273,913,422 | |||||||||
Other Assets in Excess of Liabilities - 18.4% | 61,776,523 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 335,689,945 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $273,913,422.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.9508% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | Credit Suisse Capital LLC | 12/9/2020 | 103,345 | $ | 164,389,513 | $ | (7,522,574 | ) | ||||||||||||||||||
1.0183% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | Bank of America Merrill Lynch | 12/9/2020 | 81,339 | 129,925,523 | (5,461,076 | ) | ||||||||||||||||||||
0.9008% | Total return of | ||||||||||||||||||||||||||
representing 1 month | Russell 1000® Financial | ||||||||||||||||||||||||||
LIBOR rate + spread | Services Index | UBS Securities LLC | 12/9/2020 | 167,052 | 243,436,016 | (39,725,276 | ) | ||||||||||||||||||||
1.0008% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | J.P. Morgan | 12/9/2020 | 253,735 | 397,876,834 | (24,163,463 | ) | ||||||||||||||||||||
$ | 935,627,886 | $ | (76,872,389 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 49.8% | |||||||||||
Ambulatory Health Care Services - 0.5% | |||||||||||
1,755 | DaVita, Inc. (a) | $ | 138,663 | ||||||||
1,895 | Laboratory Corp. of America Holdings (a) | 311,633 | |||||||||
2,632 | Quest Diagnostics, Inc. | 289,809 | |||||||||
740,105 | |||||||||||
Chemical Manufacturing - 25.5% | |||||||||||
34,516 | Abbott Laboratories | 3,178,578 | |||||||||
28,883 | AbbVie, Inc. | 2,374,183 | |||||||||
4,319 | Alexion Pharmaceuticals, Inc. (a) | 464,163 | |||||||||
6,406 | Allergan PLC ADR (Ireland) | 1,200,100 | |||||||||
11,598 | Amgen, Inc. | 2,774,474 | |||||||||
3,525 | Biogen, Inc. (a) | 1,046,326 | |||||||||
45,776 | Bristol-Myers Squibb Co. | 2,783,639 | |||||||||
16,500 | Eli Lilly and Company | 2,551,560 | |||||||||
2,876 | Illumina, Inc. (a) | 917,530 | |||||||||
3,490 | Incyte Corp. (a) | 340,833 | |||||||||
51,399 | Johnson & Johnson | 7,711,906 | |||||||||
49,717 | Merck & Co., Inc. | 3,944,547 | |||||||||
10,084 | Mylan NV (a) | 169,109 | |||||||||
2,659 | Perrigo Co. PLC ADR (Ireland) | 141,725 | |||||||||
108,068 | Pfizer, Inc. | 4,145,488 | |||||||||
1,563 | Regeneron Pharmaceuticals, Inc. (a) | 821,950 | |||||||||
5,021 | Vertex Pharmaceuticals, Inc. (a) | 1,261,275 | |||||||||
9,301 | Zoetis, Inc. | 1,202,712 | |||||||||
37,030,098 | |||||||||||
Computer and Electronic Product Manufacturing - 4.5% | |||||||||||
6,047 | Agilent Technologies, Inc. | 463,563 | |||||||||
12,485 | Danaher Corp. | 2,040,798 | |||||||||
5,235 | Hologic, Inc. (a) | 262,273 | |||||||||
1,678 | IDEXX Laboratories, Inc. (a) | 465,813 | |||||||||
2,169 | PerkinElmer, Inc. | 196,360 | |||||||||
7,837 | Thermo Fisher Scientific, Inc. | 2,622,887 | |||||||||
1,772 | Varian Medical Systems, Inc. (a) | 202,681 | |||||||||
1,257 | Waters Corp. (a) | 235,059 | |||||||||
6,489,434 | |||||||||||
Health and Personal Care Stores - 1.1% | |||||||||||
25,405 | CVS Health Corp. | 1,563,678 | |||||||||
Hospitals - 0.5% | |||||||||||
5,167 | HCA Healthcare, Inc. | 567,750 | |||||||||
1,573 | Universal Health Services, Inc. Class B | 166,250 | |||||||||
734,000 | |||||||||||
Insurance Carriers and Related Activities - 6.9% | |||||||||||
4,956 | Anthem, Inc. | 1,391,298 | |||||||||
11,398 | Centene Corp. (a) | 758,879 | |||||||||
7,291 | Cigna Corp. | 1,427,432 | |||||||||
2,587 | Humana, Inc. | 987,768 | |||||||||
18,505 | UnitedHealth Group, Inc. | 5,412,157 | |||||||||
9,977,534 | |||||||||||
Machinery Manufacturing - 0.2% | |||||||||||
480 | Mettler-Toledo International, Inc. (a) | 345,571 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
2,860 | Henry Schein, Inc. (a) | $ | 156,042 | ||||||||
Merchant Wholesalers, Nondurable Goods - 0.7% | |||||||||||
2,940 | AmerisourceBergen Corp. | 263,600 | |||||||||
5,707 | Cardinal Health, Inc. | 282,382 | |||||||||
3,150 | McKesson Corp. | 444,938 | |||||||||
990,920 | |||||||||||
Miscellaneous Manufacturing - 7.8% | |||||||||||
890 | Abiomed, Inc. (a) | 170,212 | |||||||||
1,402 | Align Technology, Inc. (a) | 301,220 | |||||||||
9,968 | Baxter International, Inc. | 884,959 | |||||||||
5,281 | Becton, Dickinson & Co. | 1,333,611 | |||||||||
27,216 | Boston Scientific Corp. (a) | 1,020,056 | |||||||||
4,347 | Dentsply Sirona, Inc. | 184,487 | |||||||||
4,074 | Edwards Lifesciences Corp. (a) | 886,095 | |||||||||
2,254 | Intuitive Surgical, Inc. (a) | 1,151,523 | |||||||||
26,174 | Medtronic PLC ADR (Ireland) | 2,555,368 | |||||||||
2,812 | ResMed, Inc. | 436,760 | |||||||||
1,654 | STERIS PLC (Ireland) | 235,695 | |||||||||
6,288 | Stryker Corp. | 1,172,272 | |||||||||
903 | Teleflex, Inc. | 302,866 | |||||||||
968 | The Cooper Companies, Inc. | 277,525 | |||||||||
4,014 | Zimmer Biomet Holdings, Inc. | 480,476 | |||||||||
11,393,125 | |||||||||||
Professional, Scientific, and Technical Services - 0.6% | |||||||||||
6,136 | Cerner Corp. | 425,777 | |||||||||
3,525 | IQVIA Holdings, Inc. (a) | 502,630 | |||||||||
928,407 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.4% | |||||||||||
24,698 | Gilead Sciences, Inc. | 2,074,632 | |||||||||
TOTAL COMMON STOCKS (Cost $68,843,817) | $ | 72,423,546 | |||||||||
SHORT TERM INVESTMENTS - 32.3% | |||||||||||
Money Market Funds - 32.3% | |||||||||||
25,693,118 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 25,693,118 | ||||||||
3,518,804 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 3,518,804 | |||||||||
17,726,378 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 17,726,378 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $46,938,300) | $ | 46,938,300 | |||||||||
TOTAL INVESTMENTS (Cost $115,782,117) - 82.1% (c) | $ | 119,361,846 | |||||||||
Other Assets in Excess of Liabilities - 17.9% | 26,133,928 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 145,495,774 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $83,962,404.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.1183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/03/2020 | 82,937 | $ | 77,952,474 | $ | 5,634,337 | |||||||||||||||||||
Total return of Health Care Select Sector Index | 1.0728% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/07/2020 | 116,852 | 118,714,090 | (995,490 | ) | ||||||||||||||||||||
Total return of Health Care Select Sector Index | 1.0198% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/09/2020 | 99,501 | 99,635,204 | 601,833 | |||||||||||||||||||||
Total return of Health Care Select Sector Index | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 62,038 | 52,824,036 | 9,699,844 | |||||||||||||||||||||
$ | 349,125,804 | $ | 14,940,524 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 57.5% | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 5.2% | |||||||||||
40,565 | Lowe's Companies, Inc. | $ | 4,249,184 | ||||||||
6,464 | Lumber Liquidators Holdings, Inc. (a)(b) | 45,571 | |||||||||
16,949 | The Home Depot, Inc. | 3,725,899 | |||||||||
8,020,654 | |||||||||||
Chemical Manufacturing - 0.8% | |||||||||||
13,128 | Trex Company, Inc. (a) | 1,250,048 | |||||||||
Construction of Buildings - 35.5% | |||||||||||
27,904 | Beazer Homes USA, Inc. (a) | 196,444 | |||||||||
27,298 | Century Communities, Inc. (a) | 584,723 | |||||||||
291,889 | D.R. Horton, Inc. | 13,782,999 | |||||||||
82,207 | KB Home | 2,157,112 | |||||||||
13,459 | Lennar Corp. | 513,461 | |||||||||
243,631 | Lennar Corp. Class A | 12,198,604 | |||||||||
21,181 | LGI Homes, Inc. (a) | 1,283,145 | |||||||||
48,062 | M.D.C Holdings, Inc. | 1,405,813 | |||||||||
27,009 | M/I Homes, Inc. (a) | 687,649 | |||||||||
34,537 | Meritage Homes Corp. (a) | 1,815,265 | |||||||||
3,035 | NVR, Inc. (a) | 9,408,500 | |||||||||
165,818 | PulteGroup, Inc. | 4,687,675 | |||||||||
126,914 | Taylor Morrison Home Corp. (a) | 1,846,599 | |||||||||
115,821 | Toll Brothers, Inc. | 2,782,020 | |||||||||
133,624 | TRI Pointe Group, Inc. (a) | 1,534,003 | |||||||||
54,884,012 | |||||||||||
Fabricated Metal Product Manufacturing - 0.5% | |||||||||||
13,151 | PGT Innovations, Inc. (a) | 135,982 | |||||||||
9,072 | Simpson Manufacturing Company, Inc. | 654,091 | |||||||||
790,073 | |||||||||||
Furniture and Home Furnishings Stores - 0.5% | |||||||||||
5,502 | Ethan Allen Interiors, Inc. | 62,228 | |||||||||
15,705 | Floor & Decor Holdings, Inc. (a) | 665,892 | |||||||||
728,120 | |||||||||||
Furniture and Related Product Manufacturing - 0.1% | |||||||||||
3,503 | American Woodmark Corp. (a) | 180,089 | |||||||||
Merchant Wholesalers, Durable Goods - 4.7% | |||||||||||
15,440 | Beacon Roofing Supply, Inc. (a) | 339,680 | |||||||||
26,051 | Builders FirstSource, Inc. (a) | 478,036 | |||||||||
31,308 | Fortune Brands Home & Security, Inc. | 1,509,046 | |||||||||
29,616 | Leggett & Platt, Inc. | 1,040,410 | |||||||||
7,902 | Lennox International, Inc. | 1,475,145 | |||||||||
13,369 | Mohawk Industries, Inc. (a) | 1,172,729 | |||||||||
7,349 | Watsco, Inc. | 1,183,115 | |||||||||
7,198,161 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 2.3% | |||||||||||
6,546 | The Sherwin Williams Co. | 3,511,078 | |||||||||
Nonmetallic Mineral Product Manufacturing - 1.1% | |||||||||||
9,366 | Eagle Materials, Inc. | 571,420 | |||||||||
24,485 | Owens Corning | 1,061,669 | |||||||||
7,472 | Quanex Building Products Corp. | 93,176 | |||||||||
1,726,265 |
Shares | Fair Value | ||||||||||
Specialty Trade Contractors - 2.6% | |||||||||||
20,456 | Installed Building Products, Inc. (a) | $ | 1,008,685 | ||||||||
32,585 | TopBuild Corp. (a) | 3,036,596 | |||||||||
4,045,281 | |||||||||||
Wood Product Manufacturing - 4.2% | |||||||||||
8,240 | Cavco Industries, Inc. (a) | 1,274,563 | |||||||||
15,161 | JELD-WEN Holding, Inc. (a) | 192,545 | |||||||||
26,439 | Louisiana-Pacific Corp. | 528,780 | |||||||||
63,938 | Masco Corp. | 2,624,015 | |||||||||
5,599 | Masonite International Corp. (a) | 330,789 | |||||||||
47,836 | Skyline Champion Corp. (a) | 942,848 | |||||||||
13,835 | Universal Forest Products, Inc. | 568,895 | |||||||||
6,462,435 | |||||||||||
TOTAL COMMON STOCKS (Cost $77,064,793) | $ | 88,796,216 | |||||||||
SHORT TERM INVESTMENTS - 40.9% | |||||||||||
Money Market Funds - 40.9% | |||||||||||
7,442,456 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 7,442,456 | ||||||||
29,712,397 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 29,712,397 | |||||||||
26,080,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 26,080,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $63,234,853) | $ | 63,234,853 | |||||||||
TOTAL INVESTMENTS (Cost $140,299,646) - 98.4% (e) | 152,031,069 | ||||||||||
Other Assets in Excess of Liabilities - 1.6% | 2,426,660 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 154,457,729 |
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, 2020.
(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 $81,406,557.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Dow Jones U.S. Select Home Construction Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 9,843 | $ | 49,459,106 | $ | 14,703,190 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 1.7008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 27,871 | 163,138,824 | 18,508,929 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 0.8876% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 19,760 | 130,363,396 | (1,577,192 | ) | ||||||||||||||||||||
$ | 342,961,326 | $ | 31,634,927 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 59.7% | |||||||||||
Administrative and Support Services - 2.9% | |||||||||||
190 | Equifax, Inc. | $ | 26,391 | ||||||||
624 | IHS Markit Ltd. | 41,995 | |||||||||
185 | Robert Half International, Inc. | 8,745 | |||||||||
219 | Rollins, Inc. | 8,760 | |||||||||
609 | Waste Management, Inc. | 60,912 | |||||||||
146,803 | |||||||||||
Air Transportation - 1.5% | |||||||||||
191 | Alaska Air Group, Inc. | 6,211 | |||||||||
608 | American Airlines Group, Inc. | 7,302 | |||||||||
896 | Delta Air Lines, Inc. | 23,216 | |||||||||
819 | Southwest Airlines Co. | 25,594 | |||||||||
388 | United Continental Holdings, Inc. (a) | 11,477 | |||||||||
73,800 | |||||||||||
Computer and Electronic Product Manufacturing - 6.5% | |||||||||||
356 | AMETEK, Inc. | 29,858 | |||||||||
460 | Fortive Corp. | 29,440 | |||||||||
344 | L3 Harris Technologies, Inc. | 66,633 | |||||||||
242 | Northrop Grumman Corp. | 80,022 | |||||||||
629 | Otis Worldwide Corp. (a) | 32,022 | |||||||||
160 | Roper Technologies, Inc. | 54,565 | |||||||||
374 | Trane Technologies PLC (Ireland) | 32,695 | |||||||||
325,235 | |||||||||||
Couriers and Messengers - 3.0% | |||||||||||
374 | FedEx Corp. | 47,412 | |||||||||
1,092 | United Parcel Service, Inc. Class B | 103,369 | |||||||||
150,781 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.2% | |||||||||||
214 | A.O. Smith Corp. | 9,069 | |||||||||
144 | Allegion PLC ADR (Ireland) | 14,478 | |||||||||
644 | Eaton Corp PLC ADR (Ireland) | 53,774 | |||||||||
179 | Rockwell Automation, Inc. | 33,917 | |||||||||
111,238 | |||||||||||
Fabricated Metal Product Manufacturing - 2.4% | |||||||||||
950 | Emerson Electric Co. | 54,179 | |||||||||
200 | Parker Hannifin Corp. | 31,624 | |||||||||
263 | Pentair PLC (Ireland) | 9,097 | |||||||||
237 | Stanley Black & Decker, Inc. | 26,117 | |||||||||
121,017 | |||||||||||
Machinery Manufacturing - 7.9% | |||||||||||
1,261 | Carrier Global Corp. (a) | 22,332 | |||||||||
859 | Caterpillar, Inc. | 99,970 | |||||||||
237 | Cummins, Inc. | 38,750 | |||||||||
490 | Deere & Co. | 71,079 | |||||||||
205 | Flowserve Corp. | 5,775 | |||||||||
13,606 | General Electric Co. | 92,521 | |||||||||
119 | IDEX Corp. | 18,282 | |||||||||
538 | Ingersoll Rand, Inc. (a) | 15,645 | |||||||||
85 | Snap-on, Inc. | 11,075 | |||||||||
278 | Xylem, Inc. | 19,988 | |||||||||
395,417 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Durable Goods - 8.2% | |||||||||||
895 | 3M Co. | $ | 135,968 | ||||||||
318 | Copart, Inc. (a) | 25,475 | |||||||||
892 | Fastenal Co. | 32,308 | |||||||||
218 | Fortune Brands Home & Security, Inc. | 10,508 | |||||||||
1,111 | Honeywell International, Inc. | 157,651 | |||||||||
63 | Huntington Ingalls Industries, Inc. | 12,059 | |||||||||
1,202 | Johnson Controls International PLC ADR (Ireland) | 34,990 | |||||||||
408,959 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.5% | |||||||||||
455 | Illinois Tool Works, Inc. | 73,938 | |||||||||
Miscellaneous Manufacturing - 0.6% | |||||||||||
225 | Dover Corp. | 21,071 | |||||||||
356 | Textron, Inc. | 9,384 | |||||||||
30,455 | |||||||||||
Nonstore Retailers - 0.4% | |||||||||||
68 | W.W. Grainger, Inc. | 18,739 | |||||||||
Personal and Laundry Services - 0.6% | |||||||||||
128 | Cintas Corp. | 28,394 | |||||||||
Primary Metal Manufacturing - 0.1% | |||||||||||
604 | Howmet Aerospace, Inc. | 7,894 | |||||||||
Professional, Scientific, and Technical Services - 1.3% | |||||||||||
212 | Jacobs Engineering Group, Inc. | 17,543 | |||||||||
556 | Nielsen Holdings PLC | 8,190 | |||||||||
255 | Verisk Analytics, Inc. Class A | 38,972 | |||||||||
64,705 | |||||||||||
Rail Transportation - 6.9% | |||||||||||
1,211 | CSX Corp. | 80,204 | |||||||||
154 | Kansas City Southern Railway Co. | 20,105 | |||||||||
407 | Norfolk Southern Corp. | 69,638 | |||||||||
1,080 | Union Pacific Corp. | 172,573 | |||||||||
342,520 | |||||||||||
Rental and Leasing Services - 0.3% | |||||||||||
119 | United Rentals, Inc. (a) | 15,292 | |||||||||
Specialty Trade Contractors - 0.2% | |||||||||||
220 | Quanta Services, Inc. | 7,999 | |||||||||
Support Activities for Transportation - 0.7% | |||||||||||
212 | C.H. Robinson Worldwide, Inc. | 15,031 | |||||||||
265 | Expeditors International of Washington, Inc. | 18,975 | |||||||||
34,006 | |||||||||||
Transportation Equipment Manufacturing - 10.9% | |||||||||||
833 | Boeing Co. | 117,470 | |||||||||
367 | General Dynamics Corp. | 47,938 | |||||||||
386 | Lockheed Martin Corp. | 150,177 | |||||||||
538 | Paccar, Inc. | 37,246 | |||||||||
2,277 | Raytheon Technologies Corp. | 147,572 | |||||||||
76 | TransDigm Group, Inc. | 27,594 | |||||||||
286 | Wabtec Corp. | 16,136 | |||||||||
544,133 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Truck Transportation - 0.7% | |||||||||||
132 | J.B. Hunt Transport Services, Inc. | $ | 13,348 | ||||||||
149 | Old Dominion Freight Line, Inc. | 21,648 | |||||||||
34,996 | |||||||||||
Waste Management and Remediation Services - 0.5% | |||||||||||
327 | Republic Services, Inc. | 25,617 | |||||||||
Wood Product Manufacturing - 0.4% | |||||||||||
442 | Masco Corp. | 18,140 | |||||||||
TOTAL COMMON STOCKS (Cost $2,849,962) | $ | 2,980,078 | |||||||||
SHORT TERM INVESTMENTS - 43.1% | |||||||||||
Money Market Funds - 43.1% | |||||||||||
546,786 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 546,786 | ||||||||
1,604,030 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 1,604,030 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,150,816) | $ | 2,150,816 | |||||||||
TOTAL INVESTMENTS (Cost $5,000,778) - 102.8% (c) | $ | 5,130,894 | |||||||||
Liabilities in Excess of Other Assets - (2.8)% | (138,904 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,991,990 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,826,209.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Industrials Select Sector Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 7,428 | $ | 4,430,760 | $ | 368,550 | |||||||||||||||||||
Total return of Industrials Select Sector Index | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 11,134 | 7,090,554 | 103,154 | |||||||||||||||||||||
$ | 11,521,314 | $ | 471,704 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 61.7% | |||||||||||
Accommodation - 1.0% | |||||||||||
1,075 | Chatham Lodging Trust | $ | 8,073 | ||||||||
16,350 | Host Hotels & Resorts, Inc. | 201,268 | |||||||||
5,455 | Park Hotels & Resorts, Inc. | 51,877 | |||||||||
3,753 | Service Property Trust | 26,008 | |||||||||
2,396 | Summit Hotel Properties, Inc. | 14,520 | |||||||||
5,125 | Sunstone Hotel Investors, Inc. | 47,099 | |||||||||
2,568 | Xenia Hotels & Resorts, Inc. | 24,910 | |||||||||
373,755 | |||||||||||
Administrative and Support Services - 0.6% | |||||||||||
10,548 | Colony Capital, Inc. | 24,366 | |||||||||
2,717 | CoreCivic, Inc. | 35,647 | |||||||||
6,547 | Iron Mountain, Inc. | 158,306 | |||||||||
218,319 | |||||||||||
Credit Intermediation and Related Activities - 0.1% | |||||||||||
1,167 | Front Yard Residential Corp. | 13,315 | |||||||||
1,498 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 41,929 | |||||||||
55,244 | |||||||||||
Data Processing, Hosting and Related Services - 0.5% | |||||||||||
2,585 | CyrusOne, Inc. | 181,338 | |||||||||
Forestry and Logging - 0.2% | |||||||||||
2,948 | Rayonier, Inc. | 70,840 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 1.9% | |||||||||||
1,978 | Acadia Realty Trust | 24,507 | |||||||||
968 | Agree Realty Corp. | 63,027 | |||||||||
2,212 | Ashford Hospitality Trust, Inc. | 1,819 | |||||||||
2,031 | Cedar Realty Trust, Inc. | 2,133 | |||||||||
4,564 | Diamondrock Hospitality Co. | 28,434 | |||||||||
878 | EastGroup Properties, Inc. | 93,068 | |||||||||
2,890 | First Industrial Realty Trust, Inc. | 109,155 | |||||||||
2,444 | Franklin Street Properties Corp. | 13,295 | |||||||||
806 | Getty Realty Corp. | 21,891 | |||||||||
712 | Gladstone Commercial Corp. | 11,250 | |||||||||
5,086 | Lexington Realty Trust | 53,149 | |||||||||
2,104 | Monmouth Real Estate Investment Corp. Class A | 28,593 | |||||||||
1,004 | National Health Investors, Inc. | 55,280 | |||||||||
339 | One Liberty Properties, Inc. | 5,329 | |||||||||
468 | PS Business Parks, Inc. | 60,414 | |||||||||
318 | Saul Centers, Inc. | 10,373 | |||||||||
3,534 | SITE Centers Corp. | 21,416 | |||||||||
2,273 | Spirit Realty Capital, Inc. | 69,917 | |||||||||
2,118 | Tanger Factory Outlet Centers, Inc. (b) | 15,927 | |||||||||
838 | UMH Properties, Inc. | 10,886 | |||||||||
296 | Universal Health Realty Income Trust | 31,660 | |||||||||
685 | Urstadt Biddle Properties, Inc. Class A | 10,008 | |||||||||
741,531 | |||||||||||
Heavy and Civil Engineering Construction - 0.0% (†) | |||||||||||
812 | St Joe Co. (a) | 14,860 | |||||||||
Insurance Carriers and Related Activities - 0.0% (†) | |||||||||||
636 | Braemar Hotels & Resorts, Inc. | 1,991 |
Shares | Fair Value | ||||||||||
Paper Manufacturing - 0.1% | |||||||||||
1,527 | PotlatchDeltic Corp. | $ | 53,613 | ||||||||
Professional, Scientific, and Technical Services - 1.1% | |||||||||||
2,948 | Extra Space Storage, Inc. | 260,132 | |||||||||
1,964 | Lamar Advertising Co. | 113,225 | |||||||||
3,276 | Outfront Media, Inc. | 51,400 | |||||||||
424,757 | |||||||||||
Real Estate - 46.9% | |||||||||||
1,565 | Alexander & Baldwin, Inc. | 20,564 | |||||||||
51 | Alexander's, Inc. | 16,078 | |||||||||
2,628 | Alexandria Real Estate Equities, Inc. | 412,832 | |||||||||
144 | Altisource Portfolio Solutions S.A. (a) | 1,202 | |||||||||
1,160 | American Assets Trust, Inc. | 32,851 | |||||||||
3,128 | American Campus Communities, Inc. | 110,387 | |||||||||
6,158 | American Homes 4 Rent | 148,654 | |||||||||
10,093 | American Tower Corp. | 2,402,134 | |||||||||
4,150 | Americold Realty Trust | 126,948 | |||||||||
3,393 | Apartment Investment & Management Co. Class A | 127,814 | |||||||||
4,843 | Apple Hospitality REIT, Inc. | 46,880 | |||||||||
1,266 | Armada Hoffler Properties, Inc. | 12,166 | |||||||||
3,186 | AvalonBay Communities, Inc. | 519,159 | |||||||||
3,526 | Boston Properties, Inc. | 342,657 | |||||||||
4,019 | Brandywine Realty Trust | 44,852 | |||||||||
6,793 | Brixmor Property Group, Inc. | 77,780 | |||||||||
2,204 | Camden Property Trust | 194,106 | |||||||||
2,179 | CareTrust REIT, Inc. | 35,910 | |||||||||
1,117 | CatchMark Timber Trust, Inc. | 8,780 | |||||||||
7,243 | CBRE Group, Inc. Class A (a) | 310,942 | |||||||||
1,246 | City Office REIT, Inc. | 12,585 | |||||||||
2,663 | Columbia Property Trust, Inc. | 38,054 | |||||||||
435 | Community Healthcare Trust, Inc. | 16,182 | |||||||||
912 | CorePoint Lodging, Inc. | 3,967 | |||||||||
866 | CoreSite Realty Corp. | 104,950 | |||||||||
2,552 | Corporate Office Properties Trust | 67,424 | |||||||||
3,345 | Cousins Properties, Inc. | 100,919 | |||||||||
4,413 | CubeSmart | 111,208 | |||||||||
2,246 | Cushman & Wakefield PLC (United Kingdom) (a) | 27,334 | |||||||||
5,993 | Digital Realty Trust, Inc. | 895,894 | |||||||||
5,428 | Diversified Healthcare Trust | 16,881 | |||||||||
3,800 | Douglas Emmett, Inc. | 115,862 | |||||||||
8,378 | Duke Realty Corp. | 290,717 | |||||||||
3,485 | Empire State Realty Trust, Inc. | 29,135 | |||||||||
1,784 | EPR Properties | 52,485 | |||||||||
2,783 | Equity Commonwealth | 94,483 | |||||||||
3,944 | Equity Lifestyle Properties, Inc. | 237,863 | |||||||||
8,463 | Equity Residential | 550,603 | |||||||||
1,692 | Easterly Government Properties, Inc. | 45,532 | |||||||||
1,845 | Essential Properties Realty Trust, Inc. | 27,103 | |||||||||
1,510 | Essex Property Trust, Inc. | 368,591 | |||||||||
520 | eXp World Holdings, Inc. (a)(b) | 4,774 | |||||||||
1,719 | Federal Realty Investment Trust | 143,141 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
1,179 | Five Point Holdings, LLC (a)(b) | $ | 6,649 | ||||||||
384 | Forestar Group, Inc. (a) | 5,065 | |||||||||
1,571 | Four Corners Property Trust, Inc. | 35,175 | |||||||||
155 | FRP Holdings, Inc. (a) | 6,741 | |||||||||
4,650 | Gaming & Leisure Properties, Inc. | 131,316 | |||||||||
932 | Global Medical REIT, Inc. | 9,711 | |||||||||
2,035 | Global Net Lease, Inc. | 29,284 | |||||||||
3,049 | Healthcare Realty Trust, Inc. | 89,610 | |||||||||
4,722 | Healthcare Trust of America, Inc. Class A | 116,303 | |||||||||
11,287 | Healthpeak Properties, Inc. | 295,042 | |||||||||
832 | Hersha Hospitality Trust | 4,351 | |||||||||
2,363 | Highwoods Properties, Inc. | 91,708 | |||||||||
937 | Howard Hughes Corp. (a) | 50,748 | |||||||||
3,534 | Hudson Pacific Properties, Inc. | 86,866 | |||||||||
2,067 | Independence Realty Trust, Inc. | 20,815 | |||||||||
1,485 | Industrial Logistics Properties Trust | 27,755 | |||||||||
380 | Innovative Industrial Properties, Inc. (b) | 29,815 | |||||||||
266 | Investors Real Estate Trust | 16,659 | |||||||||
12,257 | Invitation Homes, Inc. | 289,878 | |||||||||
1,419 | iStar, Inc. | 14,218 | |||||||||
2,907 | JBG SMITH Properties | 98,693 | |||||||||
504 | Jernigan Capital, Inc. | 6,653 | |||||||||
1,175 | Jones Lang LaSalle, Inc. | 124,057 | |||||||||
2,925 | Kennedy-Wilson Holdings, Inc. | 41,389 | |||||||||
2,412 | Kilroy Realty Corp. | 150,171 | |||||||||
9,624 | Kimco Realty Corp. | 104,998 | |||||||||
1,912 | Kite Realty Group Trust | 19,560 | |||||||||
1,070 | Life Storage, Inc. | 93,721 | |||||||||
902 | LTC Properties, Inc. | 32,111 | |||||||||
2,580 | Macerich Co. (b) | 19,273 | |||||||||
2,062 | Mack-Cali Realty Corp. | 33,384 | |||||||||
536 | Marcus & Millichap, Inc. (a) | 15,571 | |||||||||
11,799 | Medical Properties Trust, Inc. | 202,235 | |||||||||
2,598 | MGM Growth Properties LLC | 65,392 | |||||||||
2,601 | Mid-America Apartment Communities, Inc. | 291,104 | |||||||||
3,910 | National Retail Properties, Inc. | 127,622 | |||||||||
1,355 | National Storage Affiliates Trust | 38,590 | |||||||||
1,896 | New Senior Investment Group, Inc. | 6,276 | |||||||||
3,430 | Newmark Group, Inc. | 13,308 | |||||||||
454 | NexPoint Residential Trust, Inc. | 13,652 | |||||||||
1,094 | Office Properties Income Trust | 29,976 | |||||||||
4,979 | Omega Healthcare Investors, Inc. | 145,138 | |||||||||
4,147 | Paramount Group, Inc. | 40,019 | |||||||||
2,979 | Pebblebrook Hotel Trust | 35,271 | |||||||||
1,681 | Pennsylvania REIT (b) | 1,698 | |||||||||
4,294 | Physicians Realty Trust | 66,213 | |||||||||
2,865 | Piedmont Office Realty Trust, Inc. Class A | 49,708 | |||||||||
1,041 | Preferred Apartment Communities, Inc. | 7,714 | |||||||||
16,811 | Prologis, Inc. | 1,500,045 | |||||||||
3,588 | Public Storage | 665,395 | |||||||||
1,320 | QTS Realty Trust, Inc. Class A | 82,540 | |||||||||
2,604 | Realogy Holdings Corp. | 11,301 |
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
7,429 | Realty Income Corp. | $ | 408,001 | ||||||||
1,684 | Redfin Corp. (a) | 35,583 | |||||||||
3,819 | Regency Centers Corp. | 167,692 | |||||||||
2,647 | Retail Opportunity Investments Corp. | 25,689 | |||||||||
4,864 | Retail Properties of America, Inc. Class A | 30,157 | |||||||||
363 | Retail Value, Inc. | 5,253 | |||||||||
2,526 | Rexford Industrial Realty, Inc. | 102,859 | |||||||||
3,886 | RLJ Lodging Trust | 36,101 | |||||||||
1,834 | RPT Realty | 12,508 | |||||||||
1,112 | Ryman Hospitality Properties, Inc. | 39,298 | |||||||||
4,416 | Sabra Health Care REIT, Inc. | 56,613 | |||||||||
271 | Safehold, Inc. | 15,653 | |||||||||
806 | Seritage Growth Properties (a)(b) | 8,527 | |||||||||
6,993 | Simon Property Group, Inc. | 466,923 | |||||||||
1,829 | SL Green Realty Corp. | 97,028 | |||||||||
3,029 | Stag Industrial, Inc. | 79,511 | |||||||||
5,086 | Store Capital Corp. | 102,076 | |||||||||
2,111 | Sun Communities, Inc. | 283,718 | |||||||||
1,390 | Taubman Centers, Inc. | 59,909 | |||||||||
501 | Tejon Ranch Co. (a) | 6,864 | |||||||||
1,526 | Terreno Realty Corp. | 83,655 | |||||||||
2,767 | The GEO Group, Inc. | 35,086 | |||||||||
346 | The RMR Group LLC | 10,262 | |||||||||
6,682 | UDR, Inc. | 250,374 | |||||||||
4,409 | Uniti Group, Inc. | 31,128 | |||||||||
2,767 | Urban Edge Properties | 31,820 | |||||||||
8,499 | Ventas, Inc. | 274,943 | |||||||||
24,335 | VEREIT, Inc. | 133,356 | |||||||||
10,505 | VICI Properties, Inc. | 182,997 | |||||||||
3,919 | Vornado Realty Trust | 171,731 | |||||||||
4,251 | Washington Prime Group, Inc. | 3,655 | |||||||||
1,839 | Washington REIT | 42,885 | |||||||||
2,786 | Weingarten Realty Investors | 50,677 | |||||||||
9,254 | Welltower, Inc. | 474,082 | |||||||||
16,986 | Weyerhaeuser Co. | 371,484 | |||||||||
832 | Whitestone REIT | 5,641 | |||||||||
3,931 | WP Carey, Inc. | 258,581 | |||||||||
18,291,190 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% | |||||||||||
2,436 | American Finance Trust, Inc. | 18,781 | |||||||||
406 | RE/MAX Holdings, Inc. | 10,674 | |||||||||
29,455 | |||||||||||
Telecommunications - 9.2% | |||||||||||
9,477 | Crown Castle International Corp. | 1,510,918 | |||||||||
1,946 | Equinix, Inc. | 1,313,939 | |||||||||
2,567 | SBA Communications Corp. | 744,225 | |||||||||
3,569,082 | |||||||||||
Utilities - 0.0% (†) | |||||||||||
313 | CorEnergy Infrastructure Trust, Inc. | 3,800 | |||||||||
TOTAL COMMON STOCKS (Cost $22,755,724) | $ | 24,029,775 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 21.8% | |||||||||||
Money Market Funds - 21.8% | |||||||||||
2,213,673 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 2,213,673 | ||||||||
4,066,085 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 4,066,085 | |||||||||
2,220,236 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 2,220,236 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,499,994) | $ | 8,499,994 | |||||||||
TOTAL INVESTMENTS (Cost $31,255,718) - 83.5% (e) | $ | 32,529,769 | |||||||||
Other Assets in Excess of Liabilities - 16.5% | 6,427,444 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 38,957,213 |
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, 2020.
(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 $28,012,562.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 IMI Real Estate 25/50 Index | 1.3683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 4,966 | $ | 4,129,332 | $ | 446,346 | |||||||||||||||||||
Total return of MSCI US IMI Real Estate 25/50 Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 15,014 | 11,431,486 | 2,392,712 | |||||||||||||||||||||
Total return of MSCI US IMI Real Estate 25/50 Index | 1.0008% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 42,025 | 38,906,107 | (305,955 | ) | ||||||||||||||||||||
Total return of MSCI US IMI Real Estate 25/50 Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 39,103 | 33,182,330 | 2,808,896 | |||||||||||||||||||||
$ | 87,649,255 | $ | 5,341,999 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Direxion Daily MSCI Real Estate Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 43.6% | |||||||||||
Money Market Funds - 43.6% | |||||||||||
7,571,838 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 7,571,838 | ||||||||
1,171,833 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 1,171,833 | |||||||||
13,630,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 13,630,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $22,373,671) (b) | $ | 22,373,671 | |||||||||
TOTAL INVESTMENTS (Cost $22,373,671) - 43.6% | $ | 22,373,671 | |||||||||
Other Assets in Excess of Liabilities - 56.4% | 28,986,466 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 51,360,137 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $22,373,671.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.9508% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | UBS Securities LLC | 12/9/2020 | 48,536 | $ | 38,288,555 | $ | (6,297,777 | ) | ||||||||||||||||||
1.1683% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | Bank of America Merrill Lynch | 12/10/2020 | 4,966 | 3,768,548 | (809,142 | ) | ||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | Credit Suisse Capital LLC | 12/11/2020 | 46,682 | 42,239,445 | (640,550 | ) | ||||||||||||||||||||
0.5008% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | J.P. Morgan | 5/3/2021 | 67,612 | 59,759,291 | (2,340,769 | ) | ||||||||||||||||||||
$ | 144,055,839 | $ | (10,088,238 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 51.4% | |||||||||||
Ambulatory Health Care Services - 2.5% | |||||||||||
4,467 | Axsome Therapeutics, Inc. (a) | $ | 424,499 | ||||||||
Chemical Manufacturing - 45.5% | |||||||||||
12,879 | Aerie Pharmaceuticals, Inc. (a) | 196,276 | |||||||||
2,129 | Allergan PLC ADR (Ireland) | 398,847 | |||||||||
2,303 | Amphastar Pharmaceuticals, Inc. (a) | 39,036 | |||||||||
1,867 | ANI Pharmaceuticals, Inc. (a) | 74,699 | |||||||||
6,452 | BioDelivery Sciences International, Inc. (a) | 29,421 | |||||||||
6,270 | Bristol-Myers Squibb Co. | 381,279 | |||||||||
7,933 | Cara Therapeutics, Inc. (a) | 117,567 | |||||||||
6,929 | Catalent, Inc. (a) | 479,140 | |||||||||
2,468 | Collegium Pharmaceutical, Inc. (a) | 51,038 | |||||||||
8,404 | Corcept Therapeutics, Inc. (a) | 106,395 | |||||||||
14,412 | Elanco Animal Health, Inc. (a) | 356,121 | |||||||||
3,296 | Eli Lilly and Company | 509,693 | |||||||||
71,864 | Endo International PLC (Ireland) (a) | 330,574 | |||||||||
11,893 | Horizon Therapeutics PLC (Ireland) (a) | 428,624 | |||||||||
5,365 | Innoviva, Inc. (a) | 76,076 | |||||||||
6,362 | Intra-Cellular Therapies, Inc. (a) | 112,417 | |||||||||
2,707 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 298,447 | |||||||||
2,833 | Johnson & Johnson | 425,063 | |||||||||
4,488 | Merck & Co., Inc. | 356,078 | |||||||||
20,916 | Mylan NV (a) | 350,761 | |||||||||
2,800 | MyoKardia, Inc. (a) | 175,896 | |||||||||
18,824 | Nektar Therapeutics (a) | 361,421 | |||||||||
4,830 | Pacira Pharmaceuticals, Inc. (a) | 199,431 | |||||||||
7,423 | Perrigo Co. PLC ADR (Ireland) | 395,646 | |||||||||
10,443 | Pfizer, Inc. | 400,593 | |||||||||
3,226 | Prestige Consumer Healthcare, Inc. (a) | 131,266 | |||||||||
3,596 | Revance Therapeutics, Inc. (a) | 66,562 | |||||||||
6,600 | Supernus Pharmaceuticals, Inc. (a) | 154,440 | |||||||||
44,664 | TherapeuticsMD, Inc. (a) | 70,569 | |||||||||
2,221 | Theravance Biopharma, Inc. (a) | 64,764 | |||||||||
2,062 | Tricida, Inc. (a) | 62,375 | |||||||||
3,217 | Zoetis, Inc. | 415,990 | |||||||||
3,769 | Zogenix, Inc. (a) | 106,399 | |||||||||
7,722,904 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.3% | |||||||||||
1,937 | Phibro Animal Health Corp. | 51,737 | |||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
3,010 | Intersect ENT, Inc. (a) | 34,555 | |||||||||
Professional, Scientific, and Technical Services - 2.9% | |||||||||||
1,747 | Arvinas, Inc. (a) | 91,717 | |||||||||
5,166 | Omeros Corp. (a) | 85,859 | |||||||||
1,936 | Reata Pharmaceuticals, Inc. (a) | 306,198 | |||||||||
1,397 | Wave Life Sciences Ltd. (a) | 12,126 | |||||||||
495,900 | |||||||||||
TOTAL COMMON STOCKS (Cost $7,889,682) | $ | 8,729,595 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 36.3% | |||||||||||
Money Market Funds - 36.3% | |||||||||||
1,101,972 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 1,101,972 | ||||||||
3,383,902 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 3,383,902 | |||||||||
1,670,370 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 1,670,370 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,156,244) | $ | 6,156,244 | |||||||||
TOTAL INVESTMENTS (Cost $14,045,926) - 87.7% (c) | $ | 14,885,839 | |||||||||
Other Assets in Excess of Liabilities - 12.3% | 2,079,839 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 16,965,678 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,279,818.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Pharmaceuticals Select Industry Index | 1.0008% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 2,554 | $ | 10,585,362 | $ | 1,746,004 | |||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/14/2020 | 1,777 | 8,198,760 | 377,390 | |||||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/15/2020 | 2,101 | 9,191,874 | 948,767 | |||||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 1.4008% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/22/2020 | 2,299 | 10,603,156 | 497,490 | |||||||||||||||||||||
$ | 38,579,152 | $ | 3,569,651 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 51.4% | |||||||||||
Credit Intermediation and Related Activities - 47.2% | |||||||||||
2,719 | Allegiance Bancshares, Inc. | $ | 68,192 | ||||||||
5,625 | Ameris Bancorp | 143,044 | |||||||||
15,926 | Associated Banc-Corp | 225,194 | |||||||||
4,653 | Atlantic Union Bankshares Corp. | 111,067 | |||||||||
6,095 | BancorpSouth Bank | 133,420 | |||||||||
2,609 | Bank of Hawaii Corp. | 177,882 | |||||||||
14,280 | Bank OZK | 323,014 | |||||||||
8,810 | BankUnited, Inc. | 174,526 | |||||||||
2,853 | Banner Corp. | 109,641 | |||||||||
3,169 | Berkshire Hills Bancorp, Inc. | 54,000 | |||||||||
2,143 | BOK Financial Corp. | 110,986 | |||||||||
7,972 | Boston Private Financial Holdings, Inc. | 60,587 | |||||||||
3,610 | Brookline Bancorp, Inc. | 36,858 | |||||||||
30,923 | Cadence Bancorporation | 204,710 | |||||||||
943 | Carolina Financial Corp. | 31,902 | |||||||||
3,900 | Cathay General Bancorp | 108,888 | |||||||||
9,986 | CenterState Bank Corp. | 173,656 | |||||||||
1,962 | Central Pacific Financial Corp. | 34,315 | |||||||||
14,647 | CIT Group, Inc. | 278,000 | |||||||||
963 | City Holding Co. | 65,089 | |||||||||
4,335 | Columbia Banking System, Inc. | 117,002 | |||||||||
14,925 | Comerica, Inc. | 520,285 | |||||||||
6,993 | Commerce Bancshares, Inc. | 427,902 | |||||||||
3,674 | Community Bank System, Inc. | 229,588 | |||||||||
1,523 | ConnectOne Bancorp, Inc. | 22,754 | |||||||||
2,147 | Customers Bancorp, Inc. (a) | 27,396 | |||||||||
9,712 | CVB Financial Corp. | 201,864 | |||||||||
2,215 | Dime Community Bancshares, Inc. | 36,392 | |||||||||
3,438 | Eagle Bancorp, Inc. | 120,605 | |||||||||
15,550 | East West Bancorp, Inc. | 545,338 | |||||||||
1,522 | Enterprise Financial Services Corp. | 46,786 | |||||||||
26,175 | F.N.B. Corp. | 211,756 | |||||||||
768 | FB Financial Corp. | 17,157 | |||||||||
34,680 | Fifth Third Bancorp | 648,169 | |||||||||
1,171 | First Bancorp | 31,137 | |||||||||
18,429 | First BanCorp | 107,441 | |||||||||
559 | First Citizens BancShares, Inc. Class A | 213,538 | |||||||||
5,601 | First Commonwealth Financial Corp. | 53,321 | |||||||||
5,828 | First Financial Bancorp | 89,635 | |||||||||
6,267 | First Financial Bankshares, Inc. | 174,536 | |||||||||
9,654 | First Hawaiian, Inc. | 169,814 | |||||||||
54,592 | First Horizon National Corp. | 495,695 | |||||||||
2,511 | First Merchants Corp. | 71,086 | |||||||||
7,762 | First Midwest Bancorp, Inc. | 114,722 | |||||||||
9,353 | First Republic Bank | 975,424 | |||||||||
13,859 | Fulton Financial Corp. | 162,012 | |||||||||
4,950 | Glacier Bancorp, Inc. | 188,496 | |||||||||
4,206 | Great Western Bancorp, Inc. | 79,073 | |||||||||
7,076 | Hancock Holding Co. | 147,959 | |||||||||
2,643 | Hanmi Financial Corp. Class A | 31,901 | |||||||||
1,560 | Heartland Financial USA, Inc. | 52,993 | |||||||||
3,145 | Heritage Commerce Corp. | 27,928 | |||||||||
2,495 | Heritage Financial Corp. | 50,025 | |||||||||
7,297 | Hilltop Holdings, Inc. | 140,832 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
8,705 | Home Bancshares, Inc. | $ | 133,448 | ||||||||
8,974 | Hope Bancorp, Inc. | 89,291 | |||||||||
69,970 | Huntington Bancshares, Inc. | 646,523 | |||||||||
5,730 | IberiaBank Corp. | 237,566 | |||||||||
1,835 | Independent Bank Corp. (Massachusetts) | 133,753 | |||||||||
1,330 | Independent Bank Corp. (Michigan) | 19,538 | |||||||||
3,395 | Independent Bank Group, Inc. | 102,902 | |||||||||
3,082 | International Bancshares Corp. | 89,347 | |||||||||
27,519 | Investors Bancorp, Inc. | 256,202 | |||||||||
53,541 | KeyCorp | 623,753 | |||||||||
1,814 | Lakeland Bancorp, Inc. | 20,299 | |||||||||
2,344 | Live Oak Bancshares, Inc. | 32,699 | |||||||||
6,315 | M&T Bank Corp. | 707,785 | |||||||||
1,048 | Midland States Bancorp, Inc. | 16,999 | |||||||||
4,870 | OFG Bancorp | 61,265 | |||||||||
14,979 | Old National Bancorp | 212,252 | |||||||||
2,608 | Opus Bank | 50,126 | |||||||||
5,411 | Pacific Premier Bancorp, Inc. | 115,525 | |||||||||
11,349 | PacWest Bancorp | 229,704 | |||||||||
1,047 | Peapack-Gladstone Financial Corp. | 19,757 | |||||||||
58,443 | People's United Financial, Inc. | 741,642 | |||||||||
6,098 | Pinnacle Financial Partners, Inc. | 245,444 | |||||||||
6,776 | PNC Financial Services Group, Inc. | 722,796 | |||||||||
9,127 | Popular, Inc. | 352,211 | |||||||||
865 | Preferred Bank | 33,000 | |||||||||
8,632 | Prosperity Bancshares, Inc. | 517,316 | |||||||||
62,542 | Regions Financial Corp. | 672,326 | |||||||||
2,229 | Sandy Spring Bancorp, Inc. | 56,839 | |||||||||
3,011 | Seacoast Banking Corp. of Florida (a) | 67,657 | |||||||||
5,728 | Signature Bank | 613,927 | |||||||||
7,631 | Simmons First National Corp. | 142,700 | |||||||||
1,354 | Southside Bancshares, Inc. | 41,175 | |||||||||
20,753 | Sterling Bancorp | 255,884 | |||||||||
4,298 | SVB Financial Group (a) | 830,245 | |||||||||
21,279 | Synovus Financial Corp. | 447,072 | |||||||||
13,161 | TCF Financial Corp. | 390,750 | |||||||||
8,037 | Texas Capital Bancshares, Inc. (a) | 223,268 | |||||||||
2,404 | The Bancorp, Inc. (a) | 16,756 | |||||||||
1,636 | Triumph Bancorp, Inc. (a) | 45,334 | |||||||||
19,181 | Truist Financial Corp. | 715,835 | |||||||||
3,407 | Trustmark Corp. | 90,660 | |||||||||
2,833 | UMB Financial Corp. | 144,030 | |||||||||
6,488 | United Bankshares, Inc. | 194,380 | |||||||||
5,658 | United Community Banks, Inc. | 119,638 | |||||||||
1,126 | Univest Corp. of Pennsylvania | 19,930 | |||||||||
28,076 | Valley National Bancorp | 234,715 | |||||||||
8,568 | Webster Financial Corp. | 242,046 | |||||||||
1,436 | Westamerica Bancorp | 90,468 | |||||||||
11,428 | Western Alliance Bancorp | 410,037 | |||||||||
6,204 | Wintrust Financial Corp. | 259,948 | |||||||||
21,003 | Zions Bancorp | 663,905 | |||||||||
22,576,201 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Management of Companies and Enterprises - 4.1% | |||||||||||
1,356 | Atlantic Capital Bancshares, Inc. (a) | $ | 17,018 | ||||||||
4,654 | Banc of California, Inc. | 48,495 | |||||||||
26,755 | Citizens Financial Group, Inc. | 599,044 | |||||||||
6,268 | Cullen/Frost Bankers, Inc. | 450,419 | |||||||||
598 | Equity Bancshares, Inc. (a) | 11,207 | |||||||||
1,698 | First Foundation, Inc. | 23,365 | |||||||||
3,275 | First Interstate BancSystem, Inc. | 110,695 | |||||||||
1,021 | Franklin Financial Network, Inc. | 24,218 | |||||||||
2,111 | National Bank Holdings Corp. | 56,110 | |||||||||
3,648 | Renasant Corp. | 95,687 | |||||||||
1,755 | ServisFirst Bancshares, Inc. | 62,338 | |||||||||
2,231 | South State Corp. | 129,041 | |||||||||
18,014 | Umpqua Holdings Corp. | 225,625 | |||||||||
5,399 | Veritex Holdings, Inc. | 94,806 | |||||||||
1,948,068 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% | |||||||||||
538 | CBTX, Inc. | 9,716 | |||||||||
694 | QCR Holdings, Inc. | 21,361 | |||||||||
1,521 | TriState Capital Holdings, Inc. (a) | 21,629 | |||||||||
52,706 | |||||||||||
TOTAL COMMON STOCKS (Cost $21,974,667) | $ | 24,576,975 | |||||||||
SHORT TERM INVESTMENTS - 29.8% | |||||||||||
Money Market Funds - 29.8% | |||||||||||
1,780,072 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 1,780,072 | ||||||||
8,158,857 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 8,158,857 | |||||||||
4,292,291 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 4,292,291 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,231,220) | $ | 14,231,220 | |||||||||
TOTAL INVESTMENTS (Cost $36,205,887) - 81.2% (c) | $ | 38,808,195 | |||||||||
Other Assets in Excess of Liabilities - 18.8% | 8,990,695 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 47,798,890 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,611,034.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Direxion Daily Regional Banks Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Regional Banks Select Industry Index | 1.0508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 11,972 | $ | 11,843,218 | $ | 2,475,544 | |||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 1.7008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 22,025 | 26,482,874 | (159,935 | ) | ||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 1.3508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/17/2020 | 31,321 | 36,142,821 | 1,287,863 | |||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 1.2008% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/19/2021 | 34,137 | 35,927,585 | 4,867,262 | |||||||||||||||||||||
$ | 110,396,498 | $ | 8,470,734 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Direxion Daily Retail Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 55.6% | |||||||||||
Administrative and Support Services - 1.2% | |||||||||||
44 | Booking Holdings, Inc. (a) | $ | 65,145 | ||||||||
771 | Expedia, Inc. | 54,726 | |||||||||
119,871 | |||||||||||
Broadcasting (except Internet) - 0.8% | |||||||||||
10,644 | Qurate Retail, Inc. (a) | 85,737 | |||||||||
Clothing and Clothing Accessories Stores - 8.7% | |||||||||||
5,193 | Abercrombie & Fitch Co. Class A | 54,942 | |||||||||
6,014 | American Eagle Outfitters, Inc. | 47,811 | |||||||||
2,020 | Boot Barn Holdings, Inc. (a) | 37,289 | |||||||||
3,020 | Caleres, Inc. | 24,492 | |||||||||
1,606 | Childrens Place Retail Stores, Inc. (b) | 47,473 | |||||||||
5,781 | Designer Brands, Inc. | 36,709 | |||||||||
5,213 | Gap, Inc. | 42,330 | |||||||||
1,449 | Genesco, Inc. (a) | 27,430 | |||||||||
4,381 | Guess?, Inc. | 40,962 | |||||||||
4,914 | L Brands, Inc. | 58,427 | |||||||||
2,266 | Nordstrom, Inc. (b) | 42,556 | |||||||||
754 | Ross Stores, Inc. | 68,885 | |||||||||
4,331 | Signet Jewelers Ltd. (b) | 43,570 | |||||||||
2,618 | The Buckle, Inc. | 40,082 | |||||||||
923 | The Cato Corp. | 10,393 | |||||||||
651 | Tiffany & Co. | 82,352 | |||||||||
1,440 | TJX Companies, Inc. | 70,632 | |||||||||
3,251 | Urban Outfitters, Inc. (a) | 56,372 | |||||||||
2,461 | Zumiez, Inc. (a) | 52,026 | |||||||||
884,733 | |||||||||||
Data Processing, Hosting and Related Services - 0.4% | |||||||||||
1,117 | Shutterstock, Inc. | 42,446 | |||||||||
Electronics and Appliance Stores - 0.8% | |||||||||||
1,026 | Best Buy Co., Inc. | 78,725 | |||||||||
Food and Beverage Stores - 4.1% | |||||||||||
2,816 | Grocery Outlet Holding Corp. (a) | 93,688 | |||||||||
1,998 | Grubhub, Inc. (a) | 95,484 | |||||||||
438 | Ingles Markets, Inc. | 17,884 | |||||||||
3,098 | Kroger Co. | 97,928 | |||||||||
4,432 | Sprouts Farmers Market, Inc. (a) | 92,097 | |||||||||
482 | Weis Markets, Inc. | 24,115 | |||||||||
421,196 | |||||||||||
Food Services and Drinking Places - 0.8% | |||||||||||
564 | Casey's General Stores, Inc. | 85,395 | |||||||||
General Merchandise Stores - 9.8% | |||||||||||
3,251 | Big Lots, Inc. | 76,236 | |||||||||
3,689 | BJ's Wholesale Club Holdings, Inc. (a) | 97,058 | |||||||||
384 | Burlington Stores, Inc. (a) | 70,153 | |||||||||
296 | Costco Wholesale Corp. | 89,688 | |||||||||
1,262 | Dillard's, Inc. Class A (b) | 37,204 | |||||||||
561 | Dollar General Corp. | 98,343 | |||||||||
933 | Dollar Tree, Inc. (a) | 74,332 | |||||||||
703 | Five Below, Inc. (a) | 63,383 | |||||||||
1,802 | Kohl's Corp. | 33,265 | |||||||||
5,730 | Macy's, Inc. (b) | 33,578 |
Shares | Fair Value | ||||||||||
General Merchandise Stores (continued) | |||||||||||
1,012 | PriceSmart, Inc. | $ | 64,302 | ||||||||
685 | Target Corp. | 75,172 | |||||||||
917 | Tractor Supply Co. | 93,011 | |||||||||
722 | Wal-Mart Stores, Inc. | 87,759 | |||||||||
993,484 | |||||||||||
Health and Personal Care Stores - 4.3% | |||||||||||
3,388 | Petmed Express, Inc. (b) | 134,063 | |||||||||
11,489 | Rite Aid Corp. (a)(b) | 164,637 | |||||||||
342 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 74,529 | |||||||||
1,504 | Walgreens Boots Alliance, Inc. | 65,108 | |||||||||
438,337 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.3% | |||||||||||
439 | America's Car-Mart, Inc. (a) | 28,952 | |||||||||
Merchant Wholesalers, Nondurable Goods - 0.8% | |||||||||||
13,312 | Chicos FAS, Inc. | 19,968 | |||||||||
2,345 | Foot Locker, Inc. | 60,102 | |||||||||
80,070 | |||||||||||
Miscellaneous Manufacturing - 0.7% | |||||||||||
2,756 | National Vision Holdings, Inc. (a) | 73,034 | |||||||||
Miscellaneous Store Retailers - 5.6% | |||||||||||
1,971 | 1-800-Flowers.com, Inc. (a) | 37,823 | |||||||||
3,078 | Chewy, Inc. (a) | 133,093 | |||||||||
2,054 | Etsy, Inc. (a) | 133,243 | |||||||||
31,832 | Office Depot, Inc. | 70,667 | |||||||||
1,259 | Ollie's Bargain Outlet Holdings, Inc. (a)(b) | 85,499 | |||||||||
3,108 | Rent-A-Center, Inc. | 61,865 | |||||||||
4,847 | Sally Beauty Holdings, Inc. (a) | 47,064 | |||||||||
569,254 | |||||||||||
Motor Vehicle and Parts Dealers - 7.0% | |||||||||||
561 | Advance Auto Parts, Inc. | 67,831 | |||||||||
743 | Asbury Automotive Group, Inc. (a) | 50,152 | |||||||||
1,742 | AutoNation, Inc. (a) | 64,872 | |||||||||
68 | AutoZone, Inc. (a) | 69,382 | |||||||||
886 | CarMax, Inc. (a) | 65,254 | |||||||||
948 | Carvana Co. (a)(b) | 75,944 | |||||||||
822 | Group 1 Automotive, Inc. | 46,517 | |||||||||
920 | MarineMax, Inc. (a) | 13,257 | |||||||||
746 | Murphy USA, Inc. (a) | 79,673 | |||||||||
194 | O'Reilly Automotive, Inc. (a) | 74,950 | |||||||||
1,674 | Penske Automotive Group, Inc. | 60,231 | |||||||||
1,866 | Sonic Automotive, Inc. | 39,988 | |||||||||
708,051 | |||||||||||
Nonstore Retailers - 3.9% | |||||||||||
50 | Amazon.com, Inc. (a) | 123,700 | |||||||||
2,453 | eBay, Inc. | 97,703 | |||||||||
3,360 | Stitch Fix, Inc. (a)(b) | 53,928 | |||||||||
967 | Wayfair, Inc. (a)(b) | 119,947 | |||||||||
395,278 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Direxion Daily Retail Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services - 2.5% | |||||||||||
29,572 | Groupon, Inc. (a) | $ | 36,078 | ||||||||
2,655 | Quotient Technology, Inc. (a) | 19,063 | |||||||||
1,046 | Stamps.Com., Inc. (a) | 165,550 | |||||||||
4,819 | The Rubicon Project, Inc. (a) | 34,552 | |||||||||
255,243 | |||||||||||
Repair and Maintenance - 1.0% | |||||||||||
5,315 | Conn's, Inc. (a) | 35,929 | |||||||||
1,099 | Monro Muffler Brake, Inc. | 60,984 | |||||||||
96,913 | |||||||||||
Sporting Goods, Hobby, Musical Instrument, and Book Stores - 2.3% | |||||||||||
1,816 | Dick's Sporting Goods, Inc. | 53,372 | |||||||||
15,954 | GameStop Corp. Class A (a)(b) | 91,416 | |||||||||
2,950 | Hibbett Sports, Inc. (a) | 45,519 | |||||||||
13,546 | The Michaels Companies, Inc. (a)(b) | 41,180 | |||||||||
231,487 | |||||||||||
Truck Transportation - 0.6% | |||||||||||
551 | Lithia Motors, Inc. Class A | 60,919 | |||||||||
TOTAL COMMON STOCKS (Cost $4,828,405) | $ | 5,649,125 | |||||||||
SHORT TERM INVESTMENTS - 36.7% | |||||||||||
Money Market Funds - 36.7% | |||||||||||
1,866,835 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 1,866,835 | ||||||||
763,311 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 763,311 | |||||||||
1,110,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 1,110,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,740,146) | $ | 3,740,146 | |||||||||
TOTAL INVESTMENTS (Cost $8,568,551) - 92.3% (e) | $ | 9,389,271 | |||||||||
Other Assets in Excess of Liabilities - 7.7% | 794,310 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,183,581 |
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, 2020.
(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 $6,561,820.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Direxion Daily Retail Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Retail Select Industry® Index | 1.1008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 2,337 | $ | 7,502,720 | $ | 1,386,735 | |||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 1.6008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 2,761 | 9,835,616 | 665,673 | |||||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 0.8376% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 1,435 | 5,504,558 | (44,495 | ) | ||||||||||||||||||||
$ | 22,842,894 | $ | 2,007,913 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 49.3% | |||||||||||
462,635 | Global X Robotics & Artificial Intelligence ETF (a) | $ | 9,447,007 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $8,493,201) | $ | 9,447,007 | |||||||||
SHORT TERM INVESTMENTS - 44.3% | |||||||||||
Money Market Funds - 44.3% | |||||||||||
3,632,305 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 3,632,305 | ||||||||
4,834,104 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 4,834,104 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,466,409) | $ | 8,466,409 | |||||||||
TOTAL INVESTMENTS (Cost $16,959,610) - 93.6% (c) | $ | 17,913,416 | |||||||||
Other Assets in Excess of Liabilities - 6.4% | 1,215,866 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 19,129,282 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,732,069.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Indxx Global Robotics and Artificial Intelligence Thematic Index | 1.1683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 5/26/2020 | 868,306 | $ | 14,773,839 | $ | 2,935,536 | |||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 1.3008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 252,615 | 4,458,413 | 692,090 | |||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 0.9701% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 1,224,093 | 24,885,152 | 109,535 | |||||||||||||||||||||
$ | 44,117,404 | $ | 3,737,161 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 14.5% | |||||||||||
Air Transportation - 0.1% | |||||||||||
1,270 | American Airlines Group, Inc. (a) | $ | 15,253 | ||||||||
Amusement, Gambling, and Recreation Industries - 0.2% | |||||||||||
346 | Wynn Resorts Ltd. | 29,593 | |||||||||
Apparel Manufacturing - 0.4% | |||||||||||
1,410 | Capri Holdings Ltd. (b) | 21,502 | |||||||||
417 | PVH Corp. | 20,529 | |||||||||
1,837 | Under Armour, Inc. Class A (b) | 19,142 | |||||||||
61,173 | |||||||||||
Chemical Manufacturing - 0.7% | |||||||||||
403 | Albemarle Corp. | 24,757 | |||||||||
334 | Alexion Pharmaceuticals, Inc. (b) | 35,895 | |||||||||
286 | Celanese Corp. | 23,758 | |||||||||
461 | Eastman Chemical Co. | 27,895 | |||||||||
1,826 | Mosaic Co. | 21,017 | |||||||||
133,322 | |||||||||||
Clothing and Clothing Accessories Stores - 0.2% | |||||||||||
1,903 | Gap, Inc. | 15,452 | |||||||||
1,457 | L Brands, Inc. | 17,324 | |||||||||
32,776 | |||||||||||
Computer and Electronic Product Manufacturing - 3.4% | |||||||||||
920 | Advanced Micro Devices, Inc. (b) | 48,199 | |||||||||
311 | Analog Devices, Inc. | 34,086 | |||||||||
102 | Apple, Inc. | 29,968 | |||||||||
105 | Broadcom, Inc. | 28,520 | |||||||||
416 | Keysight Technologies, Inc. (b) | 40,256 | |||||||||
566 | Maxim Integrated Products, Inc. | 31,119 | |||||||||
381 | Microchip Technology, Inc. | 33,425 | |||||||||
798 | Micron Technology, Inc. (b) | 38,216 | |||||||||
680 | NetApp, Inc. | 29,764 | |||||||||
173 | NVIDIA Corp. | 50,564 | |||||||||
345 | Qorvo, Inc. (b) | 33,820 | |||||||||
358 | Qualcomm, Inc. | 28,164 | |||||||||
610 | Seagate Technology PLC (Ireland) | 30,469 | |||||||||
332 | Skyworks Solutions, Inc. | 34,488 | |||||||||
242 | Texas Instruments, Inc. | 28,089 | |||||||||
694 | Western Digital Corp. | 31,980 | |||||||||
416 | Xilinx, Inc. | 36,358 | |||||||||
150 | Zebra Technologies Corp. Class A (b) | 34,449 | |||||||||
621,934 | |||||||||||
Couriers and Messengers - 0.2% | |||||||||||
217 | FedEx Corp. | 27,509 | |||||||||
Credit Intermediation and Related Activities - 0.6% | |||||||||||
301 | Capital One Financial Corp. | 19,493 | |||||||||
441 | Citigroup, Inc. | 21,415 | |||||||||
417 | Discover Financial Services | 17,918 | |||||||||
311 | Northern Trust Corp. | 24,619 | |||||||||
161 | SVB Financial Group (b) | 31,100 | |||||||||
114,545 | |||||||||||
Data Processing, Hosting and Related Services - 0.1% | |||||||||||
2,251 | Hewlett Packard Enterprise Co. | 22,645 |
Shares | Fair Value | ||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.4% | |||||||||||
371 | IPG Photonics Corp. (b) | $ | 47,981 | ||||||||
162 | Rockwell Automation, Inc. | 30,696 | |||||||||
78,677 | |||||||||||
Fabricated Metal Product Manufacturing - 0.6% | |||||||||||
428 | Emerson Electric Co. | 24,409 | |||||||||
174 | Parker Hannifin Corp. | 27,513 | |||||||||
716 | Pentair PLC (Ireland) | 24,766 | |||||||||
229 | Stanley Black & Decker, Inc. | 25,236 | |||||||||
101,924 | |||||||||||
Insurance Carriers and Related Activities - 0.5% | |||||||||||
658 | Lincoln National Corp. | 23,339 | |||||||||
590 | Principal Financial Group, Inc. | 21,482 | |||||||||
347 | Prudential Financial, Inc. | 21,642 | |||||||||
1,141 | Unum Group | 19,911 | |||||||||
86,374 | |||||||||||
Leather and Allied Product Manufacturing - 0.1% | |||||||||||
1,317 | Tapestry, Inc. | 19,597 | |||||||||
Machinery Manufacturing - 0.9% | |||||||||||
564 | Applied Materials, Inc. | 28,020 | |||||||||
185 | Cummins, Inc. | 30,247 | |||||||||
821 | Flowserve Corp. | 23,128 | |||||||||
2,584 | General Electric Co. | 17,571 | |||||||||
115 | Lam Research Corp. | 29,357 | |||||||||
1,410 | National Oilwell Varco, Inc. | 17,822 | |||||||||
1,835 | TechnipFMC PLC | 16,350 | |||||||||
162,495 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.6% | |||||||||||
844 | Fastenal Co. | 30,570 | |||||||||
207 | KLA-Tencor Corp. | 33,967 | |||||||||
892 | WestRock Co. | 28,713 | |||||||||
833 | Xerox Corp. | 15,235 | |||||||||
108,485 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.1% | |||||||||||
392 | LyondellBasell Industries N.V. Class A ADR (Netherlands) | 22,717 | |||||||||
Mining (except Oil and Gas) - 0.2% | |||||||||||
3,225 | Freeport-McMoRan Copper & Gold, Inc. | 28,477 | |||||||||
Miscellaneous Manufacturing - 0.3% | |||||||||||
129 | Align Technology, Inc. (b) | 27,716 | |||||||||
715 | Textron, Inc. | 18,847 | |||||||||
46,563 | |||||||||||
Oil and Gas Extraction - 0.6% | |||||||||||
1,408 | Apache Corp. | 18,416 | |||||||||
453 | Concho Resources, Inc. | 25,694 | |||||||||
1,742 | Devon Energy Corp. | 21,723 | |||||||||
3,315 | Marathon Oil Corp. | 20,288 | |||||||||
1,744 | Noble Energy, Inc. | 17,109 | |||||||||
103,230 | |||||||||||
Other Information Services - 0.2% | |||||||||||
900 | Twitter, Inc. (b) | 25,812 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.2% | |||||||||||
496 | Activision Blizzard, Inc. | $ | 31,610 | ||||||||
Petroleum and Coal Products Manufacturing - 0.2% | |||||||||||
564 | Marathon Petroleum Corp. | 18,093 | |||||||||
392 | Valero Energy Corp. | 24,833 | |||||||||
42,926 | |||||||||||
Primary Metal Manufacturing - 0.1% | |||||||||||
1,089 | Corning, Inc. | 23,969 | |||||||||
Professional, Scientific, and Technical Services - 0.3% | |||||||||||
1,436 | DXC Technology Co. | 26,035 | |||||||||
91 | ServiceNow, Inc. (b) | 31,990 | |||||||||
58,025 | |||||||||||
Publishing Industries (except Internet) - 0.8% | |||||||||||
106 | ANSYS, Inc. (b) | 27,754 | |||||||||
152 | Autodesk, Inc. (b) | 28,444 | |||||||||
449 | Cadence Design Systems, Inc. (b) | 36,427 | |||||||||
105 | Paycom Software, Inc. (b) | 27,407 | |||||||||
198 | Synopsys, Inc. (b) | 31,110 | |||||||||
151,142 | |||||||||||
Rental and Leasing Services - 0.2% | |||||||||||
301 | United Rentals, Inc. (b) | 38,679 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.3% | |||||||||||
206 | Ameriprise Financial, Inc. | 23,678 | |||||||||
58 | BlackRock, Inc. | 29,118 | |||||||||
682 | Charles Schwab Corp. | 25,725 | |||||||||
823 | E*TRADE Financial Corp. | 33,422 | |||||||||
1,382 | Franklin Resources, Inc. | 26,037 | |||||||||
1,985 | Invesco Ltd. (b) | 17,111 | |||||||||
592 | Morgan Stanley | 23,342 | |||||||||
102 | MSCI, Inc. Class A | 33,354 | |||||||||
235 | T. Rowe Price Group, Inc. | 27,173 | |||||||||
238,960 | |||||||||||
Specialty Trade Contractors - 0.1% | |||||||||||
507 | Las Vegas Sands Corp. | 24,345 | |||||||||
Support Activities for Mining - 0.5% | |||||||||||
417 | Diamondback Energy, Inc. | 18,156 | |||||||||
1,498 | Halliburton Co. | 15,729 | |||||||||
510 | Hess Corp. | 24,807 | |||||||||
245 | Pioneer Natural Resources Co. | 21,881 | |||||||||
939 | Schlumberger Ltd. (b) | 15,794 | |||||||||
96,367 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing - 0.4% | |||||||||||
407 | Aptiv PLC ADR (Ireland) | $ | 28,307 | ||||||||
1,007 | BorgWarner, Inc. | 28,770 | |||||||||
920 | Harley-Davidson, Inc. (a) | 20,084 | |||||||||
77,161 | |||||||||||
TOTAL COMMON STOCKS (Cost $2,220,734) | $ | 2,626,285 | |||||||||
SHORT TERM INVESTMENTS - 35.8% | |||||||||||
Money Market Funds - 35.8% | |||||||||||
1,953,857 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c) | $ | 1,953,857 | ||||||||
4,580,282 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 4,580,282 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,534,139) | $ | 6,534,139 | |||||||||
TOTAL INVESTMENTS (Cost $8,754,873) - 50.3% (d) | $ | 9,160,424 | |||||||||
Other Assets in Excess of Liabilities - 49.7% | 9,055,941 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,216,365 |
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) Non-income producing security.
(c) Represents annualized seven-day yield at April 30, 2020.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,627,594.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 500® High Beta Index | 1.0683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 1,349 | $ | 9,613,379 | $ | 1,481,618 | |||||||||||||||||||
Total return of S&P 500® High Beta Index | 0.6296% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 4,973 | 41,595,301 | (692,476 | ) | ||||||||||||||||||||
$ | 51,208,680 | $ | 789,142 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Direxion Daily S&P 500® High Beta Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 78.6% | |||||||||||
Money Market Funds - 78.6% | |||||||||||
7,482,292 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 7,482,292 | ||||||||
8,937,601 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 8,937,601 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $16,419,893) (b) | $ | 16,419,893 | |||||||||
TOTAL INVESTMENTS (Cost $16,419,893) - 78.6% | $ | 16,419,893 | |||||||||
Other Assets in Excess of Liabilities - 21.4% | 4,464,886 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,884,779 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,419,893.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7183% representing 1 month LIBOR rate + spread | Total return of S&P 500® High Beta Index | Bank of America Merrill Lynch | 12/3/2020 | 2,052 | $ | 13,281,040 | $ | (3,600,466 | ) | ||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of S&P 500® High Beta Index | Credit Suisse Capital LLC | 12/9/2020 | 5,566 | 43,140,848 | (2,645,859 | ) | ||||||||||||||||||||
$ | 56,421,888 | $ | (6,246,325 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 43.5% | |||||||||||
Ambulatory Health Care Services - 1.4% | |||||||||||
68,135 | CareDx, Inc. (a) | $ | 1,729,265 | ||||||||
172,032 | Invitae Corp. (a)(b) | 2,847,130 | |||||||||
16,309 | Kura Oncology, Inc. (a) | 237,296 | |||||||||
13,260 | Y-mAbs Therapeutics, Inc. (a) | 445,271 | |||||||||
5,258,962 | |||||||||||
Chemical Manufacturing - 31.2% | |||||||||||
33,714 | AbbVie, Inc. | 2,771,291 | |||||||||
67,004 | ACADIA Pharmaceuticals, Inc. (a) | 3,236,963 | |||||||||
21,005 | Acceleron Pharma, Inc. (a) | 1,901,583 | |||||||||
81,496 | Adverum Biotechnologies, Inc. (a) | 965,728 | |||||||||
45,123 | Agios Pharmaceuticals, Inc. (a) | 1,856,360 | |||||||||
43,465 | Akebia Therapeutics, Inc. (a) | 352,066 | |||||||||
27,162 | Alexion Pharmaceuticals, Inc. (a) | 2,919,100 | |||||||||
108,935 | Alkermes PLC ADR (Ireland) (a) | 1,493,499 | |||||||||
15,625 | Allakos, Inc. (a)(b) | 1,027,500 | |||||||||
25,703 | Alnylam Pharmaceuticals, Inc. (a) | 3,385,085 | |||||||||
58,055 | AMAG Pharmaceuticals, Inc. (a)(b) | 466,182 | |||||||||
12,765 | Amgen, Inc. | 3,053,643 | |||||||||
229,547 | Amicus Therapeutics, Inc. (a) | 2,710,950 | |||||||||
32,311 | Arena Pharmaceuticals, Inc. (a) | 1,582,270 | |||||||||
110,859 | BioCryst Pharmaceuticals, Inc. (a)(b) | 433,459 | |||||||||
9,987 | Biogen, Inc. (a) | 2,964,441 | |||||||||
36,978 | BioMarin Pharmaceutical, Inc. (a) | 3,402,716 | |||||||||
33,095 | bluebird bio, Inc. (a) | 1,783,159 | |||||||||
34,338 | Blueprint Medicines Corp. (a) | 2,020,105 | |||||||||
14,340 | BridgeBio Pharma, Inc. (a)(b) | 437,800 | |||||||||
218,938 | Catalyst Pharmaceuticals, Inc. (a) | 1,037,766 | |||||||||
8,762 | ChemoCentryx, Inc. (a) | 464,474 | |||||||||
108,473 | Clovis Oncology, Inc. (a)(b) | 825,480 | |||||||||
89,073 | Coherus BioSciences, Inc. (a) | 1,478,612 | |||||||||
25,248 | Deciphera Pharmaceuticals, Inc. (a) | 1,463,879 | |||||||||
21,643 | Denali Therapeutics, Inc. (a) | 473,116 | |||||||||
22,394 | Dicerna Pharmaceuticals, Inc. (a) | 441,162 | |||||||||
68,002 | Dynavax Technologies Corp. (a) | 289,008 | |||||||||
12,218 | Eagle Pharmaceuticals, Inc. (a) | 622,874 | |||||||||
29,835 | Emergent Biosolutions, Inc. (a) | 2,206,298 | |||||||||
13,982 | Enanta Pharmaceuticals, Inc. (a) | 648,345 | |||||||||
23,870 | Esperion Therapeutics, Inc. (a)(b) | 945,252 | |||||||||
40,754 | FibroGen, Inc. (a) | 1,503,415 | |||||||||
38,577 | Flexion Therapeutics, Inc. (a)(b) | 410,459 | |||||||||
28,414 | G1 Therapeutics, Inc. (a) | 373,076 | |||||||||
32,495 | Gossamer Bio, Inc. (a) | 423,085 | |||||||||
61,622 | Halozyme Therapeutics, Inc. (a) | 1,396,046 | |||||||||
67,379 | Heron Therapeutics, Inc. (a) | 960,825 | |||||||||
13,341 | Homology Medicines, Inc. (a)(b) | 161,026 | |||||||||
94,444 | Immunogen, Inc. (a) | 385,332 | |||||||||
128,243 | Immunomedics, Inc. (a) | 3,896,022 | |||||||||
32,652 | Incyte Corp. (a) | 3,188,794 | |||||||||
64,902 | Insmed, Inc. (a) | 1,492,746 | |||||||||
34,591 | Intellia Therapeutics, Inc. (a)(b) | 465,941 | |||||||||
24,644 | Intercept Pharmaceuticals, Inc. (a) | 2,018,836 | |||||||||
47,030 | Ionis Pharmaceuticals, Inc. (a) | 2,611,576 | |||||||||
103,382 | Ironwood Pharmaceuticals, Inc. Class A (a) | 1,033,820 |
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
34,707 | Kadmon Holdings, Inc. (a) | $ | 149,240 | ||||||||
1,573 | Karuna Therapeutics, Inc. (a) | 130,685 | |||||||||
79,828 | Karyopharm Therapeutics, Inc. (a) | 1,760,207 | |||||||||
9,419 | Krystal Biotech, Inc. (a)(b) | 444,483 | |||||||||
27,851 | Ligand Pharmaceuticals, Inc. (a)(b) | 2,745,273 | |||||||||
37,984 | MacroGenics, Inc. (a) | 273,485 | |||||||||
11,766 | Madrigal Pharmaceuticals, Inc. (a)(b) | 984,579 | |||||||||
32,736 | Momenta Pharmaceuticals, Inc. (a) | 1,037,731 | |||||||||
64,992 | Myriad Genetics, Inc. (a) | 1,004,776 | |||||||||
26,710 | Neurocrine Biosciences, Inc. (a) | 2,621,319 | |||||||||
7,638 | NextCure, Inc. (a) | 247,624 | |||||||||
391,162 | OPKO Health, Inc. (a)(b) | 868,380 | |||||||||
66,858 | Portola Pharmaceuticals, Inc. (a)(b) | 473,355 | |||||||||
10,234 | Principia Biopharma, Inc. (a) | 636,350 | |||||||||
75,522 | Progenics Pharmaceuticals, Inc. (a) | 297,557 | |||||||||
9,332 | Prothena Corp. PLC (a) | 104,705 | |||||||||
45,336 | PTC Therapeutics, Inc. (a) | 2,308,509 | |||||||||
115,575 | Puma Biotechnology, Inc. (a) | 1,161,529 | |||||||||
54,175 | Radius Health, Inc. (a) | 850,006 | |||||||||
7,981 | Regeneron Pharmaceuticals, Inc. (a) | 4,197,048 | |||||||||
37,833 | REGENXBIO, Inc. (a) | 1,506,510 | |||||||||
35,224 | Retrophin, Inc. (a) | 536,109 | |||||||||
15,501 | Rhythm Pharmaceuticals, Inc. (a) | 292,039 | |||||||||
11,858 | Rocket Pharmaceuticals, Inc. (a) | 175,498 | |||||||||
40,690 | Sage Therapeutics, Inc. (a) | 1,586,096 | |||||||||
98,823 | Sangamo Therapeutics, Inc. (a) | 805,407 | |||||||||
22,388 | Sarepta Therapeutics, Inc. (a) | 2,639,097 | |||||||||
26,053 | Seattle Genetics, Inc. (a) | 3,575,253 | |||||||||
63,659 | Spectrum Pharmaceuticals, Inc. (a) | 184,611 | |||||||||
51,535 | Stemline Therapeutics, Inc. (a) | 269,528 | |||||||||
69,218 | TG Therapeutics, Inc. (a) | 814,004 | |||||||||
21,092 | Turning Point Therapeutics, Inc. (a) | 1,086,449 | |||||||||
17,754 | Twist Bioscience Corp. (a) | 580,733 | |||||||||
43,089 | Ultragenyx Pharmaceutical, Inc. (a) | 2,603,868 | |||||||||
32,917 | United Therapeutics Corp. (a) | 3,606,387 | |||||||||
39,846 | Vanda Pharmaceuticals, Inc. (a) | 458,229 | |||||||||
41,425 | Veracyte, Inc. (a) | 1,117,232 | |||||||||
33,396 | Vericel Corp. (a) | 484,242 | |||||||||
13,709 | Vertex Pharmaceuticals, Inc. (a) | 3,443,701 | |||||||||
22,427 | Xencor, Inc. (a) | 655,541 | |||||||||
118,698,540 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.3% | |||||||||||
52,175 | Aimmune Therapeutics, Inc. (a)(b) | 893,236 | |||||||||
47,984 | Atara Biotherapeutics, Inc. (a) | 397,787 | |||||||||
38,772 | Global Blood Therapeutics, Inc. (a) | 2,966,833 | |||||||||
92,205 | Viking Therapeutics, Inc. (a)(b) | 531,101 | |||||||||
103,872 | ZIOPHARM Oncology, Inc. (a) | 290,842 | |||||||||
5,079,799 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Miscellaneous Manufacturing - 0.7% | |||||||||||
14,134 | Anika Therapeutics, Inc. (a) | $ | 469,673 | ||||||||
26,456 | Mirati Therapeutics, Inc. (a) | 2,249,818 | |||||||||
2,719,491 | |||||||||||
Professional, Scientific, and Technical Services - 7.2% | |||||||||||
57,878 | Agenus, Inc. (a) | 154,245 | |||||||||
16,044 | Akcea Therapeutics, Inc. (a)(b) | 273,711 | |||||||||
20,073 | Alector, Inc. (a) | 496,205 | |||||||||
36,981 | Allogene Therapeutics, Inc. (a)(b) | 1,068,751 | |||||||||
57,802 | AnaptysBio, Inc. (a) | 902,867 | |||||||||
52,967 | Apellis Pharmaceuticals, Inc. (a) | 1,815,179 | |||||||||
44,882 | Arrowhead Pharmaceuticals, Inc. (a) | 1,545,287 | |||||||||
45,753 | Athenex, Inc. (a) | 409,032 | |||||||||
9,665 | AVROBIO, Inc. (a) | 124,389 | |||||||||
44,055 | Biohaven Pharmaceutical Holding Co. Ltd (a) | 2,074,990 | |||||||||
36,505 | Cytokinetics, Inc. (a) | 551,591 | |||||||||
37,184 | Editas Medicine, Inc. (a)(b) | 859,694 | |||||||||
35,737 | Epizyme, Inc. (a) | 588,231 | |||||||||
34,021 | Exact Sciences Corp. (a) | 2,686,979 | |||||||||
166,595 | Exelixis, Inc. (a) | 4,114,063 | |||||||||
45,554 | Fate Therapeutics, Inc. (a) | 1,247,268 | |||||||||
7,789 | Kodiak Sciences, Inc. (a) | 424,890 | |||||||||
123,124 | Moderna, Inc. (a)(b) | 5,662,473 | |||||||||
49,530 | Natera, Inc. (a) | 1,834,591 | |||||||||
87,172 | Precigen, Inc. (a)(b) | 313,819 | |||||||||
33,275 | Voyager Therapeutics, Inc. (a) | 359,703 | |||||||||
27,507,958 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.0% | |||||||||||
45,336 | Gilead Sciences, Inc. | 3,808,224 | |||||||||
Support Activities for Transportation - 0.7% | |||||||||||
78,093 | Iovance Biotherapeutics, Inc. (a) | 2,510,690 | |||||||||
TOTAL COMMON STOCKS (Cost $162,433,872) | $ | 165,583,664 | |||||||||
SHORT TERM INVESTMENTS - 62.8% | |||||||||||
Money Market Funds - 62.8% | |||||||||||
93,843,512 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 93,843,512 | ||||||||
145,493,513 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 145,493,513 | |||||||||
TOTAL MONEY MARKET FUNDS (Cost $239,337,025) | $ | 239,337,025 | |||||||||
TOTAL INVESTMENTS (Cost $401,770,897) - 106.3% | $ | 404,920,689 | |||||||||
Liabilities in Excess of Other Assets - (6.3)% | (24,053,067 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 380,867,622 |
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, 2020.
(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 $239,067,248.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Direxion Daily S&P Biotech Bull 3X Shares
Long Total Return Swap Contracts
April 30, 2020
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 | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 8/19/2020 | 8,630 | $ | 57,507,469 | $ | 4,292,982 | |||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 9/16/2020 | 5,000 | 32,068,362 | 3,812,657 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 8,000 | 48,332,385 | 9,266,598 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.9183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 17,088 | 102,741,299 | 21,087,313 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.9008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2020 | 6,077 | 33,564,325 | 10,481,001 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.6036% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 54,299 | 413,645,620 | (19,853,732 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 1.5008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/18/2020 | 25,707 | 192,231,560 | (6,443,966 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 2/17/2021 | 920 | 6,546,888 | 104,302 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 1.3008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 9,000 | 50,727,754 | 14,505,961 | |||||||||||||||||||||
$ | 937,365,662 | $ | 37,253,116 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
78
Direxion Daily S&P Biotech Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 84.9% | |||||||||||
Money Market Funds - 84.9% | |||||||||||
29,226,705 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 29,226,705 | ||||||||
42,633,463 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 42,633,463 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $71,860,168) (b) | $ | 71,860,168 | |||||||||
TOTAL INVESTMENTS (Cost $71,860,168) - 84.9% | $ | 71,860,168 | |||||||||
Other Assets in Excess of Liabilities - 15.1% | 12,814,232 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 84,674,400 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $71,860,168.
The accompanying notes are an integral part of these financial statements.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.6608% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | UBS Securities LLC | 12/9/2020 | 6,468 | $ | 34,578,680 | $ | (12,319,337 | ) | ||||||||||||||||||
0.7183% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | Bank of America Merrill Lynch | 12/10/2020 | 3,207 | 17,856,599 | (5,395,090 | ) | ||||||||||||||||||||
0.7008% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | Citibank N.A. | 12/11/2020 | 25,353 | 175,716,265 | (8,138,802 | ) | ||||||||||||||||||||
$ | 228,151,544 | $ | (25,853,229 | ) |
DIREXION SEMI-ANNUAL REPORT
79
Direxion Daily Semiconductor Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS – 57.3% | |||||||||||
Computer and Electronic Product Manufacturing - 48.1% | |||||||||||
540,040 | Advanced Micro Devices, Inc. (a) | $ | 28,292,696 | ||||||||
225,227 | Analog Devices, Inc. | 24,684,879 | |||||||||
180,186 | Broadcom, Inc. | 48,942,121 | |||||||||
28,474 | Cabot Microelectronics Corp. | 3,489,204 | |||||||||
57,117 | Cirrus Logic, Inc. (a) | 4,318,045 | |||||||||
105,287 | Cree, Inc. (a) | 4,541,028 | |||||||||
884,764 | Intel Corp. | 53,068,145 | |||||||||
653,417 | Marvell Technology Group Ltd. | 17,472,371 | |||||||||
262,453 | Maxim Integrated Products, Inc. | 14,429,666 | |||||||||
233,365 | Microchip Technology, Inc. | 20,473,112 | |||||||||
467,295 | Micron Technology, Inc. (a) | 22,378,758 | |||||||||
53,453 | MKS Instruments, Inc. | 5,357,594 | |||||||||
43,452 | Monolithic Power Systems, Inc. | 8,686,489 | |||||||||
181,887 | NVIDIA Corp. | 53,161,932 | |||||||||
216,035 | NXP Semiconductors NV | 21,510,605 | |||||||||
400,473 | ON Semiconductor Corp. (a) | 6,425,589 | |||||||||
112,704 | Qorvo, Inc. (a) | 11,048,373 | |||||||||
627,357 | Qualcomm, Inc. | 49,354,175 | |||||||||
64,539 | Semtech Corp. (a) | 2,919,744 | |||||||||
165,770 | Skyworks Solutions, Inc. | 17,220,188 | |||||||||
456,186 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 24,237,162 | |||||||||
163,260 | Teradyne, Inc. | 10,210,280 | |||||||||
430,366 | Texas Instruments, Inc. | 49,952,582 | |||||||||
242,425 | Xilinx, Inc. | 21,187,945 | |||||||||
523,362,683 | |||||||||||
Machinery Manufacturing - 5.8% | |||||||||||
422,592 | Applied Materials, Inc. | 20,994,370 | |||||||||
72,041 | ASML Holding NV ADR (Netherlands) (b) | 20,778,786 | |||||||||
83,703 | Lam Research Corp. | 21,367,702 | |||||||||
63,140,858 | |||||||||||
Merchant Wholesalers, Durable Goods - 3.0% | |||||||||||
131,158 | Entegris, Inc. | 7,112,698 | |||||||||
152,733 | KLA-Tencor Corp. | 25,061,958 | |||||||||
32,174,656 | |||||||||||
Primary Metal Manufacturing - 0.4% | |||||||||||
42,377 | Silicon Laboratories, Inc. (a) | 4,119,892 | |||||||||
TOTAL COMMON STOCKS (Cost $589,470,810) | $ | 622,798,089 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 38.4% | |||||||||||
Money Market Funds - 38.4% | |||||||||||
210,126,323 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 210,126,323 | ||||||||
175,200,980 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 175,200,980 | |||||||||
32,071,462 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 32,071,462 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $417,398,765) | $ | 417,398,765 | |||||||||
TOTAL INVESTMENTS (Cost $1,006,869,575) - 95.7% (e) | $ | 1,040,196,854 | |||||||||
Other Assets in Excess of Liabilities - 4.3% | 47,422,203 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,087,619,057 |
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, 2020.
(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 $630,423,095.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
80
Direxion Daily Semiconductor Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 PHLX Semiconductor Sector Index | 0.9683% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 160,396 | $ | 228,825,309 | $ | 48,863,101 | |||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 1.1408% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2020 | 324,049 | 502,695,822 | 58,303,586 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 1.5208% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 239,010 | 398,541,905 | 15,111,453 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 1.2808% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 267,123 | 432,651,550 | 29,584,550 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.9508% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 5,359 | 9,592,202 | (317,039 | ) | ||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 1.0508% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/19/2021 | 304,179 | 509,308,317 | 17,158,761 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.9508% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 180,000 | 276,513,443 | 35,013,865 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.9508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 30,000 | 50,478,859 | 1,455,664 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.9508% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 15,000 | 26,974,445 | (1,006,347 | ) | ||||||||||||||||||||
$ | 2,435,581,852 | $ | 204,167,594 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
81
Direxion Daily Semiconductor Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 97.6% | |||||||||||
Money Market Funds - 97.6% | |||||||||||
61,590,041 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 61,590,041 | ||||||||
102,827,088 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 102,827,088 | |||||||||
15,341,597 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 15,341,597 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $179,758,726) (b) | $ | 179,758,726 | |||||||||
TOTAL INVESTMENTS (Cost $179,758,726) - 97.6% | $ | 179,758,726 | |||||||||
Other Assets in Excess of Liabilities - 2.4% | 4,374,255 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 184,132,981 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $179,758,726.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.9508% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Credit Suisse Capital LLC | 12/9/2020 | 67,500 | $ | 110,514,912 | $ | (6,321,467 | ) | ||||||||||||||||||
0.7683% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Bank of America Merrill Lynch | 12/9/2020 | 42,138 | 54,170,681 | (18,836,093 | ) | ||||||||||||||||||||
0.7008% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | UBS Securities LLC | 12/9/2020 | 17,059 | 21,930,268 | (7,634,761 | ) | ||||||||||||||||||||
0.6008% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | J.P. Morgan | 12/9/2020 | 31,522 | 51,671,545 | (2,903,619 | ) | ||||||||||||||||||||
0.9208% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Citibank N.A. | 12/11/2020 | 142,715 | 232,858,668 | (14,193,949 | ) | ||||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | BNP Paribas | 3/17/2021 | 4,652 | 7,267,501 | (793,076 | ) | ||||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | BNP Paribas | 4/21/2021 | 13,528 | 21,663,883 | (1,752,845 | ) | ||||||||||||||||||||
$ | 500,077,458 | $ | (52,435,810 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
82
Direxion Daily Technology Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 55.4% | |||||||||||
Administrative and Support Services - 4.8% | |||||||||||
64,021 | Accenture PLC Class A ADR (Ireland) | $ | 11,856,049 | ||||||||
43,617 | Automatic Data Processing, Inc. | 6,398,178 | |||||||||
11,561 | Broadridge Financial Solutions, Inc. | 1,341,076 | |||||||||
8,749 | FleetCor Technologies, Inc. (a) | 2,110,696 | |||||||||
9,013 | Gartner, Inc. (a) | 1,070,835 | |||||||||
172,556 | Visa, Inc. Class A | 30,839,208 | |||||||||
53,616,042 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.4% | |||||||||||
30,294 | Global Payments, Inc. | 5,029,410 | |||||||||
Computer and Electronic Product Manufacturing - 23.9% | |||||||||||
117,902 | Advanced Micro Devices, Inc. (a) | 6,176,886 | |||||||||
29,888 | Amphenol Corp. Class A | 2,637,915 | |||||||||
37,126 | Analog Devices, Inc. | 4,069,010 | |||||||||
421,017 | Apple, Inc. | 123,694,795 | |||||||||
5,466 | Arista Networks, Inc. (a) | 1,198,694 | |||||||||
39,986 | Broadcom, Inc. | 10,860,997 | |||||||||
427,625 | Cisco Systems, Inc. | 18,122,747 | |||||||||
13,524 | FLIR System, Inc. | 586,942 | |||||||||
14,308 | Fortinet, Inc. (a) | 1,541,544 | |||||||||
149,377 | HP, Inc. | 2,316,837 | |||||||||
438,484 | Intel Corp. | 26,300,270 | |||||||||
89,272 | International Business Machines Corp. | 11,208,992 | |||||||||
18,909 | Keysight Technologies, Inc. (a) | 1,829,824 | |||||||||
27,274 | Maxim Integrated Products, Inc. | 1,499,525 | |||||||||
24,089 | Microchip Technology, Inc. | 2,113,328 | |||||||||
111,588 | Micron Technology, Inc. (a) | 5,343,949 | |||||||||
17,277 | Motorola Solutions, Inc. | 2,484,605 | |||||||||
23,008 | NetApp, Inc. | 1,007,060 | |||||||||
61,692 | NVIDIA Corp. | 18,031,338 | |||||||||
11,708 | Qorvo, Inc. (a) | 1,147,735 | |||||||||
115,102 | Qualcomm, Inc. | 9,055,074 | |||||||||
23,307 | Seagate Technology PLC (Ireland) | 1,164,185 | |||||||||
17,176 | Skyworks Solutions, Inc. | 1,784,243 | |||||||||
94,226 | Texas Instruments, Inc. | 10,936,812 | |||||||||
29,978 | Western Digital Corp. | 1,381,386 | |||||||||
25,344 | Xilinx, Inc. | 2,215,066 | |||||||||
5,436 | Zebra Technologies Corp. Class A (a) | 1,248,432 | |||||||||
269,958,191 | |||||||||||
Credit Intermediation and Related Activities - 3.0% | |||||||||||
61,951 | Fidelity National Information Services, Inc. | 8,170,717 | |||||||||
89,484 | MasterCard, Inc. Class A | 24,605,416 | |||||||||
42,259 | Western Union Co. | 805,879 | |||||||||
33,582,012 |
Shares | Fair Value | ||||||||||
Data Processing, Hosting and Related Services - 0.6% | |||||||||||
57,568 | Fiserv, Inc. (a) | $ | 5,932,958 | ||||||||
130,436 | Hewlett Packard Enterprise Co. | 1,312,186 | |||||||||
7,245,144 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.4% | |||||||||||
77,531 | Corning, Inc. | 1,706,457 | |||||||||
3,582 | IPG Photonics Corp. (a) | 463,260 | |||||||||
33,713 | TE Connectivity Ltd. (Switzerland) | 2,476,557 | |||||||||
4,646,274 | |||||||||||
Machinery Manufacturing - 0.7% | |||||||||||
93,113 | Applied Materials, Inc. | 4,625,854 | |||||||||
14,626 | Lam Research Corp. | 3,733,725 | |||||||||
8,359,579 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.3% | |||||||||||
15,905 | KLA-Tencor Corp. | 2,609,851 | |||||||||
18,741 | Xerox Corp. | 342,773 | |||||||||
2,952,624 | |||||||||||
Professional, Scientific, and Technical Services - 1.8% | |||||||||||
4,129 | Alliance Data Systems Corp. | 206,739 | |||||||||
14,487 | CDW Corp. | 1,605,160 | |||||||||
55,197 | Cognizant Technology Solutions Corp. Class A | 3,202,530 | |||||||||
25,809 | DXC Technology Co. | 467,917 | |||||||||
6,124 | F5 Networks, Inc. (a) | 852,828 | |||||||||
7,761 | Jack Henry & Associates, Inc. | 1,269,311 | |||||||||
33,737 | Juniper Networks, Inc. | 728,719 | |||||||||
13,411 | Leidos Holdings, Inc. | 1,325,141 | |||||||||
32,111 | Paychex, Inc. | 2,200,246 | |||||||||
19,011 | ServiceNow, Inc. (a) | 6,683,127 | |||||||||
10,414 | VeriSign, Inc. (a) | 2,181,629 | |||||||||
20,723,347 | |||||||||||
Publishing Industries (except Internet) - 18.2% | |||||||||||
48,789 | Adobe Systems, Inc. (a) | 17,253,742 | |||||||||
16,291 | Akamai Technologies, Inc. (a) | 1,591,794 | |||||||||
8,630 | ANSYS, Inc. (a) | 2,259,593 | |||||||||
22,189 | Autodesk, Inc. (a) | 4,152,228 | |||||||||
28,286 | Cadence Design Systems, Inc. (a) | 2,294,843 | |||||||||
11,586 | Citrix Systems, Inc. | 1,680,086 | |||||||||
26,240 | Intuit, Inc. | 7,079,814 | |||||||||
768,990 | Microsoft Corp. | 137,810,698 | |||||||||
57,797 | NortonLifeLock, Inc. | 1,229,342 | |||||||||
218,383 | Oracle Corp. | 11,567,747 | |||||||||
4,945 | Paycom Software, Inc. (a) | 1,290,744 | |||||||||
89,411 | Salesforce.com, Inc. (a) | 14,480,111 | |||||||||
15,155 | Synopsys, Inc. (a) | 2,381,154 | |||||||||
205,071,896 | |||||||||||
Telecommunications – 1.3% | |||||||||||
118,364 | PayPal Holdings, Inc. (a) | 14,558,772 | |||||||||
TOTAL COMMON STOCKS (Cost $582,286,425) | $ | 625,743,291 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
83
Direxion Daily Technology Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 36.5% | |||||||||||
Money Market Funds - 36.5% | |||||||||||
227,999,514 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 227,999,514 | ||||||||
172,813,285 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 172,813,285 | |||||||||
11,296,015 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 11,296,015 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $412,108,814) | $ | 412,108,814 | |||||||||
TOTAL INVESTMENTS (Cost $994,395,239) - 91.9% (c) | $ | 1,037,852,105 | |||||||||
Other Assets in Excess of Liabilities - 8.1% | 91,075,729 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,128,927,834 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $559,354,311.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.2008% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 768,810 | $ | 625,203,393 | $ | 82,518,883 | |||||||||||||||||||
Total return of Technology Select Sector Index | 1.6408% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 603,700 | 505,988,202 | 49,529,627 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 1.4508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 372,092 | 334,021,985 | 8,540,367 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 1.1183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/10/2020 | 590,581 | 467,669,282 | 76,039,605 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 1.2008% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/9/2021 | 422,618 | 377,075,554 | 12,106,673 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 180,000 | 142,346,364 | 23,333,311 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 1.5008% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 60,000 | 53,401,016 | 1,841,305 | |||||||||||||||||||||
$ | 2,505,705,796 | $ | 253,909,771 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
84
Direxion Daily Technology Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 101.7% | |||||||||||
Money Market Funds - 101.7% | |||||||||||
31,006,925 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 31,006,925 | ||||||||
10,800,519 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 10,800,519 | |||||||||
8,120,526 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 8,120,526 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $49,927,970) (b) | $ | 49,927,970 | |||||||||
TOTAL INVESTMENTS (Cost $49,927,970) - 101.7% | $ | 49,927,970 | |||||||||
Liabilities in Excess of Other Assets - (1.7)% | (829,602 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 49,098,368 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $49,927,970.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.9183% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Bank of America Merrill Lynch | 6/25/2020 | 29,296 | $ | 22,583,359 | $ | (4,399,104 | ) | ||||||||||||||||||
0.9008% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | UBS Securities LLC | 12/9/2020 | 51,815 | 37,332,301 | (10,383,607 | ) | ||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | J.P. Morgan | 12/9/2020 | 37,248 | 32,795,027 | (1,509,952 | ) | ||||||||||||||||||||
1.0008% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Citibank N.A. | 12/11/2020 | 27,552 | 23,701,760 | (1,666,694 | ) | ||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Credit Suisse Capital LLC | 12/17/2020 | 13,963 | 11,281,544 | (1,574,873 | ) | ||||||||||||||||||||
$127,693,991 | $(19,534,230) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
85
Direxion Daily Transportation Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 44.1% | |||||||||||
Air Transportation - 4.5% | |||||||||||
3,381 | Alaska Air Group, Inc. | $ | 109,950 | ||||||||
3,381 | American Airlines Group, Inc. | 40,606 | |||||||||
3,381 | Delta Air Lines, Inc. | 87,602 | |||||||||
3,381 | JetBlue Airways Corp. (a) | 32,931 | |||||||||
3,381 | Southwest Airlines Co. | 105,656 | |||||||||
3,381 | United Continental Holdings, Inc. (a) | 100,010 | |||||||||
476,755 | |||||||||||
Couriers and Messengers - 7.1% | |||||||||||
3,381 | FedEx Corp. | 428,609 | |||||||||
3,381 | United Parcel Service, Inc. Class B | 320,046 | |||||||||
748,655 | |||||||||||
Rail Transportation - 17.0% | |||||||||||
3,381 | CSX Corp. | 223,924 | |||||||||
3,381 | Kansas City Southern Railway Co. | 441,389 | |||||||||
3,381 | Norfolk Southern Corp. | 578,489 | |||||||||
3,381 | Union Pacific Corp. | 540,250 | |||||||||
1,784,052 | |||||||||||
Rental and Leasing Services - 0.5% | |||||||||||
3,381 | Avis Budget Group, Inc. (a) | 55,719 | |||||||||
Support Activities for Transportation - 5.6% | |||||||||||
3,381 | C.H. Robinson Worldwide, Inc. | 239,713 | |||||||||
3,381 | Expeditors International of Washington, Inc. | 242,097 | |||||||||
3,381 | Matson, Inc. | 102,241 | |||||||||
584,051 | |||||||||||
Truck Transportation - 7.7% | |||||||||||
3,381 | J.B. Hunt Transport Services, Inc. | 341,887 | |||||||||
3,381 | Landstar System, Inc. | 349,291 | |||||||||
3,381 | Ryder System, Inc. | 119,687 | |||||||||
810,865 | |||||||||||
Water Transportation - 1.7% | |||||||||||
3,381 | Kirby Corp. (a) | 180,613 | |||||||||
TOTAL COMMON STOCKS (Cost $4,233,362) | $ | 4,640,710 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 52.7% | |||||||||||
Money Market Funds - 52.7% | |||||||||||
1,590,000 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 1,590,000 | ||||||||
3,615,872 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 3,615,872 | |||||||||
340,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 340,000 | |||||||||
TOTAL MONEY MARKET FUNDS (Cost $5,545,872) | $ | 5,545,872 | |||||||||
TOTAL INVESTMENTS (Cost $9,779,234) - 96.8% (c) | $ | 10,186,582 | |||||||||
Other Assets in Excess of Liabilities - 3.2% | 335,743 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,522,325 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $8,485,949.
Long Total Return Swap Contracts
April 30, 2020
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 Dow Jones Transportation Average | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2020 | 1,056 | $ | 8,794,234 | $ | 40,634 | |||||||||||||||||||
Total return of Dow Jones Transportation Average | 1.4508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 1,963 | 16,106,230 | 328,658 | |||||||||||||||||||||
Total return of Dow Jones Transportation Average | 0.8701% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 195 | 1,682,833 | (49,343 | ) | ||||||||||||||||||||
$ | 26,583,297 | $ | 319,949 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
86
Direxion Daily Utilities Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 58.1% | |||||||||||
Utilities - 58.1% | |||||||||||
6,284 | AES Corp. | $ | 83,263 | ||||||||
2,275 | Alliant Energy Corp. | 110,451 | |||||||||
2,329 | Ameren Corp. | 169,435 | |||||||||
4,675 | American Electric Power Co., Inc. | 388,539 | |||||||||
1,710 | American Water Works Co., Inc. | 208,090 | |||||||||
1,130 | Atmos Energy Corp. | 115,226 | |||||||||
4,753 | CenterPoint Energy, Inc. | 80,944 | |||||||||
2,686 | CMS Energy Corp. | 153,344 | |||||||||
3,145 | Consolidated Edison, Inc. | 247,826 | |||||||||
7,789 | Dominion Energy, Inc. | 600,766 | |||||||||
1,818 | DTE Energy Co. | 188,599 | |||||||||
6,901 | Duke Energy Corp. | 584,239 | |||||||||
3,393 | Edison International | 199,203 | |||||||||
1,883 | Entergy Corp. | 179,845 | |||||||||
2,158 | Evergy, Inc. | 126,092 | |||||||||
3,063 | Eversource Energy | 247,184 | |||||||||
9,201 | Exelon Corp. | 341,173 | |||||||||
5,114 | FirstEnergy Corp. | 211,055 | |||||||||
4,626 | NextEra Energy, Inc. | 1,069,161 | |||||||||
3,537 | NiSource, Inc. | 88,814 | |||||||||
2,382 | NRG Energy, Inc. | 79,869 | |||||||||
1,065 | Pinnacle West Capital Corp. | 81,994 | |||||||||
7,267 | PPL Corp. | 184,727 | |||||||||
4,786 | Public Service Enterprise Group, Inc. | 242,698 | |||||||||
2,667 | Sempra Energy | 330,308 | |||||||||
9,926 | Southern Co. | 563,102 | |||||||||
2,986 | WEC Energy Group, Inc. | 270,382 | |||||||||
4,964 | Xcel Energy, Inc. | 315,512 | |||||||||
7,461,841 | |||||||||||
TOTAL COMMON STOCKS (Cost $7,447,899) | $ | 7,461,841 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 47.5% | |||||||||||
Money Market Funds - 47.5% | |||||||||||
2,035,198 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 2,035,198 | ||||||||
4,056,336 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 4,056,336 | |||||||||
289 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 289 | |||||||||
TOTAL MONEY MARKET FUNDS (Cost $6,091,823) | $ | 6,091,823 | |||||||||
TOTAL INVESTMENTS (Cost $13,539,722) - 105.6% (b) | $ | 13,553,664 | |||||||||
Liabilities in Excess of Other Assets - (5.6)% | (714,444 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 12,839,220 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,326,427.
Long Total Return Swap Contracts
April 30, 2020
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 Utilities Select Sector Index | 1.1508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 11,014 | $ | 7,490,188 | $ | (1,099,282 | ) | ||||||||||||||||||
Total return of Utilities Select Sector Index | 1.5508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 11,177 | 6,739,721 | (260,231 | ) | ||||||||||||||||||||
Total return of Utilities Select Sector Index | 1.2508% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 27,691 | 14,867,130 | 1,176,012 | |||||||||||||||||||||
Total return of Utilities Select Sector Index | 1.2008% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/30/2021 | 3,701 | 2,019,509 | 124,541 | |||||||||||||||||||||
$ | 31,116,548 | $ | (58,960 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
87
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 36.5% | |||||||||||
60,800 | iShares 7-10 Year Treasury Bond ETF (a) | $ | 7,397,536 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $6,331,705) | $ | 7,397,536 | |||||||||
SHORT TERM INVESTMENTS - 34.7% | |||||||||||
Money Market Funds - 34.7% | |||||||||||
3,281,823 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 3,281,823 | ||||||||
1,139,816 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 1,139,816 | |||||||||
2,603,398 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (b) | 2,603,398 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,025,037) | $ | 7,025,037 | |||||||||
TOTAL INVESTMENTS (Cost $13,356,742) - 71.2% (c) | $ | 14,422,573 | |||||||||
Other Assets in Excess of Liabilities - 28.8% | 5,825,977 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,248,550 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $12,085,982.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.0183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 16,369 | $ | 1,833,565 | $ | 155,969 | |||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 1.3608% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 131,060 | 15,870,112 | 73,070 | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 0.1208% representing 1 month LIBOR rate + spread | BNP Paribas | 2/17/2021 | 124,640 | 13,925,397 | 1,307,767 | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 0.9508% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/5/2021 | 166,399 | 20,064,112 | 175,365 | |||||||||||||||||||||
$ | 51,693,186 | $ | 1,712,171 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
88
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 70.8% | |||||||||||
Money Market Funds - 70.8% | |||||||||||
3,601,031 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 3,601,031 | ||||||||
1,813,053 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 1,813,053 | |||||||||
550,045 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 550,045 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,964,129) (b) | $ | 5,964,129 | |||||||||
TOTAL INVESTMENTS (Cost $5,964,129) - 70.8% | $ | 5,964,129 | |||||||||
Other Assets in Excess of Liabilities - 29.2% | 2,459,021 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,423,150 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,964,129.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received/(Paid) at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7208% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/10/2020 | 84,912 | $ | 10,180,535 | $ | (150,137 | ) | ||||||||||||||||||
-.1793% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | BNP Paribas | 2/17/2021 | 96,635 | 10,790,753 | (1,027,074 | ) | ||||||||||||||||||||
-0.1993% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | J.P. Morgan | 4/19/2021 | 19,504 | 2,331,005 | (43,965 | ) | ||||||||||||||||||||
-.1793% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | BNP Paribas | 4/21/2021 | 6,639 | 778,931 | (29,900 | ) | ||||||||||||||||||||
$ | 24,081,224 | $ | (1,251,076 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
89
Direxion Daily 20+ Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 49.4% | |||||||||||
851,028 | iShares 20+ Year Treasury Bond ETF (a)(b) | $ | 141,900,409 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $127,613,549) | $ | 141,900,409 | |||||||||
SHORT TERM INVESTMENTS - 28.0% | |||||||||||
Money Market Funds - 28.0% | |||||||||||
40,022,961 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c) | $ | 40,022,961 | ||||||||
40,038,974 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 40,038,974 | |||||||||
115,687 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (c) | 115,687 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $80,177,622) | $ | 80,177,622 | |||||||||
TOTAL INVESTMENTS (Cost $207,791,171) - 77.4% (d) | $ | 222,078,031 | |||||||||
Other Assets in Excess of Liabilities - 22.6% | 64,674,318 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 286,752,349 |
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, 2020.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $189,276,401.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
90
Direxion Daily 20+ Year Treasury Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 20+ Year Treasury Bond ETF | 1.0208% representing 1 month LIBOR rate + spread | BNP Paribas | 8/19/2020 | 53,959 | $ | 7,494,785 | $ | 1,842,076 | |||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.0208% representing 1 month LIBOR rate + spread | BNP Paribas | 10/21/2020 | 63,788 | 8,927,002 | 1,717,491 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.0208% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 565,911 | 78,957,619 | 15,500,399 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.0183% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 392,035 | 57,116,001 | 8,248,928 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.1408% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 584,928 | 86,266,961 | 11,270,244 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.9108% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 554,278 | 94,157,338 | (1,756,991 | ) | ||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.0208% representing 1 month LIBOR rate + spread | BNP Paribas | 12/16/2020 | 31,688 | 4,389,766 | 896,329 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.2208% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 980,131 | 158,920,630 | 4,502,025 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 1.0508% representing 1 month LIBOR rate + spread | J.P. Morgan | 2/22/2021 | 1,081,672 | 174,694,550 | 5,622,304 | |||||||||||||||||||||
$ | 670,924,652 | $ | 47,842,805 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
91
Direxion Daily 20+ Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 71.8% | |||||||||||
Money Market Funds - 71.8% | |||||||||||
36,502,188 | Dreyfus Government Cash Management Institutional Shares, 0.17% (a) | $ | 36,502,188 | ||||||||
22,842,545 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (a) | 22,842,545 | |||||||||
3,380,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.19% (a) | 3,380,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $62,724,733) (b) | $ | 62,724,733 | |||||||||
TOTAL INVESTMENTS (Cost $62,724,733) - 71.8% | $ | 62,724,733 | |||||||||
Other Assets in Excess of Liabilities - 28.2% | 24,673,091 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 87,397,824 |
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, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $62,724,733.
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
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) | |||||||||||||||||||||
0.7808% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | UBS Securities LLC | 12/4/2020 | 402,216 | $ | 59,762,792 | $ | (7,340,211 | ) | ||||||||||||||||||
0.7208% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/10/2020 | 368,876 | 57,069,587 | (4,464,065 | ) | ||||||||||||||||||||
0.6508% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Citibank N.A. | 12/11/2020 | 311,710 | 52,294,802 | 325,321 | |||||||||||||||||||||
0.8008% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | BNP Paribas | 4/21/2021 | 389,100 | 59,414,516 | (5,496,233 | ) | ||||||||||||||||||||
0.1701% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | J.P. Morgan | 5/28/2021 | 100,000 | 16,868,469 | 194,549 | |||||||||||||||||||||
$ | 245,410,166 | $ | (16,780,639 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
92
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Mid Cap Bull 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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 32,464,388 | $ | 1,399,688,888 | $ | 1,068,634,090 | $ | 646,162,617 | |||||||||||
Cash equivalents | 2,674,534 | 110,024,527 | 425,625,485 | 217,682,246 | |||||||||||||||
Receivable for Fund shares sold | 67,971 | — | 29,646,505 | 40,449,767 | |||||||||||||||
Dividend and interest receivable | 2,541 | 101,935 | 240,453 | 108,409 | |||||||||||||||
Due from broker for swap contracts | 2,488,892 | 3,857,423 | 3,564 | 26,191 | |||||||||||||||
Unrealized appreciation on swap contracts | 3,735,800 | 194,343,969 | — | 160,748,371 | |||||||||||||||
Prepaid expenses and other assets | 8,443 | 26,996 | 5,569 | 14,771 | |||||||||||||||
Total Assets | 41,442,569 | 1,708,043,738 | 1,524,155,666 | 1,065,192,372 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 72,682,581 | |||||||||||||||
Payable for Fund shares redeemed | — | 9,378,500 | 4,569,000 | — | |||||||||||||||
Payable for investments purchased | 1,694,790 | 80,888,225 | — | 67,734,500 | |||||||||||||||
Unrealized depreciation on swap contracts | 1,797,552 | 8,307,388 | 332,988,370 | 1,508,662 | |||||||||||||||
Due to Adviser, net (Note 6) | 10,946 | 836,790 | 711,997 | 310,299 | |||||||||||||||
Due to broker for swap contracts | 4,891,301 | 173,946,999 | — | 185,334,388 | |||||||||||||||
Accrued expenses and other liabilities | 47,691 | 1,038,148 | 603,632 | 563,483 | |||||||||||||||
Total Liabilities | 8,442,280 | 274,396,050 | 338,872,999 | 328,133,913 | |||||||||||||||
Net Assets | $ | 33,000,289 | $ | 1,433,647,688 | $ | 1,185,282,667 | $ | 737,058,459 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 59,495,482 | $ | 1,529,254,851 | $ | 2,822,977,347 | $ | 1,130,887,835 | |||||||||||
Total distributable loss | (26,495,193 | ) | (95,607,163 | ) | (1,637,694,680 | ) | (393,829,376 | ) | |||||||||||
Net Assets | $ | 33,000,289 | $ | 1,433,647,688 | $ | 1,185,282,667 | $ | 737,058,459 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 33,000,289 | $ | 1,433,647,688 | $ | 1,185,282,667 | $ | 737,058,459 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 2,000,132 | 40,000,001 | 116,753,892 | 32,800,002 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 16.50 | $ | 35.84 | $ | 10.15 | $ | 22.47 | |||||||||||
Cost of Investments | $ | 31,704,685 | $ | 1,328,538,997 | $ | 1,068,634,090 | $ | 641,164,411 |
* Securities loaned with values of $–, $–, $– and $126,829,550, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
93
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Small Cap Bear 3X Shares | Direxion Daily FTSE China Bull 3X Shares | Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 565,698,373 | $ | 185,180,914 | $ | 31,287,688 | $ | 10,803,537 | |||||||||||
Cash equivalents | 244,522,018 | 90,559,364 | 35,723,037 | 2,151,168 | |||||||||||||||
Receivable for Fund shares sold | 43,849,924 | 140,312 | — | — | |||||||||||||||
Dividend and interest receivable | 114,728 | 39,179 | 8,995 | 2,230 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 15,252,434 | — | 1,212,113 | |||||||||||||||
Prepaid expenses and other assets | 11,188 | 7,859 | 632 | 12,478 | |||||||||||||||
Total Assets | 854,196,231 | 291,180,062 | 67,020,352 | 14,181,526 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 141,745 | — | 984,000 | |||||||||||||||
Payable for Fund shares redeemed | 14,941,610 | — | — | — | |||||||||||||||
Payable for investments purchased | — | 25,765,350 | — | 1,032,658 | |||||||||||||||
Unrealized depreciation on swap contracts | 219,245,116 | 4,738,249 | 10,400,019 | 312,854 | |||||||||||||||
Due to Adviser, net (Note 6) | 327,215 | 143,366 | 32,988 | 2,650 | |||||||||||||||
Due to broker for swap contracts | 52,278,730 | 23,399,324 | — | 1,981,867 | |||||||||||||||
Accrued expenses and other liabilities | 348,048 | 194,923 | 66,156 | 22,498 | |||||||||||||||
Total Liabilities | 287,140,719 | 54,382,957 | 10,499,163 | 4,336,527 | |||||||||||||||
Net Assets | $ | 567,055,512 | $ | 236,797,105 | $ | 56,521,189 | $ | 9,844,999 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 3,405,752,538 | $ | 458,699,350 | $ | 127,336,992 | $ | 40,371,714 | |||||||||||
Total distributable loss | (2,838,697,026 | ) | (221,902,245 | ) | (70,815,803 | ) | (30,526,715 | ) | |||||||||||
Net Assets | $ | 567,055,512 | $ | 236,797,105 | $ | 56,521,189 | $ | 9,844,999 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 567,055,512 | $ | 236,797,105 | $ | 56,521,189 | $ | 9,844,999 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 16,891,573 | 19,350,013 | 1,427,337 | 800,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 33.57 | $ | 12.24 | $ | 39.60 | $ | 12.31 | |||||||||||
Cost of Investments | $ | 565,698,373 | $ | 185,890,507 | $ | 31,287,688 | $ | 10,921,810 |
* Securities loaned with values of $–, $3,503,470, $– and $944,435, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
94
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Latin America Bull 3X Shares | Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 7,452,844 | $ | 6,714,599 | $ | 98,618,462 | $ | 46,853,541 | |||||||||||
Cash equivalents | 2,557,999 | 1,156,222 | 18,752,752 | 14,888,079 | |||||||||||||||
Receivable for Fund shares sold | — | — | — | 1,860,028 | |||||||||||||||
Due from Adviser, net (Note 6) | — | 1,795 | — | — | |||||||||||||||
Dividend and interest receivable | 1,015 | 842 | 20,830 | 10,601 | |||||||||||||||
Due from broker for swap contracts | — | 47,480 | — | 520,000 | |||||||||||||||
Unrealized appreciation on swap contracts | 1,038,246 | 933,452 | 10,410,056 | 661,706 | |||||||||||||||
Prepaid expenses and other assets | 6,762 | 38,728 | 7,401 | 35,861 | |||||||||||||||
Total Assets | 11,056,866 | 8,893,118 | 127,809,501 | 64,829,816 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 43,207 | — | 7,746,909 | 12,026,089 | |||||||||||||||
Due to Adviser, net (Note 6) | 2,363 | — | 48,868 | 26,399 | |||||||||||||||
Due to broker for swap contracts | 2,131,374 | 1,201,535 | 18,468,813 | 816,924 | |||||||||||||||
Accrued expenses and other liabilities | 19,820 | 17,981 | 130,449 | 62,231 | |||||||||||||||
Total Liabilities | 2,196,764 | 1,219,516 | 26,395,039 | 12,931,643 | |||||||||||||||
Net Assets | $ | 8,860,102 | $ | 7,673,602 | $ | 101,414,462 | $ | 51,898,173 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 70,812,954 | $ | 20,711,871 | $ | 372,323,625 | $ | 345,445,130 | |||||||||||
Total distributable loss | (61,952,852 | ) | (13,038,269 | ) | (270,909,163 | ) | (293,546,957 | ) | |||||||||||
Net Assets | $ | 8,860,102 | $ | 7,673,602 | $ | 101,414,462 | $ | 51,898,173 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 8,860,102 | $ | 7,673,602 | $ | 101,414,462 | $ | 51,898,173 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 240,721 | 250,001 | 2,881,598 | 1,395,232 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 36.81 | $ | 30.69 | $ | 35.19 | $ | 37.20 | |||||||||||
Cost of Investments | $ | 7,401,231 | $ | 6,530,591 | $ | 97,833,957 | $ | 46,853,541 |
* Securities loaned with values of $–, $–, $21,362,989 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
95
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
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) | $ | 45,373,929 | $ | 5,240,474 | $ | 5,899,959 | $ | 16,679,437 | |||||||||||
Cash equivalents | 10,619,047 | 3,172,737 | 1,174,696 | 6,142,788 | |||||||||||||||
Receivable for Fund shares sold | 70,904 | — | 134,942 | — | |||||||||||||||
Dividend and interest receivable | 5,323 | 1,447 | 1,566 | 2,428 | |||||||||||||||
Due from broker for swap contracts | 302,410 | — | 789,667 | 297,954 | |||||||||||||||
Unrealized appreciation on swap contracts | 11,282,152 | 221,204 | 35,530 | 3,269,407 | |||||||||||||||
Prepaid expenses and other assets | 8,778 | 7,696 | 2,894 | 3,664 | |||||||||||||||
Total Assets | 67,662,543 | 8,643,558 | 8,039,254 | 26,395,678 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 5 | 23 | 186,000 | — | |||||||||||||||
Payable for Fund shares redeemed | — | — | — | 51,335 | |||||||||||||||
Payable for investments purchased | — | 878,939 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 360,037 | — | 1,056,672 | 796,481 | |||||||||||||||
Due to Adviser, net (Note 6) | 20,611 | 730 | 541 | 10,071 | |||||||||||||||
Due to broker for swap contracts | 14,562,432 | 598,212 | 57,776 | 3,463,780 | |||||||||||||||
Accrued expenses and other liabilities | 85,096 | 15,774 | 17,160 | 26,866 | |||||||||||||||
Total Liabilities | 15,028,181 | 1,493,678 | 1,318,149 | 4,348,533 | |||||||||||||||
Net Assets | $ | 52,634,362 | $ | 7,149,880 | $ | 6,721,105 | $ | 22,047,145 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 100,827,029 | $ | 18,779,247 | $ | 16,475,068 | $ | 41,010,656 | |||||||||||
Total distributable loss | (48,192,667 | ) | (11,629,367 | ) | (9,753,963 | ) | (18,963,511 | ) | |||||||||||
Net Assets | $ | 52,634,362 | $ | 7,149,880 | $ | 6,721,105 | $ | 22,047,145 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 52,634,362 | $ | 7,149,880 | $ | 6,721,105 | $ | 22,047,145 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 2,949,686 | 200,001 | 283,205 | 2,350,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 17.84 | $ | 35.75 | $ | 23.73 | $ | 9.38 | |||||||||||
Cost of Investments | $ | 43,737,255 | $ | 5,271,898 | $ | 5,791,395 | $ | 15,865,958 |
* Securities loaned with values of $15,431,700, $280,487, $175,620 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
96
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 90,943,905 | $ | 4,820,671 | $ | 450,588 | $ | 6,722,874 | |||||||||||
Cash | — | 58 | — | — | |||||||||||||||
Cash equivalents | 5,233,863 | 395,886 | 221,101 | 712,351 | |||||||||||||||
Receivable for Fund shares sold | 498,422 | — | — | — | |||||||||||||||
Due from Adviser, net (Note 6) | — | 136 | 2,421 | 331 | |||||||||||||||
Dividend and interest receivable | 19,591 | 4,531 | 153 | 1,439 | |||||||||||||||
Due from broker for swap contracts | — | 25 | — | 16,134 | |||||||||||||||
Unrealized appreciation on swap contracts | 13,706,025 | 645,074 | — | 1,799,345 | |||||||||||||||
Prepaid expenses and other assets | 26,343 | 11,015 | 9,758 | 15,210 | |||||||||||||||
Total Assets | 110,428,149 | 5,877,396 | 684,021 | 9,267,684 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 13,360 | — | 17,069 | |||||||||||||||
Unrealized depreciation on swap contracts | 529,535 | 6,441 | 198,718 | 13,948 | |||||||||||||||
Due to Adviser, net (Note 6) | 32,545 | — | — | — | |||||||||||||||
Due to broker for swap contracts | 15,103,256 | 706,382 | — | 1,816,056 | |||||||||||||||
Accrued expenses and other liabilities | 49,039 | 11,319 | 10,288 | 11,647 | |||||||||||||||
Total Liabilities | 15,714,375 | 737,502 | 209,006 | 1,858,720 | |||||||||||||||
Net Assets | $ | 94,713,774 | $ | 5,139,894 | $ | 475,015 | $ | 7,408,964 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 131,228,060 | $ | 5,542,404 | $ | 1,738,342 | $ | 8,246,512 | |||||||||||
Total distributable loss | (36,514,286 | ) | (402,510 | ) | (1,263,327 | ) | (837,548 | ) | |||||||||||
Net Assets | $ | 94,713,774 | $ | 5,139,894 | $ | 475,015 | $ | 7,408,964 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 94,713,774 | $ | 5,139,894 | $ | 475,015 | $ | 7,408,964 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 8,050,001 | 200,001 | 50,001 | 350,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 11.77 | $ | 25.70 | $ | 9.50 | $ | 21.17 | |||||||||||
Cost of Investments | $ | 87,181,471 | $ | 4,555,829 | $ | 450,588 | $ | 6,441,010 |
* Securities loaned with values of $–, $12,132, $– and $19,087, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
97
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Consumer Discretionary Bear 3X Shares | Direxion Daily Consumer Staples Bull 3X Shares | Direxion Daily Consumer Staples Bear 3X Shares | Direxion Daily Dow Jones Internet Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 4,910,522 | $ | 6,649,945 | $ | 588,647 | $ | 9,245,423 | |||||||||||
Cash equivalents | 1,602,861 | 1,537,530 | 207,238 | 2,003,881 | |||||||||||||||
Due from Adviser, net (Note 6) | — | — | 3,012 | — | |||||||||||||||
Dividend and interest receivable | 1,514 | 7,640 | 158 | 770 | |||||||||||||||
Due from broker for swap contracts | 388 | 43,045 | — | 9,551 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 174,108 | — | 2,040,214 | |||||||||||||||
Prepaid expenses and other assets | 12,618 | 13,147 | 12,701 | 5,332 | |||||||||||||||
Total Assets | 6,527,903 | 8,425,415 | 811,756 | 13,305,171 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 2,061,229 | 312,774 | 164,394 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 340 | 1,122 | — | 2,799 | |||||||||||||||
Due to broker for swap contracts | — | 309,000 | — | 1,861,073 | |||||||||||||||
Accrued expenses and other liabilities | 10,650 | 11,718 | 9,850 | 14,682 | |||||||||||||||
Total Liabilities | 2,072,219 | 634,614 | 174,244 | 1,878,554 | |||||||||||||||
Net Assets | $ | 4,455,684 | $ | 7,790,801 | $ | 637,512 | $ | 11,426,617 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 8,845,472 | $ | 8,909,371 | $ | 1,385,585 | $ | 10,083,517 | |||||||||||
Total distributable earnings (loss) | (4,389,788 | ) | (1,118,570 | ) | (748,073 | ) | 1,343,100 | ||||||||||||
Net Assets | $ | 4,455,684 | $ | 7,790,801 | $ | 637,512 | $ | 11,426,617 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 4,455,684 | $ | 7,790,801 | $ | 637,512 | $ | 11,426,617 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 450,001 | 350,001 | 50,001 | 450,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 9.90 | $ | 22.26 | $ | 12.75 | $ | 25.39 | |||||||||||
Cost of Investments | $ | 4,910,522 | $ | 6,451,170 | $ | 588,647 | $ | 8,368,337 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
98
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Dow Jones Internet Bear 3X Shares | Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | Direxion Daily Healthcare Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 1,376,237 | $ | 1,041,641,165 | $ | 273,913,422 | $ | 119,361,846 | |||||||||||
Cash equivalents | 578,019 | 156,649,721 | 127,186,994 | 28,395,945 | |||||||||||||||
Receivable for Fund shares sold | — | 6,283,809 | 18,930,935 | — | |||||||||||||||
Receivable for investments sold | — | 3,054,366 | — | — | |||||||||||||||
Due from Adviser, net (Note 6) | 1,417 | — | — | — | |||||||||||||||
Dividend and interest receivable | 558 | 557,579 | 60,401 | 71,623 | |||||||||||||||
Due from broker for swap contracts | — | 2,552,806 | — | 53,227 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 32,073,363 | — | 15,936,014 | |||||||||||||||
Prepaid expenses and other assets | 5,332 | 52,466 | 17,672 | 3,083 | |||||||||||||||
Total Assets | 1,961,563 | 1,242,865,275 | 420,109,424 | 163,821,738 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 1,259,875 | — | — | |||||||||||||||
Payable for Fund shares redeemed | — | 760,461 | 7,131,149 | — | |||||||||||||||
Payable for investments purchased | — | 63,384,086 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 244,635 | 32,583,247 | 76,872,389 | 995,490 | |||||||||||||||
Due to Adviser, net (Note 6) | — | 519,463 | 215,228 | 72,586 | |||||||||||||||
Due to broker for swap contracts | 14,138 | 76,994,526 | 888 | 17,107,363 | |||||||||||||||
Accrued expenses and other liabilities | 13,533 | 1,069,488 | 199,825 | 150,525 | |||||||||||||||
Total Liabilities | 272,306 | 176,571,146 | 84,419,479 | 18,325,964 | |||||||||||||||
Net Assets | $ | 1,689,257 | $ | 1,066,294,129 | $ | 335,689,945 | $ | 145,495,774 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 4,414,681 | $ | 1,729,158,464 | $ | 3,030,616,788 | $ | 145,675,766 | |||||||||||
Total distributable loss | (2,725,424 | ) | (662,864,335 | ) | (2,694,926,843 | ) | (179,992 | ) | |||||||||||
Net Assets | $ | 1,689,257 | $ | 1,066,294,129 | $ | 335,689,945 | $ | 145,495,774 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,689,257 | $ | 1,066,294,129 | $ | 335,689,945 | $ | 145,495,774 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 150,001 | 36,399,289 | 14,122,860 | 2,650,008 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 11.26 | $ | 29.29 | $ | 23.77 | $ | 54.90 | |||||||||||
Cost of Investments | $ | 1,376,237 | $ | 997,818,688 | $ | 273,913,422 | $ | 115,782,117 |
* Securities loaned with values of $–, $1,397,804, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
99
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Direxion Daily Industrials Bull 3X Shares | Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 152,031,069 | $ | 5,130,894 | $ | 32,529,769 | $ | 22,373,671 | |||||||||||
Cash equivalents | 16,083,910 | 96,709 | 6,141,944 | 41,972,554 | |||||||||||||||
Receivable for Fund shares sold | 3,611,846 | 25,170 | 480,960 | — | |||||||||||||||
Due from Adviser, net (Note 6) | — | 1,262 | — | — | |||||||||||||||
Dividend and interest receivable | 46,358 | 1,517 | 16,238 | 6,511 | |||||||||||||||
Due from broker for swap contracts | 2,246,144 | 44,721 | 23,654 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 33,212,119 | 471,704 | 5,647,954 | — | |||||||||||||||
Prepaid expenses and other assets | 9,391 | 25,317 | 88,570 | 35,780 | |||||||||||||||
Total Assets | 207,240,837 | 5,797,294 | 44,929,089 | 64,388,516 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 20,685 | — | 16,783 | — | |||||||||||||||
Payable for investments purchased | — | 2,595 | 1,737,657 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 1,577,192 | — | 305,955 | 10,088,238 | |||||||||||||||
Due to Adviser, net (Note 6) | 42,913 | — | 13,303 | 23,958 | |||||||||||||||
Due to broker for swap contracts | 51,078,936 | 790,198 | 3,820,000 | 2,896,779 | |||||||||||||||
Accrued expenses and other liabilities | 63,382 | 12,511 | 78,178 | 19,404 | |||||||||||||||
Total Liabilities | 52,783,108 | 805,304 | 5,971,876 | 13,028,379 | |||||||||||||||
Net Assets | $ | 154,457,729 | $ | 4,991,990 | $ | 38,957,213 | $ | 51,360,137 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 177,031,547 | $ | 7,130,584 | $ | 61,067,380 | $ | 138,405,187 | |||||||||||
Total distributable loss | (22,573,818 | ) | (2,138,594 | ) | (22,110,167 | ) | (87,045,050 | ) | |||||||||||
Net Assets | $ | 154,457,729 | $ | 4,991,990 | $ | 38,957,213 | $ | 51,360,137 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 154,457,729 | $ | 4,991,990 | $ | 38,957,213 | $ | 51,360,137 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 9,000,000 | 400,001 | 4,050,000 | 2,451,444 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 17.16 | $ | 12.48 | $ | 9.62 | $ | 20.95 | |||||||||||
Cost of Investments | $ | 140,299,646 | $ | 5,000,778 | $ | 31,255,718 | $ | 22,373,671 |
* Securities loaned with values of $34,982, $–, $18,996 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
100
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Retail Bull 3X Shares | Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 14,885,839 | $ | 38,808,195 | $ | 9,389,271 | $ | 17,913,416 | |||||||||||
Cash equivalents | 2,406,288 | 10,352,912 | 2,346,795 | 4,928,137 | |||||||||||||||
Receivable for Fund shares sold | — | 3,734,315 | — | — | |||||||||||||||
Dividend and interest receivable | 3,534 | 36,432 | 3,263 | 1,870 | |||||||||||||||
Due from broker for swap contracts | 174,018 | 23,322 | 143,644 | 22,283 | |||||||||||||||
Unrealized appreciation on swap contracts | 3,569,651 | 8,630,669 | 2,052,408 | 3,737,161 | |||||||||||||||
Prepaid expenses and other assets | 11,423 | 34,475 | 27,230 | 2,428 | |||||||||||||||
Total Assets | 21,050,753 | 61,620,320 | 13,962,611 | 26,605,295 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | 741,110 | — | |||||||||||||||
Payable for Fund shares redeemed | 40,230 | — | — | — | |||||||||||||||
Payable for investments purchased | — | — | — | 2,098,900 | |||||||||||||||
Unrealized depreciation on swap contracts | — | 159,935 | 44,495 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 3,990 | 12,284 | 115 | 7,014 | |||||||||||||||
Due to broker for swap contracts | 4,027,651 | 13,627,000 | 2,972,529 | 5,350,485 | |||||||||||||||
Accrued expenses and other liabilities | 13,204 | 22,211 | 20,781 | 19,614 | |||||||||||||||
Total Liabilities | 4,085,075 | 13,821,430 | 3,779,030 | 7,476,013 | |||||||||||||||
Net Assets | $ | 16,965,678 | $ | 47,798,890 | $ | 10,183,581 | $ | 19,129,282 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 15,195,208 | $ | 80,579,952 | $ | 24,966,394 | $ | 23,088,437 | |||||||||||
Total distributable earnings (loss) | 1,770,470 | (32,781,062 | ) | (14,782,813 | ) | (3,959,155 | ) | ||||||||||||
Net Assets | $ | 16,965,678 | $ | 47,798,890 | $ | 10,183,581 | $ | 19,129,282 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 16,965,678 | $ | 47,798,890 | $ | 10,183,581 | $ | 19,129,282 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,150,001 | 640,000 | 105,001 | 265,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 14.75 | $ | 74.69 | $ | 96.99 | $ | 72.19 | |||||||||||
Cost of Investments | $ | 14,045,926 | $ | 36,205,887 | $ | 8,568,551 | $ | 16,959,610 |
* Securities loaned with values of $–, $–, $810,630 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
101
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily S&P 500® High Beta Bull 3X Shares | Direxion Daily S&P 500® High Beta Bear 3X Shares | Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 9,160,424 | $ | 16,419,893 | $ | 404,920,689 | $ | 71,860,168 | |||||||||||
Cash equivalents | 3,955,519 | 4,835,135 | 28,969,157 | 35,914,205 | |||||||||||||||
Receivable for Fund shares sold | 7,435,248 | 6,536,856 | 1,108 | 2,880,876 | |||||||||||||||
Dividend and interest receivable | 2,751 | 2,818 | 77,363 | 15,252 | |||||||||||||||
Due from broker for swap contracts | 17,621 | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 1,481,618 | — | 63,550,814 | — | |||||||||||||||
Prepaid expenses and other assets | 5,332 | 5,332 | 17,273 | 1,013 | |||||||||||||||
Total Assets | 22,058,513 | 27,800,034 | 497,536,404 | 110,671,514 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 23,630 | — | 9,523,650 | — | |||||||||||||||
Payable for Fund shares redeemed | — | — | 3,693,792 | — | |||||||||||||||
Payable for investments purchased | — | — | 16,733 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 692,476 | 6,246,325 | 26,297,698 | 25,853,229 | |||||||||||||||
Due to Adviser, net (Note 6) | 1,908 | 6,456 | 194,248 | 33,758 | |||||||||||||||
Due to broker for swap contracts | 3,110,000 | 646,643 | 76,536,006 | — | |||||||||||||||
Accrued expenses and other liabilities | 14,134 | 15,831 | 406,655 | 110,127 | |||||||||||||||
Total Liabilities | 3,842,148 | 6,915,255 | 116,668,782 | 25,997,114 | |||||||||||||||
Net Assets | $ | 18,216,365 | $ | 20,884,779 | $ | 380,867,622 | $ | 84,674,400 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 19,866,238 | $ | 30,207,047 | $ | 550,229,296 | $ | 261,156,874 | |||||||||||
Total distributable loss | (1,649,873 | ) | (9,322,268 | ) | (169,361,674 | ) | (176,482,474 | ) | |||||||||||
Net Assets | $ | 18,216,365 | $ | 20,884,779 | $ | 380,867,622 | $ | 84,674,400 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 18,216,365 | $ | 20,884,779 | $ | 380,867,622 | $ | 84,674,400 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 245,000 | 1,250,001 | 10,311,600 | 12,284,536 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 74.35 | $ | 16.71 | $ | 36.94 | $ | 6.89 | |||||||||||
Cost of Investments | $ | 8,754,873 | $ | 16,419,893 | $ | 401,770,897 | $ | 71,860,168 |
* Securities loaned with values of $33,085, $–, $17,460,952 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
102
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 1,040,196,854 | $ | 179,758,726 | $ | 1,037,852,105 | $ | 49,927,970 | |||||||||||
Cash equivalents | 232,324,541 | 50,302,700 | 135,398,044 | 18,781,769 | |||||||||||||||
Receivable for Fund shares sold | — | 8,442,700 | — | — | |||||||||||||||
Receivable for investments sold | 2,412,028 | — | — | — | |||||||||||||||
Dividend and interest receivable | 152,757 | 37,733 | 174,211 | 11,833 | |||||||||||||||
Due from broker for swap contracts | 19,935,314 | 45,240 | 2,640,371 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 205,490,980 | — | 253,909,771 | — | |||||||||||||||
Prepaid expenses and other assets | 19,605 | 5,557 | 16,744 | 1,749 | |||||||||||||||
Total Assets | 1,500,532,079 | 238,592,656 | 1,429,991,246 | 68,723,321 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 1,058,276 | — | — | — | |||||||||||||||
Payable for Fund shares redeemed | 3,690,668 | 1,782,105 | 1,835,406 | — | |||||||||||||||
Payable for investments purchased | 108,942,348 | — | 77,884,489 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 1,323,386 | 52,435,810 | — | 19,534,230 | |||||||||||||||
Due to Adviser, net (Note 6) | 595,756 | 103,587 | 554,423 | 31,910 | |||||||||||||||
Due to broker for swap contracts | 296,744,632 | — | 219,865,421 | 674 | |||||||||||||||
Accrued expenses and other liabilities | 557,956 | 138,173 | 923,673 | 58,139 | |||||||||||||||
Total Liabilities | 412,913,022 | 54,459,675 | 301,063,412 | 19,624,953 | |||||||||||||||
Net Assets | $ | 1,087,619,057 | $ | 184,132,981 | $ | 1,128,927,834 | $ | 49,098,368 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 1,230,127,649 | $ | 676,676,128 | $ | 1,067,668,407 | $ | 243,266,250 | |||||||||||
Total distributable earnings (loss) | (142,508,592 | ) | (492,543,147 | ) | 61,259,427 | (194,167,882 | ) | ||||||||||||
Net Assets | $ | 1,087,619,057 | $ | 184,132,981 | $ | 1,128,927,834 | $ | 49,098,368 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,087,619,057 | $ | 184,132,981 | $ | 1,128,927,834 | $ | 49,098,368 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 8,350,004 | 19,635,481 | 7,000,000 | 1,465,329 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 130.25 | $ | 9.38 | $ | 161.28 | $ | 33.51 | |||||||||||
Cost of Investments | $ | 1,006,869,575 | $ | 179,758,726 | $ | 994,395,239 | $ | 49,927,970 |
* Securities loaned with values of $985,277, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
103
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 10,186,582 | $ | 13,553,664 | $ | 14,422,573 | $ | 5,964,129 | |||||||||||
Cash equivalents | 890,882 | 1,356,166 | 5,862,766 | 3,741,301 | |||||||||||||||
Receivable for Fund shares sold | — | 21,101 | — | — | |||||||||||||||
Dividend and interest receivable | 1,274 | 5,328 | 1,647 | 1,568 | |||||||||||||||
Due from broker for swap contracts | 53,767 | 123 | 1,591 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 369,292 | 1,300,553 | 1,712,171 | — | |||||||||||||||
Prepaid expenses and other assets | 23,363 | 23,034 | 2,631 | 3,145 | |||||||||||||||
Total Assets | 11,525,160 | 16,259,969 | 22,003,379 | 9,710,143 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 49,342 | 1,359,513 | — | 1,251,076 | |||||||||||||||
Due to Adviser, net (Note 6) | 1,817 | 5,938 | 9,563 | 1,688 | |||||||||||||||
Due to broker for swap contracts | 938,774 | 2,039,518 | 1,710,095 | — | |||||||||||||||
Accrued expenses and other liabilities | 12,902 | 15,780 | 35,171 | 34,229 | |||||||||||||||
Total Liabilities | 1,002,835 | 3,420,749 | 1,754,829 | 1,286,993 | |||||||||||||||
Net Assets | $ | 10,522,325 | $ | 12,839,220 | $ | 20,248,550 | $ | 8,423,150 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 13,438,891 | $ | 17,950,828 | $ | 14,590,696 | $ | 71,704,273 | |||||||||||
Total distributable earnings (loss) | (2,916,566 | ) | (5,111,608 | ) | 5,657,854 | (63,281,123 | ) | ||||||||||||
Net Assets | $ | 10,522,325 | $ | 12,839,220 | $ | 20,248,550 | $ | 8,423,150 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 10,522,325 | $ | 12,839,220 | $ | 20,248,550 | $ | 8,423,150 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,200,001 | 600,001 | 300,000 | 1,050,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 8.77 | $ | 21.40 | $ | 67.50 | $ | 8.02 | |||||||||||
Cost of Investments | $ | 9,779,234 | $ | 13,539,722 | $ | 13,356,742 | $ | 5,964,129 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
104
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares | ||||||||||
Assets: | |||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 222,078,031 | $ | 62,724,733 | |||||||
Cash equivalents | 76,135,686 | 41,626,010 | |||||||||
Receivable for Fund shares sold | 647 | — | |||||||||
Dividend and interest receivable | 20,646 | 17,102 | |||||||||
Unrealized appreciation on swap contracts | 49,599,796 | 519,870 | |||||||||
Prepaid expenses and other assets | 5,962 | 22,085 | |||||||||
Total Assets | 347,840,768 | 104,909,800 | |||||||||
Liabilities: | |||||||||||
Payable for Fund shares redeemed | 2,156,095 | — | |||||||||
Unrealized depreciation on swap contracts | 1,756,991 | 17,300,509 | |||||||||
Due to Adviser, net (Note 6) | 170,497 | 45,743 | |||||||||
Due to broker for swap contracts | 56,835,773 | — | |||||||||
Accrued expenses and other liabilities | 169,063 | 165,724 | |||||||||
Total Liabilities | 61,088,419 | 17,511,976 | |||||||||
Net Assets | $ | 286,752,349 | $ | 87,397,824 | |||||||
Net Assets Consist of: | |||||||||||
Capital stock | $ | 149,726,151 | $ | 1,130,599,944 | |||||||
Total distributable earnings (loss) | 137,026,198 | (1,043,202,120 | ) | ||||||||
Net Assets | $ | 286,752,349 | $ | 87,397,824 | |||||||
Calculation of Net Asset Value Per Share: | |||||||||||
Net assets | $ | 286,752,349 | $ | 87,397,824 | |||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 6,650,000 | 1,724,979 | |||||||||
Net assets value, redemption price and offering price per share | $ | 43.12 | $ | 50.67 | |||||||
Cost of Investments | $ | 207,791,171 | $ | 62,724,733 |
* Securities loaned with values of $23,344 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
105
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Mid Cap Bull 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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 179,523 | $ | 7,198,407 | $ | — | $ | 1,735,340 | |||||||||||
Interest income | 88,619 | 2,089,955 | 3,496,693 | 2,103,578 | |||||||||||||||
Securities lending income | — | 355 | — | 124,664 | |||||||||||||||
Total investment income | 268,142 | 9,288,717 | 3,496,693 | 3,963,582 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 144,613 | 4,147,242 | 2,339,319 | 2,372,856 | |||||||||||||||
Interest expense | 18,898 | 943,574 | 83,640 | 501,579 | |||||||||||||||
Licensing fees | 15,426 | 442,373 | 249,527 | 196,038 | |||||||||||||||
Fund servicing fees | 9,852 | 275,550 | 159,556 | 155,454 | |||||||||||||||
Professional fees | 8,835 | 114,570 | 66,161 | 68,068 | |||||||||||||||
Management service fees (Note 6) | 4,917 | 141,315 | 79,881 | 80,751 | |||||||||||||||
Reports to shareholders | 3,348 | 102,659 | 61,256 | 56,203 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 3,554 | 2,656 | 2,513 | |||||||||||||||
Trustees' fees and expenses | 914 | 27,537 | 16,253 | 15,268 | |||||||||||||||
Insurance fees | 475 | 14,239 | 8,377 | 7,932 | |||||||||||||||
Other | 728 | 21,810 | 12,832 | 12,150 | |||||||||||||||
Total Expenses | 213,511 | 6,237,415 | 3,082,450 | 3,471,804 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 50,935 | 1,780 | 45,226 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (11,436 | ) | (50,935 | ) | (37,452 | ) | (9,833 | ) | |||||||||||
Net Expenses | 202,075 | 6,237,415 | 3,046,778 | 3,507,197 | |||||||||||||||
Net investment income | 66,067 | 3,051,302 | 449,915 | 456,385 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (4,145,610 | ) | (182,204,537 | ) | — | (121,846,942 | ) | ||||||||||||
In-kind redemptions | — | 83,540,289 | — | 28,285,203 | |||||||||||||||
Swap contracts | (15,818,600 | ) | (182,793,341 | ) | (208,186,189 | ) | (269,491,539 | ) | |||||||||||
Net realized loss | (19,964,210 | ) | (281,457,589 | ) | (208,186,189 | ) | (363,053,278 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 419,259 | 31,925,713 | — | 14,632,821 | |||||||||||||||
Swap contracts | (225,086 | ) | (12,014,647 | ) | (274,758,641 | ) | 57,175,660 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 194,173 | 19,911,066 | (274,758,641 | ) | 71,808,481 | ||||||||||||||
Net realized and unrealized loss | (19,770,037 | ) | (261,546,523 | ) | (482,944,830 | ) | (291,244,797 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (19,703,970 | ) | $ | (258,495,221 | ) | $ | (482,494,915 | ) | $ | (290,788,412 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
106
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Small Cap Bear 3X Shares | Direxion Daily FTSE China Bull 3X Shares | Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 3,257,907 | $ | — | $ | 88,107 | |||||||||||
Interest income | 2,238,256 | 1,180,749 | 586,051 | 106,573 | |||||||||||||||
Securities lending income | — | 79,075 | — | 296 | |||||||||||||||
Total investment income | 2,238,256 | 4,517,731 | 586,051 | 194,976 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 1,378,156 | 1,208,686 | 332,043 | 90,120 | |||||||||||||||
Licensing fees | 113,010 | 140,369 | 38,561 | 3,925 | |||||||||||||||
Fund servicing fees | 93,364 | 79,916 | 22,455 | 6,303 | |||||||||||||||
Interest expense | 82,544 | 125,982 | 20,035 | 14,742 | |||||||||||||||
Management service fees (Note 6) | 47,020 | 41,151 | 11,308 | 3,063 | |||||||||||||||
Professional fees | 41,205 | 36,832 | 13,155 | 7,425 | |||||||||||||||
Reports to shareholders | 35,246 | 29,141 | 8,257 | 2,063 | |||||||||||||||
Trustees' fees and expenses | 9,412 | 7,878 | 2,199 | 565 | |||||||||||||||
Insurance fees | 4,862 | 4,085 | 1,135 | 294 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Other | 7,448 | 6,256 | 1,739 | 451 | |||||||||||||||
Total Expenses | 1,817,772 | 1,685,801 | 456,392 | 134,456 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 18,225 | — | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (7,789 | ) | (28,817 | ) | (15,769 | ) | (5,562 | ) | |||||||||||
Net Expenses | 1,828,208 | 1,656,984 | 440,623 | 128,894 | |||||||||||||||
Net investment income | 410,048 | 2,860,747 | 145,428 | 66,082 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (27,433,994 | ) | — | (2,124,750 | ) | |||||||||||||
In-kind redemptions | — | 9,260,610 | — | 309,376 | |||||||||||||||
Swap contracts | 55,748,163 | (92,381,755 | ) | 8,583,096 | (7,988,228 | ) | |||||||||||||
Net realized gain (loss) | 55,748,163 | (110,555,139 | ) | 8,583,096 | (9,803,602 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 1,596,915 | — | (335,941 | ) | ||||||||||||||
Swap contracts | (182,641,437 | ) | 9,604,628 | (8,732,076 | ) | (4,082,501 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (182,641,437 | ) | 11,201,543 | (8,732,076 | ) | (4,418,442 | ) | ||||||||||||
Net realized and unrealized loss | (126,893,274 | ) | (99,353,596 | ) | (148,980 | ) | (14,222,044 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (126,483,226 | ) | $ | (96,492,849 | ) | $ | (3,552 | ) | $ | (14,155,962 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
107
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Latin America Bull 3X Shares | Direxion Daily MSCI Developed Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 40,573 | $ | 89,186 | $ | 1,254,846 | $ | — | |||||||||||
Interest income | 41,939 | 56,128 | 750,021 | 433,710 | |||||||||||||||
Securities lending income | — | — | 3,480 | — | |||||||||||||||
Total investment income | 82,512 | 145,314 | 2,008,347 | 433,710 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 32,501 | 53,394 | 645,426 | 240,764 | |||||||||||||||
Professional fees | 5,834 | 6,407 | 22,233 | 11,249 | |||||||||||||||
Licensing fees | 4,333 | 24,932 | — | — | |||||||||||||||
Interest expense | 3,911 | 3,595 | 91,614 | 16,641 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Fund servicing fees | 2,613 | 3,954 | 42,379 | 16,597 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,512 | |||||||||||||||
Management service fees (Note 6) | 1,106 | 1,815 | 21,952 | 8,207 | |||||||||||||||
Reports to shareholders | 765 | 1,238 | 15,095 | 6,040 | |||||||||||||||
Trustees' fees and expenses | 208 | 338 | 4,108 | 1,621 | |||||||||||||||
Insurance fees | 108 | 176 | 2,134 | 839 | |||||||||||||||
Other | 165 | 269 | 80,856 | 36,904 | |||||||||||||||
Total Expenses | 57,049 | 101,623 | 931,302 | 344,366 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (11,970 | ) | (30,396 | ) | (22,149 | ) | (22,758 | ) | |||||||||||
Net Expenses | 45,079 | 71,227 | 909,153 | 321,608 | |||||||||||||||
Net investment income | 37,433 | 74,087 | 1,099,194 | 112,102 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (2,366,948 | ) | (1,509,328 | ) | (16,239,313 | ) | — | ||||||||||||
In-kind redemptions | 335,609 | (79,589 | ) | 1,494,946 | — | ||||||||||||||
Swap contracts | (15,062,934 | ) | (8,026,277 | ) | (84,335,064 | ) | 15,592,553 | ||||||||||||
Net realized gain (loss) | (17,094,273 | ) | (9,615,194 | ) | (99,079,431 | ) | 15,592,553 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 75,367 | 170,666 | 1,475,595 | — | |||||||||||||||
Swap contracts | 438,413 | 101,213 | (496,061 | ) | (5,885,880 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 513,780 | 271,879 | 979,534 | (5,885,880 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (16,580,493 | ) | (9,343,315 | ) | (98,099,897 | ) | 9,706,673 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (16,543,060 | ) | $ | (9,269,228 | ) | $ | (97,000,703 | ) | $ | 9,818,775 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
108
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
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 | $ | 35,806 | $ | 48,073 | $ | 35,887 | $ | 139,210 | |||||||||||
Interest income | 239,112 | 39,669 | 45,726 | 78,208 | |||||||||||||||
Securities lending income | 918 | 270 | 12,119 | — | |||||||||||||||
Total investment income | 275,836 | 88,012 | 93,732 | 217,418 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 228,766 | 35,915 | 37,199 | 66,771 | |||||||||||||||
Interest expense | 19,740 | 3,000 | 7,663 | 12,073 | |||||||||||||||
Fund servicing fees | 15,336 | 2,855 | 2,896 | 4,895 | |||||||||||||||
Licensing fees | — | 12,465 | — | — | |||||||||||||||
Professional fees | 11,040 | 5,911 | 5,927 | 6,754 | |||||||||||||||
Management service fees (Note 6) | 7,781 | 1,223 | 1,264 | 2,274 | |||||||||||||||
Reports to shareholders | 5,302 | 866 | 848 | 1,622 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Trustees' fees and expenses | 1,450 | 234 | 233 | 437 | |||||||||||||||
Insurance fees | 756 | 121 | 122 | 226 | |||||||||||||||
Other | 13,359 | 185 | 2,170 | 7,469 | |||||||||||||||
Total Expenses | 309,035 | 68,280 | 63,827 | 108,026 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 3,662 | — | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (3,186 | ) | (19,788 | ) | (9,045 | ) | (11,377 | ) | |||||||||||
Net Expenses | 309,511 | 48,492 | 54,782 | 96,649 | |||||||||||||||
Net investment income (loss) | (33,675 | ) | 39,520 | 38,950 | 120,769 | ||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (8,070,629 | ) | (1,320,700 | ) | (1,409,636 | ) | (2,199,478 | ) | |||||||||||
In-kind redemptions | 1,303,106 | 151,405 | 266,237 | 598,782 | |||||||||||||||
Swap contracts | (45,083,182 | ) | (3,944,656 | ) | (4,071,478 | ) | (3,793,604 | ) | |||||||||||
Net realized loss | (51,850,705 | ) | (5,113,951 | ) | (5,214,877 | ) | (5,394,300 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 305,296 | (50,681 | ) | 109,039 | 891,542 | ||||||||||||||
Swap contracts | 4,718,946 | (1,224,890 | ) | (2,551,948 | ) | (1,794,007 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,024,242 | (1,275,571 | ) | (2,442,909 | ) | (902,465 | ) | ||||||||||||
Net realized and unrealized loss | (46,826,463 | ) | (6,389,522 | ) | (7,657,786 | ) | (6,296,765 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (46,860,138 | ) | $ | (6,350,002 | ) | $ | (7,618,836 | ) | $ | (6,175,996 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
109
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 392,233 | $ | 10,001 | $ | — | $ | 28,574 | |||||||||||
Interest income | 140,025 | 5,280 | 4,072 | 11,964 | |||||||||||||||
Securities lending income | 50 | 1 | — | 4 | |||||||||||||||
Total investment income | 532,308 | 15,282 | 4,072 | 40,542 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 215,350 | 11,171 | 2,461 | 21,465 | |||||||||||||||
Interest expense | 41,416 | 798 | — | 2,698 | |||||||||||||||
Licensing fees | 23,194 | 6,233 | 6,234 | 9,972 | |||||||||||||||
Fund servicing fees | 14,557 | 1,234 | 665 | 1,891 | |||||||||||||||
Professional fees | 10,602 | 5,261 | 5,052 | 5,559 | |||||||||||||||
Management service fees (Note 6) | 7,329 | 380 | 84 | 730 | |||||||||||||||
Reports to shareholders | 5,142 | 278 | 63 | 506 | |||||||||||||||
Excise tax | 4,606 | — | — | — | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Trustees' fees and expenses | 1,388 | 74 | 17 | 137 | |||||||||||||||
Insurance fees | 719 | 38 | 9 | 71 | |||||||||||||||
Other | 1,102 | 58 | 13 | 109 | |||||||||||||||
Total Expenses | 330,910 | 31,030 | 20,103 | 48,643 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (16,718 | ) | (16,084 | ) | (16,985 | ) | (18,755 | ) | |||||||||||
Net Expenses | 314,192 | 14,946 | 3,118 | 29,888 | |||||||||||||||
Net investment income | 218,116 | 336 | 954 | 10,654 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (13,760,002 | ) | (357,495 | ) | — | (595,501 | ) | ||||||||||||
In-kind redemptions | 1,884,007 | — | — | 232,431 | |||||||||||||||
Swap contracts | (36,382,742 | ) | (925,829 | ) | (128,030 | ) | (2,353,561 | ) | |||||||||||
Net realized loss | (48,258,737 | ) | (1,283,324 | ) | (128,030 | ) | (2,716,631 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 2,549,234 | 299,315 | — | 21,071 | |||||||||||||||
Swap contracts | 510,184 | 352,028 | (138,767 | ) | 1,240,192 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,059,418 | 651,343 | (138,767 | ) | 1,261,263 | ||||||||||||||
Net realized and unrealized loss | (45,199,319 | ) | (631,981 | ) | (266,797 | ) | (1,455,368 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (44,981,203 | ) | $ | (631,645 | ) | $ | (265,843 | ) | $ | (1,444,714 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
110
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Consumer Discretionary Bear 3X Shares | Direxion Daily Consumer Staples Bull 3X Shares | Direxion Daily Consumer Staples Bear 3X Shares | Direxion Daily Dow Jones Internet Bull 3X Shares1 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 48,311 | $ | — | $ | 9,470 | |||||||||||
Interest income | 11,627 | 11,604 | 4,983 | 12,263 | |||||||||||||||
Securities lending income | — | — | — | 1 | |||||||||||||||
Total investment income | 11,627 | 59,915 | 4,983 | 21,734 | |||||||||||||||
Expenses: | |||||||||||||||||||
Licensing fees | 9,972 | 9,972 | 9,972 | 4,822 | |||||||||||||||
Investment advisory fees (Note 6) | 9,260 | 21,159 | 2,910 | 21,150 | |||||||||||||||
Professional fees | 5,234 | 5,530 | 5,063 | 5,353 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,894 | |||||||||||||||
Exchange listing fees | 2,512 | 2,513 | 2,513 | 2,430 | |||||||||||||||
Fund servicing fees | 1,149 | 1,889 | 693 | 1,880 | |||||||||||||||
Management service fees (Note 6) | 317 | 720 | 99 | 721 | |||||||||||||||
Reports to shareholders | 260 | 518 | 73 | 532 | |||||||||||||||
Interest expense | 103 | 2,163 | — | 1,411 | |||||||||||||||
Trustees' fees and expenses | 68 | 138 | 20 | 140 | |||||||||||||||
Insurance fees | 35 | 72 | 10 | 72 | |||||||||||||||
Offering fees | — | — | — | 2,411 | |||||||||||||||
Other | 54 | 110 | 16 | 111 | |||||||||||||||
Total Expenses | 31,956 | 47,776 | 24,361 | 43,927 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (20,124 | ) | (18,811 | ) | (20,676 | ) | (15,725 | ) | |||||||||||
Net Expenses | 11,832 | 28,965 | 3,685 | 28,202 | |||||||||||||||
Net investment income (loss) | (205 | ) | 30,950 | 1,298 | (6,468 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (348,401 | ) | — | (771,026 | ) | |||||||||||||
Swap contracts | (1,758,572 | ) | (658,095 | ) | (100,886 | ) | (794,060 | ) | |||||||||||
Net realized loss | (1,758,572 | ) | (1,006,496 | ) | (100,886 | ) | (1,565,086 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | (25,461 | ) | — | 877,086 | ||||||||||||||
Swap contracts | (1,932,323 | ) | (771,523 | ) | (101,367 | ) | 2,040,214 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,932,323 | ) | (796,984 | ) | (101,367 | ) | 2,917,300 | ||||||||||||
Net realized and unrealized gain (loss) | (3,690,895 | ) | (1,803,480 | ) | (202,253 | ) | 1,352,214 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (3,691,100 | ) | $ | (1,772,530 | ) | $ | (200,955 | ) | $ | 1,345,746 |
1 Represents the period from November 7, 2019 (commencement of operations) to April 30, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
111
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Dow Jones Internet Bear 3X Shares1 | Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | Direxion Daily Healthcare Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 8,988,670 | $ | — | $ | 571,204 | |||||||||||
(net of foreign withholding tax of $—, $613, $— and $—, respectively) | |||||||||||||||||||
Interest income | 18,791 | 3,245,441 | 1,135,731 | 384,450 | |||||||||||||||
Securities lending income | — | 744 | — | 2,659 | |||||||||||||||
Total investment income | 18,791 | 12,234,855 | 1,135,731 | 958,313 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 11,088 | 4,754,418 | 770,630 | 535,789 | |||||||||||||||
Professional fees | 5,128 | 130,216 | 25,417 | 19,277 | |||||||||||||||
Licensing fees | 4,822 | 404,170 | 64,427 | 57,184 | |||||||||||||||
Pricing fees | 2,894 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,430 | 3,554 | 2,513 | 2,513 | |||||||||||||||
Offering fees | 2,411 | — | — | — | |||||||||||||||
Fund servicing fees | 1,234 | 309,248 | 52,988 | 35,547 | |||||||||||||||
Management service fees (Note 6) | 378 | 161,720 | 26,315 | 18,236 | |||||||||||||||
Interest expense | 377 | 1,136,338 | 33,973 | 78,624 | |||||||||||||||
Reports to shareholders | 286 | 111,740 | 20,200 | 12,807 | |||||||||||||||
Trustees' fees and expenses | 77 | 30,321 | 5,369 | 3,464 | |||||||||||||||
Insurance fees | 40 | 15,742 | 2,769 | 1,797 | |||||||||||||||
Excise tax | 9 | — | — | — | |||||||||||||||
Other | 61 | 24,113 | 4,241 | 2,753 | |||||||||||||||
Total Expenses | 31,235 | 7,084,572 | 1,011,834 | 770,983 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 17,078 | 4,037 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (16,813 | ) | (17,078 | ) | (5,768 | ) | (13,692 | ) | |||||||||||
Less: Investment advisory fees waived (Note 6) | — | (7,245 | ) | — | — | ||||||||||||||
Net Expenses | 14,422 | 7,077,327 | 1,010,103 | 757,291 | |||||||||||||||
Net investment income | 4,369 | 5,157,528 | 125,628 | 201,022 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (228,401,307 | ) | — | (6,248,718 | ) | |||||||||||||
In-kind redemptions | — | 44,815,874 | — | 1,528,725 | |||||||||||||||
Swap contracts | (2,476,622 | ) | (358,188,544 | ) | (40,618,122 | ) | 8,638,223 | ||||||||||||
Net realized gain (loss) | (2,476,622 | ) | (541,773,977 | ) | (40,618,122 | ) | 3,918,230 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 1,814,272 | — | (1,559,529 | ) | ||||||||||||||
Swap contracts | (244,635 | ) | (288,718,679 | ) | (54,151,067 | ) | (2,000,729 | ) | |||||||||||
Change in net unrealized depreciation | (244,635 | ) | (286,904,407 | ) | (54,151,067 | ) | (3,560,258 | ) | |||||||||||
Net realized and unrealized gain (loss) | (2,721,257 | ) | (828,678,384 | ) | (94,769,189 | ) | 357,972 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,716,888 | ) | $ | (823,520,856 | ) | $ | (94,643,561 | ) | $ | 558,994 |
1 Represents the period from November 7, 2019 (commencement of operations) to April 30, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
112
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Direxion Daily Industrials Bull 3X Shares | Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 200,156 | $ | 30,788 | $ | 503,145 | $ | — | |||||||||||
(net of foreign withholding tax of $—, $57, $— and $—, respectively) | |||||||||||||||||||
Interest income | 162,548 | 8,668 | 98,078 | 99,714 | |||||||||||||||
Securities lending income | 37 | — | 1,035 | — | |||||||||||||||
Total investment income | 362,741 | 39,456 | 602,258 | 99,714 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 233,565 | 15,822 | 166,664 | 77,611 | |||||||||||||||
Interest expense | 63,480 | 1,256 | 22,405 | 1,690 | |||||||||||||||
Licensing fees | 24,913 | 9,972 | — | 24,932 | |||||||||||||||
Fund servicing fees | 15,697 | 1,526 | 11,295 | 5,806 | |||||||||||||||
Professional fees | 10,824 | 5,415 | 9,336 | 7,050 | |||||||||||||||
Management service fees (Note 6) | 7,947 | 538 | 5,668 | 2,651 | |||||||||||||||
Reports to shareholders | 5,573 | 369 | 3,892 | 2,055 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,512 | 2,513 | 2,513 | 2,512 | |||||||||||||||
Trustees' fees and expenses | 1,498 | 100 | 1,057 | 545 | |||||||||||||||
Insurance fees | 776 | 52 | 549 | 281 | |||||||||||||||
Excise tax | — | 48 | — | — | |||||||||||||||
Other | 1,189 | 80 | 25,789 | 430 | |||||||||||||||
Total Expenses | 370,966 | 40,683 | 252,160 | 128,555 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (11,637 | ) | (19,386 | ) | (18,646 | ) | (28,558 | ) | |||||||||||
Net Expenses | 359,329 | 21,297 | 233,514 | 99,997 | |||||||||||||||
Net investment income (loss) | 3,412 | 18,159 | 368,744 | (283 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (16,477,526 | ) | (371,751 | ) | (3,113,901 | ) | — | ||||||||||||
In-kind redemptions | 4,355,880 | — | — | — | |||||||||||||||
Swap contracts | (25,451,056 | ) | (1,835,337 | ) | (25,034,799 | ) | (8,100,331 | ) | |||||||||||
Net realized loss | (37,572,702 | ) | (2,207,088 | ) | (28,148,700 | ) | (8,100,331 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 9,164,495 | (17,809 | ) | (4,061,546 | ) | — | |||||||||||||
Swap contracts | 14,574,280 | 180,233 | 67,014 | (8,339,415 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 23,738,775 | 162,424 | (3,994,532 | ) | (8,339,415 | ) | |||||||||||||
Net realized and unrealized (loss) | (13,833,927 | ) | (2,044,664 | ) | (32,143,232 | ) | (16,439,746 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (13,830,515 | ) | $ | (2,026,505 | ) | $ | (31,774,488 | ) | $ | (16,440,029 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
113
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Retail Bull 3X Shares | Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 31,371 | $ | 199,821 | $ | 74,013 | $ | 14,130 | |||||||||||
(net of foreign withholding tax of $—, $—, $291 and $—, respectively) | |||||||||||||||||||
Interest income | 21,809 | 70,082 | 20,363 | 72,990 | |||||||||||||||
Securities lending income | — | — | 16,595 | 259 | |||||||||||||||
Total investment income | 53,180 | 269,903 | 110,971 | 87,379 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 41,099 | 81,480 | 43,675 | 70,904 | |||||||||||||||
Licensing fees | 9,972 | 9,132 | 9,972 | 6,430 | |||||||||||||||
Interest expense | 9,793 | 8,743 | 5,503 | 21,663 | |||||||||||||||
Professional fees | 6,122 | 7,175 | 6,216 | 6,852 | |||||||||||||||
Fund servicing fees | 3,169 | 5,828 | 3,313 | 5,114 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Management service fees (Note 6) | 1,398 | 2,773 | 1,485 | 2,412 | |||||||||||||||
Reports to shareholders | 973 | 1,943 | 991 | 1,669 | |||||||||||||||
Trustees' fees and expenses | 263 | 526 | 273 | 454 | |||||||||||||||
Insurance fees | 136 | 273 | 143 | 236 | |||||||||||||||
Other | 209 | 419 | 218 | 361 | |||||||||||||||
Total Expenses | 78,639 | 123,797 | 77,294 | 121,600 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (16,787 | ) | (11,845 | ) | (16,468 | ) | (10,125 | ) | |||||||||||
Net Expenses | 61,852 | 111,952 | 60,826 | 111,475 | |||||||||||||||
Net investment income (loss) | (8,672 | ) | 157,951 | 50,145 | (24,096 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | 24,861 | (7,590,621 | ) | (2,321,490 | ) | (1,655,315 | ) | ||||||||||||
In-kind redemptions | 232,098 | 172,671 | 431,397 | 243,779 | |||||||||||||||
Swap contracts | 1,198,530 | (23,809,041 | ) | (2,944,436 | ) | (2,832,248 | ) | ||||||||||||
Net realized gain (loss) | 1,455,489 | (31,226,991 | ) | (4,834,529 | ) | (4,243,784 | ) | ||||||||||||
Change in net unrealized appreciation on: | |||||||||||||||||||
Investment securities | 424,458 | 3,559,313 | 960,076 | 726,109 | |||||||||||||||
Swap contracts | 2,325,454 | 7,009,315 | 732,732 | 214,011 | |||||||||||||||
Change in net unrealized appreciation | 2,749,912 | 10,568,628 | 1,692,808 | 940,120 | |||||||||||||||
Net realized and unrealized gain (loss) | 4,205,401 | (20,658,363 | ) | (3,141,721 | ) | (3,303,664 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,196,729 | $ | (20,500,412 | ) | $ | (3,091,576 | ) | $ | (3,327,760 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
114
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily S&P 500® High Beta Bull 3X Shares1 | Direxion Daily S&P 500® High Beta Bear 3X Shares1 | Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 36,987 | $ | — | $ | 185,626 | $ | — | |||||||||||
Interest income | 10,460 | 25,800 | 1,537,999 | 879,573 | |||||||||||||||
Securities lending income | 9 | — | 71,776 | — | |||||||||||||||
Total investment income | 47,456 | 25,800 | 1,795,401 | 879,573 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 16,643 | 22,945 | 1,555,197 | 451,734 | |||||||||||||||
Professional fees | 5,264 | 5,437 | 45,796 | 17,535 | |||||||||||||||
Licensing fees | 4,828 | 5,397 | 165,888 | 48,185 | |||||||||||||||
Pricing fees | 2,894 | 2,894 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,431 | 2,430 | 2,512 | 2,513 | |||||||||||||||
Offering fees | 2,411 | 2,411 | — | — | |||||||||||||||
Fund servicing fees | 1,575 | 2,104 | 102,108 | 30,002 | |||||||||||||||
Management service fees (Note 6) | 567 | 786 | 52,926 | 15,370 | |||||||||||||||
Reports to shareholders | 407 | 655 | 36,789 | 10,741 | |||||||||||||||
Interest expense | 318 | 1,263 | 335,227 | 44,284 | |||||||||||||||
Trustees' fees and expenses | 109 | 171 | 10,007 | 2,914 | |||||||||||||||
Insurance fees | 56 | 88 | 5,204 | 1,511 | |||||||||||||||
Excise tax | — | 9 | — | — | |||||||||||||||
Other | 86 | 134 | 7,971 | 2,315 | |||||||||||||||
Total Expenses | 37,589 | 46,724 | 2,322,617 | 630,096 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | 2,168 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (16,189 | ) | (16,397 | ) | (19,642 | ) | (13,615 | ) | |||||||||||
Net Expenses | 21,400 | 30,327 | 2,305,143 | 616,481 | |||||||||||||||
Net investment income (loss) | 26,056 | (4,527 | ) | (509,742 | ) | 263,092 | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (1,083,935 | ) | — | (62,495,545 | ) | — | |||||||||||||
In-kind redemptions | — | — | 41,806,655 | — | |||||||||||||||
Swap contracts | (1,756,457 | ) | (3,062,839 | ) | 22,535,767 | 2,459,228 | |||||||||||||
Net realized gain (loss) | (2,840,392 | ) | (3,062,839 | ) | 1,846,877 | 2,459,228 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 405,551 | — | 41,814,849 | — | |||||||||||||||
Swap contracts | 789,142 | (6,246,325 | ) | 86,263,560 | (27,504,182 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 1,194,693 | (6,246,325 | ) | 128,078,409 | (27,504,182 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (1,645,699 | ) | (9,309,164 | ) | 129,925,286 | (25,044,954 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,619,643 | ) | $ | (9,313,691 | ) | $ | 129,415,544 | $ | (24,781,862 | ) |
1 Represents the period from November 7, 2019 (commencement of operations) to April 30, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
115
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 3,428,534 | $ | — | $ | 3,918,189 | $ | — | |||||||||||
(net of foreign withholding tax of $66,908, $—, $— and $—, respectively) | |||||||||||||||||||
Interest income | 2,421,912 | 1,522,690 | 3,247,099 | 398,192 | |||||||||||||||
Securities lending income | 1,507 | — | 3,864 | — | |||||||||||||||
Total investment income | 5,851,953 | 1,522,690 | 7,169,152 | 398,192 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 3,099,155 | 765,308 | 3,819,916 | 201,505 | |||||||||||||||
Interest expense | 1,218,576 | 41,590 | 1,256,923 | 7,456 | |||||||||||||||
Licensing fees | 247,932 | 61,225 | 407,458 | 21,494 | |||||||||||||||
Fund servicing fees | 204,450 | 51,207 | 250,329 | 14,036 | |||||||||||||||
Management service fees (Note 6) | 105,538 | 26,073 | 130,003 | 6,872 | |||||||||||||||
Professional fees | 84,777 | 25,116 | 104,036 | 10,210 | |||||||||||||||
Reports to shareholders | 75,983 | 18,719 | 92,468 | 5,096 | |||||||||||||||
Trustees' fees and expenses | 20,328 | 5,058 | 24,788 | 1,367 | |||||||||||||||
Insurance fees | 10,498 | 2,624 | 12,807 | 708 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,512 | 2,512 | 2,513 | |||||||||||||||
Other | 16,081 | 4,020 | 19,617 | 1,084 | |||||||||||||||
Total Expenses | 5,088,823 | 1,006,444 | 6,123,849 | 275,333 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 10,914 | 10,042 | 12,518 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (10,914 | ) | (5,506 | ) | (38,056 | ) | (12,637 | ) | |||||||||||
Less: Investment advisory fees waived (Note 6) | — | — | (1,050 | ) | — | ||||||||||||||
Net Expenses | 5,088,823 | 1,010,980 | 6,097,261 | 262,696 | |||||||||||||||
Net investment income | 763,130 | 511,710 | 1,071,891 | 135,496 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (196,107,832 | ) | — | (94,530,724 | ) | — | |||||||||||||
In-kind redemptions | 86,011,291 | — | 32,431,033 | — | |||||||||||||||
Swap contracts | (173,168,615 | ) | (149,190,567 | ) | (112,833,834 | ) | (40,718,562 | ) | |||||||||||
Net realized loss | (283,265,156 | ) | (149,190,567 | ) | (174,933,525 | ) | (40,718,562 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 23,048,180 | — | (30,649,490 | ) | — | ||||||||||||||
Swap contracts | (12,199,404 | ) | 1,250,492 | 38,918,427 | (9,643,620 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 10,848,776 | 1,250,492 | 8,268,937 | (9,643,620 | ) | ||||||||||||||
Net realized and unrealized loss | (272,416,380 | ) | (147,940,075 | ) | (166,664,588 | ) | (50,362,182 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (271,653,250 | ) | $ | (147,428,365 | ) | $ | (165,592,697 | ) | $ | (50,226,686 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
116
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 24,040 | $ | 152,960 | $ | 63,495 | $ | — | |||||||||||
Interest income | 10,687 | 26,762 | 61,533 | 70,129 | |||||||||||||||
Total investment income | 34,727 | 179,722 | 125,028 | 70,129 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 17,696 | 48,242 | 68,292 | 37,660 | |||||||||||||||
Licensing fees | 9,972 | 9,972 | 10,858 | 10,858 | |||||||||||||||
Professional fees | 5,453 | 6,207 | 6,736 | 5,990 | |||||||||||||||
Pricing fees | 2,992 | 2,992 | 2,992 | 2,992 | |||||||||||||||
Exchange listing fees | 2,513 | 2,513 | 2,513 | 2,513 | |||||||||||||||
Fund servicing fees | 1,684 | 3,663 | 5,057 | 2,996 | |||||||||||||||
Interest expense | 1,133 | 7,518 | 6,822 | — | |||||||||||||||
Management service fees (Note 6) | 604 | 1,642 | 2,328 | 1,283 | |||||||||||||||
Reports to shareholders | 446 | 1,167 | 1,701 | 921 | |||||||||||||||
Trustees' fees and expenses | 119 | 314 | 458 | 249 | |||||||||||||||
Insurance fees | 62 | 162 | 237 | 129 | |||||||||||||||
Other | 95 | 249 | 364 | 198 | |||||||||||||||
Total Expenses | 42,769 | 84,641 | 108,358 | 65,789 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (19,220 | ) | (16,016 | ) | (15,032 | ) | (18,087 | ) | |||||||||||
Net Expenses | 23,549 | 68,625 | 93,326 | 47,702 | |||||||||||||||
Net investment income | 11,178 | 111,097 | 31,702 | 22,427 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (1,264,768 | ) | (1,874,099 | ) | 109,711 | — | |||||||||||||
In-kind redemptions | 238,441 | 510,159 | — | — | |||||||||||||||
Swap contracts | (2,363,576 | ) | (3,594,569 | ) | 3,115,584 | (3,469,033 | ) | ||||||||||||
Net realized gain (loss) | (3,389,903 | ) | (4,958,509 | ) | 3,225,295 | (3,469,033 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 378,188 | (314,579 | ) | 403,494 | — | ||||||||||||||
Swap contracts | 283,051 | (1,454,257 | ) | 190,075 | 1,198,242 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 661,239 | (1,768,836 | ) | 593,569 | 1,198,242 | ||||||||||||||
Net realized and unrealized gain (loss) | (2,728,664 | ) | (6,727,345 | ) | 3,818,864 | (2,270,791 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,717,486 | ) | $ | (6,616,248 | ) | $ | 3,850,566 | $ | (2,248,364 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
117
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares | ||||||||||
Investment Income: | |||||||||||
Dividend income | $ | 1,388,680 | $ | — | |||||||
Interest income | 432,797 | 775,639 | |||||||||
Securities lending income | 6,443 | — | |||||||||
Total investment income | 1,827,920 | 775,639 | |||||||||
Expenses: | |||||||||||
Investment advisory fees (Note 6) | 855,991 | 412,504 | |||||||||
Interest expense | 122,469 | 8,428 | |||||||||
Fund servicing fees | 57,745 | 27,841 | |||||||||
Licensing fees | 37,339 | 18,003 | |||||||||
Management service fees (Note 6) | 29,187 | 14,052 | |||||||||
Professional fees | 26,426 | 15,976 | |||||||||
Reports to shareholders | 21,761 | 10,114 | |||||||||
Trustees' fees and expenses | 5,782 | 2,731 | |||||||||
Pricing fees | 2,992 | 2,992 | |||||||||
Insurance fees | 2,981 | 1,416 | |||||||||
Exchange listing fees | 2,513 | 2,513 | |||||||||
Other | 4,566 | 2,169 | |||||||||
Total Expenses | 1,169,752 | 518,739 | |||||||||
Recoupment of expenses to Adviser (Note 6) | 706 | — | |||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (706 | ) | — | ||||||||
Net Expenses | 1,169,752 | 518,739 | |||||||||
Net investment income | 658,168 | 256,900 | |||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investment securities | (77,845 | ) | — | ||||||||
In-kind redemptions | 16,984,334 | — | |||||||||
Swap contracts | 67,556,713 | (88,983,348 | ) | ||||||||
Net realized gain (loss) | 84,463,202 | (88,983,348 | ) | ||||||||
Change in net unrealized appreciation on: | |||||||||||
Investment securities | 9,147,397 | — | |||||||||
Swap contracts | 18,090,520 | 9,417,522 | |||||||||
Change in net unrealized appreciation | 27,237,917 | 9,417,522 | |||||||||
Net realized and unrealized gain (loss) | 111,701,119 | (79,565,826 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | 112,359,287 | $ | (79,308,926 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
118
Statements of Changes in Net Assets
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily S&P 500® Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 66,067 | $ | 396,970 | $ | 3,051,302 | $ | 9,694,565 | |||||||||||
Net realized gain (loss) | (19,964,210 | ) | (2,433,942 | ) | (281,457,589 | ) | 61,549,131 | ||||||||||||
Change in net unrealized appreciation | 194,173 | 10,886,572 | 19,911,066 | 230,866,868 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (19,703,970 | ) | 8,849,600 | (258,495,221 | ) | 302,110,564 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (168,512 | ) | (494,580 | ) | (4,420,225 | ) | (11,449,455 | ) | |||||||||||
Total distributions | (168,512 | ) | (494,580 | ) | (4,420,225 | ) | (11,449,455 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 15,953,417 | 41,075,096 | 1,707,169,872 | 993,301,395 | |||||||||||||||
Cost of shares redeemed | (9,577,702 | ) | (60,640,620 | ) | (958,866,241 | ) | (1,328,657,459 | ) | |||||||||||
Transaction fees (Note 4) | 15,570 | 13,927 | 408,715 | 314,039 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 6,391,285 | (19,551,597 | ) | 748,712,346 | (335,042,025 | ) | |||||||||||||
Total increase (decrease) in net assets | (13,481,197 | ) | (11,196,577 | ) | 485,796,900 | (44,380,916 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 46,481,486 | 57,678,063 | 947,850,788 | 992,231,704 | |||||||||||||||
End of year/period | $ | 33,000,289 | $ | 46,481,486 | $ | 1,433,647,688 | $ | 947,850,788 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,100,132 | 1,500,132 | 17,155,004 | 23,055,004 | |||||||||||||||
Shares sold | 1,100,000 | 1,100,000 | 49,250,000 | 22,700,000 | |||||||||||||||
Shares repurchased | (200,000 | ) | (1,500,000 | ) | (26,405,004 | ) | (28,600,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,000,132 | 1,100,132 | 40,000,000 | 17,155,004 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
119
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bear 3X Shares | Direxion Daily Small Cap Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 449,915 | $ | 5,480,739 | $ | 456,385 | $ | 4,443,506 | |||||||||||
Net realized loss | (208,186,189 | ) | (112,681,039 | ) | (363,053,278 | ) | (145,874,785 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (274,758,641 | ) | (61,571,750 | ) | 71,808,481 | 168,643,688 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (482,494,915 | ) | (168,772,050 | ) | (290,788,412 | ) | 27,212,409 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,818,363 | ) | (5,338,151 | ) | (1,622,628 | ) | (4,558,793 | ) | |||||||||||
Total distributions | (1,818,363 | ) | (5,338,151 | ) | (1,622,628 | ) | (4,558,793 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,808,993,030 | 1,223,566,513 | 1,000,744,230 | 962,043,805 | |||||||||||||||
Cost of shares redeemed | (629,144,036 | ) | (827,834,428 | ) | (702,490,504 | ) | (1,137,917,469 | ) | |||||||||||
Transaction fees (Note 4) | 762,642 | 248,351 | 623,550 | 250,169 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,180,611,636 | 395,980,436 | 298,877,276 | (175,623,495 | ) | ||||||||||||||
Total increase (decrease) in net assets | 696,298,358 | 221,870,235 | 6,466,236 | (152,969,879 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 488,984,309 | 267,114,074 | 730,592,223 | 883,562,102 | |||||||||||||||
End of year/period | $ | 1,185,282,667 | $ | 488,984,309 | $ | 737,058,459 | $ | 730,592,223 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 30,453,892 | 10,303,892 | 12,250,068 | 14,300,068 | |||||||||||||||
Shares sold | 125,050,000 | 59,900,000 | 40,250,000 | 17,400,000 | |||||||||||||||
Shares repurchased | (38,750,000 | ) | (39,750,000 | ) | (19,700,066 | ) | (19,450,000 | ) | |||||||||||
Shares outstanding, end of year/period | 116,753,892 | 30,453,892 | 32,800,002 | 12,250,068 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
120
Statements of Changes in Net Assets
Direxion Daily Small Cap Bear 3X Shares | Direxion Daily FTSE China Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 410,048 | $ | 4,267,917 | $ | 2,860,747 | $ | 3,950,105 | |||||||||||
Net realized gain (loss) | 55,748,163 | (10,697,621 | ) | (110,555,139 | ) | (27,460,049 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (182,641,437 | ) | (47,475,848 | ) | 11,201,543 | 49,130,513 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (126,483,226 | ) | (53,905,552 | ) | (96,492,849 | ) | 25,620,569 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,187,784 | ) | (4,325,198 | ) | (3,060,748 | ) | (3,949,648 | ) | |||||||||||
Total distributions | (1,187,784 | ) | (4,325,198 | ) | (3,060,748 | ) | (3,949,648 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 992,595,076 | 593,649,652 | 197,449,840 | 383,330,207 | |||||||||||||||
Cost of shares redeemed | (619,967,028 | ) | (497,149,206 | ) | (190,550,849 | ) | (382,733,749 | ) | |||||||||||
Transaction fees (Note 4) | 695,719 | 149,109 | 48,299 | 78,296 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 373,323,767 | 96,649,555 | 6,947,290 | 674,754 | |||||||||||||||
Total increase (decrease) in net assets | 245,652,757 | 38,418,805 | (92,606,307 | ) | 22,345,675 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 321,402,755 | 282,983,950 | 329,403,412 | 307,057,737 | |||||||||||||||
End of year/period | $ | 567,055,512 | $ | 321,402,755 | $ | 236,797,105 | $ | 329,403,412 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 7,441,573 | 4,894,075 | 18,250,013 | 17,200,013 | |||||||||||||||
Shares sold | 21,000,000 | 11,950,000 | 12,250,000 | 18,900,000 | |||||||||||||||
Shares repurchased | (11,550,000 | ) | (9,402,502 | ) | (11,150,000 | ) | (17,850,000 | ) | |||||||||||
Shares outstanding, end of year/period | 16,891,573 | 7,441,573 | 19,350,013 | 18,250,013 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
121
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, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 145,428 | $ | 1,045,537 | $ | 66,082 | $ | 461,884 | |||||||||||
Net realized gain (loss) | 8,583,096 | (5,609,705 | ) | (9,803,602 | ) | (1,868,331 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (8,732,076 | ) | (12,650,990 | ) | (4,418,442 | ) | 7,379,899 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,552 | ) | (17,215,158 | ) | (14,155,962 | ) | 5,973,452 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (288,160 | ) | (1,047,032 | ) | (130,258 | ) | (514,390 | ) | |||||||||||
Total distributions | (288,160 | ) | (1,047,032 | ) | (130,258 | ) | (514,390 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 146,490,898 | 163,162,012 | 2,400,047 | 4,976,969 | |||||||||||||||
Cost of shares redeemed | (168,684,732 | ) | (146,256,369 | ) | (6,073,572 | ) | (29,270,594 | ) | |||||||||||
Transaction fees (Note 4) | 235,677 | 43,876 | 1,215 | 5,979 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (21,958,157 | ) | 16,949,519 | (3,672,310 | ) | (24,287,646 | ) | ||||||||||||
Total decrease in net assets | (22,249,869 | ) | (1,312,671 | ) | (17,958,530 | ) | (18,828,584 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 78,771,058 | 80,083,729 | 27,803,529 | 46,632,113 | |||||||||||||||
End of year/period | $ | 56,521,189 | $ | 78,771,058 | $ | 9,844,999 | $ | 27,803,529 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,577,337 | 1,127,337 | 950,001 | 1,900,001 | |||||||||||||||
Shares sold | 3,250,000 | 3,100,000 | 150,000 | 200,000 | |||||||||||||||
Shares repurchased | (3,400,000 | ) | (2,650,000 | ) | (300,000 | ) | (1,150,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,427,337 | 1,577,337 | 800,001 | 950,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
122
Statements of Changes in Net Assets
Direxion Daily Latin America Bull 3X Shares1 | Direxion Daily MSCI Developed Markets Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 37,433 | $ | 128,757 | $ | 74,087 | $ | 273,718 | |||||||||||
Net realized loss | (17,094,273 | ) | (301,416 | ) | (9,615,194 | ) | (3,511,198 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 513,780 | (155,135 | ) | 271,879 | 5,638,272 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (16,543,060 | ) | (327,794 | ) | (9,269,228 | ) | 2,400,792 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (10,085 | ) | (126,175 | ) | (95,743 | ) | (274,885 | ) | |||||||||||
Total distributions | (10,085 | ) | (126,175 | ) | (95,743 | ) | (274,885 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 26,568,302 | 44,656,662 | 2,345,170 | 24,222,956 | |||||||||||||||
Cost of shares redeemed | (9,695,166 | ) | (49,190,859 | ) | (1,934,318 | ) | (29,059,314 | ) | |||||||||||
Transaction fees (Note 4) | 3,474 | 12,687 | 387 | 5,812 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 16,876,610 | (4,521,510 | ) | 411,239 | (4,830,546 | ) | |||||||||||||
Total increase (decrease) in net assets | 323,465 | (4,975,479 | ) | (8,953,732 | ) | (2,704,639 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 8,536,637 | 13,512,116 | 16,627,334 | 19,331,973 | |||||||||||||||
End of year/period | $ | 8,860,102 | $ | 8,536,637 | $ | 7,673,602 | $ | 16,627,334 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 20,955 | 28,455 | 250,001 | 350,001 | |||||||||||||||
Shares sold | 292,500 | 105,000 | 100,000 | 400,000 | |||||||||||||||
Shares repurchased | (72,734 | ) | (112,500 | ) | (100,000 | ) | (500,000 | ) | |||||||||||
Shares outstanding, end of year/period | 240,721 | 20,955 | 250,001 | 250,001 |
1 Effective March 27, 2020, the Fund had a 1:20 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:20 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
123
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, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,099,194 | $ | 2,731,404 | $ | 112,102 | $ | 915,578 | |||||||||||
Net realized gain (loss) | (99,079,431 | ) | (5,877,824 | ) | 15,592,553 | (23,082,033 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 979,534 | 48,286,984 | (5,885,880 | ) | (4,455,830 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (97,000,703 | ) | 45,140,564 | 9,818,775 | (26,622,285 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,205,300 | ) | (2,694,656 | ) | (229,450 | ) | (955,647 | ) | |||||||||||
Total distributions | (1,205,300 | ) | (2,694,656 | ) | (229,450 | ) | (955,647 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 53,815,140 | 166,224,051 | 52,279,213 | 123,639,796 | |||||||||||||||
Cost of shares redeemed | (42,799,830 | ) | (222,863,758 | ) | (72,829,488 | ) | (123,645,598 | ) | |||||||||||
Transaction fees (Note 4) | 8,962 | 44,891 | 22,381 | 37,093 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 11,024,272 | (56,594,816 | ) | (20,527,894 | ) | 31,291 | |||||||||||||
Total decrease in net assets | (87,181,731 | ) | (14,148,908 | ) | (10,938,569 | ) | (27,546,641 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 188,596,193 | 202,745,101 | 62,836,742 | 90,383,383 | |||||||||||||||
End of year/period | $ | 101,414,462 | $ | 188,596,193 | $ | 51,898,173 | $ | 62,836,742 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,581,598 | 3,231,598 | 1,495,232 | 1,395,232 | |||||||||||||||
Shares sold | 950,000 | 2,350,000 | 1,300,000 | 2,500,000 | |||||||||||||||
Shares repurchased | (650,000 | ) | (3,000,000 | ) | (1,400,000 | ) | (2,400,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,881,598 | 2,581,598 | 1,395,232 | 1,495,232 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
124
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, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (33,675 | ) | $ | 777,781 | $ | 39,520 | $ | 116,206 | ||||||||||
Net realized gain (loss) | (51,850,705 | ) | 23,087,941 | (5,113,951 | ) | (1,863,984 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,024,242 | 13,958,124 | (1,275,571 | ) | 2,615,169 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (46,860,138 | ) | 37,823,846 | (6,350,002 | ) | 867,391 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (16,670 | ) | (664,437 | ) | (46,406 | ) | (97,355 | ) | |||||||||||
Total distributions | (16,670 | ) | (664,437 | ) | (46,406 | ) | (97,355 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 42,792,240 | 50,711,005 | 18,212,230 | 2,485,535 | |||||||||||||||
Cost of shares redeemed | (26,698,494 | ) | (104,921,438 | ) | (13,789,582 | ) | (7,692,833 | ) | |||||||||||
Transaction fees (Note 4) | 19,558 | 21,931 | 2,758 | 1,539 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 16,113,304 | (54,188,502 | ) | 4,425,406 | (5,205,759 | ) | |||||||||||||
Total decrease in net assets | (30,763,504 | ) | (17,029,093 | ) | (1,971,002 | ) | (4,435,723 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 83,397,866 | 100,426,959 | 9,120,882 | 13,556,605 | |||||||||||||||
End of year/period | $ | 52,634,362 | $ | 83,397,866 | $ | 7,149,880 | $ | 9,120,882 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,249,686 | 1,949,686 | 150,001 | 250,001 | |||||||||||||||
Shares sold | 2,100,000 | 850,000 | 400,000 | 50,000 | |||||||||||||||
Shares repurchased | (400,000 | ) | (1,550,000 | ) | (350,000 | ) | (150,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,949,686 | 1,249,686 | 200,001 | 150,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
125
Statements of Changes in Net Assets
Direxion Daily MSCI Mexico Bull 3X Shares1 | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 38,950 | $ | 195,329 | $ | 120,769 | $ | 261,032 | |||||||||||
Net realized loss | (5,214,877 | ) | (3,258,835 | ) | (5,394,300 | ) | (10,149,578 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (2,442,909 | ) | 4,172,497 | (902,465 | ) | 10,137,611 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (7,618,836 | ) | 1,108,991 | (6,175,996 | ) | 249,065 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (45,885 | ) | (188,557 | ) | (142,470 | ) | (231,430 | ) | |||||||||||
Total distributions | (45,885 | ) | (188,557 | ) | (142,470 | ) | (231,430 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 15,560,125 | 30,508,299 | 20,427,158 | 123,486,796 | |||||||||||||||
Cost of shares redeemed | (12,578,627 | ) | (24,842,352 | ) | (17,645,136 | ) | (120,873,990 | ) | |||||||||||
Transaction fees (Note 4) | 4,332 | 5,076 | 3,529 | 25,727 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 2,985,830 | 5,671,023 | 2,785,551 | 2,638,533 | |||||||||||||||
Total increase (decrease) in net assets | (4,678,891 | ) | 6,591,457 | (3,532,915 | ) | 2,656,168 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 11,399,996 | 4,808,539 | 25,580,060 | 22,923,892 | |||||||||||||||
End of year/period | $ | 6,721,105 | $ | 11,399,996 | $ | 22,047,145 | $ | 25,580,060 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 87,500 | 37,500 | 1,200,001 | 950,001 | |||||||||||||||
Shares sold | 287,500 | 241,667 | 1,950,000 | 5,050,000 | |||||||||||||||
Shares repurchased | (91,795 | ) | (191,667 | ) | (800,000 | ) | (4,800,000 | ) | |||||||||||
Shares outstanding, end of year/period | 283,205 | 87,500 | 2,350,001 | 1,200,001 |
1 Effective March 27, 2020, the Fund had a 1:12 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:12 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
126
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, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period January 14, 20191 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 218,116 | $ | 354,399 | $ | 336 | $ | 4,428 | |||||||||||
Net realized gain (loss) | (48,258,737 | ) | (459,599 | ) | (1,283,324 | ) | 429,521 | ||||||||||||
Change in net unrealized appreciation | 3,059,418 | 16,829,834 | 651,343 | 252,132 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (44,981,203 | ) | 16,724,634 | (631,645 | ) | 686,081 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (261,279 | ) | (392,972 | ) | — | (8,081 | ) | ||||||||||||
Total distributions | (261,279 | ) | (392,972 | ) | — | (8,081 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 101,415,979 | 10,622,361 | 4,069,407 | 4,399,973 | |||||||||||||||
Cost of shares redeemed | (14,223,402 | ) | (31,101,372 | ) | — | (3,376,516 | ) | ||||||||||||
Transaction fees (Note 4) | 4,348 | 6,220 | — | 675 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 87,196,925 | (20,472,791 | ) | 4,069,407 | 1,024,132 | ||||||||||||||
Total increase (decrease) in net assets | 41,954,443 | (4,141,129 | ) | 3,437,762 | 1,702,132 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 52,759,331 | 56,900,460 | 1,702,132 | — | |||||||||||||||
End of year/period | $ | 94,713,774 | $ | 52,759,331 | $ | 5,139,894 | $ | 1,702,132 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 950,001 | 1,350,001 | 50,001 | — | |||||||||||||||
Shares sold | 7,350,000 | 250,000 | 150,000 | 150,001 | |||||||||||||||
Shares repurchased | (250,000 | ) | (650,000 | ) | — | (100,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 8,050,001 | 950,001 | 200,001 | 50,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
127
Statements of Changes in Net Assets
Direxion Daily Communication Services Index Bear 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period January 14, 20191 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period November 29, 20181 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 954 | $ | 18,371 | $ | 10,654 | $ | 19,586 | |||||||||||
Net realized loss | (128,030 | ) | (934,092 | ) | (2,716,631 | ) | (185,541 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (138,767 | ) | (59,951 | ) | 1,261,263 | 805,998 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (265,843 | ) | (975,672 | ) | (1,444,714 | ) | 640,043 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,886 | ) | (21,095 | ) | (13,290 | ) | (20,474 | ) | |||||||||||
Return of capital | — | — | — | (4,274 | ) | ||||||||||||||
Total distributions | (1,886 | ) | (21,095 | ) | (13,290 | ) | (24,748 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 2,500,025 | 4,146,255 | 5,731,929 | |||||||||||||||
Cost of shares redeemed | — | (760,742 | ) | (1,626,836 | ) | — | |||||||||||||
Transaction fees (Note 4) | — | 228 | 325 | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | — | 1,739,511 | 2,519,744 | 5,731,929 | |||||||||||||||
Total increase (decrease) in net assets | (267,729 | ) | 742,744 | 1,061,740 | 6,347,224 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 742,744 | — | 6,347,224 | — | |||||||||||||||
End of year/period | $ | 475,015 | $ | 742,744 | $ | 7,408,964 | $ | 6,347,224 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 50,001 | — | 200,001 | — | |||||||||||||||
Shares sold | — | 100,001 | 200,000 | 200,001 | |||||||||||||||
Shares repurchased | — | (50,000 | ) | (50,000 | ) | — | |||||||||||||
Shares outstanding, end of year/period | 50,001 | 50,001 | 350,001 | 200,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
128
Statements of Changes in Net Assets
Direxion Daily Consumer Discretionary Bear 3X Shares | Direxion Daily Consumer Staples Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period November 29, 20181 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period November 29, 20181 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (205 | ) | $ | 17,876 | $ | 30,950 | $ | 44,815 | ||||||||||
Net realized loss | (1,758,572 | ) | (566,559 | ) | (1,006,496 | ) | (78,417 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (1,932,323 | ) | (128,906 | ) | (796,984 | ) | 857,093 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,691,100 | ) | (677,589 | ) | (1,772,530 | ) | 823,491 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (3,222 | ) | (18,912 | ) | (127,578 | ) | (43,161 | ) | |||||||||||
Return of capital | — | (1,730 | ) | — | — | ||||||||||||||
Total distributions | (3,222 | ) | (20,642 | ) | (127,578 | ) | (43,161 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 7,234,414 | 3,366,369 | 4,930,651 | 3,979,928 | |||||||||||||||
Cost of shares redeemed | (593,476 | ) | (1,159,596 | ) | — | — | |||||||||||||
Transaction fees (Note 4) | 178 | 348 | — | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | 6,641,116 | 2,207,121 | 4,930,651 | 3,979,928 | |||||||||||||||
Total increase in net assets | 2,946,794 | 1,508,890 | 3,030,543 | 4,760,258 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 1,508,890 | — | 4,760,258 | — | |||||||||||||||
End of year/period | $ | 4,455,684 | $ | 1,508,890 | $ | 7,790,801 | $ | 4,760,258 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 100,001 | — | 150,001 | — | |||||||||||||||
Shares sold | 400,000 | 150,001 | 200,000 | 150,001 | |||||||||||||||
Shares repurchased | (50,000 | ) | (50,000 | ) | — | — | |||||||||||||
Shares outstanding, end of year/period | 450,001 | 100,001 | 350,001 | 150,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
129
Statements of Changes in Net Assets
Direxion Daily Consumer Staples Bear 3X Shares | Direxion Daily Dow Jones Internet Bull 3X Shares | ||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period November 29, 20181 through October 31, 2019 | For the Period November 7, 20191 through April 30, 2020 (Unaudited) | |||||||||||||
Operations: | |||||||||||||||
Net investment income (loss) | $ | 1,298 | $ | 18,374 | $ | (6,468 | ) | ||||||||
Net realized loss | (100,886 | ) | (116,728 | ) | (1,565,086 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (101,367 | ) | (63,027 | ) | 2,917,300 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (200,955 | ) | (161,381 | ) | 1,345,746 | ||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (1,816 | ) | (21,810 | ) | (2,646 | ) | |||||||||
Total distributions | (1,816 | ) | (21,810 | ) | (2,646 | ) | |||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | — | 2,500,025 | 10,083,517 | ||||||||||||
Cost of shares redeemed | — | (1,476,994 | ) | — | |||||||||||
Transaction fees (Note 4) | — | 443 | — | ||||||||||||
Net increase in net assets resulting from capital transactions | — | 1,023,474 | 10,083,517 | ||||||||||||
Total increase (decrease) in net assets | (202,771 | ) | 840,283 | 11,426,617 | |||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | 840,283 | — | — | ||||||||||||
End of year/period | $ | 637,512 | $ | 840,283 | $ | 11,426,617 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | 50,001 | — | — | ||||||||||||
Shares sold | — | 100,001 | 450,001 | ||||||||||||
Shares repurchased | — | (50,000 | ) | — | |||||||||||
Shares outstanding, end of year/period | 50,001 | 50,001 | 450,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
130
Statements of Changes in Net Assets
Direxion Daily Dow Jones Internet Bear 3X Shares | Direxion Daily Financial Bull 3X Shares | ||||||||||||||
For the Period November 7, 20191 through April 30, 2020 (Unaudited) | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 4,369 | $ | 5,157,528 | $ | 15,058,365 | |||||||||
Net realized gain (loss) | (2,476,622 | ) | (541,773,977 | ) | 36,214,809 | ||||||||||
Change in net unrealized appreciation (depreciation) | (244,635 | ) | (286,904,407 | ) | 451,202,304 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (2,716,888 | ) | (823,520,856 | ) | 502,475,478 | ||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (8,536 | ) | (5,100,987 | ) | (13,959,446 | ) | |||||||||
Return of capital | — | — | (57,860 | ) | |||||||||||
Total distributions | (8,536 | ) | (5,100,987 | ) | (14,017,306 | ) | |||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | 8,074,187 | 838,866,189 | 239,421,235 | ||||||||||||
Cost of shares redeemed | (3,660,604 | ) | (283,618,239 | ) | (1,016,097,666 | ) | |||||||||
Transaction fees (Note 4) | 1,098 | 170,168 | 203,219 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 4,414,681 | 555,418,118 | (776,473,212 | ) | |||||||||||
Total increase (decrease) in net assets | 1,689,257 | (273,203,725 | ) | (288,015,040 | ) | ||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | — | 1,339,497,854 | 1,627,512,894 | ||||||||||||
End of year/period | $ | 1,689,257 | $ | 1,066,294,129 | $ | 1,339,497,854 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | — | 16,549,888 | 27,749,888 | ||||||||||||
Shares sold | 300,001 | 25,550,000 | 3,900,000 | ||||||||||||
Shares repurchased | (150,000 | ) | (5,700,599 | ) | (15,100,000 | ) | |||||||||
Shares outstanding, end of year/period | 150,001 | 36,399,289 | 16,549,888 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
131
Statements of Changes in Net Assets
Direxion Daily Financial Bear 3X Shares | Direxion Daily Healthcare Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 125,628 | $ | 2,309,441 | $ | 201,022 | $ | 1,129,764 | |||||||||||
Net realized gain (loss) | (40,618,122 | ) | (78,630,703 | ) | 3,918,230 | (537,225 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (54,151,067 | ) | (10,085,637 | ) | (3,560,258 | ) | 13,575,904 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (94,643,561 | ) | (86,406,899 | ) | 558,994 | 14,168,443 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (613,710 | ) | (2,271,607 | ) | (239,731 | ) | (1,182,359 | ) | |||||||||||
Total distributions | (613,710 | ) | (2,271,607 | ) | (239,731 | ) | (1,182,359 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 476,312,061 | 290,517,933 | 27,088,799 | 56,502,013 | |||||||||||||||
Cost of shares redeemed | (221,490,212 | ) | (167,887,450 | ) | (21,466,951 | ) | (81,058,921 | ) | |||||||||||
Transaction fees (Note 4) | 324,437 | 50,324 | 4,293 | 17,241 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 255,146,286 | 122,680,807 | 5,626,141 | (24,539,667 | ) | ||||||||||||||
Total increase (decrease) in net assets | 159,889,015 | 34,002,301 | 5,945,404 | (11,553,583 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 175,800,930 | 141,798,629 | 139,550,370 | 151,103,953 | |||||||||||||||
End of year/period | $ | 335,689,945 | $ | 175,800,930 | $ | 145,495,774 | $ | 139,550,370 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 5,372,860 | 2,526,411 | 2,400,008 | 2,850,008 | |||||||||||||||
Shares sold | 14,950,000 | 6,460,000 | 600,000 | 1,100,000 | |||||||||||||||
Shares repurchased | (6,200,000 | ) | (3,613,551 | ) | (350,000 | ) | (1,550,000 | ) | |||||||||||
Shares outstanding, end of year/period | 14,122,860 | 5,372,860 | 2,650,008 | 2,400,008 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
132
Statements of Changes in Net Assets
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Direxion Daily Industrials Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 3,412 | $ | 141,542 | $ | 18,159 | $ | 58,619 | |||||||||||
Net realized gain (loss) | (37,572,702 | ) | 1,346,371 | (2,207,088 | ) | (283,641 | ) | ||||||||||||
Change in net unrealized appreciation | 23,738,775 | 36,020,645 | 162,424 | 868,174 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (13,830,515 | ) | 37,508,558 | (2,026,505 | ) | 643,152 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (11,980 | ) | (172,171 | ) | (20,624 | ) | (63,654 | ) | |||||||||||
Return of capital | — | (9,939 | ) | — | — | ||||||||||||||
Total distributions | (11,980 | ) | (182,110 | ) | (20,624 | ) | (63,654 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 133,543,430 | 36,465,521 | 5,985,260 | 2,845,749 | |||||||||||||||
Cost of shares redeemed | (32,120,361 | ) | (46,598,960 | ) | (2,241,091 | ) | (4,069,083 | ) | |||||||||||
Transaction fees (Note 4) | 7,620 | 9,759 | 672 | 1,221 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 101,430,689 | (10,123,680 | ) | 3,744,841 | (1,222,113 | ) | |||||||||||||
Total increase (decrease) in net assets | 87,588,194 | 27,202,768 | 1,697,712 | (642,615 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 66,869,535 | 39,666,767 | 3,294,278 | 3,936,893 | |||||||||||||||
End of year/period | $ | 154,457,729 | $ | 66,869,535 | $ | 4,991,990 | $ | 3,294,278 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 950,000 | 1,400,000 | 100,001 | 150,001 | |||||||||||||||
Shares sold | 8,600,000 | 800,000 | 400,000 | 100,000 | |||||||||||||||
Shares repurchased | (550,000 | ) | (1,250,000 | ) | (100,000 | ) | (150,000 | ) | |||||||||||
Shares outstanding, end of year/period | 9,000,000 | 950,000 | 400,001 | 100,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
133
Statements of Changes in Net Assets
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 368,744 | $ | 1,004,357 | $ | (283 | ) | $ | 262,941 | ||||||||||
Net realized gain (loss) | (28,148,700 | ) | 16,389,140 | (8,100,331 | ) | (10,911,893 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (3,994,532 | ) | 4,132,195 | (8,339,415 | ) | (465,933 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (31,774,488 | ) | 21,525,692 | (16,440,029 | ) | (11,114,885 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,072,715 | ) | (880,150 | ) | (54,061 | ) | (267,942 | ) | |||||||||||
Total distributions | (1,072,715 | ) | (880,150 | ) | (54,061 | ) | (267,942 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 22,231,075 | 42,395,726 | 60,077,631 | 19,532,486 | |||||||||||||||
Cost of shares redeemed | (4,397,165 | ) | (49,249,614 | ) | (7,720,633 | ) | (11,813,993 | ) | |||||||||||
Transaction fees (Note 4) | 1,320 | 14,658 | 2,317 | 3,542 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 17,835,230 | (6,839,230 | ) | 52,359,315 | 7,722,035 | ||||||||||||||
Total increase (decrease) in net assets | (15,011,973 | ) | 13,806,312 | 35,865,225 | (3,660,792 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 53,969,186 | 40,162,874 | 15,494,912 | 19,155,704 | |||||||||||||||
End of year/period | $ | 38,957,213 | $ | 53,969,186 | $ | 51,360,137 | $ | 15,494,912 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,750,000 | 2,050,000 | 601,444 | 381,662 | |||||||||||||||
Shares sold | 2,450,000 | 1,450,000 | 2,050,000 | 510,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (1,750,000 | ) | (200,000 | ) | (290,218 | ) | |||||||||||
Shares outstanding, end of year/period | 4,050,000 | 1,750,000 | 2,451,444 | 601,444 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
134
Statements of Changes in Net Assets
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Regional Banks Bull 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (8,672 | ) | $ | 56,519 | $ | 157,951 | $ | 415,624 | ||||||||||
Net realized gain (loss) | 1,455,489 | (3,627,426 | ) | (31,226,991 | ) | (4,416,737 | ) | ||||||||||||
Change in net unrealized appreciation | 2,749,912 | 2,243,918 | 10,568,628 | 1,982,475 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,196,729 | (1,326,989 | ) | (20,500,412 | ) | (2,018,638 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (198 | ) | (56,519 | ) | (157,065 | ) | (422,221 | ) | |||||||||||
Return of capital | — | (2,255 | ) | — | — | ||||||||||||||
Total distributions | (198 | ) | (58,774 | ) | (157,065 | ) | (422,221 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 8,915,332 | 25,022,957 | 52,476,072 | 48,793,631 | |||||||||||||||
Cost of shares redeemed | (4,758,871 | ) | (19,010,589 | ) | (4,800,562 | ) | (55,420,907 | ) | |||||||||||
Transaction fees (Note 4) | 1,351 | 5,393 | 960 | 13,232 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 4,157,812 | 6,017,761 | 47,676,470 | (6,614,044 | ) | ||||||||||||||
Total increase (decrease) in net assets | 8,354,343 | 4,631,998 | 27,018,993 | (9,054,903 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 8,611,335 | 3,979,337 | 20,779,897 | 29,834,800 | |||||||||||||||
End of year/period | $ | 16,965,678 | $ | 8,611,335 | $ | 47,798,890 | $ | 20,779,897 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 550,001 | 150,001 | 50,000 | 60,000 | |||||||||||||||
Shares sold | 800,000 | 1,550,000 | 615,000 | 115,000 | |||||||||||||||
Shares repurchased | (200,000 | ) | (1,150,000 | ) | (25,000 | ) | (125,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,150,001 | 550,001 | 640,000 | 50,000 |
1 Effective April 23, 2020, 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
135
Statements of Changes in Net Assets
Direxion Daily Retail Bull 3X Shares1 | Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 50,145 | $ | 206,453 | $ | (24,096 | ) | $ | 113,590 | ||||||||||
Net realized loss | (4,834,529 | ) | (11,226,245 | ) | (4,243,784 | ) | (2,562,686 | ) | |||||||||||
Change in net unrealized appreciation | 1,692,808 | 3,204,903 | 940,120 | 4,811,741 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,091,576 | ) | (7,814,889 | ) | (3,327,760 | ) | 2,362,645 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (55,993 | ) | (202,633 | ) | (24,752 | ) | (113,962 | ) | |||||||||||
Return of capital | — | — | — | (790 | ) | ||||||||||||||
Total distributions | (55,993 | ) | (202,633 | ) | (24,752 | ) | (114,752 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 8,428,431 | 18,734,063 | 5,274,450 | 34,985,576 | |||||||||||||||
Cost of shares redeemed | (8,071,190 | ) | (29,122,763 | ) | (3,261,522 | ) | (20,892,525 | ) | |||||||||||
Transaction fees (Note 4) | 6,467 | 7,008 | 714 | 4,683 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 363,708 | (10,381,692 | ) | 2,013,642 | 14,097,734 | ||||||||||||||
Total increase (decrease) in net assets | (2,783,861 | ) | (18,399,214 | ) | (1,338,870 | ) | 16,345,627 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 12,967,442 | 31,366,656 | 20,468,152 | 4,122,525 | |||||||||||||||
End of year/period | $ | 10,183,581 | $ | 12,967,442 | $ | 19,129,282 | $ | 20,468,152 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 55,001 | 85,001 | 180,000 | 35,000 | |||||||||||||||
Shares sold | 85,000 | 75,000 | 110,000 | 330,000 | |||||||||||||||
Shares repurchased | (35,000 | ) | (105,000 | ) | (25,000 | ) | (185,000 | ) | |||||||||||
Shares outstanding, end of year/period | 105,001 | 55,001 | 265,000 | 180,000 |
1 Effective April 23, 2020, 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
136
Statements of Changes in Net Assets
Direxion Daily S&P 500® High Beta Bull 3X Shares1 | Direxion Daily S&P 500® High Beta Bear 3X Shares | ||||||||||
For the Period November 7, 20192 through April 30, 2020 (Unaudited) | For the Period November 7, 20192 through April 30, 2020 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income (loss) | $ | 26,056 | $ | (4,527 | ) | ||||||
Net realized loss | (2,840,392 | ) | (3,062,839 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 1,194,693 | (6,246,325 | ) | ||||||||
Net decrease in net assets resulting from operations | (1,619,643 | ) | (9,313,691 | ) | |||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (30,230 | ) | (8,577 | ) | |||||||
Total distributions | (30,230 | ) | (8,577 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 19,866,238 | 33,613,173 | |||||||||
Cost of shares redeemed | — | (3,407,148 | ) | ||||||||
Transaction fees (Note 4) | — | 1,022 | |||||||||
Net increase in net assets resulting from capital transactions | 19,866,238 | 30,207,047 | |||||||||
Total increase in net assets | 18,216,365 | 20,884,779 | |||||||||
Net assets: | |||||||||||
Beginning of year/period | — | — | |||||||||
End of year/period | $ | 18,216,365 | $ | 20,884,779 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of year/period | — | — | |||||||||
Shares sold | 245,000 | 1,350,001 | |||||||||
Shares repurchased | — | (100,000 | ) | ||||||||
Shares outstanding, end of year/period | 245,000 | 1,250,001 |
1 Effective April 23, 2020, 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.
2 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
137
Statements of Changes in Net Assets
Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (509,742 | ) | $ | 3,117,815 | $ | 263,092 | $ | 1,260,444 | ||||||||||
Net realized gain (loss) | 1,846,877 | (84,631,541 | ) | 2,459,228 | (32,367,807 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 128,078,409 | 18,963,385 | (27,504,182 | ) | 5,894,740 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 129,415,544 | (62,550,341 | ) | (24,781,862 | ) | (25,212,623 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (45,196 | ) | (3,328,781 | ) | (376,700 | ) | (1,288,408 | ) | |||||||||||
Total distributions | (45,196 | ) | (3,328,781 | ) | (376,700 | ) | (1,288,408 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 298,299,221 | 1,251,672,218 | 345,389,740 | 630,655,426 | |||||||||||||||
Cost of shares redeemed | (534,491,177 | ) | (1,291,076,924 | ) | (318,030,887 | ) | (578,187,535 | ) | |||||||||||
Transaction fees (Note 4) | 237,035 | 263,748 | 137,753 | 173,783 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (235,954,921 | ) | (39,140,958 | ) | 27,496,606 | 52,641,674 | |||||||||||||
Total increase (decrease) in net assets | (106,584,573 | ) | (105,020,080 | ) | 2,338,044 | 26,140,643 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 487,452,195 | 592,472,275 | 82,336,356 | 56,195,713 | |||||||||||||||
End of year/period | $ | 380,867,622 | $ | 487,452,195 | $ | 84,674,400 | $ | 82,336,356 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 13,111,600 | 12,011,600 | 4,034,536 | 1,434,536 | |||||||||||||||
Shares sold | 9,250,000 | 28,500,000 | 28,950,000 | 26,150,000 | |||||||||||||||
Shares repurchased | (12,050,000 | ) | (27,400,000 | ) | (20,700,000 | ) | (23,550,000 | ) | |||||||||||
Shares outstanding, end of year/period | 10,311,600 | 13,111,600 | 12,284,536 | 4,034,536 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
138
Statements of Changes in Net Assets
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 763,130 | $ | 4,509,879 | $ | 511,710 | $ | 2,256,044 | |||||||||||
Net realized gain (loss) | (283,265,156 | ) | 206,906,652 | (149,190,567 | ) | (129,163,610 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 10,848,776 | 330,153,026 | 1,250,492 | (44,446,546 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (271,653,250 | ) | 541,569,557 | (147,428,365 | ) | (171,354,112 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,431,589 | ) | (4,789,744 | ) | (929,294 | ) | (2,077,527 | ) | |||||||||||
Total distributions | (1,431,589 | ) | (4,789,744 | ) | (929,294 | ) | (2,077,527 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,275,197,399 | 852,170,230 | 454,324,121 | 732,163,564 | |||||||||||||||
Cost of shares redeemed | (548,757,561 | ) | (1,338,139,932 | ) | (359,349,949 | ) | (386,946,232 | ) | |||||||||||
Transaction fees (Note 4) | 183,682 | 272,057 | 155,466 | 116,076 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 726,623,520 | (485,697,645 | ) | 95,129,638 | 345,333,408 | ||||||||||||||
Total increase (decrease) in net assets | 453,538,681 | 51,082,168 | (53,228,021 | ) | 171,901,769 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 634,080,376 | 582,998,208 | 237,361,002 | 65,459,233 | |||||||||||||||
End of year/period | $ | 1,087,619,057 | $ | 634,080,376 | $ | 184,132,981 | $ | 237,361,002 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 3,200,004 | 5,800,004 | 7,735,481 | 490,977 | |||||||||||||||
Shares sold | 7,950,000 | 6,700,000 | 27,150,000 | 13,660,000 | |||||||||||||||
Shares repurchased | (2,800,000 | ) | (9,300,000 | ) | (15,250,000 | ) | (6,415,496 | ) | |||||||||||
Shares outstanding, end of year/period | 8,350,004 | 3,200,004 | 19,635,481 | 7,735,481 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
139
Statements of Changes in Net Assets
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,071,891 | $ | 1,839,825 | $ | 135,496 | $ | 657,704 | |||||||||||
Net realized gain (loss) | (174,933,525 | ) | 67,533,099 | (40,718,562 | ) | (29,956,689 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 8,268,937 | 214,542,734 | (9,643,620 | ) | (10,035,980 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (165,592,697 | ) | 283,915,658 | (50,226,686 | ) | (39,334,965 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,713,106 | ) | (2,488,495 | ) | (243,879 | ) | (638,259 | ) | |||||||||||
Total distributions | (1,713,106 | ) | (2,488,495 | ) | (243,879 | ) | (638,259 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 727,718,962 | 175,645,528 | 90,718,149 | 104,975,005 | |||||||||||||||
Cost of shares redeemed | (206,168,661 | ) | (353,667,987 | ) | (50,554,730 | ) | (39,022,492 | ) | |||||||||||
Transaction fees (Note 4) | 42,652 | 85,195 | 65,575 | 11,708 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 521,592,953 | (177,937,264 | ) | 40,228,994 | 65,964,221 | ||||||||||||||
Total increase (decrease) in net assets | 354,287,150 | 103,489,899 | (10,241,571 | ) | 25,990,997 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 774,640,684 | 671,150,785 | 59,339,939 | 33,348,942 | |||||||||||||||
End of year/period | $ | 1,128,927,834 | $ | 774,640,684 | $ | 49,098,368 | $ | 59,339,939 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 4,200,000 | 5,350,000 | 620,329 | 150,329 | |||||||||||||||
Shares sold | 3,850,000 | 1,350,000 | 1,500,000 | 715,000 | |||||||||||||||
Shares repurchased | (1,050,000 | ) | (2,500,000 | ) | (655,000 | ) | (245,000 | ) | |||||||||||
Shares outstanding, end of year/period | 7,000,000 | 4,200,000 | 1,465,329 | 620,329 |
1 Effective April 23, 2020, 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
140
Statements of Changes in Net Assets
Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 11,178 | $ | 58,369 | $ | 111,097 | $ | 119,821 | |||||||||||
Net realized gain (loss) | (3,389,903 | ) | (41,948 | ) | (4,958,509 | ) | 1,225,302 | ||||||||||||
Net increase from payments by affiliates | — | — | — | 183,387 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 661,239 | 1,975,401 | (1,768,836 | ) | 1,595,340 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (2,717,486 | ) | 1,991,822 | (6,616,248 | ) | 3,123,850 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (18,559 | ) | (56,931 | ) | (520,218 | ) | (122,979 | ) | |||||||||||
Total distributions | (18,559 | ) | (56,931 | ) | (520,218 | ) | (122,979 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 14,976,827 | 17,240,530 | 9,364,293 | 19,227,816 | |||||||||||||||
Cost of shares redeemed | (5,470,670 | ) | (26,279,036 | ) | (5,418,987 | ) | (10,373,713 | ) | |||||||||||
Transaction fees (Note 4) | 1,094 | 5,256 | 1,084 | 2,752 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 9,507,251 | (9,033,250 | ) | 3,946,390 | 8,856,855 | ||||||||||||||
Total increase (decrease) in net assets | 6,771,206 | (7,098,359 | ) | (3,190,076 | ) | 11,857,726 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,751,119 | 10,849,478 | 16,029,296 | 4,171,570 | |||||||||||||||
End of year/period | $ | 10,522,325 | $ | 3,751,119 | $ | 12,839,220 | $ | 16,029,296 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 150,001 | 400,001 | 350,001 | 150,001 | |||||||||||||||
Shares sold | 1,250,000 | 750,000 | 400,000 | 450,000 | |||||||||||||||
Shares repurchased | (200,000 | ) | (1,000,000 | ) | (150,000 | ) | (250,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,200,001 | 150,001 | 600,001 | 350,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
141
Statements of Changes in Net Assets
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 31,702 | $ | 151,087 | $ | 22,427 | $ | 213,414 | |||||||||||
Net realized gain (loss) | 3,225,295 | 812,009 | (3,469,033 | ) | (1,784,147 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 593,569 | 2,660,763 | 1,198,242 | (4,077,705 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,850,566 | 3,623,859 | (2,248,364 | ) | (5,648,438 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (53,451 | ) | (144,179 | ) | (45,203 | ) | (212,425 | ) | |||||||||||
Total distributions | (53,451 | ) | (144,179 | ) | (45,203 | ) | (212,425 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 3,316,007 | 19,768,033 | 2,122,397 | 1,740,934 | |||||||||||||||
Cost of shares redeemed | (8,467,384 | ) | (7,473,824 | ) | (2,533,718 | ) | (4,961,938 | ) | |||||||||||
Transaction fees (Note 4) | 2,540 | 2,242 | 19,323 | 1,488 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (5,148,837 | ) | 12,296,451 | (391,998 | ) | (3,219,516 | ) | ||||||||||||
Total increase (decrease) in net assets | (1,351,722 | ) | 15,776,131 | (2,685,565 | ) | (9,080,379 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 21,600,272 | 5,824,141 | 11,108,715 | 20,189,094 | |||||||||||||||
End of year/period | $ | 20,248,550 | $ | 21,600,272 | $ | 8,423,150 | $ | 11,108,715 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 400,000 | 150,000 | 1,050,000 | 1,300,000 | |||||||||||||||
Shares sold | 50,000 | 400,000 | 250,000 | 150,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (150,000 | ) | (250,000 | ) | (400,000 | ) | |||||||||||
Shares outstanding, end of year/period | 300,000 | 400,000 | 1,050,000 | 1,050,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
142
Statements of Changes in Net Assets
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 658,168 | $ | 1,844,152 | $ | 256,900 | $ | 2,755,727 | |||||||||||
Net realized gain (loss) | 84,463,202 | 24,430,398 | (88,983,348 | ) | (65,156,078 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 27,237,917 | 50,452,493 | 9,417,522 | (92,949,283 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 112,359,287 | 76,727,043 | (79,308,926 | ) | (155,349,634 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (933,268 | ) | (1,822,129 | ) | (522,733 | ) | (2,833,079 | ) | |||||||||||
Total distributions | (933,268 | ) | (1,822,129 | ) | (522,733 | ) | (2,833,079 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 234,290,165 | 421,298,642 | 217,746,984 | 129,296,413 | |||||||||||||||
Cost of shares redeemed | (248,611,006 | ) | (407,652,237 | ) | (173,808,314 | ) | (193,033,207 | ) | |||||||||||
Transaction fees (Note 4) | 108,604 | 114,204 | 52,142 | 58,065 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (14,212,237 | ) | 13,760,609 | 43,990,812 | (63,678,729 | ) | |||||||||||||
Total increase (decrease) in net assets | 97,213,782 | 88,665,523 | (35,840,847 | ) | (221,861,442 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 189,538,567 | 100,873,044 | 123,238,671 | 345,100,113 | |||||||||||||||
End of year/period | $ | 286,752,349 | $ | 189,538,567 | $ | 87,397,824 | $ | 123,238,671 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 6,450,000 | 6,400,000 | 1,149,979 | 1,509,979 | |||||||||||||||
Shares sold | 6,850,000 | 15,250,000 | 3,050,000 | 870,000 | |||||||||||||||
Shares repurchased | (6,650,000 | ) | (15,200,000 | ) | (2,475,000 | ) | (1,230,000 | ) | |||||||||||
Shares outstanding, end of year/period | 6,650,000 | 6,450,000 | 1,724,979 | 1,149,979 |
1 Effective April 23, 2020, 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
143
Financial Highlights
April 30, 2020
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, 2020 (Unaudited) | $ | 42.25 | $ | 0.06 | $ | 0.07 | $ | (25.64 | ) | $ | (25.58 | ) | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | $ | 16.50 | -60.81 | % | $ | 33,000 | 1.05 | % | 1.11 | % | 0.34 | % | 0.95 | % | 1.01 | % | 0.44 | % | 20 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 38.45 | 0.30 | 0.35 | 3.84 | 4.14 | (0.34 | ) | — | — | (0.34 | ) | $ | 42.25 | 11.04 | % | $ | 46,481 | 1.08 | % | 1.12 | % | 0.75 | % | 0.95 | % | 0.99 | % | 0.88 | % | 23 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 55.25 | 0.13 | 0.17 | (19.28 | ) | (19.15 | ) | (0.26 | ) | — | — | (0.26 | ) | $ | 35.84 | -34.87 | % | $ | 1,433,648 | 1.13 | % | 1.13 | % | 0.55 | % | 0.96 | % | 0.96 | % | 0.72 | % | 165 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 43.04 | 0.45 | 0.56 | 12.26 | 12.71 | (0.50 | ) | — | — | (0.50 | ) | $ | 55.25 | 29.95 | % | $ | 947,851 | 1.19 | % | 1.19 | % | 0.98 | % | 0.95 | % | 0.95 | % | 1.22 | % | 86 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 16.06 | 0.01 | 0.01 | (5.86 | ) | (5.85 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 10.15 | -36.56 | % | $ | 1,185,283 | 0.98 | % | 0.99 | % | 0.14 | % | 0.95 | % | 0.96 | % | 0.17 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 25.92 | 0.29 | 0.29 | (9.86 | ) | (9.57 | ) | (0.29 | ) | — | — | (0.29 | ) | $ | 16.06 | -37.21 | % | $ | 488,984 | 0.96 | % | 0.96 | % | 1.44 | % | 0.95 | % | 0.95 | % | 1.45 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 59.64 | 0.03 | 0.06 | (37.05 | ) | (37.02 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 22.47 | -62.25 | % | $ | 737,058 | 1.11 | % | 1.10 | % | 0.14 | % | 0.95 | % | 0.94 | % | 0.30 | % | 87 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 61.79 | 0.32 | 0.46 | (2.17 | ) | (1.85 | ) | (0.30 | ) | — | — | (0.30 | ) | $ | 59.64 | -2.88 | % | $ | 730,592 | 1.18 | % | 1.17 | % | 0.56 | % | 0.95 | % | 0.94 | % | 0.79 | % | 53 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 43.19 | 0.05 | 0.06 | (9.50 | ) | (9.45 | ) | (0.17 | ) | — | — | (0.17 | ) | $ | 33.57 | -21.98 | % | $ | 567,056 | 0.99 | % | 0.98 | % | 0.23 | % | 0.95 | % | 0.94 | % | 0.27 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 57.80 | 0.68 | 0.70 | (14.58 | ) | (13.90 | ) | (0.71 | ) | — | — | (0.71 | ) | $ | 43.19 | -24.30 | % | $ | 321,403 | 0.99 | % | 0.99 | % | 1.36 | % | 0.95 | % | 0.95 | % | 1.40 | % | 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 | % | ||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 18.05 | 0.15 | 0.16 | (5.80 | ) | (5.65 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 12.24 | -31.57 | % | $ | 236,797 | 1.03 | % | 1.05 | % | 1.77 | % | 0.95 | % | 0.97 | % | 1.85 | % | 150 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 17.85 | 0.22 | 0.24 | 0.20 | 0.42 | (0.22 | ) | — | — | (0.22 | ) | $ | 18.05 | 2.23 | % | $ | 329,403 | 1.05 | % | 1.07 | % | 1.12 | % | 0.95 | % | 0.97 | % | 1.22 | % | 142 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
144
Financial Highlights
April 30, 2020
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 FTSE China Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 49.94 | $ | 0.07 | $ | 0.08 | $ | (10.21 | ) | $ | (10.14 | ) | $ | (0.20 | ) | $ | — | $ | — | $ | (0.20 | ) | $ | 39.60 | -20.35 | % | $ | 56,521 | 1.00 | % | 1.04 | % | 0.32 | % | 0.95 | % | 0.99 | % | 0.37 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 71.04 | 0.65 | 0.71 | (21.04 | ) | (20.39 | ) | (0.71 | ) | — | — | (0.71 | ) | $ | 49.94 | -28.74 | % | $ | 78,771 | 1.05 | % | 1.09 | % | 1.27 | % | 0.95 | % | 0.99 | % | 1.37 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 29.27 | 0.07 | 0.09 | (16.89 | ) | (16.82 | ) | (0.14 | ) | — | — | (0.14 | ) | $ | 12.31 | -57.57 | % | $ | 9,845 | 1.07 | % | 1.12 | % | 0.55 | % | 0.95 | % | 1.00 | % | 0.67 | % | 65 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 24.54 | 0.36 | 0.42 | 4.79 | 5.15 | (0.42 | ) | — | — | (0.42 | ) | $ | 29.27 | 21.25 | % | $ | 27,804 | 1.18 | % | 1.20 | % | 1.41 | % | 0.95 | % | 0.97 | % | 1.64 | % | 111 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 407.40 | 0.58 | 0.64 | (370.74 | ) | (370.16 | ) | (0.43 | ) | — | — | (0.43 | ) | $ | 36.81 | -90.96 | % | $ | 8,860 | 1.04 | % | 1.32 | % | 0.86 | % | 0.95 | % | 1.23 | % | 0.95 | % | 20 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 474.80 | 4.20 | 5.00 | (66.60 | ) | (62.40 | ) | (5.00 | ) | — | — | (5.00 | ) | $ | 407.40 | -13.19 | % | $ | 8,537 | 1.16 | % | 1.34 | % | 0.95 | % | 0.95 | % | 1.13 | % | 1.16 | % | 302 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 630.80 | 5.80 | 6.20 | (157.40 | ) | (151.60 | ) | (4.20 | ) | — | (0.20 | ) | (4.40 | ) | $ | 474.80 | -24.04 | % | $ | 13,512 | 1.03 | % | 1.19 | % | 0.99 | % | 0.95 | % | 1.11 | % | 1.07 | % | 56 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 575.80 | (1.60 | ) | (0.80 | ) | 56.60 | 55.00 | — | — | — | — | $ | 630.80 | 9.55 | % | $ | 14,796 | 1.12 | % | 1.35 | % | (0.30 | )% | 0.95 | % | 1.18 | % | (0.13 | )% | 58 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 329.60 | (3.20 | ) | (2.80 | ) | 249.40 | 246.20 | — | — | — | — | $ | 575.80 | 74.70 | % | $ | 17,823 | 1.06 | % | 1.36 | % | (0.87 | )% | 0.95 | % | 1.25 | % | (0.76 | )% | 101 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 1,483.20 | (6.00 | ) | (6.00 | ) | (1,147.60 | ) | (1,153.60 | ) | — | — | — | — | $ | 329.60 | -77.78 | % | $ | 10,216 | 0.96 | % | 1.15 | % | (0.87 | )% | 0.95 | % | 1.14 | % | (0.86 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 66.51 | 0.30 | 0.31 | (35.74 | ) | (35.44 | ) | (0.38 | ) | — | — | (0.38 | ) | $ | 30.69 | -53.62 | % | $ | 7,674 | 1.00 | % | 1.43 | % | 1.04 | % | 0.95 | % | 1.38 | % | 1.09 | % | 77 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 55.23 | 1.03 | 1.12 | 11.22 | 12.25 | (0.97 | ) | — | (0.00 | )10 | (0.97 | ) | $ | 66.51 | 22.54 | % | $ | 16,627 | 1.11 | % | 1.49 | % | 1.76 | % | 0.95 | % | 1.33 | % | 1.92 | % | 99 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 73.05 | 0.42 | 0.45 | (37.87 | ) | (37.45 | ) | (0.41 | ) | — | — | (0.41 | ) | $ | 35.19 | -51.12 | % | $ | 101,414 | 1.06 | % | 1.09 | % | 1.27 | % | 0.95 | % | 0.98 | % | 1.38 | % | 81 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 62.74 | 0.90 | 0.96 | 10.28 | 11.18 | (0.87 | ) | — | — | (0.87 | ) | $ | 73.05 | 17.72 | % | $ | 188,596 | 1.04 | % | 1.06 | % | 1.24 | % | 0.95 | % | 0.97 | % | 1.33 | % | 66 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 42.02 | 0.07 | 0.08 | (4.72 | ) | (4.65 | ) | (0.17 | ) | — | — | (0.17 | ) | $ | 37.20 | -11.12 | % | $ | 51,898 | 1.00 | % | 1.07 | % | 0.35 | % | 0.95 | % | 1.02 | % | 0.40 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 64.78 | 0.63 | 0.67 | (22.66 | ) | (22.03 | ) | (0.73 | ) | — | — | (0.73 | ) | $ | 42.02 | -34.15 | % | $ | 62,837 | 1.02 | % | 1.08 | % | 1.32 | % | 0.95 | % | 1.01 | % | 1.39 | % | 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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
145
Financial Highlights
April 30, 2020
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 India Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 66.74 | $ | (0.02 | ) | $ | (0.01 | ) | $ | (48.87 | ) | $ | (48.89 | ) | $ | (0.01 | ) | $ | — | $ | — | $ | (0.01 | ) | $ | 17.84 | -73.26 | % | $ | 52,634 | 1.01 | % | 1.01 | % | (0.11 | )% | 0.95 | % | 0.95 | % | (0.05 | )% | 15 | % | |||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 51.51 | 0.60 | 0.67 | 15.20 | 15.80 | (0.57 | ) | — | — | (0.57 | ) | $ | 66.74 | 30.61 | % | $ | 83,398 | 1.05 | % | 1.03 | % | 0.92 | % | 0.95 | % | 0.93 | % | 1.02 | % | 111 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 60.81 | 0.21 | 0.22 | (25.04 | ) | (24.83 | ) | (0.23 | ) | — | — | (0.23 | ) | $ | 35.75 | -40.75 | % | $ | 7,150 | 1.01 | % | 1.42 | % | 0.83 | % | 0.95 | % | 1.36 | % | 0.89 | % | 117 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 54.23 | 0.58 | 0.59 | 6.50 | 7.08 | (0.50 | ) | — | — | (0.50 | ) | $ | 60.81 | 13.24 | % | $ | 9,121 | 0.97 | % | 1.35 | % | 1.13 | % | 0.95 | % | 1.33 | % | 1.15 | % | 82 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 71.93 | 0.14 | 0.17 | (17.70 | ) | (17.56 | ) | (0.14 | ) | — | — | (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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 130.32 | 0.35 | 0.42 | (106.46 | ) | (106.11 | ) | (0.48 | ) | — | — | (0.48 | ) | $ | 23.73 | -81.74 | % | $ | 6,721 | 1.10 | % | 1.28 | % | 0.79 | % | 0.95 | % | 1.13 | % | 0.94 | % | 173 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 128.28 | 2.04 | 2.16 | 2.28 | 4.32 | (2.28 | ) | — | — | (2.28 | ) | $ | 130.32 | 3.42 | % | $ | 11,400 | 1.05 | % | 1.20 | % | 1.69 | % | 0.95 | % | 1.10 | % | 1.79 | % | 325 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 261.96 | 3.48 | 3.48 | (130.56 | ) | (127.08 | ) | (6.60 | ) | — | — | (6.60 | ) | $ | 128.28 | -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 | $ | 300.00 | 0.48 | 0.48 | (38.52 | ) | (38.04 | ) | — | — | — | — | $ | 261.96 | -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, 2020 (Unaudited) | $ | 21.32 | 0.10 | 0.11 | (11.85 | ) | (11.75 | ) | (0.19 | ) | — | — | (0.19 | ) | $ | 9.38 | -55.67 | % | $ | 22,047 | 1.09 | % | 1.22 | % | 1.35 | % | 0.95 | % | 1.08 | % | 1.49 | % | 298 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 24.13 | 0.16 | 0.18 | (2.78 | ) | (2.62 | ) | (0.19 | ) | — | — | (0.19 | ) | $ | 21.32 | -10.93 | % | $ | 25,580 | 1.04 | % | 1.10 | % | 0.71 | % | 0.95 | % | 1.01 | % | 0.80 | % | 149 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 55.54 | 0.10 | 0.13 | (43.77 | ) | (43.67 | ) | (0.10 | ) | — | — | (0.10 | ) | $ | 11.77 | -78.59 | % | $ | 94,714 | 1.09 | % | 1.15 | % | 0.76 | % | 0.93 | % | 0.99 | % | 0.92 | % | 44 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 42.15 | 0.30 | 0.46 | 13.43 | 13.73 | (0.34 | ) | — | — | (0.34 | ) | $ | 55.54 | 32.78 | % | $ | 52,759 | 1.30 | % | 1.34 | % | 0.63 | % | 0.95 | % | 0.99 | % | 0.98 | % | 54 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2020 (Unaudited) | $ | 34.04 | 0.0010 | 0.01 | (8.34 | ) | (8.34 | ) | — | — | — | — | $ | 25.70 | -24.50 | % | $ | 5,140 | 1.00 | % | 2.08 | % | 0.03 | % | 0.95 | % | 2.03 | % | 0.08 | % | 33 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 14, 20199 through October 31, 2019 | $ | 25.00 | 0.04 | 0.07 | 9.07 | 9.11 | (0.07 | ) | — | — | (0.07 | ) | $ | 34.04 | 36.46 | % | $ | 1,702 | 1.10 | % | 2.27 | % | 0.14 | % | 0.95 | % | 2.12 | % | 0.29 | % | 60 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 14.85 | 0.02 | 0.02 | (5.33 | ) | (5.31 | ) | (0.04 | ) | — | — | (0.04 | ) | $ | 9.50 | -35.84 | % | $ | 475 | 0.95 | % | 6.13 | % | 0.29 | % | 0.95 | % | 6.13 | % | 0.29 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period January 14, 20199 through October 31, 2019 | $ | 25.00 | 0.20 | 0.20 | (10.14 | ) | (9.94 | ) | (0.21 | ) | — | — | (0.21 | ) | $ | 14.85 | -39.89 | % | $ | 743 | 0.99 | % | 3.69 | % | 1.34 | % | 0.95 | % | 3.65 | % | 1.38 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
146
Financial Highlights
April 30, 2020
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 Discretionary Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 31.74 | $ | 0.05 | $ | 0.06 | $ | (10.55 | ) | $ | (10.50 | ) | $ | (0.07 | ) | $ | — | $ | — | $ | (0.07 | ) | $ | 21.17 | -33.05 | % | $ | 7,409 | 1.04 | % | 1.70 | % | 0.38 | % | 0.95 | % | 1.61 | % | 0.47 | % | 26 | % | |||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through October 31, 2019 | $ | 25.00 | 0.15 | 0.18 | 6.79 | 6.94 | (0.17 | ) | — | (0.03 | ) | (0.20 | ) | $ | 31.74 | 27.83 | % | $ | 6,347 | 1.08 | % | 2.18 | % | 0.55 | % | 0.95 | % | 2.05 | % | 0.68 | % | 66 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 15.09 | (0.00 | )10 | (0.00 | )10 | (5.17 | ) | (5.17 | ) | (0.02 | ) | — | — | (0.02 | ) | $ | 9.90 | -34.28 | % | $ | 4,456 | 0.96 | % | 2.59 | % | (0.02 | )% | 0.95 | % | 2.58 | % | (0.01 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through October 31, 2019 | $ | 25.00 | 0.25 | 0.25 | (9.80 | ) | (9.55 | ) | (0.33 | ) | — | (0.03 | ) | (0.36 | ) | $ | 15.09 | -38.45 | % | $ | 1,509 | 0.96 | % | 3.99 | % | 1.34 | % | 0.95 | % | 3.98 | % | 1.35 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 31.73 | 0.16 | 0.17 | (8.80 | ) | (8.64 | ) | (0.17 | ) | (0.66 | ) | — | (0.83 | ) | $ | 22.26 | -27.91 | % | $ | 7,791 | 1.03 | % | 1.70 | % | 1.09 | % | 0.95 | % | 1.62 | % | 1.17 | % | 35 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through October 31, 2019 | $ | 25.00 | 0.39 | 0.43 | 6.72 | 7.11 | (0.38 | ) | — | — | (0.38 | ) | $ | 31.73 | 28.75 | % | $ | 4,760 | 1.09 | % | 2.48 | % | 1.59 | % | 0.95 | % | 2.34 | % | 1.73 | % | 30 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 16.81 | 0.03 | 0.03 | (4.05 | ) | (4.02 | ) | (0.04 | ) | — | — | (0.04 | ) | $ | 12.75 | -23.99 | % | $ | 638 | 0.95 | % | 6.28 | % | 0.33 | % | 0.95 | % | 6.28 | % | 0.33 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through October 31, 2019 | $ | 25.00 | 0.32 | 0.32 | (8.07 | ) | (7.75 | ) | (0.44 | ) | — | — | (0.44 | ) | $ | 16.81 | -31.36 | % | $ | 840 | 0.96 | % | 4.17 | % | 1.46 | % | 0.95 | % | 4.16 | % | 1.47 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through April 30, 2020 (Unaudited) | $ | 25.00 | (0.03 | ) | (0.02 | ) | 0.44 | 0.41 | (0.02 | ) | — | — | (0.02 | ) | $ | 25.39 | 1.62 | % | $ | 11,427 | 1.00 | % | 1.56 | % | (0.23 | )% | 0.95 | % | 1.51 | % | (0.18 | )% | 118 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through April 30, 2020 (Unaudited) | $ | 25.00 | 0.03 | 0.03 | (13.71 | ) | (13.68 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 11.26 | -54.85 | % | $ | 1,689 | 0.98 | % | 2.12 | % | 0.29 | % | 0.95 | % | 2.09 | % | 0.32 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 80.94 | 0.26 | 0.31 | (51.68 | ) | (51.42 | ) | (0.23 | ) | — | — | (0.23 | ) | $ | 29.29 | -63.55 | % | $ | 1,066,294 | 1.11 | % | 1.12 | % | 0.82 | % | 0.93 | % | 0.94 | % | 1.00 | % | 111 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 58.65 | 0.68 | 0.88 | 22.25 | 22.93 | (0.64 | ) | — | (0.00 | )10 | (0.64 | ) | $ | 80.94 | 39.44 | % | $ | 1,339,498 | 1.26 | % | 1.25 | % | 1.04 | % | 0.95 | % | 0.94 | % | 1.35 | % | 29 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 32.72 | 0.02 | 0.02 | (8.85 | ) | (8.83 | ) | (0.12 | ) | — | — | (0.12 | ) | $ | 23.77 | -27.10 | % | $ | 335,690 | 0.98 | % | 0.98 | % | 0.13 | % | 0.95 | % | 0.95 | % | 0.16 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 56.15 | 0.59 | 0.61 | (23.44 | ) | (22.85 | ) | (0.58 | ) | — | — | (0.58 | ) | $ | 32.72 | -40.98 | % | $ | 175,801 | 0.99 | % | 1.00 | % | 1.37 | % | 0.95 | % | 0.96 | % | 1.41 | % | 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 | % | 0.96 | % | 0.69 | % | 0.95 | % | 0.96 | % | 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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
147
Financial Highlights
April 30, 2020
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 Healthcare Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 58.15 | $ | 0.09 | $ | 0.12 | $ | (3.24 | ) | $ | (3.15 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | (0.10 | ) | $ | 54.90 | -5.28 | % | $ | 145,496 | 1.06 | % | 1.08 | % | 0.28 | % | 0.95 | % | 0.97 | % | 0.39 | % | 191 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 53.02 | 0.40 | 0.46 | 5.16 | 5.56 | (0.43 | ) | — | — | (0.43 | ) | $ | 58.15 | 10.61 | % | $ | 139,550 | 1.07 | % | 1.08 | % | 0.75 | % | 0.95 | % | 0.96 | % | 0.87 | % | 16 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 70.39 | 0.0010 | 0.03 | (53.23 | ) | (53.23 | ) | (0.00 | )10 | — | — | (0.00 | )10 | $ | 17.16 | -75.61 | % | $ | 154,458 | 1.15 | % | 1.19 | % | 0.01 | % | 0.95 | % | 0.99 | % | 0.21 | % | 92 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 28.33 | 0.15 | 0.22 | 42.09 | 42.24 | (0.17 | ) | — | (0.01 | ) | (0.18 | ) | $ | 70.39 | 149.83 | % | $ | 66,870 | 1.12 | % | 1.17 | % | 0.34 | % | 0.95 | % | 1.00 | % | 0.51 | % | 24 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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, 2020 (Unaudited) | $ | 32.94 | 0.11 | 0.12 | (20.43 | ) | (20.32 | ) | (0.14 | ) | — | — | (0.14 | ) | $ | 12.48 | -61.76 | % | $ | 4,992 | 1.01 | % | 1.93 | % | 0.86 | % | 0.95 | % | 1.87 | % | 0.92 | % | 100 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 26.25 | 0.37 | 0.39 | 6.75 | 7.12 | (0.43 | ) | — | — | (0.43 | ) | $ | 32.94 | 27.57 | % | $ | 3,294 | 1.03 | % | 1.84 | % | 1.25 | % | 0.95 | % | 1.76 | % | 1.33 | % | 228 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 MSCI Real Estate Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 30.84 | 0.18 | 0.19 | (20.85 | ) | (20.67 | ) | (0.15 | ) | (0.40 | ) | — | (0.55 | ) | $ | 9.62 | -67.50 | % | $ | 38,957 | 1.05 | % | 1.13 | % | 1.66 | % | 0.95 | % | 1.03 | % | 1.76 | % | 86 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 19.59 | 0.54 | 0.59 | 11.20 | 11.74 | (0.49 | ) | — | — | (0.49 | ) | $ | 30.84 | 60.83 | % | $ | 53,969 | 1.14 | % | 1.22 | % | 2.21 | % | 0.95 | % | 1.03 | % | 2.40 | % | 72 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 25.76 | 0.0010 | 0.0010 | (4.72 | ) | (4.72 | ) | (0.09 | ) | — | — | (0.09 | ) | $ | 20.95 | -18.48 | % | $ | 51,360 | 0.97 | % | 1.25 | % | (0.01 | )% | 0.95 | % | 1.23 | % | 0.01 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 50.20 | 0.49 | 0.50 | (24.45 | ) | (23.96 | ) | (0.48 | ) | — | — | (0.48 | ) | $ | 25.76 | -47.94 | % | $ | 15,495 | 0.97 | % | 1.28 | % | 1.41 | % | 0.95 | % | 1.26 | % | 1.43 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 15.66 | (0.01 | ) | 0.0010 | (0.90 | ) | (0.91 | ) | (0.00 | )10 | — | — | (0.00 | )10 | $ | 14.75 | -5.81 | % | $ | 16,966 | 1.13 | % | 1.44 | % | (0.16 | )% | 0.95 | % | 1.26 | % | 0.02 | % | 47 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 26.53 | 0.12 | 0.12 | (10.80 | ) | (10.68 | ) | (0.18 | ) | — | (0.01 | ) | (0.19 | ) | $ | 15.66 | -40.41 | % | $ | 8,611 | 0.97 | % | 1.43 | % | 0.72 | % | 0.95 | % | 1.41 | % | 0.74 | % | 246 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
148
Financial Highlights
April 30, 2020
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 Bull 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 415.60 | $ | 1.18 | $ | 1.25 | $ | (340.21 | ) | $ | (339.03 | ) | $ | (1.88 | ) | $ | — | $ | — | $ | (1.88 | ) | $ | 74.69 | -81.83 | % | $ | 47,799 | 1.03 | % | 1.14 | % | 1.45 | % | 0.95 | % | 1.06 | % | 1.53 | % | 76 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 497.20 | 7.00 | 7.20 | (81.50 | ) | (74.50 | ) | (7.10 | ) | — | — | (7.10 | ) | $ | 415.60 | -14.83 | % | $ | 20,780 | 0.99 | % | 1.07 | % | 1.64 | % | 0.95 | % | 1.03 | % | 1.68 | % | 81 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 669.80 | 6.20 | 6.70 | (172.70 | ) | (166.50 | ) | (6.10 | ) | — | — | (6.10 | ) | $ | 497.20 | -25.20 | % | $ | 29,835 | 1.02 | % | 1.04 | % | 0.79 | % | 0.95 | % | 0.97 | % | 0.86 | % | 76 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 347.00 | 1.50 | 1.60 | 322.30 | 323.80 | (1.00 | ) | — | — | (1.00 | ) | $ | 669.80 | 93.38 | % | $ | 26,794 | 0.96 | % | 1.07 | % | 0.25 | % | 0.95 | % | 1.06 | % | 0.26 | % | 184 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 352.90 | (0.10 | ) | (0.10 | ) | (5.80 | ) | (5.90 | ) | — | — | — | — | $ | 347.00 | -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 | $ | 400.00 | (0.20 | ) | (0.20 | ) | (46.90 | ) | (47.10 | ) | — | — | — | — | $ | 352.90 | -11.78 | % | $ | 3,529 | 0.95 | % | 3.78 | % | (0.35 | )% | 0.95 | % | 3.78 | % | (0.35 | )% | 15 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 235.80 | 0.83 | 0.92 | (138.72 | ) | (137.89 | ) | (0.92 | ) | — | — | (0.92 | ) | $ | 96.99 | -58.23 | % | $ | 10,184 | 1.04 | % | 1.32 | % | 0.87 | % | 0.95 | % | 1.23 | % | 0.96 | % | 29 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 369.00 | 3.10 | 3.20 | (133.40 | ) | (130.30 | ) | (2.90 | ) | — | — | (2.90 | ) | $ | 235.80 | -35.35 | % | $ | 12,967 | 1.01 | % | 1.16 | % | 1.15 | % | 0.95 | % | 1.10 | % | 1.21 | % | 84 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 244.90 | 2.20 | 2.80 | 124.40 | 126.60 | (2.50 | ) | — | — | (2.50 | ) | $ | 369.00 | 51.66 | % | $ | 31,367 | 1.09 | % | 1.15 | % | 0.59 | % | 0.95 | % | 1.01 | % | 0.73 | % | 81 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 386.20 | (0.30 | ) | (0.20 | ) | (131.50 | ) | (131.80 | ) | — | (9.50 | ) | — | (9.50 | ) | $ | 244.90 | -35.22 | % | $ | 36,728 | 0.99 | % | 1.09 | % | (0.10 | )% | 0.95 | % | 1.05 | % | (0.06 | )% | 659 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 365.80 | (2.60 | ) | (2.40 | ) | 23.00 | 20.40 | — | — | — | — | $ | 386.20 | 5.58 | % | $ | 36,689 | 0.99 | % | 1.08 | % | (0.69 | )% | 0.95 | % | 1.04 | % | (0.65 | )% | 59 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 196.80 | (0.40 | ) | (0.40 | ) | 169.40 | 169.00 | — | — | — | — | $ | 365.80 | 85.90 | % | $ | 58,530 | 0.98 | % | 1.04 | % | (0.14 | )% | 0.95 | % | 1.01 | % | (0.11 | )% | 24 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 113.70 | (0.13 | ) | (0.01 | ) | (41.23 | ) | (41.36 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 72.19 | -36.44 | % | $ | 19,129 | 1.18 | % | 1.29 | % | (0.26 | )% | 0.95 | % | 1.06 | % | (0.03 | )% | 69 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 117.80 | 0.80 | 0.90 | (4.10 | ) | (3.30 | ) | (0.80 | ) | — | (0.00 | )10 | (0.80 | ) | $ | 113.70 | -2.66 | % | $ | 20,468 | 1.05 | % | 1.19 | % | 0.76 | % | 0.95 | % | 1.09 | % | 0.86 | % | 184 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period April 19, 20189 through October 31, 2018 | $ | 250.00 | (0.30 | ) | (0.30 | ) | (131.90 | ) | (132.20 | ) | (0.00 | )10 | — | — | (0.00 | )10 | $ | 117.80 | -52.88 | % | $ | 4,123 | 0.95 | % | 2.34 | % | (0.27 | )% | 0.95 | % | 2.34 | % | (0.27 | )% | 75 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through April 30, 2020 (Unaudited) | $ | 250.00 | 0.66 | 0.67 | (175.29 | ) | (174.63 | ) | (1.02 | ) | — | — | (1.02 | ) | $ | 74.35 | -69.92 | % | $ | 18,216 | 0.96 | % | 1.69 | % | 1.18 | % | 0.95 | % | 1.68 | % | 1.19 | % | 201 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through April 30, 2020 (Unaudited) | $ | 25.00 | (0.02 | ) | (0.01 | ) | (8.23 | ) | (8.25 | ) | (0.04 | ) | — | — | (0.04 | ) | $ | 16.71 | -33.04 | % | $ | 20,885 | 0.99 | % | 1.53 | % | (0.15 | )% | 0.95 | % | 1.49 | % | (0.11 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 37.18 | (0.05 | ) | (0.02 | ) | (0.18 | ) | (0.23 | ) | (0.01 | ) | — | — | (0.01 | ) | $ | 36.94 | -0.64 | % | $ | 380,868 | 1.11 | % | 1.12 | % | (0.24 | )% | 0.95 | % | 0.96 | % | (0.08 | )% | 101 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 49.33 | 0.24 | 0.25 | (12.14 | ) | (11.90 | ) | (0.25 | ) | — | — | (0.25 | ) | $ | 37.18 | -24.17 | % | $ | 487,452 | 0.98 | % | 0.98 | % | 0.53 | % | 0.95 | % | 0.95 | % | 0.56 | % | 114 | % | |||||||||||||||||||||||||||||||||||||||||||||
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, 2020 (Unaudited) | $ | 20.41 | 0.03 | 0.03 | (13.49 | ) | (13.46 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 6.89 | -66.10 | % | $ | 84,674 | 1.02 | % | 1.04 | % | 0.44 | % | 0.95 | % | 0.97 | % | 0.51 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 39.17 | 0.29 | 0.31 | (18.66 | ) | (18.37 | ) | (0.39 | ) | — | — | (0.39 | ) | $ | 20.41 | -47.16 | % | $ | 82,336 | 1.05 | % | 1.07 | % | 1.29 | % | 0.95 | % | 0.97 | % | 1.39 | % | 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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
149
Financial Highlights
April 30, 2020
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 Semiconductor Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 198.15 | $ | 0.17 | $ | 0.43 | $ | (67.70 | ) | $ | (67.53 | ) | $ | (0.37 | ) | $ | — | $ | — | $ | (0.37 | ) | $ | 130.25 | -34.14 | % | $ | 1,087,619 | 1.23 | % | 1.23 | % | 0.19 | % | 0.94 | % | 0.94 | % | 0.48 | % | 183 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 100.52 | 0.99 | 1.54 | 97.67 | 98.66 | (1.03 | ) | — | — | (1.03 | ) | $ | 198.15 | 98.82 | % | $ | 634,080 | 1.35 | % | 1.35 | % | 0.74 | % | 0.93 | % | 0.93 | % | 1.16 | % | 92 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 30.68 | 0.05 | 0.05 | (21.23 | ) | (21.18 | ) | (0.12 | ) | — | — | (0.12 | ) | $ | 9.38 | -69.25 | % | $ | 184,133 | 0.99 | % | 0.99 | % | 0.50 | % | 0.95 | % | 0.95 | % | 0.54 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 133.30 | 0.77 | 0.80 | (102.38 | ) | (101.61 | ) | (1.01 | ) | — | — | (1.01 | ) | $ | 30.68 | -76.67 | % | $ | 237,361 | 1.02 | % | 1.01 | % | 1.45 | % | 0.95 | % | 0.94 | % | 1.52 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 184.44 | 0.21 | 0.46 | (23.06 | ) | (22.85 | ) | (0.31 | ) | — | — | (0.31 | ) | $ | 161.28 | -12.36 | % | $ | 1,128,928 | 1.20 | % | 1.21 | % | 0.21 | % | 0.95 | % | 0.96 | % | 0.46 | % | 314 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 125.45 | 0.37 | 0.93 | 59.12 | 59.49 | (0.50 | ) | — | — | (0.50 | ) | $ | 184.44 | 47.55 | % | $ | 774,641 | 1.36 | % | 1.36 | % | 0.27 | % | 0.95 | % | 0.95 | % | 0.68 | % | 47 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 95.70 | 0.16 | 0.17 | (61.98 | ) | (61.82 | ) | (0.37 | ) | — | — | (0.37 | ) | $ | 33.51 | -64.80 | % | $ | 49,098 | 0.98 | % | 1.03 | % | 0.50 | % | 0.95 | % | 1.00 | % | 0.53 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 221.80 | 2.20 | 2.20 | (126.00 | ) | (123.80 | ) | (2.30 | ) | — | — | (2.30 | ) | $ | 95.70 | -56.25 | % | $ | 59,340 | 0.98 | % | 1.03 | % | 1.53 | % | 0.95 | % | 1.00 | % | 1.56 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 368.00 | 2.00 | 2.10 | (147.00 | ) | (145.00 | ) | (1.20 | ) | — | — | (1.20 | ) | $ | 221.80 | -39.38 | % | $ | 33,349 | 0.96 | % | 1.05 | % | 0.85 | % | 0.95 | % | 1.04 | % | 0.86 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 963.00 | (1.00 | ) | (1.00 | ) | (594.00 | ) | (595.00 | ) | — | — | — | — | $ | 368.00 | -61.79 | % | $ | 17,419 | 0.96 | % | 1.15 | % | (0.20 | )% | 0.95 | % | 1.14 | % | (0.19 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 1,540.50 | (10.00 | ) | (10.00 | ) | (567.50 | ) | (577.50 | ) | — | — | — | — | $ | 963.00 | -37.49 | % | $ | 19,598 | 0.96 | % | 1.15 | % | (0.77 | )% | 0.95 | % | 1.14 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 2,490.00 | (18.50 | ) | (18.50 | ) | (931.00 | ) | (949.50 | ) | — | — | — | — | $ | 1,540.50 | -38.13 | % | $ | 19,030 | 0.95 | % | 1.07 | % | (0.94 | )% | 0.95 | % | 1.07 | % | (0.94 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 25.01 | 0.03 | 0.03 | (16.21 | ) | (16.18 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 8.77 | -64.81 | % | $ | 10,522 | 1.00 | % | 1.81 | % | 0.47 | % | 0.95 | % | 1.76 | % | 0.52 | % | 63 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 27.12 | 0.23 | 0.24 | (2.06 | ) | (1.83 | ) | (0.28 | ) | — | — | (0.28 | ) | $ | 25.01 | -6.66 | % | $ | 3,751 | 0.99 | % | 1.57 | % | 0.92 | % | 0.95 | % | 1.53 | % | 0.96 | % | 74 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 45.80 | 0.32 | 0.34 | (22.99 | ) | (22.67 | ) | (0.39 | ) | (1.34 | ) | — | (1.73 | ) | $ | 21.40 | -51.04 | % | $ | 12,839 | 1.07 | % | 1.32 | % | 1.72 | % | 0.95 | % | 1.20 | % | 1.84 | % | 82 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 27.81 | 0.65 | 0.68 | 18.04 | 18.69 | (0.70 | ) | — | — | (0.70 | ) | $ | 45.80 | 67.76 | %14 | $ | 16,029 | 1.04 | % | 1.58 | % | 1.76 | % | 0.95 | % | 1.49 | % | 1.85 | % | 72 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
150
Financial Highlights
April 30, 2020
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 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 54.00 | $ | 0.10 | $ | 0.12 | $ | 13.58 | $ | 13.68 | $ | (0.18 | ) | $ | — | $ | — | $ | (0.18 | ) | $ | 67.50 | 25.40 | % | $ | 20,249 | 1.02 | % | 1.19 | % | 0.35 | % | 0.95 | % | 1.12 | % | 0.42 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 38.83 | 0.52 | 0.57 | 15.18 | 15.70 | (0.53 | ) | — | — | (0.53 | ) | $ | 54.00 | 40.66 | % | $ | 21,600 | 1.05 | % | 1.28 | % | 1.09 | % | 0.95 | % | 1.18 | % | 1.19 | % | 97 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 10.58 | 0.02 | 0.02 | (2.54 | ) | (2.52 | ) | (0.04 | ) | — | — | (0.04 | ) | $ | 8.02 | -23.84 | % | $ | 8,423 | 0.95 | % | 1.31 | % | 0.45 | % | 0.95 | % | 1.31 | % | 0.45 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 15.53 | 0.18 | 0.18 | (4.95 | ) | (4.77 | ) | (0.18 | ) | — | — | (0.18 | ) | $ | 10.58 | -30.84 | % | $ | 11,109 | 0.97 | % | 1.18 | % | 1.41 | % | 0.95 | % | 1.16 | % | 1.43 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 29.39 | 0.10 | 0.11 | 13.78 | 13.88 | (0.15 | ) | — | — | (0.15 | ) | $ | 43.12 | 47.36 | % | $ | 286,752 | 1.02 | % | 1.02 | % | 0.58 | % | 0.92 | % | 0.92 | % | 0.68 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 15.76 | 0.29 | 0.34 | 13.63 | 13.92 | (0.29 | ) | — | — | (0.29 | ) | $ | 29.39 | 88.98 | % | $ | 189,539 | 1.20 | % | 1.20 | % | 1.25 | % | 0.92 | % | 0.92 | % | 1.46 | % | 66 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 107.20 | 0.20 | 0.21 | (56.32 | ) | (56.12 | ) | (0.41 | ) | — | — | (0.41 | ) | $ | 50.67 | -52.48 | % | $ | 87,398 | 0.94 | % | 0.94 | % | 0.47 | % | 0.93 | % | 0.93 | % | 0.48 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 228.50 | 2.10 | 2.40 | (121.20 | ) | (119.10 | ) | (2.20 | ) | — | — | (2.20 | ) | $ | 107.20 | -52.34 | % | $ | 123,239 | 1.10 | % | 1.10 | % | 1.32 | % | 0.91 | % | 0.91 | % | 1.51 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 191.40 | 1.10 | 1.20 | 36.60 | 37.70 | (0.60 | ) | — | — | (0.60 | ) | $ | 228.50 | 19.71 | % | $ | 345,100 | 0.99 | % | 0.99 | % | 0.54 | % | 0.90 | % | 0.90 | % | 0.63 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 188.10 | (0.70 | ) | (0.60 | ) | 4.00 | 3.30 | — | — | — | — | $ | 191.40 | 1.75 | % | $ | 371,392 | 0.93 | % | 0.93 | % | (0.31 | )% | 0.90 | % | 0.90 | % | (0.28 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 276.10 | (1.60 | ) | (1.60 | ) | (86.40 | ) | (88.00 | ) | — | — | — | — | $ | 188.10 | -31.87 | % | $ | 378,946 | 0.92 | % | 0.92 | % | (0.77 | )% | 0.92 | % | 0.92 | % | (0.77 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 389.60 | (2.70 | ) | (2.70 | ) | (110.80 | ) | (113.50 | ) | — | — | — | — | $ | 276.10 | -29.13 | % | $ | 537,016 | 0.90 | % | 0.90 | % | (0.88 | )% | 0.89 | % | 0.89 | % | (0.87 | )% | 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 excise tax and litigation expenses.
4 Due to the timing of sales and redemptions of capital shares, the net realized and realized 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 Adviser.
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.
The accompanying notes are an integral part of these financial statements.
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Financial Highlights
April 30, 2020
9 Commencement of operations.
10 Between $(0.005) and $0.005.
11 Effective March 27, 2020, the Fund had a 1:20 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:20 stock split.
12 Effective March 27, 2020, the Fund had a 1:12 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:12 stock split.
13 Effective April 23, 2020, 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.
14 The Fund's total return includes voluntary reimbursement by the Adviser for a realized loss on a trading error. Had this reimbursement not been made to the Fund, total return would have been 1.94% lower.
The accompanying notes are an integral part of these financial statements.
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Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2020
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 89 separate series (each, a "Fund" and together the "Funds"). 50 of these Funds are included in this report:
Bull Funds | Bear Funds | ||||||
Direxion Daily Mid Cap Bull 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 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 Developed Markets Bull 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 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 Dow Jones Internet Bull 3X Shares | Direxion Daily Dow Jones Internet Bear 3X Shares | ||||||
Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | ||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||
Direxion Daily Industrials Bull 3X Shares | |||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Direxion Daily MSCI Real Estate Bear 3X Shares | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||
Direxion Daily Retail Bull 3X Shares | |||||||
Direxion Daily Robotics, Artificial Intelligence & | |||||||
Automation Index Bull 3X Shares | |||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | Direxion Daily S&P High Beta Bear 3X Shares | ||||||
Direxion Daily S&P 500® Biotech Bull 3X Shares | Direxion Daily S&P Biotech 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 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.
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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 | 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 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 Developed Markets Bull 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 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 Dow Jones Internet Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | Dow Jones Internet Composite Index | -300 | % | ||||||||
Direxion Daily Financial Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Financial Bear 3X Shares | Russell 1000® Financial Services 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 Daily Industrials Bull 3X Shares | Industrial Select Sector Index | 300 | % | ||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 300 | % | |||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | MSCI U.S. IMI Real Estate 25/50 Index | -300 | % | ||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | S&P Pharmaceuticals Select Industry Index | 300 | % | ||||||||
Direxion Daily Regional Banks Bull 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 500® High Beta Bull 3X Shares | 300 | % | |||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | S&P 500® High Beta 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 | % |
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Funds | Index or Benchmark | Daily Target | |||||||||
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, 2020.
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 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
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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.
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.
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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, 2020, 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, 2020 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 | $ | — | $ | — | $ | — | $ | — | $ | 870,672 | $ | — | $ | 870,6721 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 31,638,235 | — | 31,638,2351 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 78,945,120 | — | 78,945,1201 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 682,190 | — | 682,1901 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 47,954,144 | — | 47,954,1441 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | 2,036,561 | — | 2,036,5611 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 2,608,498 | — | 2,608,4981 | — | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 167,424 | — | 167,4241 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 2,783,645 | — | 2,570,000 | 213,645 | — | — | — | — |
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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 Mexico Bull 3X Shares | $ | 35,530 | $ | — | $ | — | $ | 35,530 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 450,593 | — | 450,5931 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | 41,837 | — | 41,8371 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 9,018,604 | — | 9,018,6041 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 5,461,076 | — | 5,461,0761 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 5,634,337 | — | 5,400,000 | 234,337 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 446,346 | — | 446,3461 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | 809,142 | — | 809,1421 | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 2,935,536 | — | 2,935,5361 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 1,481,618 | — | 1,481,6181 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | — | — | 3,600,466 | — | 3,600,4661 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 21,087,313 | — | 21,087,3131 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | 5,395,090 | — | 5,395,0901 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 48,863,101 | — | 45,990,000 | 2,873,101 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
158
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 Semiconductor Bear 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 18,836,093 | $ | — | $ | 18,836,0931 | $ | — | |||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 76,039,605 | — | 76,039,6051 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 4,399,104 | — | 4,399,1041 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 155,969 | — | 110,000 | 45,969 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 8,248,928 | — | 8,248,9281 | — | — | — | — | — |
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 | $ | 2,094,158 | $ | 926,880 | $ | 1,167,2781 | $ | — | $ | 926,880 | $ | 926,880 | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 23,822,865 | 8,307,388 | 15,515,4771 | — | 8,307,388 | 8,307,388 | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 26,193,085 | — | 26,193,0851 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 39,144,177 | — | 35,430,000 | 3,714,177 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 48,622,772 | — | 48,622,7721 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 616,070 | 616,070 | — | — | 2,701,688 | 616,070 | 2,085,6181 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,212,113 | — | 1,212,1131 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
159
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 | $ | 870,822 | $ | — | $ | 870,8221 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 8,095,793 | — | 7,390,000 | 705,793 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 5,684,979 | — | 5,684,9791 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 578,197 | 360,037 | 218,1601 | — | 360,037 | 360,037 | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 1,482,463 | 796,481 | 520,000 | 165,982 | 796,481 | 796,481 | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 154,398 | — | 154,3981 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | — | — | — | 16,936 | — | 16,9361 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 5,790,158 | 5,790,158 | — | — | 27,265,909 | 5,790,158 | 21,475,7511 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 31,982,500 | — | 31,982,5001 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 36,469,529 | 1,323,386 | 32,280,000 | 2,866,143 | 1,323,386 | 1,323,386 | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 2,545,921 | — | 2,545,9211 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 25,174,616 | — | 25,174,6161 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 1,307,767 | — | 1,307,7671 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 1,056,975 | — | 1,056,9751 | — |
DIREXION SEMI-ANNUAL REPORT
160
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 | $ | 19,956,295 | $ | — | $ | 19,956,2951 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 5,496,233 | — | 5,496,2331 | — |
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 | $ | 41,060,223 | $ | — | $ | 41,060,2231 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 53,870,845 | — | 53,870,8451 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 65,026,677 | — | 65,026,6771 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 25,749,596 | — | 25,749,5961 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 495,878 | — | 304,000 | 191,878 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | — | 3,462,806 | — | 3,462,8061 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 1,329,112 | — | 1,329,1121 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 449,543 | — | 276,000 | 173,543 | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
161
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 Bear 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 329,810 | $ | — | $ | 329,8101 | $ | — | |||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 144,282 | — | 144,2821 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | — | — | 26,986 | — | 26,9861 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 497,490 | — | 497,4901 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 1,287,863 | — | 785,000 | 502,863 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 19,853,732 | — | 19,853,7321 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | 8,138,802 | — | 8,138,8021 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 29,584,550 | — | 29,584,5501 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 14,193,949 | — | 14,193,9491 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 8,540,367 | — | 8,540,3671 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 1,666,694 | — | 1,666,6941 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 328,658 | — | 278,000 | 50,658 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,176,012 | — | 1,176,0121 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | — | 1,756,991 | — | 1,756,9911 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 325,321 | — | — | 325,321 | — | — | — | — |
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
162
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 | $ | 426,205 | $ | — | $ | 426,2051 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 59,152,822 | — | 20,850,000 | 38,302,822 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 27,084,729 | — | 27,084,7291 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 40,976,438 | — | 15,900,000 | 25,076,438 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 58,480,807 | — | 58,480,8071 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 4,903,324 | — | 4,903,3241 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 786,465 | — | 786,4651 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | — | — | — | 312,854 | — | 312,8541 | — | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | — | — | — | — | 43,207 | — | 43,2071 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 121,082 | — | — | 121,082 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 1,395,518 | — | 940,000 | 455,518 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 687,871 | — | 687,8711 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 3,589,261 | — | 3,100,000 | 489,261 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 172,010 | — | — | 172,010 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | — | — | — | 442,160 | — | 442,1601 | — |
DIREXION SEMI-ANNUAL REPORT
163
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 South Korea Bull 3X Shares | $ | 632,719 | $ | — | $ | 550,000 | $ | 82,719 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 2,167,085 | — | 560,000 | 1,607,085 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 264,634 | — | 264,6341 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | — | — | — | 87,660 | — | 87,6601 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 1,195,404 | — | 1,195,4041 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | — | — | — | 1,714,483 | — | 1,714,4831 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | — | — | — | — | 312,774 | — | 312,7741 | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 1,589,621 | — | 1,400,000 | 189,621 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | 202,798 | — | 202,7981 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 4,404,969 | — | 4,404,9691 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 7,522,574 | — | 7,522,5741 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 9,699,844 | — | 9,520,000 | 179,844 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 18,508,929 | — | 18,508,9291 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 103,154 | — | 103,1541 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
164
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 | $ | 2,808,896 | $ | — | $ | 2,808,8961 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | 640,550 | — | 640,5501 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 948,767 | — | 940,000 | 8,767 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | — | 159,935 | — | 159,9351 | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 665,673 | — | 665,6731 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 109,535 | — | 109,5351 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | — | — | — | 692,476 | — | 692,4761 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | — | — | 2,645,859 | — | 2,645,8591 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 6,443,966 | — | 6,443,9661 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 15,111,453 | — | — | 15,111,453 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 6,321,467 | — | 6,321,4671 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 49,529,627 | — | 2,530,000 | 46,999,627 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 1,574,873 | — | 1,574,8731 | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | — | — | 260,231 | — | 260,2311 | — |
DIREXION SEMI-ANNUAL REPORT
165
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 | $ | 73,070 | $ | — | $ | — | $ | 73,070 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 150,137 | — | 150,1371 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 4,502,025 | — | 4,502,0251 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 4,464,065 | — | 4,464,0651 | — |
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: J.P. Morgan
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 | $ | 1,215,437 | $ | — | $ | 1,215,4371 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 8,208,533 | — | 8,208,5331 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 75,048,439 | — | 75,048,4391 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 1,508,662 | — | 1,508,6621 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 316,492 | — | 280,000 | 36,492 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | — | 4,284,103 | — | 4,284,1031 | — |
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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 Emerging Markets Bear 3X Shares | $ | 661,706 | $ | — | $ | 661,7061 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 1,154,225 | — | 920,000 | 234,225 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | — | — | — | 529,535 | — | 529,5351 | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | — | — | — | 6,441 | — | 6,4411 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | — | — | — | 13,948 | — | 13,9481 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 912,369 | — | 912,3691 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 24,163,463 | — | 24,163,4631 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 601,833 | — | 600,000 | 1,833 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | — | — | — | 1,577,192 | — | 1,577,1921 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | — | — | 305,955 | — | 305,9551 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | 2,340,769 | — | 2,340,7691 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 1,746,004 | — | 1,730,122 | 15,882 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 4,867,262 | — | 4,310,000 | 557,262 | — | — | — | — |
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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 Retail Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 44,495 | $ | — | $ | 44,4951 | $ | — | |||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 17,158,761 | — | 16,490,000 | 668,761 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 2,903,619 | — | 2,903,6191 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 12,106,673 | — | 12,106,6731 | — | — | ��� | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 1,509,952 | — | 1,509,9521 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | — | 49,343 | — | 49,3431 | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 124,541 | — | 124,5411 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 175,365 | — | 175,3651 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 43,965 | — | 43,9651 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 5,622,304 | — | 5,622,3041 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 194,549 | — | — | 194,549 | — | — | — | — |
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.
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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 | $ | 30,461,291 | $ | — | $ | 30,461,2911 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 71,846,152 | — | 71,846,1521 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 14,918,889 | — | 14,010,000 | 908,889 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 38,437,797 | — | 38,437,7971 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 9,733,040 | — | 9,733,0401 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 7,005,056 | — | 7,005,0561 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 918,745 | — | 918,7451 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 4,324,127 | — | 4,324,1271 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 4,331,049 | — | 3,290,000 | 1,041,049 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 49,194 | — | 49,1941 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | — | — | — | 614,512 | — | 614,5121 | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 11,538,940 | — | 7,360,000 | 4,178,940 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 380,440 | — | 380,4401 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | — | — | — | 111,058 | — | 111,0581 | — |
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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 Staples Bull 3X Shares | $ | 29,826 | $ | — | $ | 20,000 | $ | 9,826 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | — | — | 137,408 | — | 137,4081 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 17,264,601 | — | 17,264,6011 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 39,725,276 | — | 39,725,2761 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | — | 995,490 | — | 995,4901 | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 14,703,190 | — | 14,703,1901 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 368,550 | — | 368,5501 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 2,392,712 | — | — | 2,392,712 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | 6,297,777 | — | 5,750,721 | 547,056 | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 377,390 | — | 377,3901 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 2,475,544 | — | 2,280,000 | 195,544 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 1,386,735 | — | 1,386,7351 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 692,090 | — | 692,0901 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 10,481,001 | — | 10,481,0011 | — | — | — | — | — |
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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 Biotech Bear 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 12,319,337 | $ | — | $ | 12,319,3371 | $ | — | |||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 58,303,586 | — | 53,630,000 | 4,673,586 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 7,634,761 | — | 7,634,7611 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 82,518,883 | — | 82,518,8831 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 10,383,607 | — | 10,383,6071 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 40,634 | — | — | 40,634 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | — | — | 1,099,282 | — | 1,099,2821 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 11,270,244 | — | 11,270,2441 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 7,340,211 | — | 7,340,2111 | — |
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 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
DIREXION SEMI-ANNUAL REPORT
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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, 2020.
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, 2020, 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, 2020, 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 | $ | 126,829,550 | $ | 72,682,581 | $ | 61,967,918 | $ | 134,650,499 | |||||||||||
Direxion Daily FTSE China Bull 3X Shares | 3,503,470 | 141,745 | 3,528,895 | 3,670,640 | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 944,435 | 984,000 | — | 984,000 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 21,362,989 | — | 22,263,396 | 22,263,396 | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 15,431,700 | 5 | 16,097,696 | 16,097,701 | |||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 280,487 | 23 | 294,432 | 294,455 | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 175,620 | 186,000 | — | 186,000 | |||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 12,132 | 13,360 | — | 13,360 | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 19,087 | 17,069 | 3,823 | 20,892 |
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Funds | Market Value of Securities Loaned | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | $ | 1,397,804 | $ | 1,259,875 | $ | 254,560 | $ | 1,514,435 | |||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 34,982 | 20,685 | 17,271 | 37,956 | |||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 18,996 | 16,782 | 3,521 | 20,303 | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 810,630 | 741,110 | 140,899 | 882,009 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 33,085 | 23,630 | 13,251 | 36,881 | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 17,460,952 | 9,523,650 | 8,946,973 | 18,470,623 | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 985,277 | 1,058,276 | — | 1,058,276 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 23,344 | — | 24,095 | 24,095 |
i) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains 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. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains.
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.
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.
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3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2020 and October 31, 2019, were as follows:
Year/Period Ended April 30, 2020 (Unaudited) | Year/Period Ended October 31, 2019 | ||||||||||||||||||||||||||
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 | $ | 168,512 | $ | — | $ | — | $ | 494,580 | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 4,420,225 | — | — | 11,449,455 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 1,818,363 | — | — | 5,338,151 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,622,628 | — | — | 4,558,793 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 1,187,784 | — | — | 4,325,198 | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 3,060,748 | — | — | 3,949,648 | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 288,160 | — | — | 1,047,032 | — | — | |||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 130,258 | — | — | 514,390 | — | — | |||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 10,085 | — | — | 126,175 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 95,743 | — | — | 273,718 | — | 1,167 | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 1,205,300 | — | — | 2,694,656 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 229,450 | — | — | 955,647 | — | — | |||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 16,670 | — | — | 664,437 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 46,406 | — | — | 97,355 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 45,885 | — | — | 188,557 | — | — | |||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 142,470 | — | — | 231,430 | — | — | |||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 261,279 | — | — | 392,972 | — | — | |||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares2 | — | — | — | 8,081 | — | — | |||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares2 | 1,886 | — | — | 21,095 | — | — | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares1 | 13,290 | — | — | 20,474 | — | 4,274 | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares1 | 3,222 | — | — | 18,912 | — | 1,730 | |||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares1 | 127,578 | — | — | 43,161 | — | — | |||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares1 | 1,816 | — | — | 21,810 | — | — | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares3 | 2,646 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares3 | 8,536 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 5,100,987 | — | — | 13,959,446 | — | 57,860 | |||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 613,710 | — | — | 2,271,607 | — | — | |||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 239,731 | — | — | 1,182,359 | — | — | |||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 11,980 | — | — | 172,171 | — | 9,939 | |||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 20,624 | — | — | 63,654 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 1,072,715 | — | — | 880,150 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 54,061 | — | — | 267,942 | — | — | |||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 198 | — | — | 56,519 | — | 2,255 | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 157,065 | — | — | 422,221 | — | — |
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Year/Period Ended April 30, 2020 (Unaudited) | Year/Period Ended October 31, 2019 | ||||||||||||||||||||||||||
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 Retail Bull 3X Shares | $ | 55,993 | $ | — | $ | — | $ | 202,633 | $ | — | $ | — | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 24,752 | — | — | 113,962 | — | 790 | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares3 | 30,230 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares3 | 8,577 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 45,196 | — | — | 3,328,781 | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 376,700 | — | — | 1,288,408 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1,431,589 | — | — | 4,789,744 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 929,294 | — | — | 2,077,527 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 1,713,106 | — | — | 2,488,945 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 243,879 | — | — | 638,259 | — | — | |||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 18,559 | — | — | 56,931 | — | — | |||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 520,218 | — | — | 122,979 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 53,451 | — | — | 144,179 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 45,203 | — | — | 212,425 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 933,268 | — | — | 1,822,129 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 522,733 | — | — | 2,833,079 | — | — |
1 Commenced operations on November 29, 2018.
2 Commenced operations on January 14, 2019.
3 Commenced operations on November 7, 2019.
At October 31, 2019, 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 | $ | (4,571,376 | ) | $ | 76,161 | $ | — | $ | (2,127,496 | ) | $ | (6,622,711 | ) | ||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 166,571,739 | 761,310 | — | (24,766 | ) | 167,308,283 | |||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | (160,250,708 | ) | 500,902 | — | (993,631,596 | ) | (1,153,381,402 | ) | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | (20,731,294 | ) | 605,603 | — | (81,292,645 | ) | (101,418,336 | ) | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | (116,623,597 | ) | 334,303 | — | (2,594,736,722 | ) | (2,711,026,016 | ) | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | (120,671,832 | ) | 458 | — | (1,677,274 | ) | (122,348,648 | ) | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | (11,218,774 | ) | 74,503 | — | (59,379,820 | ) | (70,524,091 | ) | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | (796,562 | ) | 66,765 | — | (15,510,698 | ) | (16,240,495 | ) | |||||||||||||||
Direxion Daily Latin America Bull 3X Shares | (2,494,527 | ) | 2,582 | — | (42,907,762 | ) | (45,399,707 | ) | |||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | (524,311 | ) | — | — | (3,148,987 | ) | (3,673,298 | ) |
DIREXION SEMI-ANNUAL REPORT
175
Funds | Net Unrealized Appreciation/ (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | $ | (69,834,443 | ) | $ | 36,748 | $ | — | $ | (102,905,465 | ) | $ | (172,703,160 | ) | ||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | (17,828,706 | ) | 62,991 | — | (285,370,567 | ) | (303,136,282 | ) | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | (1,320,539 | ) | 4,680 | — | — | (1,315,859 | ) | ||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | (160,440 | ) | 1,245 | — | (5,073,764 | ) | (5,232,959 | ) | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | (195,525 | ) | 8,618 | — | (1,902,335 | ) | (2,089,242 | ) | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | (8,937,733 | ) | 5,282 | — | (3,712,594 | ) | (12,645,045 | ) | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 8,728,196 | — | — | — | 8,728,196 | ||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 231,242 | — | — | (2,107 | ) | 229,135 | |||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | (360,987 | ) | 561 | — | (635,172 | ) | (995,598 | ) | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 663,637 | — | — | (43,181 | ) | 620,456 | |||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | (652,987 | ) | — | — | (42,479 | ) | (695,466 | ) | |||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 680,335 | 101,203 | — | — | 781,538 | ||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | (545,302 | ) | — | — | — | (545,302 | ) | ||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 202,115,858 | — | — | (36,358,350 | ) | 165,757,508 | |||||||||||||||||
Direxion Daily Financial Bear 3X Shares | (46,301,163 | ) | 193,355 | — | (2,553,561,764 | ) | (2,599,669,572 | ) | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | (499,255 | ) | — | — | — | (499,255 | ) | ||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 11,277,974 | — | — | (20,009,297 | ) | (8,731,323 | ) | ||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 220,226 | 943 | — | (312,634 | ) | (91,465 | ) | ||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 10,012,024 | 725,012 | — | — | 10,737,036 | ||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | (2,888,464 | ) | 18,004 | — | (67,680,500 | ) | (70,550,960 | ) | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 638,023 | — | — | (3,064,084 | ) | (2,426,061 | ) | ||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | (4,302,215 | ) | 19,202 | — | (7,840,572 | ) | (12,123,585 | ) | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | (3,593,608 | ) | 3,820 | — | (8,045,456 | ) | (11,635,244 | ) | |||||||||||||||
Direxion Daily Robotic, Artificial Intelligence & Automation Index Bull 3X Shares | 826,929 | — | — | (1,433,572 | ) | (606,643 | ) | ||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | (189,729,649 | ) | 45,139 | — | (109,047,512 | ) | (298,732,022 | ) | |||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | (12,701,005 | ) | 46,976 | — | (138,669,883 | ) | (151,323,912 | ) | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 130,576,247 | — | — | — | 130,576,247 | ||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | (126,484,449 | ) | 270,559 | — | (217,971,598 | ) | (344,185,488 | ) |
DIREXION SEMI-ANNUAL REPORT
176
Funds | Net Unrealized Appreciation/ (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | $ | 228,565,230 | $ | — | $ | — | $ | — | $ | 228,565,230 | |||||||||||||
Direxion Daily Technology Bear 3X Shares | (30,699,430 | ) | 60,163 | — | (113,058,050 | ) | (143,697,317 | ) | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | (181,959 | ) | 1,438 | — | — | (180,521 | ) | ||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,621,316 | 403,542 | — | — | 2,024,858 | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 1,894,344 | 10,984 | — | (44,589 | ) | 1,860,739 | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | (3,413,476 | ) | 15,020 | — | (57,589,100 | ) | (60,987,556 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 25,417,787 | 182,392 | — | — | 25,600,179 | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | (67,378,507 | ) | 184,537 | — | (896,176,491 | ) | (963,370,461 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At April 30, 2020, 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 | $ | 31,704,685 | $ | 759,703 | $ | — | $ | 759,703 | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 1,328,538,997 | 71,149,891 | — | 71,149,891 | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 1,068,634,090 | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 641,164,411 | 4,998,206 | — | 4,998,206 | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 565,698,373 | — | — | — | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 185,890,507 | — | (709,593 | ) | (709,593 | ) | |||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 31,287,688 | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 10,921,810 | — | (118,273 | ) | (118,273 | ) | |||||||||||||
Direxion Daily Latin America Bull 3X Shares | 7,401,231 | 51,613 | — | 51,613 | |||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 6,530,591 | 184,008 | — | 184,008 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 97,833,957 | 784,505 | — | 784,505 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 46,853,541 | — | — | — | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 43,737,255 | 1,636,674 | — | 1,636,674 | |||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 5,271,898 | — | (31,424 | ) | (31,424 | ) | |||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 5,791,395 | 108,564 | — | 108,564 | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 15,865,958 | 813,479 | — | 813,479 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 87,181,471 | 3,775,529 | (13,095 | ) | 3,762,434 | ||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 4,555,829 | 297,872 | (33,030 | ) | 264,842 | ||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 450,588 | — | — | — | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 6,441,010 | 307,811 | (25,947 | ) | 281,864 | ||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 4,910,522 | — | — | — | |||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 6,451,170 | 247,379 | (48,604 | ) | 198,775 | ||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | 588,647 | — | — | — | |||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 8,368,337 | 877,914 | (828 | ) | 877,086 | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 1,376,237 | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 997,818,688 | 45,651,916 | (1,829,439 | ) | 43,822,477 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | 273,913,422 | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 115,782,117 | 3,926,394 | (346,665 | ) | 3,579,729 |
DIREXION SEMI-ANNUAL REPORT
177
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily Homebuilders & Supplies 3X Bull Shares | $ | 140,299,646 | $ | 11,731,423 | $ | — | $ | 11,731,423 | |||||||||||
Direxion Daily Industrials Bull 3X Shares | 5,000,778 | 137,753 | (7,637 | ) | 130,116 | ||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 31,255,718 | 1,363,453 | (89,402 | ) | 1,274,051 | ||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 22,373,671 | — | — | — | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 14,045,926 | 846,580 | (6,667 | ) | 839,913 | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 36,205,887 | 2,611,180 | (8,872 | ) | 2,602,308 | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | 8,568,551 | 834,244 | (13,524 | ) | 820,720 | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 16,959,610 | 953,806 | — | 953,806 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 8,754,873 | 412,651 | (7,100 | ) | 405,551 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 16,419,893 | — | — | — | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 401,770,897 | 6,952,460 | (3,802,668 | ) | 3,149,792 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 71,860,168 | — | — | — | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1,006,869,575 | 33,794,580 | (467,301 | ) | 33,327,279 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 179,758,726 | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 994,395,239 | 43,607,936 | (151,070 | ) | 43,456,866 | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | 49,927,970 | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 9,779,234 | 421,179 | (13,831 | ) | 407,348 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 13,539,722 | 78,350 | (64,408 | ) | 13,942 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 13,356,742 | 1,065,831 | — | 1,065,831 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 5,964,129 | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 207,791,171 | 14,286,860 | — | 14,286,860 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 62,724,733 | — | — | — |
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").
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, 2019.
At October 31, 2019, the Funds deferred, on a tax basis, no qualified late year losses.
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, 2019, 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 | Unlimited ST | Unlimited LT | |||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 2,127,496 | $ | — | |||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | 990,284,208 | 3,329,426 | |||||||||
Direxion Daily Small Cap Bull 3X Shares | 81,285,066 | — | |||||||||
Direxion Daily Small Cap Bear 3X Shares | 2,594,728,838 | — | |||||||||
Direxion Daily FTSE China Bull 3X Shares | 1,677,274 | — | |||||||||
Direxion Daily FTSE China Bear 3X Shares | 59,379,820 | — | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 15,510,698 | — |
DIREXION SEMI-ANNUAL REPORT
178
Funds | Unlimited ST | Unlimited LT | |||||||||
Direxion Daily Latin America Bull 3X Shares | $ | 22,776,887 | $ | 20,130,875 | |||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 3,148,987 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 55,660,352 | 47,245,113 | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 285,370,567 | — | |||||||||
Direxion Daily MSCI India Bull 3X Shares | — | — | |||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 4,926,865 | 146,899 | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 1,598,706 | 303,629 | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 3,217,094 | 495,500 | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | — | |||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | — | |||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 633,056 | — | |||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 43,181 | — | |||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 42,479 | — | |||||||||
Direxion Daily Consumer Staples Bull 3X Shares | — | — | |||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | |||||||||
Direxion Daily Financial Bull 3X Shares | 32,680,831 | 3,667,091 | |||||||||
Direxion Daily Financial Bear 3X Shares | 2,553,549,891 | — | |||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | |||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 19,722,724 | 286,573 | |||||||||
Direxion Daily Industrials Bull 3X Shares | 312,634 | — | |||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | |||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 67,680,500 | — | |||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 2,978,849 | 85,235 | |||||||||
Direxion Daily Regional Banks Bull 3X Shares | 7,400,589 | 439,983 | |||||||||
Direxion Daily Retail Bull 3X Shares | 7,431,508 | 613,948 | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 1,431,693 | — | |||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 109,047,512 | — | |||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 138,669,883 | — | |||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | — | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | 217,971,598 | — | |||||||||
Direxion Daily Technology Bull 3X Shares | — | — | |||||||||
Direxion Daily Technology Bear 3X Shares | 113,057,444 | — | |||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | |||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | |||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 44,589 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 57,589,100 | — | |||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | |||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 896,176,491 | — |
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, 2020, open U.S. Federal and state income tax years include the tax years ended October 31, 2017 through October 31, 2019. 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
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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, 2020. 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.
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 | $ | 5,209,243 | $ | 26,583,079 | $ | 10,957,114 | $ | — | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 1,600,925,025 | 1,213,153,844 | 756,281,102 | 744,693,314 | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 396,450,725 | 265,373,535 | 250,579,448 | 536,473,928 | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 192,476,100 | 290,870,459 | 196,836,518 | 174,810,250 | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 6,197,698 | 7,489,273 | 2,722,701 | 6,095,444 | |||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 636,980 | 13,310,086 | 23,874,758 | 9,699,877 | |||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 4,955,996 | 6,220,858 | 933,953 | 2,255,264 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 53,284,700 | 90,772,461 | 51,692,410 | 38,970,667 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 4,032,085 | 42,083,893 | 41,884,071 | 16,840,020 | |||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 3,815,378 | 9,359,713 | 18,216,189 | 13,664,698 | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 6,313,973 | 6,686,010 | 15,068,039 | 12,383,588 | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 15,897,424 | 18,548,258 | 22,259,426 | 17,142,706 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 17,829,692 | 59,672,287 | 83,581,003 | 14,550,776 | |||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 669,404 | 2,404,010 | 3,979,111 | — | |||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 1,017,996 | 3,688,141 | 4,132,947 | 1,620,669 | |||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 1,291,053 | 2,864,489 | 2,630,586 | — | |||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares1 | 9,022,785 | 3,996,830 | 1,451,126 | — | |||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares1 | — | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 885,769,437 | 1,238,051,601 | 646,396,063 | 259,000,758 | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 148,960,327 | 158,142,316 | 26,811,098 | 21,111,972 | |||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 42,107,024 | 59,351,997 | 97,834,690 | 30,625,292 | |||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 2,889,003 | 4,445,170 | 2,683,106 | — | |||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 25,323,771 | 32,485,117 | 1,908,244 | — | |||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 3,490,078 | 10,880,890 | 8,828,722 | 731,054 | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 10,600,899 | 24,105,348 | 34,053,469 | 4,775,447 |
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Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | $ | 2,565,680 | $ | 10,477,153 | $ | 7,974,256 | $ | 4,018,527 | |||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 5,869,240 | 8,044,187 | 4,814,105 | 2,666,173 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares1 | 5,873,254 | 4,645,451 | 2,076,866 | — | |||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares1 | — | — | — | — | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 329,976,153 | 199,856,337 | 203,857,625 | 507,099,628 | |||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 811,119,446 | 901,490,245 | 981,565,616 | 525,587,472 | |||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 1,547,625,673 | 1,743,778,812 | 624,438,619 | 190,294,841 | |||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 1,790,046 | 5,132,562 | 11,477,857 | 5,431,439 | |||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 7,087,702 | 10,814,162 | 6,466,109 | 5,437,077 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 430,422 | 3,334,461 | — | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 54,539,150 | 69,113,262 | 101,099,855 | 89,997,360 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — |
1 Represents the period from November 7, 2019 (commencement of operations) to April 30, 2020.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2020.
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, 2021. 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, 2021. 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.
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2020 | October 31, 2021 | October 31, 2022 | April 30, 2023 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | — | $ | 11,436 | $ | 15,127 | $ | 24,905 | $ | 21,479 | $ | 11,436 | $ | 72,947 | |||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 50,935 | 50,935 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 1,780 | 37,452 | 5,303 | 16,530 | 18,596 | 37,452 | 77,881 | ||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 45,226 | 9,833 | 2,702 | 170,311 | 7,186 | 9,833 | 190,032 | ||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 18,225 | 7,789 | 47,734 | 87,614 | 4,794 | 7,789 | 147,931 | ||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | 28,817 | 29,270 | 92,090 | 60,527 | 28,817 | 210,704 | ||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 15,769 | 21,756 | 32,855 | 29,738 | 15,769 | 100,118 | ||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | 5,562 | 805 | 1,361 | 6,419 | 5,562 | 14,147 | ||||||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | — | 11,970 | 18,659 | 27,046 | 24,652 | 11,970 | 82,327 | ||||||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | — | 30,396 | 29,806 | 51,385 | 59,468 | 30,396 | 171,055 | ||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | 22,149 | 7,287 | 33,843 | 38,284 | 22,149 | 101,563 | ||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 22,758 | 19,617 | 35,413 | 39,016 | 22,758 | 116,804 | ||||||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 3,662 | 3,186 | 14,566 | — | — | 3,186 | 17,752 | ||||||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | — | 19,788 | 24,547 | 27,603 | 38,714 | 19,788 | 110,652 | ||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | 9,045 | 24,052 | 18,115 | 17,392 | 9,045 | 68,604 | ||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | 11,377 | 15,138 | 24,035 | 21,721 | 11,377 | 72,271 | ||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 16,718 | 29,153 | 16,113 | 21,606 | 16,718 | 83,590 | ||||||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | 16,084 | — | — | 35,665 | 16,084 | 51,749 | ||||||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | 16,985 | — | — | 37,023 | 16,985 | 54,008 | ||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 18,755 | — | — | 38,752 | 18,755 | 57,507 | ||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | 20,124 | — | — | 40,556 | 20,124 | 60,680 | ||||||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | — | 18,811 | — | — | 39,202 | 18,811 | 58,013 | ||||||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | 20,676 | — | — | 40,456 | 20,676 | 61,132 | ||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | 15,725 | — | — | — | 15,725 | 15,725 | ||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 16,813 | — | — | — | 16,813 | 16,813 | ||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 17,078 | 17,078 | — | — | — | — | — |
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2020 | October 31, 2021 | October 31, 2022 | April 30, 2023 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | $ | 4,037 | $ | 5,768 | $ | 42,536 | $ | 19,261 | $ | 14,863 | $ | 5,768 | $ | 82,428 | |||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | 13,692 | 6,710 | 23,120 | 20,615 | 13,692 | 64,137 | ||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | 11,637 | 15,399 | 22,934 | 22,351 | 11,637 | 72,321 | ||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 19,386 | 32,981 | 37,228 | 38,210 | 19,386 | 127,805 | ||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | 18,646 | 13,197 | 21,062 | 35,254 | 18,646 | 88,159 | ||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | 28,558 | 37,734 | 59,917 | 57,022 | 28,558 | 183,231 | ||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 16,787 | — | 39,021 | 35,714 | 16,787 | 91,522 | ||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 11,845 | 13,237 | 12,446 | 19,819 | 11,845 | 57,347 | ||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | 16,468 | 15,946 | 20,421 | 27,494 | 16,468 | 80,329 | ||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | — | 10,125 | — | 29,764 | 21,776 | 10,125 | 61,665 | ||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | 16,189 | — | — | — | 16,189 | 16,189 | ||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | 16,397 | — | — | — | 16,397 | 16,397 | ||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 2,168 | 19,642 | 7,857 | 42,279 | 17,819 | 19,642 | 87,597 | ||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 13,615 | 19,507 | 27,354 | 20,899 | 13,615 | 81,375 | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 10,914 | 10,914 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 10,042 | 5,506 | 10,980 | 12,266 | 720 | 5,506 | 29,472 | ||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 12,518 | 38,056 | — | 38,391 | 18,515 | 38,056 | 94,962 | ||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | 12,637 | 17,387 | 21,855 | 22,689 | 12,637 | 74,568 | ||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 19,220 | 34,059 | 35,473 | 37,000 | 19,220 | 125,752 | ||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 16,016 | 32,789 | 36,930 | 36,502 | 16,016 | 122,237 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 15,032 | 23,073 | 40,079 | 32,553 | 15,032 | 110,737 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 18,087 | 12,314 | 27,551 | 31,607 | 18,087 | 89,559 | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 706 | 706 | — | — | — | — | — | ||||||||||||||||||||||||
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, 2020 is presented on the Statement of Assets and Liabilities as Due from (to) Adviser, net.
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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.)
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, 2020:
Asset Class | Liability Class | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 18,364,518 | $ | — | $ | 14,099,870 | $ | 2,674,534 | $ | 3,735,800 | $ | (1,797,552 | ) | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 1,004,965,236 | — | 394,723,652 | 110,024,527 | 194,343,969 | (8,307,388 | ) | ||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | 1,068,634,090 | 425,625,485 | — | (332,988,370 | ) | ||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 195,838,468 | — | 450,324,149 | 217,682,246 | 160,748,371 | (1,508,662 | ) | ||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | 565,698,373 | 244,522,018 | — | (219,245,116 | ) | ||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 66,714,354 | — | 118,466,560 | 90,559,364 | 15,252,434 | (4,738,249 | ) | ||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | 31,287,688 | 35,723,037 | — | (10,400,019 | ) | ||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 4,930,181 | — | 5,873,356 | 2,151,168 | 1,212,113 | (312,854 | ) | ||||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | 3,341,194 | — | 4,111,650 | 2,557,999 | 1,038,246 | (43,207 | ) | ||||||||||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 3,746,179 | — | 2,968,420 | 1,156,222 | 933,452 | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 30,236,024 | — | 68,382,438 | 18,752,752 | 10,410,056 | (7,746,909 | ) | ||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | 46,853,541 | 14,888,079 | 661,706 | (12,026,089 | ) | ||||||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 18,565,876 | — | 26,808,053 | 10,619,047 | 11,282,152 | (360,037 | ) |
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Asset Class | Liability Class | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | $ | 1,140,273 | $ | — | $ | 4,100,201 | $ | 3,172,737 | $ | 221,204 | $ | — | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 3,224,149 | — | 2,675,810 | 1,174,696 | 35,530 | (1,056,672 | ) | ||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 4,966,412 | — | 11,713,025 | 6,142,788 | 3,269,407 | (796,481 | ) | ||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 55,813,044 | 35,130,861 | 5,233,863 | 13,706,025 | (529,535 | ) | ||||||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | — | 3,196,070 | 1,624,601 | 395,886 | 645,074 | (6,441 | ) | ||||||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | — | 450,588 | 221,101 | — | (198,718 | ) | ||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 4,362,538 | 2,360,336 | 712,351 | 1,799,345 | (13,948 | ) | ||||||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | — | 4,910,522 | 1,602,861 | — | (2,061,229 | ) | ||||||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | — | 3,911,057 | 2,738,888 | 1,537,530 | 174,108 | (312,774 | ) | ||||||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | — | 588,647 | 207,238 | — | (164,394 | ) | ||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | 6,583,140 | 2,662,283 | 2,003,881 | 2,040,214 | — | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | 1,376,237 | 578,019 | — | (244,635 | ) | ||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | 740,627,146 | 301,014,019 | 156,649,721 | 32,073,363 | (32,583,247 | ) | ||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | 273,913,422 | 127,186,994 | — | (76,872,389 | ) | ||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | 72,423,546 | 46,938,300 | 28,395,945 | 15,936,014 | (995,490 | ) | ||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | 88,796,216 | 63,234,853 | 16,083,910 | 33,212,119 | (1,577,192 | ) | ||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 2,980,078 | 2,150,816 | 96,709 | 471,704 | — | �� | ||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | 24,029,775 | 8,499,994 | 6,141,944 | 5,647,954 | (305,955 | ) | ||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | 22,373,671 | 41,972,554 | — | (10,088,238 | ) | ||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 8,729,595 | 6,156,244 | 2,406,288 | 3,569,651 | — | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 24,576,975 | 14,231,220 | 10,352,912 | 8,630,669 | (159,935 | ) | ||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | 5,649,125 | 3,740,146 | 2,346,795 | 2,052,408 | (44,495 | ) | ||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 9,447,007 | — | 8,466,409 | 4,928,137 | 3,737,161 | — |
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Asset Class | Liability Class | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Cash Equivalents | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | $ | — | $ | 2,626,285 | $ | 6,534,139 | $ | 3,955,519 | $ | 1,481,618 | $ | (692,476 | ) | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | 16,419,893 | 4,835,135 | — | (6,246,325 | ) | ||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | 165,583,664 | 239,337,025 | 28,969,157 | 63,550,814 | (26,297,698 | ) | ||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | 71,860,168 | 35,914,205 | — | (25,853,229 | ) | ||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | 622,798,089 | 417,398,765 | 232,324,541 | 205,490,980 | (1,323,386 | ) | ||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | 179,758,726 | 50,302,700 | — | (52,435,810 | ) | ||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | — | 625,743,291 | 412,108,814 | 135,398,044 | 253,909,771 | — | |||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | 49,927,970 | 18,781,769 | — | (19,534,230 | ) | ||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 4,640,710 | 5,545,872 | 890,882 | 369,292 | (49,343 | ) | ||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 7,461,841 | 6,091,823 | 1,356,166 | 1,300,553 | (1,359,513 | ) | ||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 7,397,536 | — | 7,025,037 | 5,862,766 | 1,712,171 | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | 5,964,129 | 3,741,301 | — | (1,251,076 | ) | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 141,900,409 | — | 80,177,622 | 76,135,686 | 49,599,796 | (1,756,991 | ) | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | 62,724,733 | 41,626,010 | 519,870 | (17,300,509 | ) |
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.
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.
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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, 2020, the Funds were invested in swap contracts. At April 30, 2020, 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 | $ | 3,735,800 | $ | — | $ | 3,735,800 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 194,343,969 | — | 194,343,969 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 160,748,371 | — | 160,748,371 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 15,252,434 | — | 15,252,434 | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,212,113 | — | 1,212,113 | ||||||||||||
Direxion Daily Latin America Bull 3X Shares | 1,038,246 | — | 1,038,246 | ||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 933,452 | — | 933,452 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 10,410,056 | — | 10,410,056 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 661,706 | — | 661,706 | ||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 11,282,152 | — | 11,282,152 | ||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 221,204 | — | 221,204 | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 35,530 | — | 35,530 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 3,269,407 | — | 3,269,407 | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 13,706,025 | — | 13,706,025 | ||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 645,074 | — | 645,074 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 1,799,345 | — | 1,799,345 | ||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 174,108 | — | 174,108 | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 2,040,214 | — | 2,040,214 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 32,073,363 | — | 32,073,363 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 15,936,014 | — | 15,936,014 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 33,212,119 | — | 33,212,119 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 471,704 | — | 471,704 | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 5,647,954 | — | 5,647,954 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 3,569,651 | — | 3,569,651 | ||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 8,630,669 | — | 8,630,669 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 2,052,408 | — | 2,052,408 | ||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 3,737,161 | — | 3,737,161 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 1,481,618 | — | 1,481,618 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 63,550,814 | — | 63,550,814 | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 205,490,980 | — | 205,490,980 | ||||||||||||
Direxion Daily Technology Bull 3X Shares | 253,909,771 | — | 253,909,771 | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | 369,292 | — | 369,292 | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,300,553 | — | 1,300,553 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 1,712,171 | 1,712,171 | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 49,599,796 | 49,599,796 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 519,870 | 519,870 |
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 | $ | 1,797,552 | $ | — | $ | 1,797,552 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 8,307,388 | — | 8,307,388 | ||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 332,988,370 | — | 332,988,370 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,508,662 | — | 1,508,662 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 219,245,116 | — | 219,245,116 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 4,738,249 | — | 4,738,249 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 10,400,019 | — | 10,400,019 | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 312,855 | — | 312,855 | ||||||||||||
Direxion Daily Latin America Bull 3X Shares | 43,207 | — | 43,207 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 7,746,909 | — | 7,746,909 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 12,026,089 | — | 12,026,089 | ||||||||||||
Direxion Daily MSCI India Bull 3X Shares | 360,037 | — | 360,037 |
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Liability Derivatives2 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | $ | 1,056,672 | $ | — | $ | 1,056,672 | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 796,481 | — | 796,481 | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 529,535 | — | 529,535 | ||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 6,441 | — | 6,441 | ||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | 198,718 | — | 198,718 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 13,948 | — | 13,948 | ||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | 2,061,229 | — | 2,061,229 | ||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 312,774 | — | 312,774 | ||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | 164,394 | — | 164,394 | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 244,635 | — | 244,635 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 32,583,247 | — | 32,583,247 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | 76,872,389 | — | 76,872,389 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 995,490 | — | 995,490 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 1,577,192 | — | 1,577,192 | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 305,955 | — | 305,955 | ||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 10,088,238 | — | 10,088,238 | ||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 159,935 | — | 159,935 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 44,495 | — | 44,495 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 692,476 | — | 692,476 | ||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 6,246,325 | — | 6,246,325 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 26,297,698 | — | 26,297,698 | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 25,853,229 | — | 25,853,229 | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1,323,386 | — | 1,323,386 | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 52,435,810 | — | 52,435,810 | ||||||||||||
Direxion Daily Technology Bear 3X Shares | 19,534,230 | — | 19,534,230 | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | 49,343 | — | 49,343 | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,359,513 | — | 1,359,513 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 1,251,076 | 1,251,076 | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 1,756,991 | 1,756,991 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 17,300,509 | 17,300,509 |
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended April 30, 2020 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 | $ | (15,818,600 | ) | $ | — | $ | (225,086 | ) | $ | — | ||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | Swap Contracts | (182,793,341 | ) | — | (12,014,647 | ) | — | ||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | Swap Contracts | (208,186,189 | ) | — | (274,758,641 | ) | — | ||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | Swap Contracts | (269,491,539 | ) | — | 57,175,660 | — | |||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | Swap Contracts | 55,748,163 | — | (182,641,437 | ) | — | |||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | Swap Contracts | (92,381,755 | ) | — | 9,604,628 | — | |||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | Swap Contracts | 8,583,096 | — | (8,732,076 | ) | — | |||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | Swap Contracts | (7,988,228 | ) | — | (4,082,501 | ) | — |
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Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Equity Risk | Interest Rate Risk | |||||||||||||||||||
Direxion Daily Latin America Bull 3X Shares | Swap Contracts | $ | (15,062,934 | ) | $ | — | $ | 438,413 | $ | — | |||||||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | Swap Contracts | (8,026,277 | ) | — | 101,213 | — | |||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Swap Contracts | (84,335,064 | ) | — | (496,061 | ) | — | ||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | Swap Contracts | 15,592,553 | — | (5,885,880 | ) | — | |||||||||||||||||
Direxion Daily MSCI India Bull 3X Shares | Swap Contracts | (45,083,182 | ) | — | 4,718,946 | — | |||||||||||||||||
Direxion Daily MSCI Japan Bull 3X Shares | Swap Contracts | (3,944,656 | ) | — | (1,224,890 | ) | — | ||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | Swap Contracts | (4,071,478 | ) | — | (2,551,948 | ) | — | ||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | Swap Contracts | (3,793,604 | ) | — | (1,794,007 | ) | — | ||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | Swap Contracts | (36,382,742 | ) | — | 510,184 | — | |||||||||||||||||
Direxion Daily Communication Services Index Bull 3X Shares | Swap Contracts | (925,829 | ) | — | 352,028 | — | |||||||||||||||||
Direxion Daily Communication Services Index Bear 3X Shares | Swap Contracts | (128,030 | ) | — | (138,767 | ) | — | ||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | Swap Contracts | (2,353,561 | ) | — | 1,240,192 | — | |||||||||||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | Swap Contracts | (1,758,572 | ) | — | (1,932,323 | ) | — | ||||||||||||||||
Direxion Daily Consumer Staples Bull 3X Shares | Swap Contracts | (658,095 | ) | — | (771,523 | ) | — | ||||||||||||||||
Direxion Daily Consumer Staples Bear 3X Shares | Swap Contracts | (100,886 | ) | — | (101,367 | ) | — | ||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | Swap Contracts | (794,060 | ) | — | 2,040,214 | — | |||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | Swap Contracts | (2,476,622 | ) | — | (244,635 | ) | — | ||||||||||||||||
Direxion Daily Financial Bull 3X Shares | Swap Contracts | (358,188,544 | ) | — | (288,718,679 | ) | — | ||||||||||||||||
Direxion Daily Financial Bear 3X Shares | Swap Contracts | (40,618,122 | ) | — | (54,151,067 | ) | — | ||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | Swap Contracts | 8,638,223 | — | (2,000,729 | ) | — | |||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Swap Contracts | (25,451,056 | ) | — | 14,574,280 | — | |||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | Swap Contracts | (1,835,337 | ) | — | 180,233 | — | |||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Swap Contracts | (25,034,799 | ) | — | 67,014 | — |
DIREXION SEMI-ANNUAL REPORT
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Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Equity Risk | Interest Rate Risk | |||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | Swap Contracts | $ | (8,100,331 | ) | $ | — | $ | (8,339,415 | ) | $ | — | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Swap Contracts | 1,198,530 | — | 2,325,454 | — | ||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | Swap Contracts | (23,809,041 | ) | — | 7,009,315 | — | |||||||||||||||||
Direxion Daily Retail Bull 3X Shares | Swap Contracts | (2,944,436 | ) | — | 732,732 | — | |||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | Swap Contracts | (2,832,249 | ) | — | 214,011 | — | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | Swap Contracts | (1,756,457 | ) | — | 789,142 | — | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | Swap Contracts | (3,062,839 | ) | — | (6,246,325 | ) | — | ||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | Swap Contracts | 22,535,767 | — | 86,263,560 | — | ||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | Swap Contracts | 2,459,228 | — | (27,504,182 | ) | — | |||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | Swap Contracts | (173,168,615 | ) | — | (12,199,404 | ) | — | ||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | Swap Contracts | (149,190,567 | ) | — | 1,250,492 | — | |||||||||||||||||
Direxion Daily Technology Bull 3X Shares | Swap Contracts | (112,833,834 | ) | — | 38,918,427 | — | |||||||||||||||||
Direxion Daily Technology Bear 3X Shares | Swap Contracts | (40,718,562 | ) | — | (9,643,620 | ) | — | ||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | Swap Contracts | (2,363,576 | ) | — | 283,051 | — | |||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | Swap Contracts | (3,594,569 | ) | — | (1,454,257 | ) | — | ||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Swap Contracts | — | 3,115,584 | — | 190,075 | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Swap Contracts | — | (3,469,033 | ) | — | 1,198,242 | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | Swap Contracts | — | 67,556,713 | — | 18,090,520 | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | Swap Contracts | — | (88,983,348 | ) | — | 9,417,522 |
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.
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For the period ended April 30, 2020, 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 | $ | 93,006,878 | $ | — | |||||||
Direxion Daily S&P 500® Bull 3X Shares | 2,475,085,885 | — | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 2,089,820,675 | |||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,674,499,436 | — | |||||||||
Direxion Daily Small Cap Bear 3X Shares | — | 1,159,655,762 | |||||||||
Direxion Daily FTSE China Bull 3X Shares | 779,905,903 | — | |||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 327,807,759 | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 56,111,046 | — | |||||||||
Direxion Daily Latin America Bull 3X Shares | 21,625,466 | — | |||||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 34,260,591 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 420,173,027 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 190,544,346 | |||||||||
Direxion Daily MSCI India Bull 3X Shares | 165,895,433 | — | |||||||||
Direxion Daily MSCI Japan Bull 3X Shares | 24,371,604 | — | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 25,620,459 | — | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 55,971,230 | — | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 154,618,898 | — | |||||||||
Direxion Daily Communication Services Index Bull 3X Shares | 8,063,312 | — | |||||||||
Direxion Daily Communication Services Index Bear 3X Shares | — | 1,735,753 | |||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 15,193,080 | — | |||||||||
Direxion Daily Consumer Discretionary Bear 3X Shares | — | 6,542,656 | |||||||||
Direxion Daily Consumer Staples Bull 3X Shares | 15,286,064 | — | |||||||||
Direxion Daily Consumer Staples Bear 3X Shares | — | 2,152,235 | |||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 14,904,634 | — | |||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 4,604,309 | |||||||||
Direxion Daily Financial Bull 3X Shares | 2,902,349,091 | — | |||||||||
Direxion Daily Financial Bear 3X Shares | — | 648,666,980 | |||||||||
Direxion Daily Healthcare Bull 3X Shares | 338,068,566 | — | |||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 216,619,817 | — | |||||||||
Direxion Daily Industrials Bull 3X Shares | 9,088,822 | — | |||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 107,626,895 | — | |||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | 76,322,185 | |||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 27,318,802 | — | |||||||||
Direxion Daily Regional Banks Bull 3X Shares | 68,351,321 | — | |||||||||
Direxion Daily Retail Bull 3X Shares | 24,416,740 | — | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 46,922,117 | — | |||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 20,326,694 | — | |||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | 22,145,724 | |||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 1,033,858,749 | — | |||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 321,694,610 | |||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1,951,855,109 | — | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | 631,570,408 | |||||||||
Direxion Daily Technology Bull 3X Shares | 2,477,179,639 | — | |||||||||
Direxion Daily Technology Bear 3X Shares | — | 147,491,801 | |||||||||
Direxion Daily Transportation Bull 3X Shares | 13,889,252 | — | |||||||||
Direxion Daily Utilities Bull 3X Shares | 31,329,215 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 49,430,365 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 28,284,778 | |||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 564,564,341 | — | |||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 292,461,476 |
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.
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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 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.
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• 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.
Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
10. ADDITIONAL INFORMATION
On March 27, 2020 and April 23, 2020, 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
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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 Latin America Bull 3X Shares | 3/27/2020 | 1 | :20 | $ | 2.15 | $ | 43.00 | 1,819,092 | 90,955 | ||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 3/27/2020 | 1 | :12 | 2.44 | 29.28 | 1,350,001 | 112,500 | ||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 4/23/2020 | 1 | :10 | 4.94 | 49.40 | 5,650,000 | 565,000 | ||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 4/23/2020 | 1 | :10 | 7.36 | 73.60 | 1,050,012 | 105,001 | ||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares | 4/23/2020 | 1 | :10 | 6.07 | 60.70 | 2,650,001 | 265,000 | ||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 4/23/2020 | 1 | :10 | 5.65 | 56.50 | 1,450,001 | 145,000 | ||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 4/23/2020 | 1 | :10 | 3.90 | 39.00 | 13,953,291 | 1,395,329 | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 4/23/2020 | 1 | :10 | 4.84 | 48.40 | 17,249,789 | 1,724,979 |
11. RECENT ACCOUNTING PRONOUNCEMENT
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management has assessed these changes and concluded these changes do not have a material impact on the Fund's financial statements.
12. 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 22, 2020, certain Funds declared income distributions with an ex-date of June 23, 2020 and payable date of June 30, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 0.01047 | |||||
Direxion Daily S&P 500® Bull 3X Shares | 0.04562 | ||||||
Direxion Daily Small Cap Bull 3X Shares | 0.01099 | ||||||
Direxion Daily FTSE China Bull 3X Shares | 0.02434 | ||||||
Direxion Daily Latin America Bull 3X Shares | 0.29042 | ||||||
Direxion Daily MSCI Developed Markets Bull 3X Shares | 0.10731 | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 0.01875 | ||||||
Direxion Daily MSCI Japan Bull 3X Shares | 0.08042 | ||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 0.02734 | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 0.00021 | ||||||
Direxion Daily Consumer Staples Bull 3X Shares | 0.05325 | ||||||
Direxion Daily Financial Bull 3X Shares | 0.03642 |
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Funds | Per Share Income Distribution | ||||||
Direxion Daily Healthcare Bull 3X Shares | $ | 0.01627 | |||||
Direxion Daily Industrials Bull 3X Shares | 0.00415 | ||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 0.01973 | ||||||
Direxion Daily Regional Banks Bull 3X Shares | 0.17073 | ||||||
Direxion Daily Semiconductor Bull 3X Shares | 0.09427 | ||||||
Direxion Daily Transportation Bull 3X Shares | 0.00335 | ||||||
Direxion Daily Utilities Bull 3X Shares | 0.06470 |
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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.
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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: 52 | 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. | 130 | 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: 76 | 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. | 130 | None. | ||||||||||||||||||
David L. Driscoll Age: 50 | 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. | 130 | None. |
(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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
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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 | ||||||||||||||||||
Jacob C. Gaffey Age: 72 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. | 130 | None. | ||||||||||||||||||
Henry W. Mulholland Age: 57 | 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. | 130 | None. | ||||||||||||||||||
Kathleen M. Berkery(3) Age: 52 | Trustee | Lifetime of Trust until removal or resignation; Since 2019 | Rynkar, Vail & Barrett, LLC, since 2018 as Manager – Trusts & Estates; Lee, Nolan & Koroghlian Life Planning Group, 2010-2017 as Financial Advisor | 130 | 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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
(3) Ms. Berkery was elected as a Trustee on November 26, 2019.
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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: 51 | 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: 46 | 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: 44 | 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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
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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 Trust, on behalf of the Direxion Daily S&P 500® High Beta Bull 3X Shares, Direxion Daily S&P 500® High Beta Bear 3X Shares, Direxion Daily Dow Jones Internet Bull 3X Shares, and the Direxion Daily Dow Jones Internet Bear 3X Shares at its May 23, 2019 meeting, 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, the extent to which economies of scale may be realized as the Funds grow and whether the advisory fee enables investors to share in the benefits of economies of scale; and other benefits received by Rafferty from its relationship with the Funds. The Board recognized that the evaluation process with respect to Rafferty was an ongoing one and, in this regard, the Board considered information provide by Rafferty at regularly scheduled meetings during the past year.
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. Based on written materials received, a presentation from senior representatives of Rafferty and a discussion with Rafferty about its personnel, operations and financial condition, the Board considered the quality of the services provided by Rafferty under the Agreement. In this regard, the Board considered information regarding the experience, qualifications and professional background of the portfolio managers and other personnel at Rafferty with principal responsibility for the Funds, as well as the capacity and integrity of Rafferty's senior management and staff. The Board noted that Rafferty has provided services to the Trust since its inception date and has developed an expertise in managing funds with leveraged investment strategies similar to the Funds. The Board considered that Rafferty has the financial resources and appropriate staffing to manage the Funds and to meet its fee waiver and expense obligations to the Funds. The Board considered that Rafferty will oversee all aspects of the operation of the Funds, including oversight of the Funds' service providers, and will provide compliance services to the Funds. The Board observed that because the Funds had not commenced operations, they did not have any prior performance history.
Costs of Services Provided to the Funds and Profits Realized. The Board considered the fairness and reasonableness of the investment advisory fee rates to be paid to Rafferty by the Funds in light of the investment advisory services to be provided by Rafferty. The Board considered the fees to be paid to Rafferty on an annual basis, including pursuant to contractual fee waivers and expense reimbursement arrangements. The Board considered that the proposed advisory fee rates and net expense ratios for the Funds were similar to those of comparable exchange-traded funds and the same as those of other similarly leveraged series of the Trust. The Board also considered that Rafferty agreed to limit the total expenses for each Fund via contractual fee waivers and/or expense limitation agreements.
The Board further considered the overall profitability of Rafferty's investment business and, because the Funds had not commenced operations and Rafferty did not have any prior profit data related to the Funds, the Board considered the break-even analysis provided by Rafferty for each Fund and noted that, as new series of the 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, regulatory compliance, and entrepreneurial risk.
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 contractual fee rates. Noting that the Funds had not yet commenced operations and did not yet have any assets, the Board concluded that economies of scale were not a material factor for the Board to consider in approving the Agreement.
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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 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. The Board also considered the services to be provided by Rafferty and result in Rafferty's clients receiving better execution and the anticipated fees to be paid to Rafferty related to the Management Services Agreement for the Funds.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, and its consideration of information received throughout the year from Rafferty, the Board determined, in the exercise of its business judgment, that the advisory arrangement, as outlined in the Agreement, was fair and reasonable in light of the services performed or to be performed, expenses incurred or to be incurred and such other matters as the Board considered relevant.
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Direxion Shares ETF Trust
Board Review of Liquidity Risk Management Program (Unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule") to promote effective liquidity risk management throughout the open-end investment company industry.
The Board of Trustees (the "Board") of the Direxion Shares ETF Trust, on behalf of the series of the Direxion Shares ETF Trust (the "Funds"), met on November 26, 2019 to review the liquidity risk management program (the "Liquidity Program"). The Board has appointed Rafferty Asset Management, LLC, the investment advisor to certain Funds as the Liquidity Program administrator of each Fund's Liquidity Program. At the meeting, Rafferty Asset Management, LLC provided the Board with a report that addressed the operation of the Funds' Liquidity Program and assessed the adequacy and effectiveness of the implementation of the Liquidity Program, including:
• The Liquidity Program supported each Fund's ability to meet redemption requests timely;
• The Liquidity Program supported Rafferty Asset Management, LLC's management of each Fund's liquidity, including during periods of market volatility and net redemptions;
• No material liquidity issues were identified during the report period;
• There were no material changes to the Liquidity Program during the report period; and
• The Liquidity Program operated adequately during the report period.
The report covered the period from December 1, 2018 through October 31, 2019. The report also described the Liquidity Program's liquidity classification methodology for categorizing a Fund's investment (including derivative transactions) into one of four liquidity buckets as required by the Liquidity Rule. The report provided to the Board stated that the Liquidity Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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SEMI–ANNUAL REPORT APRIL 30, 2020
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:
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• 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, 2020
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
www.portfolioplusetfs.com
STRATEGIC WEIGHT ETFS
Direxion All Cap Insider Sentiment Shares
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Direxion Flight to Safety Strategy ETF (Consolidated)
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Direxion NASDAQ-100® Equal Weighted Index Shares
Direxion S&P 500® High minus Low Quality ETF
Direxion Zacks MLP High Income Index Shares
RELATIVE WEIGHT ETFS
Direxion FTSE Russell International Over US ETF
Direxion FTSE Russell US Over International ETF
Direxion MSCI Developed Over Emerging Markets ETF
Direxion MSCI Emerging Over Developed Markets ETF
Direxion MSCI USA Cyclicals Over Defensives ETF
Direxion MSCI USA Defensives Over Cyclicals 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 | 53 | ||||||
Statements of Operations | 59 | ||||||
Statements of Changes in Net Assets | 65 | ||||||
Financial Highlights | 76 | ||||||
Notes to the Financial Statements | 79 | ||||||
Supplemental Information | 102 | ||||||
Trustees and Officers | 103 | ||||||
Board Review of Investment Advisory Agreement | 106 | ||||||
Board Review of Liquidity Risk Management Program | 108 |
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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, 2019 to April 30, 2020 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period began amidst the enduring backdrop of U.S. and China trade negotiations. News of a phase one trade deal was enough to boost the S&P 500 Index to record levels in the U.S., while emerging markets benefitted from a weaker U.S. Dollar and global central bank easing. As U.S. equity markets began to emerge from a relatively sideways trend that had persisted since mid-summer 2019, Asian and emerging equity markets both benefitted from the reduced geo-political tensions. The formal announcement of a Phase One Trade Agreement in December served to further bolster gains, both at home and abroad, through year-end. The advent of 2020 saw Coronavirus added to the global vernacular. Emerging markets were the first to experience a significant impact from the initial outbreak of Coronavirus, as they traded down in January, while domestic equities traded relatively flat for the month. During a period where U.S. economic growth was on stable footing, and with improving economic data, accommodative central bank policy and the fear of an imminent recession diminishing, the S&P 500 Index closed at a record high on February 19, 2020. Shortly thereafter, markets began to grasp what began as a localized epidemic in China, could turn into a global pandemic that may produce economic shock around the world. U.S. equities responded by trading into correction territory with record speed off the recent highs. By the end of February, comparisons to 2008 were abundant as equity indexes posted their largest weekly losses since the financial crisis. In an effort to bolster the market, the U.S. Senate passed a $2 trillion stimulus package to help offset the effects of staggering job losses and markets that were selling off sharply. Those efforts were enough to spur a bit of optimism, as U.S. equity indexes closed the month off the lows. In April, as social distancing and working from home became the norm, equities began to rebound on hopes of the economy reopening, with signs that lockdowns would soon be ending in some parts of Europe, as well as some states in the U.S..
Fixed income markets began with trade rhetoric and Federal Reserve policy looming in the background. As investors became fearful of an economic slowdown and a drawn out trade war, bond markets rallied, driving yields lower. At the start of the year, the Federal Reserve came forth with a neutral policy stance, leaving trade war rhetoric as the ultimate catalyst for price action. Due to the evolving risks around the COVID-19 pandemic, the Federal Reserve issued two emergency rate cuts in the month of March. The first cut lowered rates 50 bps in preparation for the supply chain shocks overseas. The succeeding 100 bps cut in mid-March was seen as the Federal Reserve's attempt to assist the economy in combatting a recession, as the reality of the virus breached borders. As the Federal Reserve became increasingly accommodative, bull steepening of the yield curve resulted, and investors continued piling into treasuries as the global economic outlook and corporate earnings started to look grim. After pandemic and market correction concerns sent yields plummeting towards the zero bound range, the curve eventually started to flatten out at end of the Semi-Annual Period.
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.
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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 sought investment results, before fees and expenses, that tracked the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index, from November 1, 2019 through February 29, 2019. 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 attempts to reflect positive sentiment among those "insiders" closest to a company's financials and business prospects, such as top management, directors, large institutional holders, and the Wall Street research analysts who follow the company. For the stated period, the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index returned -9.20%, while the Direxion All Cap Insider Sentiment Shares returned -9.51%.
Beginning March 1, 2020, the Direxion All Cap Insider Sentiment Shares seeks investment results, before fees and expenses, that track the S&P Composite 1500® Executive Activity & Analyst Estimate Index. The S&P Composite 1500® Executive Activity & Analyst Estimate Index is designed to identify securities that receive favorable analyst ratings and are being acquired by company insiders, such as top management, directors, and large institutional holders. S&P Dow Jones Indices starts with the universe of securities in the S&P Composite 1500® Index and selects constituents based on the following criteria: (1) positive earnings per share ("EPS") estimates from analysts for the current fiscal year; (2) the percentage of upward revisions by analysts of EPS estimates; (3) the percentage change in the EPS as of the prior month end; (4) the percentage of insiders that have increased their holdings in the past month; and (5) the absolute change in insider holdings as of the prior month end. A security's rank in the Index is calculated as a simple average of each of its above five rankings. The Index selects the top 100 securities by rank and weights them based on float-adjusted market capitalization subject to certain sector and security constraints. In addition, each security weight is capped at 5% with a minimum security weight of 0.05%. The Index is reconstituted and rebalanced monthly. For the stated period, the S&P Composite 1500® Executive Activity & Analyst Estimate Index returned -6.69%, while the Direxion All Cap Insider Sentiment Shares returned -6.72%.
The Direxion All Cap Insider Sentiment Shares began the Semi-Annual Period with large allocations to financial and consumer cyclical stocks. While benefitting from positive performance out of the financial sector, relative underweight exposure to the technology sector held back fund performance a bit, as those stocks were the chief beneficiaries of positive trade headlines with China. Weightings continued to skew heavily to financials into the New Year, as banks underperformed somewhat when compared to the red hot tech sector, as well as communications services stocks. As the market peaked in mid-February, the fund was hurt by its exposure to energy stocks, which traded down heavily on an oil price war. The advent of the Coronavirus pandemic brought about a broad equity market selloff beginning in the second half of February. At that time no equity sector was safe, but the fund had shifted its holdings to a heavier allocation in technology sector stocks compared to previous months, which proved to be beneficial, as tech stocks were not hit as hard as financial stocks during this period. As stocks began to rally a bit in the second half of March, due to efforts by the Federal Reserve and US Senate, the fund benefitted from the move into technology stocks, as well as a recovery in the energy sector. April saw continued gains off the lows, as the fund shifted further into tech stocks, which now stood at roughly equal weighting with financial sectors stocks.
The Direxion Flight to Safety Strategy ETF seeks to provide total returns that exceed the total return of the Solactive Flight to Safety Index over a complete market cycle. The Solactive Flight to Safety Index measures the performance of a volatility-weighted basket of gold, U.S. listed large-capitalization utility stocks, and U.S. treasury bonds with remaining maturities of greater than 20 years. The Index rebalances on a quarterly basis such that the weight of each component (U.S. treasury bonds, utility stocks, and gold) will be based on the contribution of the volatility of each component to the overall Index. The least volatile component of the Index, based on each component's trailing 5 year volatility measure, will receive the largest weighting. The gold component will be limited to 22.5% of the Index and its volatility will be based on the volatility of the spot price of gold. Since the Fund's inception on February 5, 2020, the Solactive Flight to Safety Index returned 3.87%, while the Direxion Flight to Safety Strategy ETF returned 3.34%.
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Since inception on February 5, 2020, the Direxion Flight to Safety Strategy ETF's majority holdings were in fixed income, with the remaining allocation to gold and utility-related investment vehicles. All were a huge catalyst for the performance, which could further be attributed to the bearish equity markets due to the COVID-19 pandemic, as investors continued to enter into safe haven asset classes.
The Direxion MSCI USA ESG – Leaders vs. Laggards ETF seeks investment results, before fees and expenses, that track the MSCI USA ESG Universal Top-Bottom 150/50 Return Spread Index. MSCI USA ESG Universal Top – Bottom 150/50 Return Spread Index seeks to provide long exposure to companies with high environmental, social, and governance ratings and trend relative to their sector peers and short exposure to companies with low ESG performance relative to their sector peers as determined by MSCI. To this end, the Index consists of a portfolio that has 150% long exposure to the MSCI USA ESG Universal Top 100 5% Issuer Capped Index (the "Long Component") and 50% short (or inverse) exposure to the MSCI USA ESG Universal Bottom 100 5% Issuer Capped Index (the "Short Component"). The Index, and both the Long and Short Components are reviewed, reconstituted, and rebalanced on a quarterly basis. Since the Fund's inception on February 5, 2020, the MSCI USA ESG Universal Top-Bottom 150/50 Return Spread Index returned -4.85%, while the Direxion MSCI USA ESG – Leaders vs. Laggards ETF returned -4.85%.
Since inception on February 5, 2020, the Direxion MSCI USA ESG – Leaders vs. Laggards ETF drop in performance was less than the broader market, as measured by the S&P 500 Index. Due to the fund's overweight toward companies with high ESG-ratings, its holdings tend to have less exposure to energy stocks, which was a big help during the first quarter when oil prices plunged. The fund also limits exposure to heavy polluting companies, such as transportation and airline stocks, which were two of the most affected by the COVID-19 upheaval. Moreover, ESG companies run sustainable operations by saving energy, using less raw materials, and managing resources, which allows them to control costs and maintain margins, helping them endure the crisis much better than companies that do not practice sustainability. Since the fund ultimately aims to incorporate a robust approach to ESG-investing, these positive attributes helps explains why it fared better versus the broad market.
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 is the equal weighted version of the NASDAQ-100 Index® which includes approximately 100 of the largest domestic and international non-financial companies listed on the NASDAQ® Stock Market based on market capitalization selected by NASDAQ, Inc., the index provider. Equal weighting is a method of weighting index stocks whereby the same exposure is provided to both the smallest and largest companies included in the Index. The Index is rebalanced quarterly and reconstituted annually. For the Semi-Annual Period, the NASDAQ-100® Equal Weighted Index returned 3.08%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned 2.87%.
The Direxion NASDAQ-100® Equal Weighted Index Shares underperformance, when compared to the NASDAQ-100®, can be attributed to the performance of various securities such as AMZN (39.25%), MSFT (25.77%) and AAPL (18.74%). All have roughly a 1% weight in the fund, while accounting for over 33% of the NASDAQ-100®. The strongest returns for the fund came at the end of the Semi-Annual Period, as performance was backed by an increasingly positive economic sentiment, as fears from the Coronavirus began to taper.
The Direxion S&P 500® High minus Low Quality ETF seeks investment results, before fees and expenses, that track the S&P 500® 150/50 Quality 0.30% Decrement Index. The S&P 500® 150/50 Quality 0.30% Decrement Index seeks to measure the performance of a portfolio of long positions in high quality stocks and short positions in low quality stocks, as determined by S&P Dow Jones Indices, LLC. To this end, the Index consists of a portfolio that has 150% long exposure to the S&P 500® Quality Index (the "Long Component") and 50% short (or inverse) exposure to the S&P 500® Quality – Lowest Quintile Index (the "Short Component"). The Long Component is comprised of stocks selected from the S&P 500® based on their quality score as defined by the Index Provider. The Short Component is comprised of stocks selected from the S&P 500® with the lowest quality scores. Since the Fund's inception on February 5, 2020, the S&P 500® 150/50 Quality 0.30% Decrement Index returned -4.85%, while the Direxion S&P 500® High minus Low Quality ETF returned -4.92%.
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Since inception on February 5, 2020, the Direxion S&P 500® High minus Low Quality ETF's three largest holdings were AAPL, V and JNJ, making up 16.68% of the fund. Due to this, and despite launching during the peak of the Coronavirus outbreak, the fund was able to outperform the S&P 500 through the end of the Semi-Annual Period.
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 -38.09%, while the Direxion Zacks MLP High Income Index Shares returned -37.79%.
Throughout the Semi-Annual Period, the Direxion Zacks MLP High Income Index Shares struggled along with the larger MLP space, primarily due to the historic collapse in crude oil. Crude oil fell 34.92% from the highs on January 7 through March 6. Due to the COVID-19 pandemic, crude fell another 60.55% through April 20, the biggest drop since the 2008 financial crisis. The WTI crude oil futures contract price at one point reached $-37.63 a barrel, caused by an unprecedented drop in demand for oil and uncertainty in the global economic health. Since the last rebalance on February 4, 2020, the Fund was heavily invested in midstream and downstream names with Hess Midstream LP (HESM) being the only upstream holding.
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 12 different commodity futures contracts, or "components", which cover the energy, metal, and agricultural sectors. It attempts to incorporate dynamic risk management and contract rolling methods. For the Semi-Annual Period, the Auspice Broad Commodity Index returned -9.91%, while the Direxion Auspice Broad Commodity Strategy ETF returned -8.90%.
The Direxion Auspice Broad Commodity Strategy ETF began the Semi-Annual Period long gold, silver and wheat, before also going long sugar in December. The fund also entered a long position in copper in the first half of December, leaving it diversified among metals, grains and softs, with the notable exception being a lack of exposure to any of the four possible energy contracts. After going long cotton in mid-December, the fund saw its first exposure to energy in the form on RBOB gasoline in late December, and ended up trading slightly positive for the last two months of 2019. Late January saw the fund long 9 of 12 possible contracts, the highest number of long positions it would see during the Semi-Annual Period. Subsequently, the term Coronavirus would enter the national diction. With economies going into lockdown, people were driving less, flying less and generally putting less demand on commodities, particularly those in the energy sector, but also industrial metals such as copper. By the end of February the fund had no exposure to energy, having sold out of crude and RBOB gasoline earlier in the month, and sold out of cotton on the final day of the month. As the broader equity markets were selling off precipitously in March, the fund exited all exposures prior to month end. The fund ended the Semi-Annual Period adding gold back to the portfolio, as the metals sector seemed to find a bottom in the first part of April, but ultimately consolidated in the latter half.
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
DIREXION SEMI-ANNUAL REPORT
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express an international over domestic investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. For the Semi-Annual Period, the FTSE All-World ex US/Russell 1000® 150/50 Net Spread Index returned -17.95%, while the Direxion FTSE Russell International Over US ETF returned -19.16%.
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. For the Semi-Annual Period, the Russell 1000/FTSE All-World ex US 150/50 Net Spread Index returned 1.27%, while the Direxion FTSE Russell US Over International ETF returned 1.48%.
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. For the Semi-Annual Period, the MSCI EAFE IMI – Emerging Markets IMI 150/50 Return Spread Index returned -16.07%, while the Direxion MSCI Developed Over Emerging Markets ETF returned -16.57%.
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. For the Semi-Annual Period, the MSCI Emerging Markets IMI – EAFE IMI 150/50 Return Spread Index returned -10.03%, while the Direxion MSCI Emerging Over Developed Markets ETF returned -12.02%.
The Direxion MSCI USA 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. For the Semi-Annual Period, the MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index returned -3.41%, while the Direxion MSCI Cyclicals Over Defensives ETF returned -3.56%.
The Direxion MSCI USA 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
DIREXION SEMI-ANNUAL REPORT
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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 defensives over cyclicals investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. For the Semi-Annual Period, the MSCI USA Defensive Sectors – USA Cyclical Sectors 150/50 Return Spread Index returned -2.93%, while the Direxion MSCI Defensives Over Cyclicals ETF returned -2.98%
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. For the Semi-Annual Period, the Russell 1000® Growth/Value 150/50 Net Spread Index returned 16.96%, while the Direxion Russell 1000® Growth Over Value ETF returned 16.52%.
The Direxion Russell 1000® Value Over Growth ETF seeks investment results, before fees and expenses, that track the Russell 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. For the Semi-Annual Period, the Russell 1000® Value/Growth 150/50 Net Spread Index returned -22.57%, while the Direxion Russell 1000® Value Over Growth ETF returned -22.83%.
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% 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. For the Semi-Annual Period, the Russell 1000®/Russell 2000® 150/50 Net Spread Index returned 2.43%, while the Direxion Russell Large Over Small Cap ETF returned 2.17%.
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. For the Semi-Annual Period, the Russell 2000®/Russell 1000® 150/50 Net Spread Index returned -21.35%, while the Direxion Russell Small Over Large Cap ETF returned -21.47%.
PortfolioPlus 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 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.
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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 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.
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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 – Equity ETFs are positively impacted by equity and index dividends as the ETFs receive those 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 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. 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 Semi-Annual Period, the FTSE Developed All Cap ex U.S. Index returned -14.62%. 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 Fund. The PortfolioPlus Developed Markets ETF returned -21.16% for the same period, while the model indicated an expected return of -20.74%.
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 Semi-Annual Period, the FTSE Emerging Index returned -13.97%. 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 -20.35% for the same period, while the model indicated an expected return of -20.02%.
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 Semi-Annual Period, the S&P 500® Index returned -3.16%. 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 -7.00%, while the model indicated an expected return of -6.41%.
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 Semi-Annual Period, the S&P Mid Cap 400® Index returned -15.02%. 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 -22.66% for the same period, while the model indicated an expected return of -22.15%.
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 is a float-adjusted market capitalization weighted index that attempts to measure the performance of 600 small-capitalization companies in the U.S. 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 Semi-Annual Period, the S&P Small Cap 600® Index returned -19.42%. 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 Fund. The PortfolioPlus S&P® Small Cap ETF returned -27.99%, while the model indicated an expected return of -27.71%.
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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 |
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 direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
Investing in a Direxion Shares ETF may be more volatile than investing in broadly diversified funds. The use of leverage by an ETF increases the risk to the ETF. The Direxion Shares 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 Direxion Shares ETFs 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.
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Fund's website at direxion.com.
Short-term performance, in particular, is not a good indication of the fund's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. For additional information, see the fund's prospectus.
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 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
DIREXION SEMI-ANNUAL REPORT
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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 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 April 30, 2020 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
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Expense Example (Unaudited)
April 30, 2020
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, 2019 to April 30, 2020).
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, 2019 to April 30, 2020" 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, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 2020* | ||||||||||||||||
Direxion All Cap Insider Sentiment Shares | |||||||||||||||||||
Based on actual fund return | 0.59 | % | $ | 1,000.00 | $ | 844.10 | $ | 2.71 | |||||||||||
Based on hypothetical 5% return | 0.59 | % | 1,000.00 | 1,021.93 | 2.97 | ||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||
Based on actual fund return | 0.70 | % | 1,000.00 | 911.00 | 3.33 | ||||||||||||||
Based on hypothetical 5% return | 0.70 | % | 1,000.00 | 1,021.38 | 3.52 | ||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated)1 | |||||||||||||||||||
Based on actual fund return | 0.30 | % | 1,000.00 | 1,033.40 | 0.72 | ||||||||||||||
Based on hypothetical 5% return | 0.30 | % | 1,000.00 | 1,011.04 | 0.71 | ||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF1 | |||||||||||||||||||
Based on actual fund return | 0.40 | % | 1,000.00 | 951.50 | 0.92 | ||||||||||||||
Based on hypothetical 5% return | 0.40 | % | 1,000.00 | 1,010.81 | 0.94 | ||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||
Based on actual fund return | 0.35 | % | 1,000.00 | 1,028.70 | 1.77 | ||||||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,023.12 | 1.76 |
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Expense Example (Unaudited)
April 30, 2020
Annualized Expense Ratio | Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 2020* | ||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF1 | |||||||||||||||||||
Based on actual fund return | 0.35 | % | $ | 1,000.00 | $ | 950.80 | $ | 0.80 | |||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,010.93 | 0.83 | ||||||||||||||
Direxion Zacks MLP High Income Index Shares | |||||||||||||||||||
Based on actual fund return | 0.65 | % | 1,000.00 | 622.10 | 2.62 | ||||||||||||||
Based on hypothetical 5% return | 0.65 | % | 1,000.00 | 1,021.63 | 3.27 | ||||||||||||||
Direxion FTSE Russell International Over US ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 808.40 | 2.02 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.63 | 2.26 | ||||||||||||||
Direxion FTSE Russell US Over International ETF | |||||||||||||||||||
Based on actual fund return | 0.48 | % | 1,000.00 | 1,014.80 | 2.40 | ||||||||||||||
Based on hypothetical 5% return | 0.48 | % | 1,000.00 | 1,022.48 | 2.41 | ||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | |||||||||||||||||||
Based on actual fund return | 0.49 | % | 1,000.00 | 834.30 | 2.23 | ||||||||||||||
Based on hypothetical 5% return | 0.49 | % | 1,000.00 | 1,022.43 | 2.46 | ||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 879.80 | 2.10 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.63 | 2.26 | ||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | |||||||||||||||||||
Based on actual fund return | 0.49 | % | 1,000.00 | 964.40 | 2.39 | ||||||||||||||
Based on hypothetical 5% return | 0.49 | % | 1,000.00 | 1,022.43 | 2.46 | ||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | |||||||||||||||||||
Based on actual fund return | 0.47 | % | 1,000.00 | 970.20 | 2.30 | ||||||||||||||
Based on hypothetical 5% return | 0.47 | % | 1,000.00 | 1,022.53 | 2.36 | ||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | |||||||||||||||||||
Based on actual fund return | 0.48 | % | 1,000.00 | 1,165.20 | 2.58 | ||||||||||||||
Based on hypothetical 5% return | 0.48 | % | 1,000.00 | 1,022.48 | 2.41 | ||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | |||||||||||||||||||
Based on actual fund return | 0.47 | % | 1,000.00 | 771.70 | 2.07 | ||||||||||||||
Based on hypothetical 5% return | 0.47 | % | 1,000.00 | 1,022.53 | 2.36 | ||||||||||||||
Direxion Russell Large Over Small Cap ETF | |||||||||||||||||||
Based on actual fund return | 0.50 | % | 1,000.00 | 1,021.70 | 2.51 | ||||||||||||||
Based on hypothetical 5% return | 0.50 | % | 1,000.00 | 1,022.38 | 2.51 | ||||||||||||||
Direxion Russell Small Over Large Cap ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 785.30 | 2.00 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.63 | 2.26 | ||||||||||||||
PortfolioPlus Developed Markets ETF | |||||||||||||||||||
Based on actual fund return | 0.46 | % | 1,000.00 | 788.40 | 2.05 | ||||||||||||||
Based on hypothetical 5% return | 0.46 | % | 1,000.00 | 1,022.58 | 2.31 | ||||||||||||||
PortfolioPlus Emerging Markets ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 796.50 | 2.01 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.63 | 2.26 | ||||||||||||||
PortfolioPlus S&P 500® ETF | |||||||||||||||||||
Based on actual fund return | 0.34 | % | 1,000.00 | 930.00 | 1.63 | ||||||||||||||
Based on hypothetical 5% return | 0.34 | % | 1,000.00 | 1,023.17 | 1.71 | ||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | |||||||||||||||||||
Based on actual fund return | 0.38 | % | 1,000.00 | 773.40 | 1.68 | ||||||||||||||
Based on hypothetical 5% return | 0.38 | % | 1,000.00 | 1,022.97 | 1.91 | ||||||||||||||
PortfolioPlus S&P® Small Cap ETF | |||||||||||||||||||
Based on actual fund return | 0.35 | % | 1,000.00 | 720.10 | 1.50 | ||||||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,023.12 | 1.76 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 days (the number of days in the period of November 1, 2019 to April 30, 2020), then divided by 366.
1 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from February 5, 2020 (commencement of operations) to April 30, 2020, multiplied by 86 days (the number of days since commencement of operations to April 30, 2020), then divided by 366.
DIREXION SEMI-ANNUAL REPORT
15
Allocation of Portfolio Holdings (Unaudited)
April 30, 2020
Cash* | Common Stocks | Master Limited Partnerships | Investment Companies | Futures | Swaps | Total | |||||||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | 1 | % | 99 | % | — | — | — | — | 100 | % | |||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 100 | % | — | — | — | 0 | %** | — | 100 | % | |||||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 5 | % | 29 | % | — | 66 | % | 0 | %** | — | 100 | % | |||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 4 | % | 92 | % | — | — | — | 4 | % | 100 | % | ||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0 | %** | 100 | % | — | — | — | — | 100 | % | |||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 13 | % | 96 | % | — | — | — | (9 | )% | 100 | % | ||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | 2 | % | — | 98 | % | — | — | — | 100 | % | |||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | 12 | % | — | — | 95 | % | — | (7 | )% | 100 | % | ||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | 13 | % | — | — | 95 | % | — | (8 | )% | 100 | % | ||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 19 | % | — | — | 95 | % | — | (14 | )% | 100 | % | ||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 17 | % | — | — | 95 | % | — | (12 | )% | 100 | % | ||||||||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 7 | % | 96 | % | — | — | — | (3 | )% | 100 | % | ||||||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 16 | % | 95 | % | — | — | — | (11 | )% | 100 | % | ||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 10 | % | — | — | 96 | % | — | (6 | )% | 100 | % | ||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 15 | % | — | — | 99 | % | — | (14 | )% | 100 | % | ||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | 16 | % | — | — | 95 | % | — | (11 | )% | 100 | % | ||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | 17 | % | — | — | 95 | % | — | (12 | )% | 100 | % | ||||||||||||||||||||
PortfolioPlus Developed Markets ETF | 1 | % | — | — | 98 | % | — | 1 | % | 100 | % | ||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | 4 | % | — | — | 97 | % | — | (1 | )% | 100 | % | ||||||||||||||||||||
PortfolioPlus S&P 500® ETF | (1 | )% | — | — | 100 | % | — | 1 | % | 100 | % | ||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 2 | % | — | — | 96 | % | — | 2 | % | 100 | % | ||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 0 | %** | — | — | 98 | % | — | 2 | % | 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, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.3% | |||||||||||
Accommodation - 0.1% | |||||||||||
7,478 | Summit Hotel Properties, Inc. | $ | 45,317 | ||||||||
Administrative and Support Services - 0.6% | |||||||||||
2,378 | Cardtronics PLC (a) | 54,456 | |||||||||
2,298 | ManTech International Corp. | 171,339 | |||||||||
3,271 | PRA Group, Inc. (a) | 90,738 | |||||||||
1,087 | TTEC Holdings, Inc. | 42,371 | |||||||||
358,904 | |||||||||||
Air Transportation - 0.1% | |||||||||||
1,971 | Atlas Air Worldwide Holdings, Inc. (a) | 64,747 | |||||||||
Ambulatory Health Care Services - 2.4% | |||||||||||
12,860 | DaVita, Inc. (a) | 1,016,069 | |||||||||
2,644 | LHC Group, Inc. (a) | 343,693 | |||||||||
1,359,762 | |||||||||||
Broadcasting (except Internet) - 4.5% | |||||||||||
1,333 | Cable One, Inc. | 2,549,842 | |||||||||
Chemical Manufacturing - 16.4% | |||||||||||
46,479 | Bristol-Myers Squibb Co. | 2,826,388 | |||||||||
14,955 | Clorox Co. | 2,788,210 | |||||||||
30,854 | Incyte Corp. (a) | 3,013,202 | |||||||||
2,751 | Kraton Performance Polymers, Inc. (a) | 42,943 | |||||||||
2,454 | Lantheus Holdings, Inc. (a) | 32,025 | |||||||||
1,153 | Ligand Pharmaceuticals, Inc. (a)(b) | 113,651 | |||||||||
3,976 | United Therapeutics Corp. (a) | 435,610 | |||||||||
909 | USANA Health Sciences, Inc. (a) | 81,101 | |||||||||
9,333,130 | |||||||||||
Computer and Electronic Product Manufacturing - 8.7% | |||||||||||
1,930 | DSP Group, Inc. (a) | 33,293 | |||||||||
45,904 | Intel Corp. | 2,753,322 | |||||||||
863 | Universal Electronics, Inc. (a) | 35,625 | |||||||||
45,538 | Western Digital Corp. | 2,098,391 | |||||||||
3,516 | Xperi Corp. | 53,724 | |||||||||
4,974,355 | |||||||||||
Credit Intermediation and Related Activities - 0.6% | |||||||||||
1,819 | Encore Capital Group, Inc. (a) | 47,258 | |||||||||
29,719 | New York Community Bancorp, Inc. | 322,748 | |||||||||
370,006 | |||||||||||
Data Processing, Hosting and Related Services - 0.5% | |||||||||||
2,855 | Blucora, Inc. (a) | 40,170 | |||||||||
6,329 | CoreLogic, Inc. | 243,160 | |||||||||
283,330 | |||||||||||
Educational Services - 0.1% | |||||||||||
5,774 | Perdoceo Education Corp. (a) | 75,062 | |||||||||
Fabricated Metal Product Manufacturing - 0.4% | |||||||||||
6,650 | Silgan Holdings, Inc. | 229,425 | |||||||||
Food and Beverage Stores - 0.4% | |||||||||||
10,371 | Sprouts Farmers Market, Inc. (a) | 215,509 | |||||||||
Food Manufacturing - 6.2% | |||||||||||
5,057 | B&G Foods, Inc. (b) | 98,207 | |||||||||
1,504 | Sanderson Farms, Inc. | 204,755 |
Shares | Fair Value | ||||||||||
Food Manufacturing (continued) | |||||||||||
99,100 | The Kraft Heinz Co. | $ | 3,005,703 | ||||||||
4,796 | TreeHouse Foods, Inc. (a) | 248,097 | |||||||||
3,556,762 | |||||||||||
Food Services and Drinking Places - 0.1% | |||||||||||
2,093 | Chuy's Holding, Inc. (a) | 35,079 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
3,590 | ARMOUR Residential REIT, Inc. | 31,736 | |||||||||
Heavy and Civil Engineering Construction - 0.3% | |||||||||||
4,638 | Mastec, Inc. (a) | 166,504 | |||||||||
1,119 | MYR Group, Inc. (a) | 33,570 | |||||||||
200,074 | |||||||||||
Hospitals - 0.3% | |||||||||||
7,644 | Tenet Healthcare Corp. (a) | 154,256 | |||||||||
Insurance Carriers and Related Activities - 6.8% | |||||||||||
5,352 | American Equity Investment Life Holding Co. | 112,499 | |||||||||
5,114 | American Financial Group, Inc. | 338,751 | |||||||||
13,965 | Arthur J. Gallagher & Co. | 1,096,253 | |||||||||
9,256 | Molina Healthcare, Inc. (a) | 1,517,706 | |||||||||
2,851 | Primerica, Inc. | 296,248 | |||||||||
3,324 | RenaissanceRe Holdings Ltd. | 485,337 | |||||||||
3,189 | United Insurance Holdings Corp. | 27,266 | |||||||||
3,874,060 | |||||||||||
Leather and Allied Product Manufacturing - 0.7% | |||||||||||
2,662 | Deckers Outdoor Corp. (a) | 395,999 | |||||||||
Machinery Manufacturing - 0.3% | |||||||||||
2,130 | CONMED Corp. | 157,428 | |||||||||
Merchant Wholesalers, Durable Goods - 2.5% | |||||||||||
2,803 | Foundation Building Materials, Inc. (a) | 32,795 | |||||||||
2,543 | GMS, Inc. (a) | 46,741 | |||||||||
5,781 | Huntington Ingalls Industries, Inc. | 1,106,541 | |||||||||
2,377 | InterDigital, Inc. | 137,319 | |||||||||
5,633 | Sunrun, Inc. (a) | 79,031 | |||||||||
1,402,427 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.3% | |||||||||||
3,283 | United Natural Foods, Inc. (a) | 34,931 | |||||||||
5,177 | World Fuel Services Corp. | 129,425 | |||||||||
164,356 | |||||||||||
Miscellaneous Manufacturing - 1.3% | |||||||||||
1,704 | ICU Medical, Inc. (a) | 373,704 | |||||||||
2,736 | Luminex Corp. | 98,633 | |||||||||
4,158 | Merit Medical Systems, Inc. (a) | 169,729 | |||||||||
3,349 | Scientific Games Corp. Class A (a) | 42,231 | |||||||||
3,914 | Vista Outdoor, Inc. (a) | 39,610 | |||||||||
723,907 | |||||||||||
Miscellaneous Store Retailers - 0.2% | |||||||||||
43,679 | Office Depot, Inc. | 96,967 | |||||||||
Nonstore Retailers - 5.7% | |||||||||||
82,016 | eBay, Inc. | 3,266,697 | |||||||||
Nursing and Residential Care Facilities - 0.3% | |||||||||||
4,517 | The Ensign Group, Inc. | 168,981 |
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, 2020
Shares | Fair Value | ||||||||||
Oil and Gas Extraction - 0.1% | |||||||||||
2,627 | Renewable Energy Group, Inc. (a) | $ | 65,176 | ||||||||
Other Information Services - 0.5% | |||||||||||
3,726 | J2 Global, Inc. | 300,465 | |||||||||
Paper Manufacturing - 0.1% | |||||||||||
1,346 | Clearwater Paper Corp. (a) | 32,223 | |||||||||
Primary Metal Manufacturing - 0.3% | |||||||||||
2,155 | Gibraltar Industries, Inc. (a) | 99,777 | |||||||||
1,061 | Kaiser Aluminum Corp. | 76,636 | |||||||||
176,413 | |||||||||||
Professional, Scientific, and Technical Services - 7.7% | |||||||||||
2,484 | CACI International, Inc. Class A (a) | 621,348 | |||||||||
4,731 | Exponent, Inc. | 332,731 | |||||||||
3,664 | FTI Consulting, Inc. (a) | 466,647 | |||||||||
23,723 | Leidos Holdings, Inc. | 2,344,070 | |||||||||
35,409 | Nielsen Holdings PLC | 521,575 | |||||||||
2,699 | Sykes Enterprises, Inc. (a) | 77,272 | |||||||||
4,363,643 | |||||||||||
Publishing Industries (except Internet) - 5.9% | |||||||||||
27,805 | Akamai Technologies, Inc. (a) | 2,716,827 | |||||||||
5,441 | Manhattan Associates, Inc. (a) | 385,984 | |||||||||
25,748 | Tegna, Inc. | 276,019 | |||||||||
3,378,830 | |||||||||||
Real Estate - 5.2% | |||||||||||
7,240 | CareTrust REIT, Inc. | 119,315 | |||||||||
8,901 | Corporate Office Properties Trust | 235,164 | |||||||||
6,826 | Essential Properties Realty Trust, Inc. | 100,274 | |||||||||
5,118 | Jones Lang LaSalle, Inc. | 540,359 | |||||||||
5,341 | Life Storage, Inc. | 467,818 | |||||||||
2,809 | LTC Properties, Inc. | 100,000 | |||||||||
71,906 | Medical Properties Trust, Inc. | 1,232,469 | |||||||||
21,219 | New York Mortgage Trust, Inc. | 46,257 | |||||||||
6,599 | PennyMac Mortgage Investment Trust | 68,630 | |||||||||
1,642 | Walker & Dunlop, Inc. | 63,102 | |||||||||
2,973,388 | |||||||||||
Rental and Leasing Services - 0.1% | |||||||||||
2,058 | Enova International, Inc. (a) | 33,010 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 10.1% | |||||||||||
14,959 | CME Group, Inc. | 2,665,843 | |||||||||
31,724 | IntercontinentalExchange, Inc. | 2,837,712 | |||||||||
4,720 | Legg Mason, Inc. | 235,198 | |||||||||
5,738,753 | |||||||||||
Specialty Trade Contractors - 0.6% | |||||||||||
2,755 | Comfort Systems USA, Inc. | 91,742 | |||||||||
2,717 | TopBuild Corp. (a) | 253,197 | |||||||||
344,939 | |||||||||||
Telecommunications - 0.4% | |||||||||||
11,363 | Telephone & Data Sys, Inc. | 222,942 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing - 0.4% | |||||||||||
1,424 | AeroVironment, Inc. (a) | $ | 85,810 | ||||||||
2,781 | Fox Factory Holding Corp. (a) | 141,859 | |||||||||
227,669 | |||||||||||
Utilities - 8.0% | |||||||||||
3,755 | Black Hills Corp. | 232,585 | |||||||||
24,754 | Eversource Energy | 1,997,648 | |||||||||
39,413 | FirstEnergy Corp. | 1,626,574 | |||||||||
15,106 | NRG Energy, Inc. | 506,504 | |||||||||
4,720 | PNM Resources, Inc. | 191,113 | |||||||||
4,554,424 | |||||||||||
TOTAL COMMON STOCKS (Cost $56,239,866) | $ | 56,499,993 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
120,472 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 120,472 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $120,472) | $ | 120,472 | |||||||||
TOTAL INVESTMENTS (Cost $56,360,338) - 99.5% | $ | 56,620,465 | |||||||||
Other Assets in Excess of Liabilities - 0.5% | 288,656 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 56,909,121 |
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, 2020.
(d) 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
18
Direxion Auspice Broad Commodity Strategy ETF
Consolidated Schedule of Investments (Unaudited)
April 30, 2020
Fair Value | |||||||||||
No reportable investments. | |||||||||||
TOTAL INVESTMENTS (Cost $—) - 0.0% | $ | — | |||||||||
Other Assets in Excess of Liabilities - 100.0% (a) | 34,160,763 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 34,160,763 |
Percentages are stated as a percent of net assets.
(a) $140,910 of cash is pledged as collateral for futures contracts.
Long Futures Contracts (Unaudited)
April 30, 2020
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable/ (Payable), Net | Unrealized Appreciation | ||||||||||||||||||
Gold | 7/28/2020 | 14 | $ | 2,381,400 | $ | (25,480 | ) | $ | 25,427 |
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 Flight to Safety Strategy ETF
Consolidated Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 28.8% | |||||||||||
Utilities - 28.8% | |||||||||||
2,559 | Alliant Energy Corp. | $ | 124,240 | ||||||||
2,569 | Ameren Corp. | 186,895 | |||||||||
5,185 | American Electric Power Co., Inc. | 430,925 | |||||||||
1,895 | American Water Works Co., Inc. | 230,603 | |||||||||
1,269 | Atmos Energy Corp. | 129,400 | |||||||||
583 | Avangrid, Inc. | 25,069 | |||||||||
5,249 | CenterPoint Energy, Inc. | 89,391 | |||||||||
2,968 | CMS Energy Corp. | 169,443 | |||||||||
3,486 | Consolidated Edison, Inc. | 274,697 | |||||||||
8,680 | Dominion Energy, Inc. | 669,488 | |||||||||
2,006 | DTE Energy Co. | 208,102 | |||||||||
7,651 | Duke Energy Corp. | 647,734 | |||||||||
3,765 | Edison International | 221,043 | |||||||||
2,085 | Entergy Corp. | 199,138 | |||||||||
2,386 | Evergy, Inc. | 139,414 | |||||||||
3,392 | Eversource Energy | 273,734 | |||||||||
10,171 | Exelon Corp. | 377,141 | |||||||||
5,659 | FirstEnergy Corp. | 233,547 | |||||||||
5,121 | NextEra Energy, Inc. | 1,183,566 | |||||||||
3,909 | NiSource, Inc. | 98,155 | |||||||||
1,178 | Pinnacle West Capital Corp. | 90,694 | |||||||||
7,591 | PPL Corp. | 192,963 | |||||||||
5,302 | Public Service Enterprise Group, Inc. | 268,864 | |||||||||
2,957 | Sempra Energy | 366,225 | |||||||||
11,001 | Southern Co. | 624,087 |
Shares | Fair Value | ||||||||||
Utilities (continued) | |||||||||||
2,179 | UGI Corp. | $ | 65,762 | ||||||||
3,306 | WEC Energy Group, Inc. | 299,357 | |||||||||
5,493 | Xcel Energy, Inc. | 349,135 | |||||||||
TOTAL COMMON STOCKS (Cost $9,611,963) | $ | 8,168,812 | |||||||||
INVESTMENT COMPANIES - 66.5% | |||||||||||
81,051 | iShares 20+ Year Treasury Bond ETF (a) | $ | 13,514,444 | ||||||||
330,600 | iShares Gold Trust (a) | 5,325,966 | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $16,745,325) | $ | 18,840,410 | |||||||||
TOTAL INVESTMENTS (Cost $26,357,288) - 95.3% | $ | 27,009,222 | |||||||||
Other Assets in Excess of Liabilities - 4.7% (b) | 1,338,593 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 28,347,815 |
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) $80,520 of cash is pledged as collateral for futures contracts.
Long Futures Contracts (Unaudited)
April 30, 2020
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable/ (Payable), Net | Unrealized Appreciation | ||||||||||||||||||
Gold | 7/28/2020 | 8 | $ | 1,355,360 | $ | (15,360 | ) | $ | 22,130 |
All futures contracts held by Direxion FTS Fund Ltd. See Note 1.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 91.6% | |||||||||||
Accommodation - 0.2% | |||||||||||
170 | Vail Resorts, Inc. | $ | 29,070 | ||||||||
Administrative and Support Services - 2.9% | |||||||||||
907 | Accenture PLC Class A ADR (Ireland) | 167,967 | |||||||||
227 | FactSet Research System, Inc. | 62,425 | |||||||||
1,102 | IHS Markit Ltd. | 74,165 | |||||||||
829 | Iron Mountain, Inc. | 20,045 | |||||||||
336 | Robert Half International, Inc. | 15,883 | |||||||||
340,485 | |||||||||||
Ambulatory Health Care Services - 0.3% | |||||||||||
354 | Quest Diagnostics, Inc. | 38,979 | |||||||||
Apparel Manufacturing - 1.0% | |||||||||||
1,520 | Hanesbrands, Inc. | 15,109 | |||||||||
312 | PVH Corp. | 15,360 | |||||||||
1,427 | V F Corp. | 82,908 | |||||||||
113,377 | |||||||||||
Beverage and Tobacco Product Manufacturing - 3.4% | |||||||||||
4,351 | Coca-Cola Co. | 199,668 | |||||||||
203 | Molson Coors Brewing Co. Class B | 8,325 | |||||||||
1,491 | PepsiCo, Inc. | 197,244 | |||||||||
405,237 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 4.7% | |||||||||||
2,525 | The Home Depot, Inc. | 555,071 | |||||||||
Chemical Manufacturing - 13.1% | |||||||||||
2,903 | Abbott Laboratories | 267,337 | |||||||||
2,428 | AbbVie, Inc. | 199,582 | |||||||||
1,561 | Amgen, Inc. | 373,422 | |||||||||
134 | Clorox Co. | 24,983 | |||||||||
870 | Colgate-Palmolive Co. | 61,135 | |||||||||
422 | International Flavors & Fragrances, Inc. | 55,295 | |||||||||
366 | Kimberly-Clark Corp. | 50,684 | |||||||||
2,666 | Procter & Gamble Co. | 314,241 | |||||||||
675 | Vertex Pharmaceuticals, Inc. (a) | 169,560 | |||||||||
194 | West Pharmaceutical Services, Inc. | 36,716 | |||||||||
1,552,955 | |||||||||||
Clothing and Clothing Accessories Stores - 0.5% | |||||||||||
941 | Gap, Inc. | 7,641 | |||||||||
454 | Tiffany & Co. | 57,431 | |||||||||
65,072 | |||||||||||
Computer and Electronic Product Manufacturing - 10.0% | |||||||||||
813 | Agilent Technologies, Inc. | 62,325 | |||||||||
1,027 | Danaher Corp. | 167,874 | |||||||||
1,080 | Ecolab, Inc. | 208,980 | |||||||||
225 | IDEXX Laboratories, Inc. (a) | 62,460 | |||||||||
1,265 | International Business Machines Corp. | 158,833 | |||||||||
268 | Keysight Technologies, Inc. (a) | 25,934 | |||||||||
830 | NVIDIA Corp. | 242,592 | |||||||||
1,335 | Texas Instruments, Inc. | 154,954 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
693 | Trane Technologies PLC (Ireland) | $ | 60,582 | ||||||||
356 | Trimble, Inc. (a) | 12,328 | |||||||||
169 | Waters Corp. (a) | 31,603 | |||||||||
1,188,465 | |||||||||||
Credit Intermediation and Related Activities - 5.2% | |||||||||||
4,161 | American Express Co. | 379,691 | |||||||||
1,204 | Northern Trust Corp. | 95,309 | |||||||||
2,175 | State Street Corp. | 137,112 | |||||||||
612,112 | |||||||||||
Data Processing, Hosting and Related Services - 0.1% | |||||||||||
1,386 | Hewlett Packard Enterprise Co. | 13,943 | |||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.5% | |||||||||||
269 | Allegion PLC ADR (Ireland) | 27,045 | |||||||||
478 | TE Connectivity Ltd. (Switzerland) | 35,114 | |||||||||
62,159 | |||||||||||
Electronics and Appliance Stores - 0.7% | |||||||||||
997 | Best Buy Co., Inc. | 76,500 | |||||||||
Fabricated Metal Product Manufacturing - 0.2% | |||||||||||
879 | Axalta Coating Systems Ltd. (a) | 17,351 | |||||||||
Food Manufacturing - 0.6% | |||||||||||
151 | Bunge Ltd. | 5,990 | |||||||||
177 | Campbell Soup Co. | 8,846 | |||||||||
646 | General Mills, Inc. | 38,689 | |||||||||
273 | Kellogg Co. | 17,882 | |||||||||
71,407 | |||||||||||
Insurance Carriers and Related Activities - 3.5% | |||||||||||
416 | Anthem, Inc. | 116,784 | |||||||||
3,019 | Marsh & McLennan Companies, Inc. | 293,839 | |||||||||
410,623 | |||||||||||
Machinery Manufacturing - 2.7% | |||||||||||
1,319 | Applied Materials, Inc. | 65,528 | |||||||||
1,513 | Baker Hughes, a GE Co. | 21,106 | |||||||||
421 | Cummins, Inc. | 68,834 | |||||||||
611 | Ingersoll Rand, Inc. (a) | 17,768 | |||||||||
207 | Lam Research Corp. | 52,843 | |||||||||
64 | Mettler-Toledo International, Inc. (a) | 46,076 | |||||||||
989 | TechnipFMC PLC | 8,812 | |||||||||
521 | Xylem, Inc. | 37,460 | |||||||||
318,427 | |||||||||||
Merchant Wholesalers, Durable Goods - 5.3% | |||||||||||
1,663 | 3M Co. | 252,643 | |||||||||
386 | Henry Schein, Inc. (a) | 21,060 | |||||||||
2,067 | Honeywell International, Inc. | 293,307 | |||||||||
2,231 | Johnson Controls International PLC ADR (Ireland) | 64,945 | |||||||||
631,955 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.1% | |||||||||||
768 | Cardinal Health, Inc. | 38,001 | |||||||||
581 | Illinois Tool Works, Inc. | 94,412 | |||||||||
132,413 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Miscellaneous Manufacturing - 2.3% | |||||||||||
6,746 | Amcor PLC (United Kingdom) | $ | 60,511 | ||||||||
548 | Edwards Lifesciences Corp. (a) | 119,190 | |||||||||
546 | Hasbro, Inc. | 39,427 | |||||||||
378 | ResMed, Inc. | 58,711 | |||||||||
277,839 | |||||||||||
Nonmetallic Mineral Product Manufacturing - 0.1% | |||||||||||
315 | Owens Corning | 13,658 | |||||||||
Nonstore Retailers - 0.3% | |||||||||||
132 | W.W. Grainger, Inc. | 36,377 | |||||||||
Other Information Services - 4.6% | |||||||||||
199 | Alphabet, Inc. Class A (a) | 267,993 | |||||||||
206 | Alphabet, Inc. Class C (a) | 277,824 | |||||||||
545,817 | |||||||||||
Petroleum and Coal Products Manufacturing - 3.0% | |||||||||||
2,752 | Chevron Corp. | 253,184 | |||||||||
2,555 | ConocoPhillips | 107,566 | |||||||||
360,750 | |||||||||||
Professional, Scientific, and Technical Services - 0.1% | |||||||||||
117 | VMware, Inc. (a) | 15,388 | |||||||||
Publishing Industries (except Internet) - 10.3% | |||||||||||
691 | Adobe Systems, Inc. (a) | 244,365 | |||||||||
314 | Autodesk, Inc. (a) | 58,759 | |||||||||
401 | Cadence Design Systems, Inc. (a) | 32,533 | |||||||||
372 | Intuit, Inc. | 100,369 | |||||||||
3,289 | Microsoft Corp. | 589,422 | |||||||||
1,190 | Salesforce.com, Inc. (a) | 192,721 | |||||||||
1,218,169 | |||||||||||
Rail Transportation - 0.3% | |||||||||||
287 | Kansas City Southern Railway Co. | 37,468 | |||||||||
Real Estate - 2.3% | |||||||||||
918 | CBRE Group, Inc. Class A (a) | 39,410 | |||||||||
1,428 | Healthpeak Properties, Inc. | 37,328 | |||||||||
2,128 | Prologis, Inc. | 189,881 | |||||||||
266,619 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 6.7% | |||||||||||
693 | BlackRock, Inc. | 347,913 | |||||||||
3,323 | Gilead Sciences, Inc. | 279,132 | |||||||||
1,398 | T. Rowe Price Group, Inc. | 161,651 | |||||||||
788,696 | |||||||||||
Support Activities for Mining - 0.3% | |||||||||||
639 | Hess Corp. | 31,081 |
Shares | Fair Value | ||||||||||
Support Activities for Transportation - 0.3% | |||||||||||
493 | Expeditors International of Washington, Inc. | $ | 35,301 | ||||||||
Telecommunications - 1.4% | |||||||||||
246 | Equinix, Inc. | 166,099 | |||||||||
Utilities - 3.6% | |||||||||||
786 | AES Corp. | 10,415 | |||||||||
336 | CMS Energy Corp. | 19,182 | |||||||||
393 | Consolidated Edison, Inc. | 30,969 | |||||||||
609 | Dominion Energy, Inc. | 46,972 | |||||||||
383 | Eversource Energy | 30,908 | |||||||||
1,150 | Exelon Corp. | 42,642 | |||||||||
578 | NextEra Energy, Inc. | 133,587 | |||||||||
1,241 | Southern Co. | 70,402 | |||||||||
620 | Xcel Energy, Inc. | 39,407 | |||||||||
424,484 | |||||||||||
TOTAL COMMON STOCKS (Cost $11,916,160) | $ | 10,853,347 | |||||||||
SHORT TERM INVESTMENTS - 0.1% | |||||||||||
Money Market Funds - 0.1% | |||||||||||
17,355 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 17,355 | ||||||||
TOTAL MONEY MARKET FUNDS (Cost $17,355) | $ | 17,355 | |||||||||
TOTAL INVESTMENTS (Cost $11,933,515) - 91.7% (c) | $ | 10,870,702 | |||||||||
Other Assets in Excess of Liabilities - 8.3% | 977,032 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 11,847,734 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,419,756.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 iShares MSCI USA ESG Select ETF | 1.0508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2020 | 2,883 | $ | 6,911,716 | $ | (597,069 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of iShares MSCI USA ESG Select ETF | UBS Securities LLC | 12/11/2020 | 3,147 | $ | 6,361,316 | $ | 1,049,488 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.9% | |||||||||||
Accommodation - 1.0% | |||||||||||
24,194 | Marriott International, Inc. Class A | $ | 2,200,202 | ||||||||
Administrative and Support Services - 4.0% | |||||||||||
15,928 | Automatic Data Processing, Inc. | 2,336,478 | |||||||||
1,528 | Booking Holdings, Inc. (a) | 2,262,311 | |||||||||
31,027 | Expedia, Inc. | 2,202,297 | |||||||||
89,609 | Trip.com Group Ltd. ADR (China) (a) | 2,308,328 | |||||||||
9,109,414 | |||||||||||
Air Transportation - 1.0% | |||||||||||
74,416 | United Continental Holdings, Inc. (a) | 2,201,225 | |||||||||
Apparel Manufacturing - 1.0% | |||||||||||
9,993 | Lululemon Athletica, Inc. (a) | 2,233,236 | |||||||||
Beverage and Tobacco Product Manufacturing - 2.0% | |||||||||||
37,390 | Monster Beverage Corp. (a) | 2,311,076 | |||||||||
17,416 | PepsiCo, Inc. | 2,303,962 | |||||||||
4,615,038 | |||||||||||
Broadcasting (except Internet) - 5.0% | |||||||||||
4,693 | Charter Communications, Inc. (a) | 2,324,114 | |||||||||
59,559 | Comcast Corp. Class A | 2,241,205 | |||||||||
40,942 | FOX Corp. Class A | 1,059,170 | |||||||||
41,547 | FOX Corp. Class B | 1,061,941 | |||||||||
61,656 | Liberty Global PLC Class A (United Kingdom) (a)(b) | 1,197,359 | |||||||||
64,505 | Liberty Global PLC Class C (United Kingdom) (a) | 1,181,087 | |||||||||
392,248 | Sirius XM Holdings, Inc. (b) | 2,318,186 | |||||||||
11,383,062 | |||||||||||
Chemical Manufacturing - 9.1% | |||||||||||
21,416 | Alexion Pharmaceuticals, Inc. (a) | 2,301,578 | |||||||||
9,854 | Amgen, Inc. | 2,357,274 | |||||||||
7,619 | Biogen, Inc. (a) | 2,261,548 | |||||||||
24,524 | BioMarin Pharmaceutical, Inc. (a) | 2,256,699 | |||||||||
7,316 | Illumina, Inc. (a) | 2,334,023 | |||||||||
24,202 | Incyte Corp. (a) | 2,363,567 | |||||||||
4,498 | Regeneron Pharmaceuticals, Inc. (a) | 2,365,408 | |||||||||
16,814 | Seattle Genetics, Inc. (a) | 2,307,385 | |||||||||
9,249 | Vertex Pharmaceuticals, Inc. (a) | 2,323,349 | |||||||||
20,870,831 | |||||||||||
Clothing and Clothing Accessories Stores - 1.0% | |||||||||||
23,924 | Ross Stores, Inc. | 2,185,697 | |||||||||
Computer and Electronic Product Manufacturing - 17.8% | |||||||||||
43,277 | Advanced Micro Devices, Inc. (a) | 2,267,282 | |||||||||
20,502 | Analog Devices, Inc. | 2,247,019 | |||||||||
8,071 | Apple, Inc. | 2,371,260 | |||||||||
8,415 | Broadcom, Inc. | 2,285,682 | |||||||||
53,595 | Cisco Systems, Inc. | 2,271,356 | |||||||||
8,520 | IDEXX Laboratories, Inc. (a) | 2,365,152 | |||||||||
37,587 | Intel Corp. | 2,254,468 | |||||||||
40,498 | Maxim Integrated Products, Inc. | 2,226,580 | |||||||||
25,174 | Microchip Technology, Inc. | 2,208,515 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
46,648 | Micron Technology, Inc. (a) | $ | 2,233,973 | ||||||||
51,761 | NetApp, Inc. | 2,265,579 | |||||||||
7,781 | NVIDIA Corp. | 2,274,231 | |||||||||
21,766 | NXP Semiconductors NV | 2,167,241 | |||||||||
29,420 | Qualcomm, Inc. | 2,314,471 | |||||||||
21,871 | Skyworks Solutions, Inc. | 2,271,960 | |||||||||
19,459 | Texas Instruments, Inc. | 2,258,606 | |||||||||
48,651 | Western Digital Corp. | 2,241,838 | |||||||||
25,342 | Xilinx, Inc. | 2,214,891 | |||||||||
40,740,104 | |||||||||||
Data Processing, Hosting and Related Services - 2.0% | |||||||||||
3,572 | CoStar Group, Inc. (a) | 2,315,585 | |||||||||
22,174 | Fiserv, Inc. (a) | 2,285,252 | |||||||||
4,600,837 | |||||||||||
Food Manufacturing - 2.0% | |||||||||||
45,493 | Mondelez International, Inc. | 2,340,160 | |||||||||
76,054 | The Kraft Heinz Co. | 2,306,718 | |||||||||
4,646,878 | |||||||||||
Food Services and Drinking Places - 1.0% | |||||||||||
30,210 | Starbucks Corp. | 2,318,013 | |||||||||
General Merchandise Stores - 2.0% | |||||||||||
7,565 | Costco Wholesale Corp. | 2,292,195 | |||||||||
28,718 | Dollar Tree, Inc. (a) | 2,287,963 | |||||||||
4,580,158 | |||||||||||
Health and Personal Care Stores - 1.9% | |||||||||||
10,266 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 2,237,167 | |||||||||
51,209 | Walgreens Boots Alliance, Inc. | 2,216,837 | |||||||||
4,454,004 | |||||||||||
Machinery Manufacturing - 2.8% | |||||||||||
42,754 | Applied Materials, Inc. | 2,124,019 | |||||||||
7,650 | ASML Holding NV ADR (Netherlands) (b) | 2,206,489 | |||||||||
8,297 | Lam Research Corp. | 2,118,058 | |||||||||
6,448,566 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.9% | |||||||||||
27,983 | Copart, Inc. (a) | 2,241,718 | |||||||||
63,209 | Fastenal Co. | 2,289,430 | |||||||||
13,210 | KLA-Tencor Corp. | 2,167,629 | |||||||||
6,698,777 | |||||||||||
Miscellaneous Manufacturing - 3.0% | |||||||||||
10,532 | Align Technology, Inc. (a) | 2,262,800 | |||||||||
6,727 | DexCom, Inc. (a) | 2,254,890 | |||||||||
4,468 | Intuitive Surgical, Inc. (a) | 2,282,612 | |||||||||
6,800,302 | |||||||||||
Motion Picture and Sound Recording Industries - 2.1% | |||||||||||
5,639 | Netflix, Inc. (a) | 2,367,534 | |||||||||
19,166 | Take-Two Interactive Software, Inc. (a) | 2,320,044 | |||||||||
4,687,578 | |||||||||||
Motor Vehicle and Parts Dealers - 1.0% | |||||||||||
5,939 | O'Reilly Automotive, Inc. (a) | 2,294,473 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Nonstore Retailers - 4.1% | |||||||||||
978 | Amazon.com, Inc. (a) | $ | 2,419,572 | ||||||||
59,495 | eBay, Inc. | 2,369,686 | |||||||||
52,378 | JD.com, Inc. ADR (China) (a) | 2,257,492 | |||||||||
3,855 | MercadoLibre, Inc. (a) | 2,249,431 | |||||||||
9,296,181 | |||||||||||
Other Information Services - 3.0% | |||||||||||
865 | Alphabet, Inc. Class A (a) | 1,164,895 | |||||||||
866 | Alphabet, Inc. Class C (a) | 1,167,940 | |||||||||
23,306 | Baidu, Inc. ADR China (a) | 2,352,275 | |||||||||
6,574 | NetEase.com, Inc. ADR (China) | 2,267,767 | |||||||||
6,952,877 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 2.0% | |||||||||||
35,855 | Activision Blizzard, Inc. | 2,285,039 | |||||||||
20,587 | Electronic Arts, Inc. (a) | 2,352,271 | |||||||||
4,637,310 | |||||||||||
Personal and Laundry Services - 1.0% | |||||||||||
10,058 | Cintas Corp. | 2,231,166 | |||||||||
Professional, Scientific, and Technical Services - 7.1% | |||||||||||
20,872 | CDW Corp. | 2,312,618 | |||||||||
32,726 | Cerner Corp. | 2,270,857 | |||||||||
39,220 | Cognizant Technology Solutions Corp. Class A | 2,275,544 | |||||||||
11,960 | Facebook, Inc. (a) | 2,448,332 | |||||||||
33,251 | Paychex, Inc. | 2,278,358 | |||||||||
10,989 | VeriSign, Inc. (a) | 2,302,086 | |||||||||
15,171 | Verisk Analytics, Inc. Class A | 2,318,584 | |||||||||
16,206,379 | |||||||||||
Publishing Industries (except Internet) - 11.2% | |||||||||||
6,651 | Adobe Systems, Inc. (a) | 2,352,060 | |||||||||
8,738 | ANSYS, Inc. (a) | 2,287,870 | |||||||||
12,359 | Autodesk, Inc. (a) | 2,312,740 | |||||||||
28,325 | Cadence Design Systems, Inc. (a) | 2,298,007 | |||||||||
21,993 | Check Point Software Technologies Ltd. (a) | 2,325,540 | |||||||||
16,589 | Citrix Systems, Inc. | 2,405,571 | |||||||||
8,493 | Intuit, Inc. | 2,291,496 | |||||||||
13,094 | Microsoft Corp. | 2,346,576 | |||||||||
16,496 | Splunk, Inc. (a) | 2,315,379 | |||||||||
14,701 | Synopsys, Inc. (a) | 2,309,821 | |||||||||
15,006 | Workday, Inc. (a) | 2,309,423 | |||||||||
25,554,483 | |||||||||||
Rail Transportation - 1.0% | |||||||||||
34,078 | CSX Corp. | 2,256,986 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.0% | |||||||||||
27,944 | Gilead Sciences, Inc. | 2,347,296 | |||||||||
Telecommunications - 2.9% | |||||||||||
18,797 | PayPal Holdings, Inc. (a) | 2,312,031 | |||||||||
26,008 | T-Mobile US, Inc. (a) | 2,283,503 | |||||||||
15,848 | Zoom Video Communications, Inc. (a) | 2,142,174 | |||||||||
6,737,708 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing - 2.0% | |||||||||||
33,377 | Paccar, Inc. | $ | 2,310,690 | ||||||||
2,901 | Tesla Motors, Inc. (a) | 2,268,234 | |||||||||
4,578,924 | |||||||||||
Utilities - 2.0% | |||||||||||
60,604 | Exelon Corp. | 2,247,196 | |||||||||
35,684 | Xcel Energy, Inc. | 2,268,075 | |||||||||
4,515,271 | |||||||||||
TOTAL COMMON STOCKS (Cost $209,703,910) | $ | 228,382,976 | |||||||||
SHORT TERM INVESTMENTS - 1.4% | |||||||||||
Money Market Funds - 1.4% | |||||||||||
3,310,532 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 3,310,532 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,310,532) | $ | 3,310,532 | |||||||||
TOTAL INVESTMENTS (Cost $213,014,442) - 101.3% | $ | 231,693,508 | |||||||||
Liabilities in Excess of Other Assets - (1.3)% | (3,016,793 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 228,676,715 |
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, 2020.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion S&P 500® High minus Low Quality ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 96.0% | |||||||||||
Administrative and Support Services - 6.5% | |||||||||||
97 | Booking Holdings, Inc. (a) | $ | 143,615 | ||||||||
225 | Robert Half International, Inc. | 10,636 | |||||||||
2,993 | Visa, Inc. Class A | 534,909 | |||||||||
689,160 | |||||||||||
Air Transportation - 0.3% | |||||||||||
917 | Southwest Airlines Co. | 28,656 | |||||||||
Apparel Manufacturing - 0.3% | |||||||||||
288 | Under Armour, Inc. Class A (a) | 3,001 | |||||||||
534 | V F Corp. | 31,025 | |||||||||
34,026 | |||||||||||
Beverage and Tobacco Product Manufacturing - 3.8% | |||||||||||
773 | Monster Beverage Corp. (a) | 47,779 | |||||||||
2,689 | PepsiCo, Inc. | 355,728 | |||||||||
403,507 | |||||||||||
Chemical Manufacturing - 24.3% | |||||||||||
403 | Alexion Pharmaceuticals, Inc. (a) | 43,310 | |||||||||
1,370 | Amgen, Inc. | 327,731 | |||||||||
332 | Biogen, Inc. (a) | 98,548 | |||||||||
1,825 | Eli Lilly and Company | 282,218 | |||||||||
3,864 | Johnson & Johnson | 579,755 | |||||||||
5,044 | Merck & Co., Inc. | 400,191 | |||||||||
9,807 | Pfizer, Inc. | 376,197 | |||||||||
4,089 | Procter & Gamble Co. | 481,970 | |||||||||
2,589,920 | |||||||||||
Clothing and Clothing Accessories Stores - 1.6% | |||||||||||
655 | Ross Stores, Inc. | 59,841 | |||||||||
2,129 | TJX Companies, Inc. | 104,427 | |||||||||
164,268 | |||||||||||
Computer and Electronic Product Manufacturing - 18.7% | |||||||||||
2,011 | Apple, Inc. | 590,832 | |||||||||
9,512 | Cisco Systems, Inc. | 403,119 | |||||||||
376 | Fortinet, Inc. (a) | 40,510 | |||||||||
182 | IDEXX Laboratories, Inc. (a) | 50,523 | |||||||||
7,299 | Intel Corp. | 437,794 | |||||||||
377 | L3 Harris Technologies, Inc. | 73,025 | |||||||||
684 | Maxim Integrated Products, Inc. | 37,606 | |||||||||
794 | NetApp, Inc. | 34,753 | |||||||||
179 | Qorvo, Inc. (a) | 17,547 | |||||||||
523 | Seagate Technology PLC (Ireland) | 26,124 | |||||||||
284 | Skyworks Solutions, Inc. | 29,502 | |||||||||
1,983 | Texas Instruments, Inc. | 230,167 | |||||||||
126 | Waters Corp. (a) | 23,562 | |||||||||
1,995,064 | |||||||||||
Construction of Buildings - 0.3% | |||||||||||
5 | NVR, Inc. (a) | 15,500 | |||||||||
415 | PulteGroup, Inc. | 11,732 | |||||||||
27,232 | |||||||||||
Credit Intermediation and Related Activities - 5.7% | |||||||||||
1,491 | Bank of New York Mellon Corp. | 55,972 | |||||||||
1,790 | Huntington Bancshares, Inc. | 16,540 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
1,878 | MasterCard, Inc. Class A | $ | 516,394 | ||||||||
91 | SVB Financial Group (a) | 17,578 | |||||||||
606,484 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.6% | |||||||||||
265 | A.O. Smith Corp. | 11,231 | |||||||||
681 | Eaton Corp PLC ADR (Ireland) | 56,863 | |||||||||
262 | Rockwell Automation, Inc. | 49,644 | |||||||||
573 | TE Connectivity Ltd. (Switzerland) | 42,093 | |||||||||
104 | Whirlpool Corp. | 11,621 | |||||||||
171,452 | |||||||||||
Electronics and Appliance Stores - 0.4% | |||||||||||
533 | Best Buy Co., Inc. | 40,897 | |||||||||
Fabricated Metal Product Manufacturing - 0.7% | |||||||||||
1,021 | Emerson Electric Co. | 58,228 | |||||||||
375 | Pentair PLC (Ireland) | 12,971 | |||||||||
71,199 | |||||||||||
Food Manufacturing - 0.2% | |||||||||||
496 | Hormel Foods Corp. | 23,238 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 0.2% | |||||||||||
253 | Garmin Ltd. ADR (Switzerland) | 20,533 | |||||||||
General Merchandise Stores - 2.0% | |||||||||||
707 | Costco Wholesale Corp. | 214,221 | |||||||||
Health and Personal Care Stores - 0.2% | |||||||||||
98 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 21,356 | |||||||||
Insurance Carriers and Related Activities - 1.4% | |||||||||||
1,277 | Aflac, Inc. | 47,555 | |||||||||
272 | Cincinnati Financial Corp. | 17,898 | |||||||||
70 | Everest Re Group Ltd. | 12,119 | |||||||||
174 | Globe Life, Inc. | 14,327 | |||||||||
613 | Hartford Financial Services Group, Inc. | 23,288 | |||||||||
364 | Lincoln National Corp. | 12,911 | |||||||||
485 | Principal Financial Group, Inc. | 17,659 | |||||||||
366 | Unum Group | 6,387 | |||||||||
152,144 | |||||||||||
Leather and Allied Product Manufacturing - 2.1% | |||||||||||
2,601 | NIKE, Inc. Class B | 226,755 | |||||||||
Machinery Manufacturing - 0.8% | |||||||||||
264 | Cummins, Inc. | 43,164 | |||||||||
47 | Mettler-Toledo International, Inc. (a) | 33,837 | |||||||||
88 | Snap-on, Inc. | 11,466 | |||||||||
88,467 | |||||||||||
Merchant Wholesalers, Durable Goods - 3.9% | |||||||||||
932 | 3M Co. | 141,590 | |||||||||
924 | Fastenal Co. | 33,467 | |||||||||
1,315 | Honeywell International, Inc. | 186,599 | |||||||||
1,813 | Johnson Controls International PLC ADR (Ireland) | 52,776 | |||||||||
414,432 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion S&P 500® High minus Low Quality ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Nondurable Goods - 1.1% | |||||||||||
300 | AmerisourceBergen Corp. | $ | 26,898 | ||||||||
549 | Illinois Tool Works, Inc. | 89,213 | |||||||||
116,111 | |||||||||||
Miscellaneous Manufacturing - 2.4% | |||||||||||
158 | Align Technology, Inc. (a) | 33,946 | |||||||||
423 | Dentsply Sirona, Inc. | 17,952 | |||||||||
286 | Dover Corp. | 26,784 | |||||||||
404 | Edwards Lifesciences Corp. (a) | 87,870 | |||||||||
452 | Estee Lauder Companies, Inc. Class A | 79,733 | |||||||||
391 | Textron, Inc. | 10,307 | |||||||||
256,592 | |||||||||||
Nonstore Retailers - 0.7% | |||||||||||
1,453 | eBay, Inc. | 57,873 | |||||||||
76 | W.W. Grainger, Inc. | 20,944 | |||||||||
78,817 | |||||||||||
Oil and Gas Extraction - 0.3% | |||||||||||
809 | Cabot Oil & Gas Corp. | 17,490 | |||||||||
863 | Devon Energy Corp. | 10,762 | |||||||||
28,252 | |||||||||||
Petroleum and Coal Products Manufacturing - 3.5% | |||||||||||
3,085 | Chevron Corp. | 283,820 | |||||||||
1,974 | ConocoPhillips | 83,105 | |||||||||
366,925 | |||||||||||
Professional, Scientific, and Technical Services - 0.5% | |||||||||||
136 | Jack Henry & Associates, Inc. | 22,243 | |||||||||
265 | Jacobs Engineering Group, Inc. | 21,929 | |||||||||
590 | Juniper Networks, Inc. | 12,744 | |||||||||
56,916 | |||||||||||
Publishing Industries (except Internet) - 3.8% | |||||||||||
292 | Citrix Systems, Inc. | 42,343 | |||||||||
459 | Intuit, Inc. | 123,843 | |||||||||
4,413 | Oracle Corp. | 233,756 | |||||||||
399,942 | |||||||||||
Real Estate - 0.7% | |||||||||||
835 | Healthpeak Properties, Inc. | 21,827 | |||||||||
263 | Public Storage | 48,773 | |||||||||
70,600 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.5% | |||||||||||
253 | Ameriprise Financial, Inc. | 29,080 | |||||||||
2,703 | Charles Schwab Corp. | 101,957 | |||||||||
510 | E*TRADE Financial Corp. | 20,711 | |||||||||
2,585 | Gilead Sciences, Inc. | 217,140 | |||||||||
72 | MarketAxess Holdings, Inc. | 32,761 | |||||||||
193 | NASDAQ OMX Group, Inc. | 21,166 | |||||||||
210 | Raymond James Financial, Inc. | 13,843 | |||||||||
391 | T. Rowe Price Group, Inc. | 45,212 | |||||||||
481,870 |
Shares | Fair Value | ||||||||||
Support Activities for Mining - 0.0%(†) | |||||||||||
176 | Helmerich & Payne, Inc. | $ | 3,480 | ||||||||
Support Activities for Transportation - 0.3% | |||||||||||
237 | C.H. Robinson Worldwide, Inc. | 16,803 | |||||||||
273 | Expeditors International of Washington, Inc. | 19,548 | |||||||||
36,351 | |||||||||||
Telecommunications - 3.2% | |||||||||||
2,806 | PayPal Holdings, Inc. (a) | 345,138 | |||||||||
TOTAL COMMON STOCKS (Cost $11,187,663) | $ | 10,224,005 | |||||||||
SHORT TERM INVESTMENTS - 9.8% | |||||||||||
Money Market Funds - 9.8% | |||||||||||
1,047,177 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 1,047,177 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,047,177) | $ | 1,047,177 | |||||||||
TOTAL INVESTMENTS (Cost $12,234,840) - 105.8% (c) | $ | 11,271,182 | |||||||||
Liabilities in Excess of Other Assets - (5.8)% | (617,587 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,653,595 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,502,636.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion S&P 500® High minus Low Quality ETF
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 S&P 500® Quality Index | 1.0508% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2020 | 4,291 | $ | 6,220,488 | $ | (459,148 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of S&P 500® Quality - Lowest Quintile Index | UBS Securities LLC | 12/7/2020 | 14,026 | $ | 4,848,460 | $ | (485,527 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Zacks MLP High Income Index Shares
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
MASTER LIMITED PARTNERSHIPS - 98.1% | |||||||||||
Merchant Wholesalers, Nondurable Goods - 8.9% | |||||||||||
102,127 | Holly Energy Partners LP (a) | $ | 1,504,331 | ||||||||
74,941 | Sunoco LP (a) | 1,860,035 | |||||||||
3,364,366 | |||||||||||
Nonstore Retailers - 8.0% | |||||||||||
232,215 | NGL Energy Partners LP (a) | 1,404,901 | |||||||||
102,935 | Suburban Propane Partners LP (a) | 1,590,346 | |||||||||
2,995,247 | |||||||||||
Oil and Gas Extraction - 10.4% | |||||||||||
97,882 | Hess Midstream LP | 1,710,978 | |||||||||
106,907 | Viper Energy Partners LP (a) | 992,097 | |||||||||
140,790 | Western Midstream Partners LP | 1,222,057 | |||||||||
3,925,132 | |||||||||||
Pipeline Transportation - 45.6% | |||||||||||
161,567 | BP Midstream Partners LP | 1,848,326 | |||||||||
151,485 | CNX Midstream Partners LP (a) | 1,143,712 | |||||||||
110,857 | DCP Midstream Partners LP (a) | 1,008,799 | |||||||||
248,023 | Enable Midstream Partners LP | 1,126,024 | |||||||||
100,713 | EQT Midstream Partners LP | 2,028,360 | |||||||||
37,984 | Magellan Midstream Partners LP | 1,562,282 | |||||||||
104,084 | Noble Midstream Partners LP (a) | 762,936 | |||||||||
85,372 | NuStar Energy LP | 1,039,831 | |||||||||
39,903 | Phillips 66 Partners LP | 1,697,873 | |||||||||
140,025 | Plains All American Pipeline, LP | 1,236,421 | |||||||||
118,647 | Shell Midstream Partners LP | 1,742,924 | |||||||||
58,401 | TC Pipelines LP | 1,956,433 | |||||||||
17,153,921 | |||||||||||
Professional, Scientific, and Technical Services - 4.7% | |||||||||||
96,944 | MPLX LP | 1,754,686 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 5.1% | |||||||||||
36,876 | Icahn Enterprises LP (a) | 1,910,177 | |||||||||
Support Activities for Mining - 9.4% | |||||||||||
232,215 | Black Stone Minerals LP (a) | 1,416,511 | |||||||||
150,030 | Oasis Midstream Partners LP (a) | 958,692 | |||||||||
146,814 | USA Compression Partners LP (a) | 1,175,980 | |||||||||
3,551,183 | |||||||||||
Utilities - 6.0% | |||||||||||
47,842 | Brookfield Renewable Partners LP (a) | 2,243,312 | |||||||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $58,915,609) | $ | 36,898,024 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 26.6% | |||||||||||
Money Market Funds - 26.6% | |||||||||||
10,011,273 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b)(c) | $ | 10,011,273 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,011,273) | $ | 10,011,273 | |||||||||
TOTAL INVESTMENTS (Cost $68,926,882) - 124.7% | $ | 46,909,297 | |||||||||
Liabilities in Excess of Other Assets - (24.7)% | (9,301,323 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 37,607,974 |
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, 2020.
(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
29
Direxion FTSE Russell International Over US ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.0% | |||||||||||
182,554 | Vanguard FTSE All-World ex-US ETF (a) | $ | 7,997,691 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $8,765,981) | $ | 7,997,691 | |||||||||
SHORT TERM INVESTMENTS - 6.7% | |||||||||||
Money Market Funds - 6.7% | |||||||||||
565,567 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 565,567 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $565,567) | $ | 565,567 | |||||||||
TOTAL INVESTMENTS (Cost $9,331,548) - 101.7% (c) | $ | 8,563,258 | |||||||||
Liabilities in Excess of Other Assets - (1.7)% | (145,130 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,418,128 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $8,563,258.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Vanguard FTSE All-World ex-US ETF | 1.0008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 105,679 | $ | 5,697,331 | $ | (1,030,431 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Index | Credit Suisse Capital LLC | 12/16/2020 | 2,628 | $ | 4,643,480 | $ | 429,475 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion FTSE Russell US Over International ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.0% | |||||||||||
71,188 | iShares Russell 1000 ETF (a) | $ | 11,405,029 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $10,828,279) | $ | 11,405,029 | |||||||||
SHORT TERM INVESTMENTS - 10.2% | |||||||||||
Money Market Funds - 10.2% | |||||||||||
1,224,405 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 1,224,405 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,224,405) | $ | 1,224,405 | |||||||||
TOTAL INVESTMENTS (Cost $12,052,684) - 105.2% (c) | $ | 12,629,434 | |||||||||
Liabilities in Excess of Other Assets - (5.2)% | (626,785 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 12,002,649 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $8,960,625.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Russell 1000® Index | 0.9508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 4,120 | $ | 7,257,939 | $ | (656,551 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of Vanguard FTSE All-World ex-US ETF | Credit Suisse Capital LLC | 12/9/2020 | 136,987 | $ | 5,650,410 | $ | (347,192 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion MSCI Developed Over Emerging Markets ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.4% | |||||||||||
169,004 | iShares Core MSCI EAFE ETF (a) | $ | 8,962,282 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $10,016,095) | $ | 8,962,282 | |||||||||
SHORT TERM INVESTMENTS - 14.5% | |||||||||||
Money Market Funds - 14.5% | |||||||||||
1,360,016 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 1,360,016 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,360,016) | $ | 1,360,016 | |||||||||
TOTAL INVESTMENTS (Cost $11,376,111) - 109.9% (c) | $ | 10,322,298 | |||||||||
Liabilities in Excess of Other Assets - (9.9)% | (929,460 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,392,838 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,662,749.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 iShares Core MSCI EAFE ETF | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 96,683 | $ | 6,133,933 | $ | (976,711 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of iShares Core MSCI Emerging Markets ETF | Credit Suisse Capital LLC | 12/09/2020 | 107,569 | $ | 4,353,318 | $ | (339,940 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion MSCI Emerging Over Developed Markets ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.2% | |||||||||||
188,803 | iShares Core MSCI Emerging Markets ETF (a) | $ | 8,243,139 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $9,488,883) | $ | 8,243,139 | |||||||||
SHORT TERM INVESTMENTS - 2.3% | |||||||||||
Money Market Funds - 2.3% | |||||||||||
195,599 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 195,599 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $195,599) | $ | 195,599 | |||||||||
TOTAL INVESTMENTS (Cost $9,684,482) - 97.5% (c) | $ | 8,438,738 | |||||||||
Other Assets in Excess of Liabilities - 2.5% | 219,920 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,658,658 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,396,194.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 iShares Core MSCI Emerging Markets ETF | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 108,679 | $ | 5,750,076 | $ | (1,038,550 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of iShares Core MSCI EAFE ETF | Credit Suisse Capital LLC | 12/11/2020 | 81,640 | $ | 4,329,369 | $ | (6 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion MSCI USA Cyclicals Over Defensives ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 96.0% | |||||||||||
Accommodation - 0.3% | |||||||||||
173 | Hilton Worldwide Holdings, Inc. | $ | 13,098 | ||||||||
177 | Marriott International, Inc. Class A | 16,096 | |||||||||
314 | MGM Resorts International | 5,285 | |||||||||
26 | Vail Resorts, Inc. | 4,446 | |||||||||
38,925 | |||||||||||
Administrative and Support Services - 4.0% | |||||||||||
402 | Accenture PLC Class A ADR (Ireland) | 74,446 | |||||||||
275 | Automatic Data Processing, Inc. | 40,340 | |||||||||
26 | Booking Holdings, Inc. (a) | 38,495 | |||||||||
72 | Broadridge Financial Solutions, Inc. | 8,352 | |||||||||
88 | Expedia, Inc. | 6,246 | |||||||||
24 | FactSet Research System, Inc. | 6,600 | |||||||||
53 | FleetCor Technologies, Inc. (a) | 12,786 | |||||||||
56 | Gartner, Inc. (a) | 6,653 | |||||||||
241 | IHS Markit Ltd. | 16,219 | |||||||||
180 | Iron Mountain, Inc. | 4,352 | |||||||||
37 | ManpowerGroup, Inc. | 2,747 | |||||||||
108 | Moody's Corp. | 26,341 | |||||||||
75 | Robert Half International, Inc. | 3,545 | |||||||||
91 | Rollins, Inc. | 3,640 | |||||||||
117 | TransUnion | 9,219 | |||||||||
70 | TripAdvisor, Inc. | 1,398 | |||||||||
1,091 | Visa, Inc. Class A | 194,984 | |||||||||
269 | Waste Management, Inc. | 26,905 | |||||||||
483,268 | |||||||||||
Air Transportation - 0.1% | |||||||||||
69 | American Airlines Group, Inc. (b) | 828 | |||||||||
102 | Delta Air Lines, Inc. | 2,643 | |||||||||
84 | Southwest Airlines Co. | 2,625 | |||||||||
41 | United Continental Holdings, Inc. (a) | 1,213 | |||||||||
7,309 | |||||||||||
Amusement, Gambling, and Recreation Industries - 1.4% | |||||||||||
187 | Global Payments, Inc. | 31,046 | |||||||||
220 | Las Vegas Sands Corp. | 10,564 | |||||||||
1,136 | The Walt Disney Co. | 122,858 | |||||||||
59 | Wynn Resorts Ltd. | 5,046 | |||||||||
169,514 | |||||||||||
Apparel Manufacturing - 0.3% | |||||||||||
95 | Capri Holdings Ltd. (a) | 1,449 | |||||||||
229 | Hanesbrands, Inc. | 2,276 | |||||||||
68 | Lululemon Athletica, Inc. (a) | 15,197 | |||||||||
47 | PVH Corp. | 2,314 | |||||||||
33 | Ralph Lauren Corp. | 2,435 | |||||||||
117 | Under Armour, Inc. Class A (a) | 1,219 | |||||||||
123 | Under Armour, Inc. Class C (a) | 1,140 | |||||||||
212 | V F Corp. | 12,317 | |||||||||
38,347 | |||||||||||
Broadcasting (except Internet) - 1.7% | |||||||||||
88 | Altice USA, Inc. (a) | 2,285 | |||||||||
99 | Charter Communications, Inc. (a) | 49,028 | |||||||||
2,864 | Comcast Corp. Class A | 107,772 |
Shares | Fair Value | ||||||||||
Broadcasting (except Internet) (continued) | |||||||||||
101 | Discovery Communications, Inc. Class A (a)(b) | $ | 2,264 | ||||||||
237 | Discovery Communications, Inc. Class C (a) | 4,837 | |||||||||
160 | Dish Network Corp. (a) | 4,002 | |||||||||
224 | FOX Corp. Class A | 5,795 | |||||||||
107 | FOX Corp. Class B | 2,735 | |||||||||
70 | Liberty Broadband Corp. (a) | 8,588 | |||||||||
53 | Roku, Inc. (a) | 6,425 | |||||||||
983 | Sirius XM Holdings, Inc. (b) | 5,810 | |||||||||
335 | ViacomCBS, Inc. Class B | 5,782 | |||||||||
205,323 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 1.7% | |||||||||||
490 | Lowe's Companies, Inc. | 51,328 | |||||||||
692 | The Home Depot, Inc. | 152,122 | |||||||||
203,450 | |||||||||||
Chemical Manufacturing - 1.3% | |||||||||||
141 | Air Products & Chemicals, Inc. | 31,807 | |||||||||
69 | Albemarle Corp. | 4,239 | |||||||||
78 | Celanese Corp. | 6,480 | |||||||||
138 | CF Industries Holdings, Inc. | 3,795 | |||||||||
470 | DuPont de Nemours, Inc. | 22,099 | |||||||||
85 | Eastman Chemical Co. | 5,143 | |||||||||
164 | Ecolab, Inc. | 31,734 | |||||||||
85 | FMC Corp. | 7,812 | |||||||||
65 | International Flavors & Fragrances, Inc. (b) | 8,517 | |||||||||
170 | LyondellBasell Industries N.V. Class A ADR (Netherlands) | 9,852 | |||||||||
232 | Mosaic Co. | 2,670 | |||||||||
�� | 148 | PPG Industries, Inc. | 13,443 | ||||||||
84 | RPM International, Inc. | 5,578 | |||||||||
99 | Sealed Air Corp. | 2,830 | |||||||||
24 | Westlake Chemical Corp. | 1,043 | |||||||||
157,042 | |||||||||||
Clothing and Clothing Accessories Stores - 0.6% | |||||||||||
142 | Gap, Inc. | 1,153 | |||||||||
68 | Nordstrom, Inc. (b) | 1,277 | |||||||||
230 | Ross Stores, Inc. | 21,013 | |||||||||
68 | Tiffany & Co. | 8,602 | |||||||||
764 | TJX Companies, Inc. | 37,474 | |||||||||
69,519 | |||||||||||
Computer and Electronic Product Manufacturing - 16.5% | |||||||||||
649 | Advanced Micro Devices, Inc. (a) | 34,001 | |||||||||
144 | AMETEK, Inc. | 12,077 | |||||||||
189 | Amphenol Corp. Class A | 16,681 | |||||||||
233 | Analog Devices, Inc. | 25,537 | |||||||||
2,822 | Apple, Inc. | 829,104 | |||||||||
35 | Arista Networks, Inc. (a) | 7,676 | |||||||||
252 | Broadcom, Inc. | 68,448 | |||||||||
2,705 | Cisco Systems, Inc. | 114,638 | |||||||||
109 | Cognex Corp. | 6,021 | |||||||||
100 | Dell Technologies, Inc. (a) | 4,269 | |||||||||
324 | Flextronics International Ltd. (a) | 3,162 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion MSCI USA Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
86 | FLIR System, Inc. | $ | 3,732 | ||||||||
93 | Fortinet, Inc. (a) | 10,020 | |||||||||
189 | Fortive Corp. | 12,096 | |||||||||
934 | HP, Inc. | 14,486 | |||||||||
2,802 | Intel Corp. | 168,064 | |||||||||
559 | International Business Machines Corp. | 70,188 | |||||||||
505 | Johnson Controls International PLC ADR (Ireland) | 14,701 | |||||||||
117 | Keysight Technologies, Inc. (a) | 11,322 | |||||||||
139 | L3 Harris Technologies, Inc. | 26,924 | |||||||||
398 | Marvell Technology Group Ltd. | 10,643 | |||||||||
172 | Maxim Integrated Products, Inc. | 9,457 | |||||||||
149 | Microchip Technology, Inc. | 13,072 | |||||||||
696 | Micron Technology, Inc. (a) | 33,331 | |||||||||
26 | MongoDB, Inc. (a) | 4,215 | |||||||||
105 | Motorola Solutions, Inc. | 15,100 | |||||||||
150 | NetApp, Inc. | 6,566 | |||||||||
100 | Northrop Grumman Corp. | 33,067 | |||||||||
365 | NVIDIA Corp. | 106,682 | |||||||||
259 | ON Semiconductor Corp. (a) | 4,156 | |||||||||
258 | Otis Worldwide Corp. (a) | 13,135 | |||||||||
75 | Qorvo, Inc. (a) | 7,352 | |||||||||
725 | Qualcomm, Inc. | 57,036 | |||||||||
928 | Raytheon Technologies Corp. | 60,144 | |||||||||
67 | Roper Technologies, Inc. | 22,849 | |||||||||
154 | Seagate Technology PLC (Ireland) | 7,692 | |||||||||
101 | Sensata Technologies Holdings PLC (a) | 3,674 | |||||||||
108 | Skyworks Solutions, Inc. | 11,219 | |||||||||
110 | Teradyne, Inc. | 6,879 | |||||||||
589 | Texas Instruments, Inc. | 68,365 | |||||||||
160 | Trimble, Inc. (a) | 5,541 | |||||||||
188 | Western Digital Corp. | 8,663 | |||||||||
159 | Xilinx, Inc. | 13,897 | |||||||||
36 | Zebra Technologies Corp. Class A (a) | 8,268 | |||||||||
1,984,150 | |||||||||||
Construction of Buildings - 0.3% | |||||||||||
222 | D.R. Horton, Inc. | 10,483 | |||||||||
181 | Lennar Corp. Class A | 9,063 | |||||||||
4 | NVR, Inc. (a) | 12,400 | |||||||||
165 | PulteGroup, Inc. | 4,664 | |||||||||
36,610 | |||||||||||
Couriers and Messengers - 0.5% | |||||||||||
156 | FedEx Corp. | 19,776 | |||||||||
441 | United Parcel Service, Inc. Class B | 41,745 | |||||||||
61,521 | |||||||||||
Credit Intermediation and Related Activities - 8.1% | |||||||||||
247 | Ally Financial, Inc. | 4,048 | |||||||||
446 | American Express Co. | 40,697 | |||||||||
5,428 | Bank of America Corp. | 130,543 | |||||||||
536 | Bank of New York Mellon Corp. | 20,121 | |||||||||
298 | Capital One Financial Corp. | 19,298 | |||||||||
1,387 | Citigroup, Inc. | 67,353 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
284 | Citizens Financial Group, Inc. | $ | 6,359 | ||||||||
94 | Comerica, Inc. | 3,277 | |||||||||
202 | Discover Financial Services | 8,680 | |||||||||
93 | East West Bancorp, Inc. | 3,262 | |||||||||
388 | Fidelity National Information Services, Inc. | 51,173 | |||||||||
461 | Fifth Third Bancorp | 8,616 | |||||||||
107 | First Republic Bank | 11,159 | |||||||||
655 | Huntington Bancshares, Inc. | 6,052 | |||||||||
1,992 | JPMorgan Chase & Co. | 190,754 | |||||||||
633 | KeyCorp | 7,374 | |||||||||
80 | M&T Bank Corp. | 8,966 | |||||||||
570 | MasterCard, Inc. Class A | 156,733 | |||||||||
130 | Northern Trust Corp. | 10,291 | |||||||||
279 | People's United Financial, Inc. | 3,541 | |||||||||
282 | PNC Financial Services Group, Inc. | 30,081 | |||||||||
633 | Regions Financial Corp. | 6,805 | |||||||||
38 | Signature Bank | 4,073 | |||||||||
237 | State Street Corp. | 14,940 | |||||||||
32 | SVB Financial Group (a) | 6,181 | |||||||||
378 | Synchrony Financial | 7,481 | |||||||||
844 | Truist Financial Corp. | 31,498 | |||||||||
945 | U.S. Bancorp | 34,493 | |||||||||
2,552 | Wells Fargo & Co. | 74,136 | |||||||||
269 | Western Union Co. | 5,130 | |||||||||
113 | Zions Bancorp | 3,572 | |||||||||
976,687 | |||||||||||
Data Processing, Hosting and Related Services - 0.6% | |||||||||||
75 | CDK Global, Inc. | 2,946 | |||||||||
23 | CoStar Group, Inc. (a) | 14,910 | |||||||||
364 | Fiserv, Inc. (a) | 37,514 | |||||||||
823 | Hewlett Packard Enterprise Co. | 8,279 | |||||||||
37 | Match Group, Inc. (a)(b) | 2,848 | |||||||||
66,497 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.8% | |||||||||||
87 | A.O. Smith Corp. | 3,687 | |||||||||
26 | Acuity Brands, Inc. | 2,251 | |||||||||
493 | Corning, Inc. | 10,851 | |||||||||
266 | Eaton Corp PLC ADR (Ireland) | 22,211 | |||||||||
389 | Emerson Electric Co. | 22,185 | |||||||||
23 | IPG Photonics Corp. (a) | 2,974 | |||||||||
75 | Rockwell Automation, Inc. | 14,211 | |||||||||
213 | TE Connectivity Ltd. (Switzerland) | 15,647 | |||||||||
40 | Whirlpool Corp. | 4,470 | |||||||||
98,487 | |||||||||||
Electronics and Appliance Stores - 0.1% | |||||||||||
151 | Best Buy Co., Inc. | 11,586 | |||||||||
Fabricated Metal Product Manufacturing - 0.4% | |||||||||||
132 | Axalta Coating Systems Ltd. (a) | 2,606 | |||||||||
199 | Ball Corp. | 13,052 | |||||||||
84 | Crown Holdings, Inc. (a) | 5,410 | |||||||||
82 | Parker Hannifin Corp. | 12,966 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion MSCI USA Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Fabricated Metal Product Manufacturing (continued) | |||||||||||
99 | Pentair PLC (Ireland) | $ | 3,424 | ||||||||
95 | Stanley Black & Decker, Inc. | 10,469 | |||||||||
47,927 | |||||||||||
Food and Beverage Stores - 0.0% (†) | |||||||||||
59 | Grubhub, Inc. (a)(b) | 2,820 | |||||||||
Food Services and Drinking Places - 1.7% | |||||||||||
18 | Chipotle Mexican Grill, Inc. (a) | 15,814 | |||||||||
77 | Darden Restaurants, Inc. | 5,682 | |||||||||
25 | Domino's Pizza, Inc. | 9,048 | |||||||||
479 | McDonald's Corp. | 89,841 | |||||||||
758 | Starbucks Corp. | 58,161 | |||||||||
38 | Wayfair, Inc. (a)(b) | 4,713 | |||||||||
192 | Yum! Brands, Inc. | 16,595 | |||||||||
199,854 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
348 | AGNC Investment Corp. | 4,322 | |||||||||
86 | Garmin Ltd. ADR (Switzerland) | 6,980 | |||||||||
11,302 | |||||||||||
General Merchandise Stores - 0.8% | |||||||||||
43 | Burlington Stores, Inc. (a) | 7,856 | |||||||||
164 | Dollar General Corp. | 28,749 | |||||||||
149 | Dollar Tree, Inc. (a) | 11,871 | |||||||||
103 | Kohl's Corp. | 1,901 | |||||||||
322 | Target Corp. | 35,336 | |||||||||
77 | Tractor Supply Co. | 7,810 | |||||||||
93,523 | |||||||||||
Health and Personal Care Stores - 0.1% | |||||||||||
38 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 8,281 | |||||||||
Insurance Carriers and Related Activities - 4.2% | |||||||||||
468 | Aflac, Inc. | 17,428 | |||||||||
9 | Alleghany Corp. | 4,803 | |||||||||
208 | Allstate Corp. | 21,158 | |||||||||
48 | American Financial Group, Inc. | 3,180 | |||||||||
549 | American International Group, Inc. | 13,961 | |||||||||
148 | AON Plc | 25,555 | |||||||||
254 | Arch Capital Group Ltd. (a) | 6,104 | |||||||||
115 | Arthur J. Gallagher & Co. | 9,027 | |||||||||
39 | Assurant, Inc. | 4,143 | |||||||||
98 | Athene Holding Ltd. (a) | 2,646 | |||||||||
830 | Berkshire Hathaway, Inc. Class B (a) | 155,509 | |||||||||
150 | Brown & Brown, Inc. | 5,386 | |||||||||
289 | Chubb Limited (Switzerland) | 31,215 | |||||||||
98 | Cincinnati Financial Corp. | 6,448 | |||||||||
266 | Equitable Holdings, Inc. | 4,873 | |||||||||
17 | Erie Indemnity Co. Class A | 3,027 | |||||||||
27 | Everest Re Group Ltd. | 4,675 | |||||||||
66 | Globe Life, Inc. | 5,434 | |||||||||
229 | Hartford Financial Services Group, Inc. | 8,700 | |||||||||
127 | Lincoln National Corp. | 4,505 | |||||||||
172 | Loews Corp. | 5,962 | |||||||||
8 | Markel Corp. (a) | 6,927 |
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
319 | Marsh & McLennan Companies, Inc. | $ | 31,048 | ||||||||
503 | MetLife, Inc. | 18,148 | |||||||||
176 | Principal Financial Group, Inc. | 6,408 | |||||||||
369 | Progressive Corp. | 28,524 | |||||||||
253 | Prudential Financial, Inc. | 15,780 | |||||||||
39 | Reinsurance Group of America, Inc. | 4,083 | |||||||||
29 | RenaissanceRe Holdings Ltd. | 4,234 | |||||||||
164 | Travelers Companies, Inc. | 16,598 | |||||||||
133 | Unum Group | 2,321 | |||||||||
89 | Voya Financial, Inc. | 4,020 | |||||||||
91 | W.R. Berkley Corp. | 4,914 | |||||||||
83 | Willis Towers Watson PLC (Ireland) | 14,798 | |||||||||
501,542 | |||||||||||
Leather and Allied Product Manufacturing - 0.6% | |||||||||||
791 | NIKE, Inc. Class B | 68,960 | |||||||||
181 | Tapestry, Inc. | 2,693 | |||||||||
71,653 | |||||||||||
Machinery Manufacturing - 1.9% | |||||||||||
582 | Applied Materials, Inc. | 28,914 | |||||||||
518 | Carrier Global Corp. (a) | 9,174 | |||||||||
356 | Caterpillar, Inc. | 41,431 | |||||||||
94 | Cummins, Inc. | 15,369 | |||||||||
187 | Deere & Co. | 27,126 | |||||||||
85 | Flowserve Corp. | 2,394 | |||||||||
5,508 | General Electric Co. | 37,454 | |||||||||
48 | IDEX Corp. | 7,374 | |||||||||
134 | Ingersoll-Rand, Inc. (a) | 3,897 | |||||||||
93 | Lam Research Corp. | 23,741 | |||||||||
38 | Middleby Corp. (a) | 2,114 | |||||||||
38 | Snap-on, Inc. | 4,951 | |||||||||
153 | Trane Technologies PLC (Ireland) | 13,375 | |||||||||
115 | Xylem, Inc. | 8,269 | |||||||||
225,583 | |||||||||||
Materials - 0.5% | |||||||||||
341 | Linde PLC | 62,741 | |||||||||
Merchant Wholesalers, Durable Goods - 1.7% | |||||||||||
364 | 3M Co. | 55,299 | |||||||||
51 | Arrow Electronics, Inc. (a) | 3,209 | |||||||||
131 | Copart, Inc. (a) | 10,494 | |||||||||
362 | Fastenal Co. | 13,112 | |||||||||
89 | Fortune Brands Home & Security, Inc. | 4,290 | |||||||||
109 | HD Supply Holdings, Inc. (a) | 3,235 | |||||||||
454 | Honeywell International, Inc. | 64,423 | |||||||||
27 | Huntington Ingalls Industries, Inc. | 5,168 | |||||||||
161 | Jefferies Financial Group, Inc. | 2,209 | |||||||||
99 | KLA-Tencor Corp. | 16,245 | |||||||||
86 | Leggett & Platt, Inc. | 3,021 | |||||||||
21 | Lennox International, Inc. | 3,920 | |||||||||
197 | LKQ Corp. (a) | 5,151 | |||||||||
39 | Mohawk Industries, Inc. (a) | 3,421 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion MSCI USA Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Durable Goods (continued) | |||||||||||
163 | WestRock Co. | $ | 5,247 | ||||||||
125 | Xerox Corp. | 2,286 | |||||||||
200,730 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.5% | |||||||||||
205 | Illinois Tool Works, Inc. | 33,312 | |||||||||
51 | The Sherwin Williams Co. | 27,355 | |||||||||
60,667 | |||||||||||
Mining (except Oil and Gas) - 0.5% | |||||||||||
916 | Freeport-McMoRan Copper & Gold, Inc. | 8,088 | |||||||||
39 | Martin Marietta Materials, Inc. | 7,419 | |||||||||
518 | Newmont Mining Corp. | 30,811 | |||||||||
86 | Vulcan Materials Co. | 9,715 | |||||||||
56,033 | |||||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
1,024 | Amcor PLC (United Kingdom) | 9,185 | |||||||||
93 | Dover Corp. | 8,710 | |||||||||
82 | Hasbro, Inc. | 5,921 | |||||||||
146 | Textron, Inc. | 3,849 | |||||||||
27,665 | |||||||||||
Motion Picture and Sound Recording Industries - 1.0% | |||||||||||
277 | Netflix, Inc. (a) | 116,298 | |||||||||
70 | Take-Two Interactive Software, Inc. (a) | 8,474 | |||||||||
124,772 | |||||||||||
Motor Vehicle and Parts Dealers - 0.4% | |||||||||||
45 | Advance Auto Parts, Inc. | 5,441 | |||||||||
16 | AutoZone, Inc. (a) | 16,325 | |||||||||
105 | CarMax, Inc. (a) | 7,733 | |||||||||
48 | O'Reilly Automotive, Inc. (a) | 18,545 | |||||||||
48,044 | |||||||||||
Nonmetallic Mineral Product Manufacturing - 0.0% (†) | |||||||||||
68 | Owens Corning | 2,948 | |||||||||
Nonstore Retailers - 5.9% | |||||||||||
268 | Amazon.com, Inc. (a) | 663,032 | |||||||||
506 | eBay, Inc. | 20,154 | |||||||||
26 | MercadoLibre, Inc. (a) | 15,171 | |||||||||
27 | W.W. Grainger, Inc. | 7,441 | |||||||||
705,798 | |||||||||||
Other Information Services - 4.5% | |||||||||||
191 | Alphabet, Inc. Class A (a) | 257,220 | |||||||||
197 | Alphabet, Inc. Class C (a) | 265,686 | |||||||||
102 | Liberty Global PLC Class A (United Kingdom) (a) | 1,981 | |||||||||
261 | Liberty Global PLC Class C (United Kingdom) (a) | 4,779 | |||||||||
78 | Pinterest, Inc. (a) | 1,611 | |||||||||
463 | Twitter, Inc. (a) | 13,279 | |||||||||
544,556 | |||||||||||
Paper Manufacturing - 0.0% (†) | |||||||||||
237 | International Paper Co. | 8,117 | |||||||||
61 | Packaging Corp of America | 5,896 | |||||||||
14,013 |
Shares | Fair Value | ||||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.5% | |||||||||||
485 | Activision Blizzard, Inc. | $ | 30,909 | ||||||||
187 | Electronic Arts, Inc. (a) | 21,367 | |||||||||
93 | Live Nation Entertainment, Inc. (a) | 4,173 | |||||||||
56,449 | |||||||||||
Personal and Laundry Services - 0.1% | |||||||||||
53 | Cintas Corp. | 11,757 | |||||||||
Plastics and Rubber Products Manufacturing - 0.1% | |||||||||||
51 | Avery Dennison Corp. | 5,630 | |||||||||
253 | Newell Rubbermaid, Inc. | 3,512 | |||||||||
9,142 | |||||||||||
Primary Metal Manufacturing - 0.1% | |||||||||||
252 | Howmet Aerospace, Inc. | 3,294 | |||||||||
191 | Nucor Corp. | 7,867 | |||||||||
140 | Steel Dynamics, Inc. | 3,398 | |||||||||
14,559 | |||||||||||
Professional, Scientific, and Technical Services - 4.5% | |||||||||||
29 | Alliance Data Systems Corp. | 1,452 | |||||||||
88 | Booz Allen Hamilton Holding Corp. | 6,463 | |||||||||
93 | CDW Corp. | 10,304 | |||||||||
350 | Cognizant Technology Solutions Corp. Class A | 20,307 | |||||||||
164 | DXC Technology Co. | 2,973 | |||||||||
37 | EPAM Systems, Inc. (a) | 8,173 | |||||||||
82 | Extra Space Storage, Inc. | 7,236 | |||||||||
37 | F5 Networks, Inc. (a) | 5,153 | |||||||||
1,519 | Facebook, Inc. (a) | 310,955 | |||||||||
113 | GoDaddy, Inc. (a) | 7,846 | |||||||||
246 | Interpublic Group of Companies, Inc. | 4,177 | |||||||||
49 | Jack Henry & Associates, Inc. | 8,014 | |||||||||
85 | Jacobs Engineering Group, Inc. | 7,034 | |||||||||
219 | Juniper Networks, Inc. | 4,730 | |||||||||
87 | Leidos Holdings, Inc. | 8,597 | |||||||||
128 | Liberty Media Corp.-Liberty Formula One, Class C (a) | 4,120 | |||||||||
53 | Liberty Media Corp.-Liberty SeiriusXM, Class A (a) | 1,787 | |||||||||
103 | Liberty Media Corp.-Liberty SeiriusXM, Class C (a) | 3,509 | |||||||||
225 | Nielsen Holdings PLC | 3,314 | |||||||||
70 | Okta, Inc. (a) | 10,591 | |||||||||
137 | Omnicom Group, Inc. | 7,813 | |||||||||
205 | Paychex, Inc. | 14,047 | |||||||||
172 | Sabre Corp. | 1,250 | |||||||||
116 | ServiceNow, Inc. (a) | 40,779 | |||||||||
23 | Teledyne Technologies, Inc. (a) | 7,490 | |||||||||
70 | VeriSign, Inc. (a) | 14,664 | |||||||||
99 | Verisk Analytics, Inc. Class A | 15,130 | |||||||||
53 | VMware, Inc. (a)(b) | 6,971 | |||||||||
544,879 | |||||||||||
Publishing Industries (except Internet) - 11.5% | |||||||||||
306 | Adobe Systems, Inc. (a) | 108,214 | |||||||||
104 | Akamai Technologies, Inc. (a) | 10,162 | |||||||||
51 | ANSYS, Inc. (a) | 13,353 | |||||||||
140 | Autodesk, Inc. (a) | 26,198 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion MSCI USA Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Publishing Industries (except Internet) (continued) | |||||||||||
93 | Black Knight, Inc. (a) | $ | 6,563 | ||||||||
178 | Cadence Design Systems, Inc. (a) | 14,441 | |||||||||
85 | Citrix Systems, Inc. | 12,326 | |||||||||
67 | DocuSign, Inc. (a) | 7,018 | |||||||||
150 | Dropbox, Inc. (a) | 3,153 | |||||||||
53 | Guidewire Software, Inc. (a) | 4,814 | |||||||||
51 | IAC/InterActiveCorp (a) | 11,397 | |||||||||
165 | Intuit, Inc. | 44,519 | |||||||||
4,604 | Microsoft Corp. | 825,083 | |||||||||
244 | News Corp. Class A | 2,418 | |||||||||
388 | NortonLifeLock, Inc. | 8,253 | |||||||||
1,477 | Oracle Corp. | 78,237 | |||||||||
58 | Palto Alto Networks, Inc. (a) | 11,398 | |||||||||
30 | Paycom Software, Inc. (a) | 7,831 | |||||||||
68 | PTC, Inc. (a) | 4,709 | |||||||||
526 | Salesforce.com, Inc. (a) | 85,186 | |||||||||
450 | Snap, Inc. (a) | 7,924 | |||||||||
94 | Splunk, Inc. (a) | 13,194 | |||||||||
217 | Square, Inc. (a) | 14,135 | |||||||||
144 | SS&C Technologies Holdings, Inc. | 7,943 | |||||||||
94 | Synopsys, Inc. (a) | 14,769 | |||||||||
73 | Twilio, Inc. (a) | 8,198 | |||||||||
24 | Tyler Technologies, Inc. (a) | 7,697 | |||||||||
103 | Workday, Inc. (a) | 15,852 | |||||||||
1,374,985 | |||||||||||
Rail Transportation - 1.2% | |||||||||||
480 | CSX Corp. | 31,790 | |||||||||
63 | Kansas City Southern Railway Co. | 8,225 | |||||||||
165 | Norfolk Southern Corp. | 28,232 | |||||||||
447 | Union Pacific Corp. | 71,426 | |||||||||
139,673 | |||||||||||
Real Estate - 3.3% | |||||||||||
71 | Alexandria Real Estate Equities, Inc. | 11,153 | |||||||||
278 | American Tower Corp. | 66,164 | |||||||||
921 | Annaly Capital Management, Inc. | 5,756 | |||||||||
88 | AvalonBay Communities, Inc. | 14,340 | |||||||||
99 | Boston Properties, Inc. | 9,621 | |||||||||
59 | Camden Property Trust | 5,196 | |||||||||
203 | CBRE Group, Inc. Class A (a) | 8,715 | |||||||||
126 | Digital Realty Trust, Inc. | 18,836 | |||||||||
228 | Duke Realty Corp. | 7,912 | |||||||||
107 | Equity Lifestyle Properties, Inc. | 6,453 | |||||||||
235 | Equity Residential | 15,289 | |||||||||
42 | Essex Property Trust, Inc. | 10,252 | |||||||||
47 | Federal Realty Investment Trust | 3,914 | |||||||||
308 | Healthpeak Properties, Inc. | 8,051 | |||||||||
464 | Host Hotels & Resorts, Inc. | 5,712 | |||||||||
340 | Invitation Homes, Inc. | 8,041 | |||||||||
32 | Jones Lang LaSalle, Inc. | 3,379 | |||||||||
267 | Kimco Realty Corp. | 2,913 | |||||||||
322 | Medical Properties Trust, Inc. | 5,519 | |||||||||
71 | Mid-America Apartment Communities, Inc. | 7,946 | |||||||||
102 | National Retail Properties, Inc. | 3,329 | |||||||||
138 | Omega Healthcare Investors, Inc. | 4,023 |
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
464 | Prologis, Inc. | $ | 41,403 | ||||||||
101 | Public Storage | 18,730 | |||||||||
201 | Realty Income Corp. | 11,039 | |||||||||
107 | Regency Centers Corp. | 4,698 | |||||||||
196 | Simon Property Group, Inc. | 13,087 | |||||||||
53 | SL Green Realty Corp. | 2,812 | |||||||||
58 | Sun Communities, Inc. | 7,795 | |||||||||
185 | UDR, Inc. | 6,932 | |||||||||
236 | Ventas, Inc. | 7,635 | |||||||||
666 | VEREIT, Inc. | 3,650 | |||||||||
291 | VICI Properties, Inc. | 5,069 | |||||||||
109 | Vornado Realty Trust | 4,776 | |||||||||
254 | Welltower, Inc. | 13,012 | |||||||||
470 | Weyerhaeuser Co. | 10,279 | |||||||||
109 | WP Carey, Inc. | 7,170 | |||||||||
81 | Zillow Group, Inc. Class C (a) | 3,561 | |||||||||
394,162 | |||||||||||
Rental and Leasing Services - 0.1% | |||||||||||
4 | AMERCO | 1,121 | |||||||||
49 | United Rentals, Inc. (a) | 6,297 | |||||||||
7,418 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 3.4% | |||||||||||
61 | Allegion PLC ADR (Ireland) | 6,133 | |||||||||
85 | Ameriprise Financial, Inc. | 9,770 | |||||||||
157 | Aramark Corp. | 4,288 | |||||||||
74 | BlackRock, Inc. | 37,151 | |||||||||
69 | CBOE Holdings, Inc. | 6,857 | |||||||||
745 | Charles Schwab Corp. | 28,101 | |||||||||
227 | CME Group, Inc. | 40,454 | |||||||||
469 | Dow, Inc. | 17,208 | |||||||||
152 | E*TRADE Financial Corp. | 6,173 | |||||||||
70 | Eaton Vance Corp. | 2,569 | |||||||||
173 | FNF Group | 4,680 | |||||||||
190 | Franklin Resources, Inc. | 3,580 | |||||||||
206 | Goldman Sachs Group, Inc. | 37,784 | |||||||||
356 | IntercontinentalExchange, Inc. | 31,844 | |||||||||
254 | Invesco Ltd. (b) | 2,189 | |||||||||
308 | KKR & Co., Inc. | 7,765 | |||||||||
23 | MarketAxess Holdings, Inc. | 10,465 | |||||||||
785 | Morgan Stanley | 30,952 | |||||||||
52 | MSCI, Inc. Class A | 17,004 | |||||||||
73 | NASDAQ OMX Group, Inc. | 8,006 | |||||||||
77 | Raymond James Financial, Inc. | 5,076 | |||||||||
156 | S&P Global, Inc. | 45,689 | |||||||||
82 | SEI Investments Co. | 4,179 | |||||||||
148 | T. Rowe Price Group, Inc. | 17,113 | |||||||||
173 | TD Ameritrade Holding Corp. | 6,794 | |||||||||
418 | The Blackstone Group, Inc. | 21,836 | |||||||||
413,660 | |||||||||||
Support Activities for Agriculture and Forestry - 0.1% | |||||||||||
474 | Corteva, Inc. | 12,414 | |||||||||
Support Activities for Transportation - 0.2% | |||||||||||
83 | C.H. Robinson Worldwide, Inc. | 5,885 | |||||||||
75 | Equifax, Inc. | 10,418 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion MSCI USA Cyclicals Over Defensives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Support Activities for Transportation (continued) | |||||||||||
109 | Expeditors International of Washington, Inc. | $ | 7,805 | ||||||||
60 | XPO Logistics, Inc. (a) | 4,004 | |||||||||
28,112 | |||||||||||
Telecommunications - 4.3% | |||||||||||
4,614 | AT&T, Inc. | 140,589 | |||||||||
619 | CenturyLink, Inc. | 6,574 | |||||||||
262 | Crown Castle International Corp. | 41,771 | |||||||||
52 | Equinix, Inc. | 35,110 | |||||||||
706 | PayPal Holdings, Inc. (a) | 86,838 | |||||||||
44 | RingCentral, Inc. (a) | 10,055 | |||||||||
70 | SBA Communications Corp. | 20,294 | |||||||||
266 | T-Mobile US, Inc. (a) | 23,355 | |||||||||
2,610 | Verizon Communications, Inc. | 149,944 | |||||||||
514,530 | |||||||||||
Transit and Ground Passenger Transportation - 0.1% | |||||||||||
272 | Uber Technologies, Inc. (a) | 8,233 | |||||||||
Transportation Equipment Manufacturing - 2.5% | |||||||||||
163 | Aptiv PLC ADR (Ireland) | 11,337 | |||||||||
51 | Autoliv, Inc. | 3,061 | |||||||||
337 | Boeing Co. | 47,524 | |||||||||
133 | BorgWarner, Inc. | 3,800 | |||||||||
2,475 | Ford Motor Co. | 12,598 | |||||||||
157 | General Dynamics Corp. | 20,507 | |||||||||
812 | General Motors Co. | 18,099 | |||||||||
100 | Harley-Davidson, Inc. (b) | 2,183 | |||||||||
48 | HEICO Corp. | 3,472 | |||||||||
28 | HEICO Corp. Class A | 2,453 | |||||||||
36 | Lear Corp. | 3,515 | |||||||||
160 | Lockheed Martin Corp. | 62,250 | |||||||||
220 | Paccar, Inc. | 15,231 | |||||||||
35 | Polaris Industries, Inc. | 2,482 | |||||||||
66 | Spirit AeroSystems Holdings, Inc. | 1,463 | |||||||||
82 | Tesla Motors, Inc. (a) | 64,114 | |||||||||
30 | TransDigm Group, Inc. | 10,892 | |||||||||
32 | WABCO Holdings, Inc. (a) | 4,300 | |||||||||
117 | Wabtec Corp. | 6,601 | |||||||||
295,882 | |||||||||||
Truck Transportation - 0.2% | |||||||||||
53 | J.B. Hunt Transport Services, Inc. | 5,359 | |||||||||
82 | Knight-Swift Transportation Holdings, Inc. Class A | 3,049 | |||||||||
61 | Old Dominion Freight Line, Inc. | 8,863 | |||||||||
17,271 | |||||||||||
Waste Management and Remediation Services - 0.2% | |||||||||||
141 | Republic Services, Inc. | 11,046 | |||||||||
164 | Waste Connections, Inc. (Canada) | 14,089 | |||||||||
25,135 |
Shares | Fair Value | ||||||||||
Water Transportation - 0.1% | |||||||||||
268 | Carnival Corp. (b) | $ | 4,261 | ||||||||
136 | Norwegian Cruise Line Holdings Ltd. (a) | 2,231 | |||||||||
112 | Royal Caribbean Cruises Ltd. ADR (Liberia) | 5,238 | |||||||||
11,730 | |||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.1% | |||||||||||
92 | Genuine Parts Co. | 7,294 | |||||||||
Wood Product Manufacturing - 0.1% | |||||||||||
183 | Masco Corp. | 7,510 | |||||||||
TOTAL COMMON STOCKS (Cost $10,898,140) | $ | 11,513,482 | |||||||||
SHORT TERM INVESTMENTS - 0.9% | |||||||||||
Money Market Funds - 0.9% | |||||||||||
25,577 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 25,577 | ||||||||
79,057 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 79,057 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $104,634) | $ | 104,634 | |||||||||
TOTAL INVESTMENTS (Cost $11,002,774) - 96.9% (e) | $ | 11,618,116 | |||||||||
Other Assets in Excess of Liabilities - 3.1% | 379,752 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 11,997,868 |
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, 2020.
(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 $3,255,472.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion MSCI USA Cyclicals Over Defensives ETF
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 MSCI USA Cyclical Sectors Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 2,588 | $ | 6,802,051 | $ | (322,099 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of MSCI USA Defensive Sectors Index | Credit Suisse Capital LLC | 12/11/2020 | 3,082 | $ | 5,999,390 | $ | (12 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion MSCI USA Defensives Over Cyclicals ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 94.7% | |||||||||||
Ambulatory Health Care Services - 0.5% | |||||||||||
134 | DaVita, Inc. (a) | $ | 10,588 | ||||||||
125 | Laboratory Corp. of America Holdings (a) | 20,556 | |||||||||
173 | Quest Diagnostics, Inc. | 19,049 | |||||||||
50,193 | |||||||||||
Beverage and Tobacco Product Manufacturing - 8.1% | |||||||||||
2,397 | Altria Group, Inc. | 94,082 | |||||||||
5,212 | Coca-Cola Co. | 239,179 | |||||||||
215 | Constellation Brands, Inc. Class A | 35,408 | |||||||||
243 | Molson Coors Brewing Co. Class B | 9,965 | |||||||||
524 | Monster Beverage Corp. (a) | 32,389 | |||||||||
1,793 | PepsiCo, Inc. | 237,196 | |||||||||
1,997 | Philip Morris International, Inc. | 148,976 | |||||||||
797,195 | |||||||||||
Chemical Manufacturing - 31.8% | |||||||||||
2,268 | Abbott Laboratories | 208,860 | |||||||||
1,897 | AbbVie, Inc. | 155,933 | |||||||||
287 | Alexion Pharmaceuticals, Inc. (a) | 30,844 | |||||||||
421 | Allergan PLC ADR (Ireland) | 78,870 | |||||||||
142 | Alnylam Pharmaceuticals, Inc. (a) | 18,701 | |||||||||
769 | Amgen, Inc. | 183,960 | |||||||||
236 | Biogen, Inc. (a) | 70,052 | |||||||||
232 | BioMarin Pharmaceutical, Inc. (a) | 21,349 | |||||||||
3,008 | Bristol-Myers Squibb Co. | 182,916 | |||||||||
317 | Church & Dwight Co., Inc. | 22,187 | |||||||||
162 | Clorox Co. | 30,203 | |||||||||
1,047 | Colgate-Palmolive Co. | 73,573 | |||||||||
387 | Coty, Inc. Class A | 2,109 | |||||||||
508 | Elanco Animal Health, Inc. (a) | 12,553 | |||||||||
1,114 | Eli Lilly and Company | 172,269 | |||||||||
188 | Illumina, Inc. (a) | 59,978 | |||||||||
234 | Incyte Corp. (a) | 22,852 | |||||||||
170 | Ionis Pharmaceuticals, Inc. (a) | 9,440 | |||||||||
73 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 8,048 | |||||||||
3,387 | Johnson & Johnson | 508,185 | |||||||||
441 | Kimberly-Clark Corp. | 61,070 | |||||||||
3,286 | Merck & Co., Inc. | 260,711 | |||||||||
662 | Mylan NV (a) | 11,102 | |||||||||
111 | Neurocrine Biosciences, Inc. (a) | 10,894 | |||||||||
166 | Perrigo Co. PLC ADR (Ireland) | 8,848 | |||||||||
7,097 | Pfizer, Inc. | 272,241 | |||||||||
3,212 | Procter & Gamble Co. | 378,598 | |||||||||
104 | Regeneron Pharmaceuticals, Inc. (a) | 54,692 | |||||||||
95 | Sarepta Therapeutics, Inc. (a) | 11,199 | |||||||||
151 | Seattle Genetics, Inc. (a) | 20,722 | |||||||||
329 | Vertex Pharmaceuticals, Inc. (a) | 82,645 | |||||||||
94 | West Pharmaceutical Services, Inc. | 17,790 | |||||||||
612 | Zoetis, Inc. | 79,138 | |||||||||
3,142,532 | |||||||||||
Computer and Electronic Product Manufacturing - 4.4% | |||||||||||
397 | Agilent Technologies, Inc. | 30,434 | |||||||||
28 | BIO RAD LABS, Inc. (a) | 12,323 | |||||||||
802 | Danaher Corp. | 131,095 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
344 | Hologic, Inc. (a) | $ | 17,234 | ||||||||
111 | IDEXX Laboratories, Inc. (a) | 30,814 | |||||||||
143 | PerkinElmer, Inc. | 12,946 | |||||||||
513 | Thermo Fisher Scientific, Inc. | 171,691 | |||||||||
117 | Varian Medical Systems, Inc. (a) | 13,382 | |||||||||
86 | Waters Corp. (a) | 16,082 | |||||||||
436,001 | |||||||||||
Food and Beverage Stores - 0.3% | |||||||||||
1,025 | Kroger Co. | 32,400 | |||||||||
Food Manufacturing - 3.7% | |||||||||||
715 | Archer-Daniels-Midland Co. | 26,555 | |||||||||
183 | Bunge Ltd. | 7,260 | |||||||||
212 | Campbell Soup Co. | 10,596 | |||||||||
774 | General Mills, Inc. | 46,355 | |||||||||
377 | Hormel Foods Corp. | 17,662 | |||||||||
86 | Ingredion, Inc. | 6,983 | |||||||||
328 | Kellogg Co. | 21,484 | |||||||||
186 | Lamb Weston Holdings, Inc. | 11,413 | |||||||||
158 | McCormick & Co, Inc. | 24,781 | |||||||||
1,850 | Mondelez International, Inc. | 95,164 | |||||||||
191 | The Hershey Co. | 25,294 | |||||||||
147 | The J.M. Smucker Co. | 16,892 | |||||||||
862 | The Kraft Heinz Co. | 26,144 | |||||||||
378 | Tyson Foods, Inc. Class A | 23,508 | |||||||||
360,091 | |||||||||||
General Merchandise Stores - 4.0% | |||||||||||
565 | Costco Wholesale Corp. | 171,195 | |||||||||
1,832 | Wal-Mart Stores, Inc. | 222,680 | |||||||||
393,875 | |||||||||||
Health and Personal Care Stores - 1.5% | |||||||||||
1,670 | CVS Health Corp. | 102,788 | |||||||||
985 | Walgreens Boots Alliance, Inc. | 42,641 | |||||||||
145,429 | |||||||||||
Hospitals - 0.5% | |||||||||||
350 | HCA Healthcare, Inc. | 38,458 | |||||||||
104 | Universal Health Services, Inc. Class B | 10,992 | |||||||||
49,450 | |||||||||||
Insurance Carriers and Related Activities - 6.7% | |||||||||||
328 | Anthem, Inc. | 92,079 | |||||||||
748 | Centene Corp. (a) | 49,802 | |||||||||
484 | Cigna Corp. | 94,757 | |||||||||
173 | Humana, Inc. | 66,055 | |||||||||
1,216 | UnitedHealth Group, Inc. | 355,644 | |||||||||
658,337 | |||||||||||
Machinery Manufacturing - 0.5% | |||||||||||
810 | Baker Hughes, a GE Co. | 11,300 | |||||||||
31 | Mettler-Toledo International, Inc. (a) | 22,318 | |||||||||
496 | National Oilwell Varco, Inc. | 6,269 | |||||||||
545 | TechnipFMC PLC | 4,856 | |||||||||
44,743 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
190 | Henry Schein, Inc. (a) | 10,366 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion MSCI USA Defensives Over Cyclicals ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Nondurable Goods - 1.5% | |||||||||||
201 | AmerisourceBergen Corp. | $ | 18,022 | ||||||||
395 | Brown Forman Corp. Class B | 24,569 | |||||||||
383 | Cardinal Health, Inc. | 18,951 | |||||||||
624 | ConAgra Brands, Inc. | 20,866 | |||||||||
237 | McKesson Corp. | 33,476 | |||||||||
626 | Sysco Corp. | 35,225 | |||||||||
151,109 | |||||||||||
Miscellaneous Manufacturing - 8.7% | |||||||||||
59 | Abiomed, Inc. (a) | 11,284 | |||||||||
98 | Align Technology, Inc. (a) | 21,055 | |||||||||
622 | Baxter International, Inc. | 55,221 | |||||||||
346 | Becton, Dickinson & Co. | 87,375 | |||||||||
1,788 | Boston Scientific Corp. (a) | 67,014 | |||||||||
287 | Dentsply Sirona, Inc. | 12,180 | |||||||||
118 | DexCom, Inc. (a) | 39,554 | |||||||||
267 | Edwards Lifesciences Corp. (a) | 58,073 | |||||||||
283 | Estee Lauder Companies, Inc. Class A | 49,921 | |||||||||
77 | INSULET Corp. (a) | 15,379 | |||||||||
147 | Intuitive Surgical, Inc. (a) | 75,099 | |||||||||
1,720 | Medtronic PLC ADR (Ireland) | 167,924 | |||||||||
184 | ResMed, Inc. | 28,579 | |||||||||
108 | STERIS PLC (Ireland) | 15,390 | |||||||||
433 | Stryker Corp. | 80,724 | |||||||||
60 | Teleflex, Inc. | 20,124 | |||||||||
63 | The Cooper Companies, Inc. | 18,062 | |||||||||
263 | Zimmer Biomet Holdings, Inc. | 31,481 | |||||||||
854,439 | |||||||||||
Oil and Gas Extraction - 1.5% | |||||||||||
482 | Apache Corp. | 6,304 | |||||||||
537 | Cabot Oil & Gas Corp. | 11,610 | |||||||||
259 | Concho Resources, Inc. | 14,690 | |||||||||
120 | Continental Resources, Inc. (b) | 1,967 | |||||||||
519 | Devon Energy Corp. | 6,472 | |||||||||
745 | EOG Resources, Inc. | 35,395 | |||||||||
1,031 | Marathon Oil Corp. | 6,310 | |||||||||
614 | Noble Energy, Inc. | 6,023 | |||||||||
1,148 | Occidental Petroleum Corp. | 19,057 | |||||||||
576 | Phillips 66 | 42,146 | |||||||||
149,974 | |||||||||||
Petroleum and Coal Products Manufacturing - 6.1% | |||||||||||
2,436 | Chevron Corp. | 224,112 | |||||||||
1,425 | ConocoPhillips | 59,992 | |||||||||
5,429 | Exxon Mobil Corp. | 252,286 | |||||||||
201 | HollyFrontier Corp. | 6,641 | |||||||||
846 | Marathon Petroleum Corp. | 27,140 | |||||||||
532 | Valero Energy Corp. | 33,702 | |||||||||
603,873 | |||||||||||
Pipeline Transportation - 0.3% | |||||||||||
1,556 | Williams Companies, Inc. | 30,140 | |||||||||
Professional, Scientific, and Technical Services - 0.7% | |||||||||||
409 | Cerner Corp. | 28,381 | |||||||||
187 | Exact Sciences Corp. (a) | 14,769 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services (continued) | |||||||||||
215 | IQVIA Holdings, Inc. (a) | $ | 30,657 | ||||||||
73,807 | |||||||||||
Publishing Industries (except Internet) - 0.3% | |||||||||||
166 | Veeva Systems, Inc. (a) | 31,673 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.4% | |||||||||||
1,625 | Gilead Sciences, Inc. | 136,500 | |||||||||
Support Activities for Mining - 0.9% | |||||||||||
199 | Diamondback Energy, Inc. | 8,664 | |||||||||
1,124 | Halliburton Co. | 11,802 | |||||||||
352 | Hess Corp. | 17,121 | |||||||||
215 | Pioneer Natural Resources Co. | 19,202 | |||||||||
1,775 | Schlumberger Ltd. (Netherlands) | 29,856 | |||||||||
299 | Targa Resources Corp. | 3,875 | |||||||||
90,520 | |||||||||||
Utilities - 11.2% | |||||||||||
853 | AES Corp. | 11,302 | |||||||||
305 | Alliant Energy Corp. | 14,808 | |||||||||
315 | Ameren Corp. | 22,916 | |||||||||
634 | American Electric Power Co., Inc. | 52,692 | |||||||||
232 | American Water Works Co., Inc. | 28,232 | |||||||||
151 | Atmos Energy Corp. | 15,397 | |||||||||
645 | CenterPoint Energy, Inc. | 10,984 | |||||||||
297 | Cheniere Energy, Inc. (a) | 13,867 | |||||||||
364 | CMS Energy Corp. | 20,781 | |||||||||
426 | Consolidated Edison, Inc. | 33,569 | |||||||||
1,055 | Dominion Energy, Inc. | 81,372 | |||||||||
234 | DTE Energy Co. | 24,275 | |||||||||
934 | Duke Energy Corp. | 79,072 | |||||||||
460 | Edison International | 27,007 | |||||||||
255 | Entergy Corp. | 24,355 | |||||||||
277 | Essential Utilities, Inc. | 11,576 | |||||||||
302 | Evergy, Inc. | 17,646 | |||||||||
416 | Eversource Energy | 33,571 | |||||||||
1,248 | Exelon Corp. | 46,276 | |||||||||
693 | FirstEnergy Corp. | 28,600 | |||||||||
2,614 | Kinder Morgan, Inc. | 39,811 | |||||||||
615 | NextEra Energy, Inc. | 142,139 | |||||||||
479 | NiSource, Inc. | 12,028 | |||||||||
324 | NRG Energy, Inc. | 10,864 | |||||||||
257 | OGE Energy Corp. | 8,101 | |||||||||
529 | ONEOK, Inc. | 15,833 | |||||||||
144 | Pinnacle West Capital Corp. | 11,086 | |||||||||
926 | PPL Corp. | 23,539 | |||||||||
648 | Public Service Enterprise Group, Inc. | 32,860 | |||||||||
352 | Sempra Energy | 43,595 | |||||||||
1,340 | Southern Co. | 76,018 | |||||||||
267 | UGI Corp. | 8,058 | |||||||||
472 | Vistra Energy Corp. | 9,223 | |||||||||
404 | WEC Energy Group, Inc. | 36,582 | |||||||||
660 | Xcel Energy, Inc. | 41,950 | |||||||||
1,109,985 | |||||||||||
TOTAL COMMON STOCKS (Cost $9,400,490) | $ | 9,352,632 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion MSCI USA Defensives Over Cyclicals ETF
Schedule of Investments, continued (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 9.8% | |||||||||||
Money Market Funds - 9.8% | |||||||||||
975 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 975 | ||||||||
972,222 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 972,222 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $973,197) | $ | 973,197 | |||||||||
TOTAL INVESTMENTS (Cost $10,373,687) - 104.5% (e) | $ | 10,325,829 | |||||||||
Liabilities in Excess of Other Assets - (4.5)% | (447,347 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,878,482 |
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, 2020.
(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 $5,793,789.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 MSCI USA Defensive Sectors Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 2,808 | $ | 5,920,796 | $ | (445,361 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of MSCI USA Cyclical Sectors Index | Credit Suisse Capital LLC | 12/09/2020 | 1,972 | $ | 4,348,812 | $ | (592,998 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Russell 1000® Growth Over Value ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.9% | |||||||||||
79,352 | iShares Russell 1000 Growth ETF (a) | $ | 13,710,438 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,329,056) | $ | 13,710,438 | |||||||||
SHORT TERM INVESTMENTS - 7.1% | |||||||||||
Money Market Funds - 7.1% | |||||||||||
1,020,883 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 1,020,883 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,020,883) | $ | 1,020,883 | |||||||||
TOTAL INVESTMENTS (Cost $14,349,939) - 103.0% (c) | $ | 14,731,321 | |||||||||
Liabilities in Excess of Other Assets - (3.0)% | (427,514 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 14,303,807 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,829,991.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Russell 1000® Growth Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/09/2020 | 4,453 | $ | 7,920,747 | $ | (185,010 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Value Index | Credit Suisse Capital LLC | 12/09/2020 | 6,569 | $ | 6,473,673 | $ | (685,150 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Direxion Russell 1000® Value Over Growth ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.0% | |||||||||||
122,618 | iShares Russell 1000 Value ETF (a) | $ | 13,521,087 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $14,909,715) | $ | 13,521,087 | |||||||||
SHORT TERM INVESTMENTS - 15.3% | |||||||||||
Money Market Funds - 15.3% | |||||||||||
7 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 7 | ||||||||
2,084,174 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 2,084,174 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,084,181) | $ | 2,084,181 | |||||||||
TOTAL INVESTMENTS (Cost $16,993,896) - 114.3% (c) | $ | 15,605,268 | |||||||||
Liabilities in Excess of Other Assets - (14.3)% | (1,949,552 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 13,655,716 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,171,118.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Russell 1000® Value Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/9/2020 | 6,395 | $ | 8,589,530 | $ | (1,607,304 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Growth Index | Credit Suisse Capital LLC | 12/17/2020 | 3,925 | $ | 6,455,773 | $ | (360,495 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Russell Large Over Small Cap ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 94.5% | |||||||||||
72,334 | iShares Russell 1000 ETF (a)(b) | $ | 11,588,630 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $11,193,470) | $ | 11,588,630 | |||||||||
SHORT TERM INVESTMENTS - 26.0% | |||||||||||
Money Market Funds - 26.0% | |||||||||||
1,671,338 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 1,671,338 | ||||||||
1,512,390 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 1,512,390 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,183,728) | $ | 3,183,728 | |||||||||
TOTAL INVESTMENTS (Cost $14,377,198) - 120.5% (e) | $ | 14,772,358 | |||||||||
Liabilities in Excess of Other Assets - (20.5)% | (2,510,692 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 12,261,666 |
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, 2020.
(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 $4,156,976.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Russell 1000® Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 4,248 | $ | 7,414,302 | $ | (607,304 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.7508% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Credit Suisse Capital LLC | 12/09/2020 | 4,678 | $ | 5,394,216 | $ | (736,585 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Russell Small Over Large Cap ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 94.8% | |||||||||||
29,569 | iShares Russell 2000 ETF (a)(b) | $ | 3,853,137 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $4,236,421) | $ | 3,853,137 | |||||||||
SHORT TERM INVESTMENTS - 59.2% | |||||||||||
Money Market Funds - 59.2% | |||||||||||
2,121,468 | Dreyfus Government Cash Management Institutional Shares, 0.17% (c)(d) | $ | 2,121,468 | ||||||||
284,330 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (c) | 284,330 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,405,798) | $ | 2,405,798 | |||||||||
TOTAL INVESTMENTS (Cost $6,642,219) - 154.0% (e) | $ | 6,258,935 | |||||||||
Liabilities in Excess of Other Assets - (54.0)% | (2,193,007 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,065,928 |
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, 2020.
(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 $1,593,425.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 Russell 2000® Index | 1.0508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 1/11/2021 | 1,713 | $ | 2,733,703 | $ | (491,261 | ) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2020
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
0.8508% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Index | Credit Suisse Capital LLC | 12/11/2020 | 1,269 | $ | 2,032,710 | $ | (4,797 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
PortfolioPlus Developed Markets ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 98.5% | |||||||||||
49,423 | Vanguard FTSE Developed Markets ETF (a) | $ | 1,763,413 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,823,380) | $ | 1,763,413 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
2,976 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 2,976 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,976) | $ | 2,976 | |||||||||
TOTAL INVESTMENTS (Cost $1,826,356) - 98.7% (c) | $ | 1,766,389 | |||||||||
Other Assets in Excess of Liabilities - 1.3% | 24,225 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,790,614 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $811,593.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 18,327 | $ | 644,045 | $ | 9,749 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
PortfolioPlus Emerging Markets ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.0% | |||||||||||
72,848 | Schwab Emerging Markets Equity ETF (a) | $ | 1,614,312 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,663,162) | $ | 1,614,312 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
2 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 2 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2) | $ | 2 | |||||||||
TOTAL INVESTMENTS (Cost $1,663,164) - 97.0% (c) | $ | 1,614,314 | |||||||||
Other Assets in Excess of Liabilities - 3.0% | 49,296 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,663,610 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $163,742.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 FTSE Emerging Index | 1.6008% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 28,500 | $ | 641,158 | $ | (10,920 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
PortfolioPlus S&P 500® ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 99.9% | |||||||||||
71,751 | iShares Core S&P 500 ETF (a) | $ | 20,891,021 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $18,568,352) | $ | 20,891,021 | |||||||||
SHORT TERM INVESTMENTS - 0.0% (†) | |||||||||||
Money Market Funds - 0.0% (†) | |||||||||||
5 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 5 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5) | $ | 5 | |||||||||
TOTAL INVESTMENTS (Cost $18,568,357) - 99.9% (c) | $ | 20,891,026 | |||||||||
Other Assets in Excess of Liabilities - 0.1% | 29,181 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,920,207 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,406,355.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 0.8808% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2020 | 2,524 | $ | 7,084,069 | $ | 270,737 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
PortfolioPlus S&P® Mid Cap ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 95.8% | |||||||||||
11,344 | iShares Core S&P Mid-Cap ETF (a) | $ | 1,862,458 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,828,629) | $ | 1,862,458 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
4,113 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | $ | 4,113 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,113) | $ | 4,113 | |||||||||
TOTAL INVESTMENTS (Cost $1,832,742) - 96.0% (c) | $ | 1,866,571 | |||||||||
Other Assets in Excess of Liabilities - 4.0% | 77,816 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,944,387 |
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, 2020.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $846,685.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.6508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 463 | $ | 714,211 | $ | 48,511 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
PortfolioPlus S&P® Small Cap ETF
Schedule of Investments (Unaudited)
April 30, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.7% | |||||||||||
79,777 | iShares Core S&P Small-Cap ETF (a) | $ | 5,053,873 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $6,098,120) | $ | 5,053,873 | |||||||||
SHORT TERM INVESTMENTS - 1.1% | |||||||||||
Money Market Funds - 1.1% | |||||||||||
54 | Dreyfus Government Cash Management Institutional Shares, 0.17% (b) | $ | 54 | ||||||||
54,952 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.25% (b) | 54,952 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $55,006) | $ | 55,006 | |||||||||
TOTAL INVESTMENTS (Cost $6,153,126) - 98.8% (c) | $ | 5,108,879 | |||||||||
Other Assets in Excess of Liabilities - 1.2% | 66,175 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 5,175,054 |
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, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,728,725.
Long Total Return Swap Contracts (Unaudited)
April 30, 2020
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 | 1.2508% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 2,506 | $ | 1,812,004 | $ | 120,896 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion All Cap Insider Sentiment Shares | Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Flight to Safety Strategy ETF (Consolidated) | Direxion MSCI USA ESG – Leaders vs. Laggards ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 56,620,465 | $ | — | $ | 27,009,222 | $ | 10,870,702 | |||||||||||
Cash equivalents | 398,629 | 34,020,906 | 1,101,326 | 966,732 | |||||||||||||||
Due from broker for futures contracts | — | 39,998 | 176,950 | — | |||||||||||||||
Deposit at broker for futures contracts | — | 140,910 | 80,520 | — | |||||||||||||||
Dividend and interest receivable | 33,207 | 2,774 | 1,882 | 11,533 | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | 1,049,488 | |||||||||||||||
Total Assets | 57,052,301 | 34,204,588 | 28,369,900 | 12,898,455 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 120,472 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | 597,069 | |||||||||||||||
Due to Adviser, net (Note 6) | 13,802 | 12,769 | 5,604 | 3,195 | |||||||||||||||
Due to broker for swap contracts | — | — | — | 450,000 | |||||||||||||||
Variation margin payable | — | 25,480 | 15,360 | — | |||||||||||||||
Accrued operating services fees (Note 6) | 8,906 | 5,576 | 1,121 | 457 | |||||||||||||||
Total Liabilities | 143,180 | 43,825 | 22,085 | 1,050,721 | |||||||||||||||
Net Assets | $ | 56,909,121 | $ | 34,160,763 | $ | 28,347,815 | $ | 11,847,734 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 84,230,012 | $ | 37,385,637 | $ | 27,387,663 | $ | 12,500,050 | |||||||||||
Total distributable earnings (loss) | (27,320,891 | ) | (3,224,874 | ) | 960,152 | (652,316 | ) | ||||||||||||
Net Assets | $ | 56,909,121 | $ | 34,160,763 | $ | 28,347,815 | $ | 11,847,734 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 56,909,121 | $ | 34,160,763 | $ | 28,347,815 | $ | 11,847,734 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,800,218 | 1,600,001 | 550,001 | 250,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 31.61 | $ | 21.35 | $ | 51.54 | $ | 47.39 | |||||||||||
Cost of Investments | $ | 56,360,338 | $ | — | $ | 26,357,288 | $ | 11,933,515 |
* Securities loaned with values of $207,512,$–,$– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion S&P 500® High minus Low Quality ETF | Direxion Zacks MLP High Income Index Shares | Direxion FTSE Russell International Over US ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 231,693,508 | $ | 11,271,182 | $ | 46,909,297 | $ | 8,563,258 | |||||||||||
Cash equivalents | 305,262 | 897,942 | 200,225 | 57,122 | |||||||||||||||
Receivable for Fund shares sold | 1,986 | — | — | — | |||||||||||||||
Receivable for investments sold | 18,578,352 | — | 318,322 | 367,920 | |||||||||||||||
Dividend and interest receivable | 47,911 | 5,583 | 36,742 | 125 | |||||||||||||||
Due from broker for swap contracts | — | 344 | — | 40,726 | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | 429,475 | |||||||||||||||
Tax reclaim receivable | — | — | 167,373 | — | |||||||||||||||
Prepaid expenses and other assets | — | — | 2,494 | — | |||||||||||||||
Total Assets | 250,627,019 | 12,175,051 | 47,634,453 | 9,458,626 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 3,310,532 | — | 10,011,273 | — | |||||||||||||||
Payable for investments purchased | 18,583,318 | 533,043 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 944,675 | — | 1,030,431 | |||||||||||||||
Due to Adviser, net (Note 6) | 47,794 | 2,481 | 11,416 | 2,674 | |||||||||||||||
Due to broker for swap contracts | — | 40,843 | — | 7,059 | |||||||||||||||
Accrued operating services fees (Note 6) | 8,660 | 414 | 3,790 | 334 | |||||||||||||||
Total Liabilities | 21,950,304 | 1,521,456 | 10,026,479 | 1,040,498 | |||||||||||||||
Net Assets | $ | 228,676,715 | $ | 10,653,595 | $ | 37,607,974 | $ | 8,418,128 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 204,893,306 | $ | 11,516,902 | $ | 115,435,910 | $ | 9,690,475 | |||||||||||
Total distributable earnings (loss) | 23,783,409 | (863,307 | ) | (77,827,936 | ) | (1,272,347 | ) | ||||||||||||
Net assets | $ | 228,676,715 | $ | 10,653,595 | $ | 37,607,974 | $ | 8,418,128 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 228,676,715 | $ | 10,653,595 | $ | 37,607,974 | $ | 8,418,128 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 4,350,002 | 225,001 | 687,500 | 200,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 52.57 | $ | 47.35 | $ | 54.70 | $ | 42.09 | |||||||||||
Cost of Investments | $ | 213,014,442 | $ | 12,234,840 | $ | 68,926,882 | $ | 9,331,548 |
* Securities loaned with values of $– ,$3,158,680,$– and $14,320,761, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion FTSE Russell US Over International ETF | Direxion MSCI Developed Over Emerging Markets ETF | Direxion MSCI Emerging Over Developed Markets ETF | Direxion MSCI USA Cyclicals Over Defensives ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 12,629,434 | $ | 10,322,298 | $ | 8,438,738 | $ | 11,618,116 | |||||||||||
Cash equivalents | 829,135 | 420,398 | 323,886 | 698,709 | |||||||||||||||
Dividend and interest receivable | 543 | 381 | 81 | 7,869 | |||||||||||||||
Due from broker for swap contracts | — | 975 | 937,583 | 574,366 | |||||||||||||||
Total Assets | 13,459,112 | 10,744,052 | 9,700,288 | 12,899,060 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 25,577 | |||||||||||||||
Payable for investments purchased | 448,613 | — | — | 504,701 | |||||||||||||||
Unrealized depreciation on swap contracts | 1,003,743 | 1,316,651 | 1,038,556 | 322,111 | |||||||||||||||
Due to Adviser, net (Note 6) | 3,651 | 2,935 | 2,733 | 3,619 | |||||||||||||||
Due to broker for swap contracts | — | 31,261 | — | 44,732 | |||||||||||||||
Accrued operating services fees (Note 6) | 456 | 367 | 341 | 452 | |||||||||||||||
Total Liabilities | 1,456,463 | 1,351,214 | 1,041,630 | 901,192 | |||||||||||||||
Net Assets | $ | 12,002,649 | $ | 9,392,838 | $ | 8,658,658 | $ | 11,997,868 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 9,541,974 | $ | 9,382,998 | $ | 9,825,047 | $ | 8,970,601 | |||||||||||
Total distributable earnings (loss) | 2,460,675 | 9,840 | (1,166,389 | ) | 3,027,267 | ||||||||||||||
Net Assets | $ | 12,002,649 | $ | 9,392,838 | $ | 8,658,658 | $ | 11,997,868 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 12,002,649 | $ | 9,392,838 | $ | 8,658,658 | $ | 11,997,868 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 200,001 | 200,001 | 200,001 | 200,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 60.01 | $ | 46.96 | $ | 43.29 | $ | 59.99 | |||||||||||
Cost of Investments | $ | 12,052,684 | $ | 11,376,111 | $ | 9,684,482 | $ | 11,002,774 |
* Securities loaned with values of $–,$–,$– and $31,576, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion MSCI USA Defensives Over Cyclicals ETF | Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | Direxion Russell Large Over Small Cap ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 10,325,829 | $ | 14,731,321 | $ | 15,605,268 | $ | 14,772,358 | |||||||||||
Cash equivalents | 610,672 | 1,674,538 | 117,633 | 1,183,345 | |||||||||||||||
Dividend and interest receivable | 11,713 | (42,457 | ) | 781 | 690 | ||||||||||||||
Due from broker for swap contracts | 155 | — | 1,487 | 644 | |||||||||||||||
Total Assets | 10,948,369 | 16,363,402 | 15,725,169 | 15,957,037 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 975 | — | — | 1,671,338 | |||||||||||||||
Payable for investments purchased | — | 1,112,761 | — | 592,810 | |||||||||||||||
Unrealized depreciation on swap contracts | 1,038,359 | 870,160 | 1,967,799 | 1,343,889 | |||||||||||||||
Due to Adviser, net (Note 6) | 3,153 | 4,325 | 4,281 | 3,830 | |||||||||||||||
Due to broker for swap contracts | 27,006 | 71,809 | 96,838 | 83,025 | |||||||||||||||
Accrued operating services fees (Note 6) | 394 | 540 | 535 | 479 | |||||||||||||||
Total Liabilities | 1,069,887 | 2,059,595 | 2,069,453 | 3,695,371 | |||||||||||||||
Net Assets | $ | 9,878,482 | $ | 14,303,807 | $ | 13,655,716 | $ | 12,261,666 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 9,691,801 | $ | 6,599,120 | $ | 16,509,673 | $ | 9,179,682 | |||||||||||
Total distributable earnings (loss) | 186,681 | 7,704,687 | (2,853,957 | ) | 3,081,984 | ||||||||||||||
Net Assets | $ | 9,878,482 | $ | 14,303,807 | $ | 13,655,716 | $ | 12,261,666 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 9,878,482 | $ | 14,303,807 | $ | 13,655,716 | $ | 12,261,666 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 200,001 | 200,001 | 325,001 | 200,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 49.39 | $ | 71.52 | $ | 42.02 | $ | 61.31 | |||||||||||
Cost of Investments | $ | 10,373,687 | $ | 14,349,939 | $ | 16,993,896 | $ | 14,377,198 |
* Securities loaned with values of $983,$–,$– and $1,620,364, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
Direxion Russell Small Over Large Cap ETF | PortfolioPlus Developed Markets ETF | PortfolioPlus Emerging Markets ETF | PortfolioPlus S&P 500® ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 6,258,935 | $ | 1,766,389 | $ | 1,614,314 | $ | 20,891,026 | |||||||||||
Cash equivalents | 240,149 | 16,080 | 63,577 | 276,794 | |||||||||||||||
Receivable from Adviser (Note 6) | — | 76 | 47 | — | |||||||||||||||
Dividend and interest receivable | 722 | 6 | 59 | 91 | |||||||||||||||
Due from broker for swap contracts | 247,716 | 28 | — | 40 | |||||||||||||||
Unrealized appreciation on swap contracts | — | 9,749 | — | 270,737 | |||||||||||||||
Total Assets | 6,747,522 | 1,792,328 | 1,677,997 | 21,438,688 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 2,121,468 | — | — | — | |||||||||||||||
Payable for investments purchased | 52,127 | — | — | 176,478 | |||||||||||||||
Unrealized depreciation on swap contracts | 496,058 | — | 10,920 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 1,186 | — | — | 2,970 | |||||||||||||||
Due to broker for swap contracts | 10,607 | 1,660 | 3,419 | 338,717 | |||||||||||||||
Accrued operating services fees (Note 6) | 148 | 54 | 48 | 316 | |||||||||||||||
Total Liabilities | 2,681,594 | 1,714 | 14,387 | 518,481 | |||||||||||||||
Net Assets | $ | 4,065,928 | $ | 1,790,614 | $ | 1,663,610 | $ | 20,920,207 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 4,146,743 | $ | 4,994,331 | $ | 5,637,119 | $ | 19,240,448 | |||||||||||
Total distributable earnings (loss) | (80,815 | ) | (3,203,717 | ) | (3,973,509 | ) | 1,679,759 | ||||||||||||
Net Assets | $ | 4,065,928 | $ | 1,790,614 | $ | 1,663,610 | $ | 20,920,207 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 4,065,928 | $ | 1,790,614 | $ | 1,663,610 | $ | 20,920,207 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 100,001 | 100,001 | 100,001 | 550,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 40.66 | $ | 17.91 | $ | 16.64 | $ | 38.04 | |||||||||||
Cost of Investments | $ | 6,642,219 | $ | 1,826,356 | $ | 1,663,164 | $ | 18,568,357 |
* Securities loaned with values of $1,999,477,$–,$– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Statements of Assets and Liabilities (Unaudited)
April 30, 2020
PortfolioPlus S&P® Mid Cap ETF | PortfolioPlus S&P® Small Cap ETF | ||||||||||
Assets: | |||||||||||
Investments, at fair value (Note 2) | $ | 1,866,571 | $ | 5,108,879 | |||||||
Cash equivalents | 34,886 | 355,761 | |||||||||
Receivable from Adviser (Note 6) | 246 | — | |||||||||
Dividend and interest receivable | 1 | 101 | |||||||||
Due from broker for swap contracts | 11 | 112 | |||||||||
Unrealized appreciation on swap contracts | 48,511 | 120,896 | |||||||||
Total Assets | 1,950,226 | 5,585,749 | |||||||||
Liabilities: | |||||||||||
Payable for investments purchased | — | 396,420 | |||||||||
Due to Adviser, net (Note 6) | — | 924 | |||||||||
Due to broker for swap contracts | 5,751 | 13,164 | |||||||||
Accrued operating services fees (Note 6) | 88 | 187 | |||||||||
Total Liabilities | 5,839 | 410,695 | |||||||||
Net Assets | $ | 1,944,387 | $ | 5,175,054 | |||||||
Net Assets Consist of: | |||||||||||
Capital stock | $ | 2,636,741 | $ | 7,317,769 | |||||||
Total distributable loss | (692,354 | ) | (2,142,715 | ) | |||||||
Net Assets | $ | 1,944,387 | $ | 5,175,054 | |||||||
Calculation of Net Asset Value Per Share: | |||||||||||
Net assets | $ | 1,944,387 | $ | 5,175,054 | |||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 100,001 | 200,000 | |||||||||
Net assets value, redemption price and offering price per share | $ | 19.44 | $ | 25.88 | |||||||
Cost of Investments | $ | 1,832,742 | $ | 6,153,126 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion All Cap Insider Sentiment Shares | Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Flight to Safety Strategy ETF (Consolidated)1 | Direxion MSCI USA ESG – Leaders vs. Laggards ETF1 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 1,192,916 | $ | — | $ | 102,677 | $ | 58,292 | |||||||||||
Interest income | 2,141 | 205,450 | 3,099 | 1,819 | |||||||||||||||
Securities lending income | 33,063 | — | — | — | |||||||||||||||
Total investment income | 1,228,120 | 205,450 | 105,776 | 60,111 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 168,490 | 88,362 | 15,407 | 9,405 | |||||||||||||||
Operating services fees (Note 6) | 80,033 | 35,345 | 3,082 | 1,344 | |||||||||||||||
Net Expenses | 248,523 | 123,707 | 18,489 | 10,749 | |||||||||||||||
Net investment income | 979,597 | 81,743 | 87,287 | 49,362 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (12,052,414 | ) | — | 30,807 | (52,439 | ) | |||||||||||||
In-kind redemptions | (1,193,126 | ) | — | 155,536 | — | ||||||||||||||
Futures contracts | — | (3,239,413 | ) | 84,980 | — | ||||||||||||||
Net realized gain (loss) | (13,245,540 | ) | (3,239,413 | ) | 271,323 | (52,439 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | (593,455 | ) | — | 651,934 | (1,062,813 | ) | |||||||||||||
Swap contracts | — | — | — | 452,419 | |||||||||||||||
Futures contracts | — | (315,128 | ) | 22,130 | — | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (593,455 | ) | (315,128 | ) | 674,064 | (610,394 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (13,838,995 | ) | (3,554,541 | ) | 945,387 | (662,833 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (12,859,398 | ) | $ | (3,472,798 | ) | $ | 1,032,674 | $ | (613,471 | ) |
1 Represents the period from February 5, 2020 (commencement of operations) to April 30, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion S&P 500® High minus Low Quality ETF1 | Direxion Zacks MLP High Income Index Shares | Direxion FTSE Russell International Over US ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 1,325,044 | $ | 51,130 | $ | 205,869 | $ | 162,192 | |||||||||||
Interest income | 1,774 | 1,589 | 2,319 | 5,805 | |||||||||||||||
Securities lending income | 6,797 | — | 234,584 | — | |||||||||||||||
Total investment income | 1,333,615 | 52,719 | 442,772 | 167,997 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 343,511 | 7,596 | 114,781 | 22,682 | |||||||||||||||
Operating services fees (Note 6) | 57,252 | 1,266 | 34,434 | 2,836 | |||||||||||||||
Net Expenses | 400,763 | 8,862 | 149,215 | 25,518 | |||||||||||||||
Net investment income | 932,852 | 43,857 | 293,557 | 142,479 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | 1,874,713 | (44,997 | ) | (6,019,926 | ) | 237,119 | |||||||||||||
In-kind redemptions | 9,162,828 | (299,795 | ) | (494,308 | ) | 292,704 | |||||||||||||
Swap contracts | — | 1,382,245 | — | (413,057 | ) | ||||||||||||||
Net realized gain (loss) | 11,037,541 | 1,037,453 | (6,514,234 | ) | 116,766 | ||||||||||||||
Change in net unrealized depreciation on: Investment securities | (4,950,905 | ) | (963,658 | ) | (18,269,798 | ) | (1,866,750 | ) | |||||||||||
Swap contracts | — | (944,675 | ) | — | (271,509 | ) | |||||||||||||
Change in net unrealized depreciation | (4,950,905 | ) | (1,908,333 | ) | (18,269,798 | ) | (2,138,259 | ) | |||||||||||
Net realized and unrealized gain (loss) | 6,086,636 | (870,880 | ) | (24,784,032 | ) | (2,021,493 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 7,019,488 | $ | (827,023 | ) | $ | (24,490,475 | ) | $ | (1,879,014 | ) |
1 Represents the period from February 5, 2020 (commencement of operations) to April 30, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion FTSE Russell US Over International ETF | Direxion MSCI Developed Over Emerging Markets ETF | Direxion MSCI Emerging Over Developed Markets ETF | Direxion MSCI USA Cyclicals Over Defensives ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 122,201 | $ | 188,366 | $ | 261,703 | $ | 151,140 | |||||||||||
Interest income | 5,119 | 4,854 | 3,559 | 7,573 | |||||||||||||||
Securities lending income | 562 | — | — | 107 | |||||||||||||||
Total investment income | 127,882 | 193,220 | 265,262 | 158,820 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 27,172 | 24,149 | 21,613 | 34,765 | |||||||||||||||
Operating services fees (Note 6) | 3,395 | 3,019 | 2,702 | 4,346 | |||||||||||||||
Interest expense | 2,134 | 2,197 | — | 3,074 | |||||||||||||||
Net Expenses | 32,701 | 29,365 | 24,315 | 42,185 | |||||||||||||||
Net investment income | 95,181 | 163,855 | 240,947 | 116,635 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | 294,621 | 355,514 | 262,167 | (6,470 | ) | ||||||||||||||
In-kind redemptions | 555,360 | 497,319 | 265,676 | 1,381,136 | |||||||||||||||
Swap contracts | 2,284,221 | 1,813,875 | 654,169 | 1,614,582 | |||||||||||||||
Net realized gain | 3,134,202 | 2,666,708 | 1,182,012 | 2,989,248 | |||||||||||||||
Change in net unrealized depreciation on: Investment securities | (1,123,516 | ) | (2,456,265 | ) | (1,817,496 | ) | (1,623,557 | ) | |||||||||||
Swap contracts | (1,596,328 | ) | (2,134,173 | ) | (610,622 | ) | (1,418,379 | ) | |||||||||||
Change in net unrealized depreciation | (2,719,844 | ) | (4,590,438 | ) | (2,428,118 | ) | (3,041,936 | ) | |||||||||||
Net realized and unrealized gain (loss) | 414,358 | (1,923,730 | ) | (1,246,106 | ) | (52,688 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 509,539 | $ | (1,759,875 | ) | $ | (1,005,159 | ) | $ | 63,947 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion MSCI USA Defensives Over Cyclicals ETF | Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | Direxion Russell Large Over Small Cap ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 143,853 | $ | 99,702 | $ | 342,909 | $ | 122,445 | |||||||||||
Interest income | 4,817 | 9,150 | 12,261 | 6,446 | |||||||||||||||
Securities lending income | 9 | 91 | 1,195 | 1,892 | |||||||||||||||
Total investment income | 148,679 | 108,943 | 356,365 | 130,783 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 23,242 | 41,576 | 45,105 | 26,985 | |||||||||||||||
Operating services fees (Note 6) | 2,905 | 5,197 | 5,638 | 3,373 | |||||||||||||||
Interest expense | 1,440 | 3,438 | 2,601 | 3,343 | |||||||||||||||
Net Expenses | 27,587 | 50,211 | 53,344 | 33,701 | |||||||||||||||
Net investment income | 121,092 | 58,732 | 303,021 | 97,082 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | 375,031 | 402,619 | (152,443 | ) | 607,758 | ||||||||||||||
In-kind redemptions | 532,540 | 4,173,689 | 1,215,066 | 619,448 | |||||||||||||||
Swap contracts | 1,540,461 | 4,323,779 | 821,729 | 3,176,461 | |||||||||||||||
Net realized gain | 2,448,032 | 8,900,087 | 1,884,352 | 4,403,667 | |||||||||||||||
Change in net unrealized depreciation on: Investment securities | (1,081,749 | ) | (2,921,527 | ) | (3,438,222 | ) | (1,546,189 | ) | |||||||||||
Swap contracts | (1,598,954 | ) | (2,397,332 | ) | (2,933,207 | ) | (2,436,158 | ) | |||||||||||
Change in net unrealized depreciation | (2,680,703 | ) | (5,318,859 | ) | (6,371,429 | ) | (3,982,347 | ) | |||||||||||
Net realized and unrealized gain (loss) | (232,671 | ) | 3,581,228 | (4,487,077 | ) | 421,320 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (111,579 | ) | $ | 3,639,960 | $ | (4,184,056 | ) | $ | 518,402 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
Direxion Russell Small Over Large Cap ETF | PortfolioPlus Developed Markets ETF | PortfolioPlus Emerging Markets ETF | PortfolioPlus S&P 500® ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 69,513 | $ | 14,917 | $ | 29,490 | $ | 262,732 | |||||||||||
Interest income | 4,752 | 91 | 82 | 1,941 | |||||||||||||||
Securities lending income | 3,244 | — | 1,225 | 257 | |||||||||||||||
Total investment income | 77,509 | 15,008 | 30,797 | 264,930 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 19,659 | 2,592 | 2,385 | 54,378 | |||||||||||||||
Operating services fees (Note 6) | 2,457 | 288 | 265 | 2,417 | |||||||||||||||
Interest expense | 61 | 34 | — | 2,821 | |||||||||||||||
Total Expenses | 22,177 | 2,914 | 2,650 | 59,616 | |||||||||||||||
Less: Investment advisory fees waived (Note 6) | — | (288 | ) | (265 | ) | (18,126 | ) | ||||||||||||
Net Expenses | 22,177 | 2,626 | 2,385 | 41,490 | |||||||||||||||
Net investment income | 55,332 | 12,382 | 28,412 | 223,440 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | 371,043 | (35,514 | ) | (23,764 | ) | (505,915 | ) | ||||||||||||
In-kind redemptions | 869,532 | — | — | (22,046 | ) | ||||||||||||||
Swap contracts | (296,696 | ) | (57,811 | ) | (36,957 | ) | (370,192 | ) | |||||||||||
Net realized gain (loss) | 943,879 | (93,325 | ) | (60,721 | ) | (898,153 | ) | ||||||||||||
Change in net unrealized depreciation on: Investment securities | (1,342,194 | ) | (125,162 | ) | (127,151 | ) | (1,084,191 | ) | |||||||||||
Swap contracts | (76,556 | ) | (147 | ) | (16,126 | ) | (284,562 | ) | |||||||||||
Change in net unrealized depreciation | (1,418,750 | ) | (125,309 | ) | (143,277 | ) | (1,368,753 | ) | |||||||||||
Net realized and unrealized loss | (474,871 | ) | (218,634 | ) | (203,998 | ) | (2,266,906 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (419,539 | ) | $ | (206,252 | ) | $ | (175,586 | ) | $ | (2,043,466 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2020
PortfolioPlus S&P® Mid Cap ETF | PortfolioPlus S&P® Small Cap ETF | ||||||||||
Investment Income: | |||||||||||
Dividend income | $ | 10,020 | $ | 56,044 | |||||||
Interest income | 115 | 914 | |||||||||
Securities lending income | — | 8 | |||||||||
Total investment income | 10,135 | 56,966 | |||||||||
Expenses: | |||||||||||
Investment advisory fees (Note 6) | 2,826 | 14,880 | |||||||||
Operating services fees (Note 6) | 502 | 1,653 | |||||||||
Interest expense | 23 | 99 | |||||||||
Total Expenses | 3,351 | 16,632 | |||||||||
Less: Investment advisory fees waived (Note 6) | (942 | ) | (4,960 | ) | |||||||
Net Expenses | 2,409 | 11,672 | |||||||||
Net investment income | 7,726 | 45,294 | |||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||
Net realized loss on: Investment securities | (30,707 | ) | (303,402 | ) | |||||||
Swap contracts | (105,541 | ) | (636,428 | ) | |||||||
Net realized loss | (136,248 | ) | (939,830 | ) | |||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||
Investment securities | (115,063 | ) | (1,204,120 | ) | |||||||
Swap contracts | 42,487 | 90,488 | |||||||||
Change in net unrealized depreciation | (72,576 | ) | (1,113,632 | ) | |||||||
Net realized and unrealized loss | (208,824 | ) | (2,053,462 | ) | |||||||
Net decrease in net assets resulting from operations | $ | (201,098 | ) | $ | (2,008,168 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Statements of Changes in Net Assets
Direxion All Cap Insider Sentiment Shares | Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 979,597 | $ | 3,262,435 | $ | 81,743 | $ | 638,694 | |||||||||||
Net realized loss | (13,245,540 | ) | (14,985,032 | ) | (3,239,413 | ) | (2,125,481 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (593,455 | ) | 15,605,869 | (315,128 | ) | 702,785 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (12,859,398 | ) | 3,883,272 | (3,472,798 | ) | (784,002 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,106,538 | ) | (3,420,615 | ) | (121,372 | ) | (1,191,152 | ) | |||||||||||
Total distributions | (1,106,538 | ) | (3,420,615 | ) | (121,372 | ) | (1,191,152 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 5,925,837 | 12,664,501 | 3,549,956 | |||||||||||||||
Cost of shares redeemed | (37,354,102 | ) | (102,167,540 | ) | (17,274,061 | ) | (12,065,167 | ) | |||||||||||
Transaction fees (Note 4) | — | — | 4,721 | 2,768 | |||||||||||||||
Net decrease in net assets resulting from capital transactions | (37,354,102 | ) | (96,241,703 | ) | (4,604,839 | ) | (8,512,443 | ) | |||||||||||
Total decrease in net assets | (51,320,038 | ) | (95,779,046 | ) | (8,199,009 | ) | (10,487,597 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 108,229,159 | 204,008,205 | 42,359,771 | 52,847,368 | |||||||||||||||
End of year/period | $ | 56,909,121 | $ | 108,229,159 | $ | 34,160,762 | $ | 42,359,771 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,850,218 | 5,400,218 | 1,800,001 | 2,150,001 | |||||||||||||||
Shares sold | — | 150,000 | 550,000 | 150,000 | |||||||||||||||
Shares repurchased | (1,050,000 | ) | (2,700,000 | ) | (750,000 | ) | (500,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,800,218 | 2,850,218 | 1,600,001 | 1,800,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Statements of Changes in Net Assets
Direxion Flight to Safety Strategy ETF (Consolidated) | Direxion MSCI USA ESG – Leaders vs. Laggards ETF | ||||||||||
For the Period February 5, 20201 through April 30, 2020 (Unaudited) | For the Period February 5, 20201 through April 30, 2020 (Unaudited) | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 87,287 | $ | 49,362 | |||||||
Net realized gain (loss) | 271,323 | (52,439 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 674,064 | (610,394 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 1,032,674 | (613,471 | ) | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (72,522 | ) | (38,845 | ) | |||||||
Total distributions | (72,522 | ) | (38,845 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 31,038,738 | 12,500,050 | |||||||||
Cost of shares redeemed | (3,654,056 | ) | — | ||||||||
Transaction fees (Note 4) | 2,981 | — | |||||||||
Net increase in net assets resulting from capital transactions | 27,387,663 | 12,500,050 | |||||||||
Total increase in net assets | 28,347,815 | 11,847,734 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 28,347,815 | $ | 11,847,734 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 625,001 | 250,001 | |||||||||
Shares repurchased | (75,000 | ) | — | ||||||||
Shares outstanding, end of period | 550,001 | 250,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Statements of Changes in Net Assets
Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion S&P 500® High minus Low Quality ETF | ||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | For the Period February 5, 20201 through April 30, 2020 (Unaudited) | |||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 932,852 | $ | 1,672,513 | $ | 43,857 | |||||||||
Net realized gain | 11,037,541 | 15,546,552 | 1,037,453 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (4,950,905 | ) | 13,472,644 | (1,908,333 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 7,019,488 | 30,691,709 | (827,023 | ) | |||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (938,556 | ) | (1,593,524 | ) | (36,284 | ) | |||||||||
Total distributions | (938,556 | ) | (1,593,524 | ) | (36,284 | ) | |||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | 42,599,983 | 94,484,334 | 12,500,050 | ||||||||||||
Cost of shares redeemed | (35,566,766 | ) | (87,594,219 | ) | (983,150 | ) | |||||||||
Transaction fees (Note 4) | — | — | 2 | ||||||||||||
Net increase in net assets resulting from capital transactions | 7,033,217 | 6,890,115 | 11,516,902 | ||||||||||||
Total increase in net assets | 13,114,149 | 35,988,300 | 10,653,595 | ||||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | 215,562,566 | 179,574,266 | — | ||||||||||||
End of year/period | $ | 228,676,715 | $ | 215,562,566 | $ | 10,653,595 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | 4,200,002 | 4,150,002 | — | ||||||||||||
Shares sold | 850,000 | 2,000,000 | 250,001 | ||||||||||||
Shares repurchased | (700,000 | ) | (1,950,000 | ) | (25,000 | ) | |||||||||
Shares outstanding, end of year/period | 4,350,002 | 4,200,002 | 225,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Statements of Changes in Net Assets
Direxion Zacks MLP High Income Index Shares1 | Direxion FTSE Russell International Over US ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 293,557 | $ | 373,146 | $ | 142,479 | $ | 263,255 | |||||||||||
Net realized gain (loss) | (6,514,234 | ) | (3,108,260 | ) | 116,766 | 53,540 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (18,269,798 | ) | (159,149 | ) | (2,138,259 | ) | 769,013 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (24,490,475 | ) | (2,894,263 | ) | (1,879,014 | ) | 1,085,808 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | — | — | (194,117 | ) | (194,833 | ) | |||||||||||||
Return of capital | (3,535,000 | ) | (6,180,000 | ) | — | — | |||||||||||||
Total distributions | (3,535,000 | ) | (6,180,000 | ) | (194,117 | ) | (194,833 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 19,789,819 | 20,380,497 | 1,360,486 | 15,005,958 | |||||||||||||||
Cost of shares redeemed | (3,876,328 | ) | (13,696,604 | ) | (5,437,308 | ) | (1,331,268 | ) | |||||||||||
Transaction fees (Note 4) | — | — | 1,899 | 517 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 15,913,491 | 6,683,893 | (4,074,923 | ) | 13,675,207 | ||||||||||||||
Total increase (decrease) in net assets | (12,111,984 | ) | (2,390,370 | ) | (6,148,054 | ) | 14,566,182 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 49,719,958 | 52,110,328 | 14,566,182 | — | |||||||||||||||
End of year/period | $ | 37,607,974 | $ | 49,719,958 | $ | 8,418,128 | $ | 14,566,182 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 512,500 | 456,250 | 275,001 | — | |||||||||||||||
Shares sold | 262,500 | 187,500 | 25,000 | 300,001 | |||||||||||||||
Shares repurchased | (87,500 | ) | (131,250 | ) | (100,000 | ) | (25,000 | ) | |||||||||||
Shares outstanding, end of year/period | 687,500 | 512,500 | 200,001 | 275,001 |
1 Effective April 23, 2020, the Fund had a 1:8 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:8 stock split.
2 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Statements of Changes in Net Assets
Direxion FTSE Russell US Over International ETF | Direxion MSCI Developed Over Emerging Markets ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 95,181 | $ | 143,595 | $ | 163,855 | $ | 231,598 | |||||||||||
Net realized gain (loss) | 3,134,202 | 370,485 | 2,666,708 | (272,571 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,719,844 | ) | 2,292,851 | (4,590,438 | ) | 2,219,974 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 509,539 | 2,806,931 | (1,759,875 | ) | 2,179,001 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (199,990 | ) | (108,470 | ) | (177,688 | ) | (237,897 | ) | |||||||||||
Return of capital | — | — | — | (21,569 | ) | ||||||||||||||
Total distributions | (199,990 | ) | (108,470 | ) | (177,688 | ) | (259,466 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 3,201,293 | 17,800,632 | 2,912,323 | 13,750,050 | |||||||||||||||
Cost of shares redeemed | (6,483,151 | ) | (5,529,492 | ) | (7,254,125 | ) | — | ||||||||||||
Transaction fees (Note 4) | 2,606 | 2,751 | 2,618 | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (3,279,252 | ) | 12,273,891 | (4,339,184 | ) | 13,750,050 | |||||||||||||
Total increase (decrease) in net assets | (2,969,703 | ) | 14,972,352 | (6,276,747 | ) | 15,669,585 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 14,972,352 | — | 15,669,585 | — | |||||||||||||||
End of period | $ | 12,002,649 | $ | 14,972,352 | $ | 9,392,838 | $ | 15,669,585 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of period | 250,001 | — | 275,001 | — | |||||||||||||||
Shares sold | 50,000 | 350,001 | 50,000 | 275,001 | |||||||||||||||
Shares repurchased | (100,000 | ) | (100,000 | ) | (125,000 | ) | — | ||||||||||||
Shares outstanding, end of period | 200,001 | 250,001 | 200,001 | 275,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Statements of Changes in Net Assets
Direxion MSCI Emerging Over Developed Markets ETF | Direxion MSCI USA Cyclicals Over Defensives ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 240,947 | $ | 91,613 | $ | 116,635 | $ | 170,133 | |||||||||||
Net realized gain (loss) | 1,182,012 | (51,589 | ) | 2,989,248 | 154,032 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,428,118 | ) | 143,818 | (3,041,936 | ) | 3,335,167 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,005,159 | ) | 183,842 | 63,947 | 3,659,332 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (253,459 | ) | (97,912 | ) | (124,045 | ) | (154,901 | ) | |||||||||||
Return of capital | — | (17,311 | ) | — | — | ||||||||||||||
Total distributions | (253,459 | ) | (115,223 | ) | (124,045 | ) | (154,901 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,684,968 | 13,750,050 | — | 23,028,785 | |||||||||||||||
Cost of shares redeemed | (6,588,744 | ) | — | (11,460,039 | ) | (3,020,671 | ) | ||||||||||||
Transaction fees (Note 4) | 2,383 | — | 3,000 | 2,460 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (3,901,393 | ) | 13,750,050 | (11,457,039 | ) | 20,010,574 | |||||||||||||
Total increase (decrease) in net assets | (5,160,011 | ) | 13,818,669 | (11,517,137 | ) | 23,515,005 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 13,818,669 | — | 23,515,005 | — | |||||||||||||||
End of period | $ | 8,658,658 | $ | 13,818,669 | $ | 11,997,868 | $ | 23,515,005 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of period | 275,001 | — | 375,001 | — | |||||||||||||||
Shares sold | 50,000 | 275,001 | — | 425,001 | |||||||||||||||
Shares repurchased | (125,000 | ) | — | (175,000 | ) | (50,000 | ) | ||||||||||||
Shares outstanding, end of period | 200,001 | 275,001 | 200,001 | 375,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Statements of Changes in Net Assets
Direxion MSCI USA Defensives Over Cyclicals ETF | Direxion Russell 1000® Growth Over Value ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 121,092 | $ | 231,607 | $ | 58,732 | $ | 111,932 | |||||||||||
Net realized gain (loss) | 2,448,032 | (1,210,297 | ) | 8,900,087 | (341,496 | ) | |||||||||||||
Net increase from payments by affiliates | — | 22,766 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,680,703 | ) | 1,594,486 | (5,318,859 | ) | 4,830,081 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (111,579 | ) | 638,562 | 3,639,960 | 4,600,517 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (126,757 | ) | (219,844 | ) | (78,876 | ) | (84,942 | ) | |||||||||||
Total distributions | (126,757 | ) | (219,844 | ) | (78,876 | ) | (84,942 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,729,160 | 13,750,050 | 7,061,907 | 31,872,358 | |||||||||||||||
Cost of shares redeemed | (6,783,560 | ) | — | (25,561,152 | ) | (7,159,961 | ) | ||||||||||||
Transaction fees (Note 4) | 2,450 | — | 5,511 | 8,485 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (4,051,950 | ) | 13,750,050 | (18,493,734 | ) | 24,720,882 | |||||||||||||
Total increase (decrease) in net assets | (4,290,286 | ) | 14,168,768 | (14,932,650 | ) | 29,236,457 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 14,168,768 | — | 29,236,457 | — | |||||||||||||||
End of period | $ | 9,878,482 | $ | 14,168,768 | $ | 14,303,807 | $ | 29,236,457 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of period | 275,001 | — | 475,001 | — | |||||||||||||||
Shares sold | 50,000 | 275,001 | 100,000 | 600,001 | |||||||||||||||
Shares repurchased | (125,000 | ) | — | (375,000 | ) | (125,000 | ) | ||||||||||||
Shares outstanding, end of period | 200,001 | 275,001 | 200,001 | 475,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Statements of Changes in Net Assets
Direxion Russell 1000® Value Over Growth ETF | Direxion Russell Large Over Small Cap ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 303,021 | $ | 318,932 | $ | 97,082 | $ | 157,251 | |||||||||||
Net realized gain (loss) | 1,884,352 | (1,139,385 | ) | 4,403,667 | (252,289 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (6,371,429 | ) | 3,015,002 | (3,982,347 | ) | 3,033,618 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (4,184,056 | ) | 2,194,549 | 518,402 | 2,938,580 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (363,112 | ) | (184,680 | ) | (104,630 | ) | (118,234 | ) | |||||||||||
Total distributions | (363,112 | ) | (184,680 | ) | (104,630 | ) | (118,234 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 34,942,770 | 3,326,548 | 13,750,050 | |||||||||||||||
Cost of shares redeemed | (13,487,050 | ) | (5,273,047 | ) | (6,581,102 | ) | (1,470,894 | ) | |||||||||||
Transaction fees (Note 4) | 3,066 | 7,276 | 2,652 | 294 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (13,483,984 | ) | 29,676,999 | (3,251,902 | ) | 12,279,450 | |||||||||||||
Total increase (decrease) in net assets | (18,031,152 | ) | 31,686,868 | (2,838,130 | ) | 15,099,796 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 31,686,868 | — | 15,099,796 | — | |||||||||||||||
End of period | $ | 13,655,716 | $ | 31,686,868 | $ | 12,261,666 | $ | 15,099,796 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of period | 575,001 | — | 250,001 | — | |||||||||||||||
Shares sold | — | 675,001 | 50,000 | 275,001 | |||||||||||||||
Shares repurchased | (250,000 | ) | (100,000 | ) | (100,000 | ) | (25,000 | ) | |||||||||||
Shares outstanding, end of period | 325,001 | 575,001 | 200,001 | 250,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Statements of Changes in Net Assets
Direxion Russell Small Over Large Cap ETF | PortfolioPlus Developed Markets ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | For the Period January 16, 20191 through October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 55,332 | $ | 109,488 | $ | 12,382 | $ | 235,451 | |||||||||||
Net realized gain (loss) | 943,879 | 18,707 | (93,325 | ) | (2,473,585 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (1,418,750 | ) | 539,408 | (125,309 | ) | 3,201,406 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (419,539 | ) | 667,603 | (206,252 | ) | 963,272 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (122,994 | ) | (72,921 | ) | (14,792 | ) | (323,184 | ) | |||||||||||
Total distributions | (122,994 | ) | (72,921 | ) | (14,792 | ) | (323,184 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,688,346 | 16,312,437 | 856,927 | — | |||||||||||||||
Cost of shares redeemed | (12,426,014 | ) | (2,566,701 | ) | — | (20,854,470 | ) | ||||||||||||
Transaction fees (Note 4) | 4,686 | 1,025 | — | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (9,732,982 | ) | 13,746,761 | 856,927 | (20,854,470 | ) | |||||||||||||
Total increase (decrease) in net assets | (10,275,515 | ) | 14,341,443 | 635,883 | (20,214,382 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 14,341,443 | — | 1,154,731 | 21,369,113 | |||||||||||||||
End of year/period | $ | 4,065,928 | $ | 14,341,443 | $ | 1,790,614 | $ | 1,154,731 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 275,001 | — | 50,001 | 1,000,001 | |||||||||||||||
Shares sold | 50,000 | 325,001 | 50,000 | — | |||||||||||||||
Shares repurchased | (225,000 | ) | (50,000 | ) | — | (950,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 100,001 | 275,001 | 100,001 | 50,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Statements of Changes in Net Assets
PortfolioPlus Emerging Markets ETF | PortfolioPlus S&P 500® ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 28,412 | $ | 596,937 | $ | 223,440 | $ | 992,333 | |||||||||||
Net realized gain (loss) | (60,721 | ) | (2,974,819 | ) | (898,153 | ) | 5,128,464 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (143,277 | ) | 4,740,502 | (1,368,753 | ) | (135,692 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (175,586 | ) | 2,362,620 | (2,043,466 | ) | 5,985,105 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (29,590 | ) | (625,224 | ) | (398,484 | ) | (1,263,890 | ) | |||||||||||
Return of capital | — | (45 | ) | — | — | ||||||||||||||
Total distributions | (29,590 | ) | (625,269 | ) | (398,484 | ) | (1,263,890 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 796,525 | — | — | 5,943,839 | |||||||||||||||
Cost of shares redeemed | — | (19,847,146 | ) | (1,550,293 | ) | (62,213,888 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 796,525 | (19,847,146 | ) | (1,550,293 | ) | (56,270,049 | ) | ||||||||||||
Total increase (decrease) in net assets | 591,349 | (18,109,795 | ) | (3,992,243 | ) | (51,548,834 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 1,072,261 | 19,182,056 | 24,912,450 | 76,461,284 | |||||||||||||||
End of year/period | $ | 1,663,610 | $ | 1,072,261 | $ | 20,920,207 | $ | 24,912,450 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 50,001 | 1,000,001 | 600,000 | 2,100,000 | |||||||||||||||
Shares sold | 50,000 | — | — | 150,000 | |||||||||||||||
Shares repurchased | — | (950,000 | ) | (50,000 | ) | (1,650,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 100,001 | 50,001 | 550,000 | 600,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Statements of Changes in Net Assets
PortfolioPlus S&P® Mid Cap ETF | PortfolioPlus S&P® Small Cap ETF | ||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 7,726 | $ | 164,357 | $ | 45,294 | $ | 90,450 | |||||||||||
Net realized loss | (136,248 | ) | (511,887 | ) | (939,830 | ) | (222,403 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (72,576 | ) | 1,028,381 | (1,113,632 | ) | 283,935 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (201,098 | ) | 680,851 | (2,008,168 | ) | 151,982 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (8,236 | ) | (272,147 | ) | (50,356 | ) | (106,826 | ) | |||||||||||
Total distributions | (8,236 | ) | (272,147 | ) | (50,356 | ) | (106,826 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 889,086 | — | — | — | |||||||||||||||
Cost of shares redeemed | — | (23,250,261 | ) | — | — | ||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 889,086 | (23,250,261 | ) | — | — | ||||||||||||||
Total increase (decrease) in net assets | 679,752 | (22,841,557 | ) | (2,058,524 | ) | 45,156 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 1,264,635 | 24,106,192 | 7,233,578 | 7,188,422 | |||||||||||||||
End of year/period | $ | 1,944,387 | $ | 1,264,635 | $ | 5,175,054 | $ | 7,233,578 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 50,001 | 1,000,001 | 200,000 | 200,000 | |||||||||||||||
Shares sold | 50,000 | — | — | — | |||||||||||||||
Shares repurchased | — | (950,000 | ) | — | — | ||||||||||||||
Shares outstanding, end of year/period | 100,001 | 50,001 | 200,000 | 200,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Financial Highlights
April 30, 2020
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 All Cap Insider Sentiment Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 37.97 | $ | 0.42 | $ | 0.42 | $ | (6.31 | ) | $ | (5.89 | ) | $ | (0.47 | ) | $ | — | $ | — | $ | (0.47 | ) | $ | 31.61 | -15.59 | % | $ | 56,909 | 0.59 | % | 0.59 | % | 2.33 | % | 0.59 | % | 0.59 | % | 2.33 | % | 497 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 37.78 | 0.85 | 0.85 | 0.25 | 1.10 | (0.91 | ) | — | — | (0.91 | ) | $ | 37.97 | 3.00 | % | $ | 108,229 | 0.59 | % | 0.66 | % | 2.23 | % | 0.59 | % | 0.66 | % | 2.23 | % | 907 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 23.53 | 0.05 | 0.05 | (2.14 | ) | (2.09 | ) | (0.09 | ) | — | — | (0.09 | ) | $ | 21.35 | -8.90 | % | $ | 34,161 | 0.70 | % | 0.70 | % | 0.46 | % | 0.70 | % | 0.70 | % | 0.46 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 24.58 | 0.35 | 0.35 | (0.77 | ) | (0.42 | ) | (0.63 | ) | — | — | (0.63 | ) | $ | 23.53 | -1.72 | % | $ | 42,360 | 0.70 | % | 0.79 | % | 1.47 | % | 0.70 | % | 0.79 | % | 1.47 | % | 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, 20179 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 Flight to Safety Strategy ETF (Consolidated) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 5, 20208 through April 30, 2020 (Unaudited) | $ | 50.00 | 0.17 | 0.17 | 1.49 | 1.66 | (0.12 | ) | — | — | (0.12 | ) | $ | 51.54 | 3.34 | % | $ | 28,348 | 0.30 | % | 0.30 | % | 1.42 | % | 0.30 | % | 0.30 | % | 1.42 | % | 9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 5, 20208 through April 30, 2020 (Unaudited) | $ | 50.00 | 0.20 | 0.20 | (2.65 | ) | (2.45 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 47.39 | -4.85 | % | $ | 11,848 | 0.40 | % | 0.40 | % | 1.84 | % | 0.40 | % | 0.40 | % | 1.84 | % | 7 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 51.32 | 0.21 | 0.21 | 1.26 | 1.47 | (0.22 | ) | — | — | (0.22 | ) | $ | 52.57 | 2.87 | % | $ | 228,677 | 0.35 | % | 0.35 | % | 0.81 | % | 0.35 | % | 0.35 | % | 0.81 | % | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 43.27 | 0.39 | 0.39 | 8.04 | 8.43 | (0.38 | ) | — | — | (0.38 | ) | $ | 51.32 | 19.59 | % | $ | 215,563 | 0.35 | % | 0.44 | % | 0.82 | % | 0.35 | % | 0.44 | % | 0.82 | % | 28 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 5, 20208 through April 30, 2020 | $ | 50.00 | 0.19 | 0.19 | (2.68 | ) | (2.49 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 47.35 | -4.92 | % | $ | 10,654 | 0.35 | % | 0.35 | % | 1.73 | % | 0.35 | % | 0.35 | % | 1.73 | % | 1 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 97.04 | 0.48 | 0.48 | (37.22 | ) | (36.74 | ) | — | — | (5.60 | ) | (5.60 | ) | $ | 54.70 | -37.79 | % | $ | 37,608 | 0.65 | %10 | 0.65 | % | 1.28 | % | 0.65 | % | 0.65 | % | 1.28 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 114.24 | 0.96 | 0.96 | (5.36 | ) | (4.40 | ) | — | — | (12.80 | ) | (12.80 | ) | $ | 97.04 | -3.94 | % | $ | 49,720 | 0.65 | %10 | 0.72 | % | 0.88 | % | 0.65 | % | 0.72 | % | 0.88 | % | 120 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 129.20 | 0.24 | 0.08 | (2.40 | ) | (2.16 | ) | — | — | (12.80 | ) | (12.80 | ) | $ | 114.24 | -1.74 | % | $ | 52,110 | 0.65 | %10 | 0.76 | % | (0.08 | )% | 0.65 | % | 0.76 | % | (0.08 | )% | 115 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 144.32 | 0.96 | 0.16 | (3.28 | ) | (2.32 | ) | — | — | (12.80 | ) | (12.80 | ) | $ | 129.20 | -1.90 | % | $ | 63,781 | 0.65 | %10 | 0.94 | % | 0.13 | % | 0.65 | % | 0.94 | % | 0.13 | % | 86 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 186.24 | 0.40 | (0.40 | ) | (29.52 | ) | (29.12 | ) | — | — | (12.80 | ) | (12.80 | ) | $ | 144.32 | -15.11 | % | $ | 64,039 | 0.65 | %10 | 0.99 | % | (0.27 | )% | 0.65 | % | 0.99 | % | (0.27 | )% | 151 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2015 | $ | 321.92 | (0.16 | ) | 0.16 | (112.24 | ) | (112.40 | ) | — | — | (23.28 | ) | (23.28 | ) | $ | 186.24 | -36.20 | % | $ | 74,496 | 0.65 | %10 | 0.89 | % | 0.07 | % | 0.65 | % | 0.89 | % | 0.07 | % | 171 | % | ||||||||||||||||||||||||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 52.97 | 0.63 | 0.63 | (10.68 | ) | (10.05 | ) | (0.83 | ) | — | — | (0.83 | ) | $ | 42.09 | -19.16 | % | $ | 8,418 | 0.45 | % | 0.45 | % | 2.51 | % | 0.45 | % | 0.45 | % | 2.51 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.93 | 0.93 | 2.75 | 3.68 | (0.71 | ) | — | — | (0.71 | ) | $ | 52.97 | 7.38 | % | $ | 14,566 | 0.45 | % | 0.63 | % | 2.29 | % | 0.45 | % | 0.63 | % | 2.29 | % | 5 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 59.89 | 0.43 | 0.44 | 0.49 | 0.92 | (0.39 | ) | (0.41 | ) | — | (0.80 | ) | $ | 60.01 | 1.48 | % | $ | 12,003 | 0.48 | % | 0.48 | % | 1.40 | % | 0.45 | % | 0.45 | % | 1.43 | % | 3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.53 | 0.56 | 9.79 | 10.32 | (0.43 | ) | — | — | (0.43 | ) | $ | 59.89 | 20.69 | % | $ | 14,972 | 0.52 | % | 0.69 | % | 1.19 | % | 0.45 | % | 0.62 | % | 1.26 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 56.98 | 0.73 | 0.74 | (10.04 | ) | (9.31 | ) | (0.71 | ) | — | — | (0.71 | ) | $ | 46.96 | -16.57 | % | $ | 9,393 | 0.49 | % | 0.49 | % | 2.71 | % | 0.45 | % | 0.45 | % | 2.75 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.84 | 0.85 | 7.08 | 7.92 | (0.86 | ) | — | (0.08 | ) | (0.94 | ) | $ | 56.98 | 15.94 | % | $ | 15,670 | 0.48 | % | 0.69 | % | 1.98 | % | 0.45 | % | 0.66 | % | 2.01 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Financial Highlights
April 30, 2020
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 MSCI Emerging Over Developed Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 50.25 | $ | 1.09 | $ | 1.09 | $ | (6.92 | ) | $ | (5.83 | ) | $ | (1.13 | ) | $ | — | $ | — | $ | (1.13 | ) | $ | 43.29 | -12.02 | % | $ | 8,659 | 0.45 | % | 0.45 | % | 4.46 | % | 0.45 | % | 0.45 | % | 4.46 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.33 | 0.33 | 0.34 | 0.67 | (0.36 | ) | — | (0.06 | ) | (0.42 | ) | $ | 50.25 | 1.33 | % | $ | 13,819 | 0.45 | % | 0.67 | % | 0.83 | % | 0.45 | % | 0.67 | % | 0.83 | % | 2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 62.71 | 0.43 | 0.44 | (2.68 | ) | (2.25 | ) | (0.47 | ) | — | — | (0.47 | ) | $ | 59.99 | -3.56 | % | $ | 11,998 | 0.49 | % | 0.49 | % | 1.34 | % | 0.45 | % | 0.45 | % | 1.38 | % | 5 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.57 | 0.60 | 12.65 | 13.22 | (0.51 | ) | — | — | (0.51 | ) | $ | 62.71 | 26.51 | % | $ | 23,515 | 0.51 | % | 0.69 | % | 1.23 | % | 0.45 | % | 0.63 | % | 1.29 | % | 2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 51.52 | 0.53 | 0.54 | (2.10 | ) | (1.57 | ) | (0.56 | ) | — | — | (0.56 | ) | $ | 49.39 | -2.98 | % | $ | 9,878 | 0.47 | % | 0.47 | % | 2.09 | % | 0.45 | % | 0.45 | % | 2.11 | % | 3 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.84 | 0.84 | 1.48 | 2.32 | (0.80 | ) | — | — | (0.80 | ) | $ | 51.52 | 4.64 | %11 | $ | 14,169 | 0.45 | % | 0.66 | % | 2.10 | % | 0.45 | % | 0.66 | % | 2.10 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 61.55 | 0.19 | 0.20 | 9.97 | 10.16 | (0.19 | ) | — | — | (0.19 | ) | $ | 71.52 | 16.52 | % | $ | 14,304 | 0.48 | % | 0.48 | % | 0.57 | % | 0.45 | % | 0.45 | % | 0.60 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.26 | 0.28 | 11.48 | 11.74 | (0.19 | ) | — | — | (0.19 | ) | $ | 61.55 | 23.50 | % | $ | 29,236 | 0.49 | % | 0.61 | % | 0.56 | % | 0.45 | % | 0.57 | % | 0.60 | % | 13 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 55.11 | 0.70 | 0.71 | (13.10 | ) | (12.40 | ) | (0.69 | ) | — | — | (0.69 | ) | $ | 42.02 | -22.83 | % | $ | 13,656 | 0.47 | % | 0.47 | % | 2.69 | % | 0.45 | % | 0.45 | % | 2.71 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.71 | 0.71 | 4.81 | 5.52 | (0.41 | ) | — | — | (0.41 | ) | $ | 55.11 | 11.06 | % | $ | 31,687 | 0.46 | % | 0.59 | % | 1.69 | % | 0.45 | % | 0.58 | % | 1.70 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 60.40 | 0.44 | 0.46 | 0.89 | 1.33 | (0.42 | ) | — | — | (0.42 | ) | $ | 61.31 | 2.17 | % | $ | 12,262 | 0.50 | % | 0.50 | % | 1.44 | % | 0.45 | % | 0.45 | % | 1.49 | % | 5 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.58 | 0.60 | 10.25 | 10.83 | (0.43 | ) | — | — | (0.43 | ) | $ | 60.40 | 21.70 | % | $ | 15,100 | 0.50 | % | 0.67 | % | 1.29 | % | 0.45 | % | 0.62 | % | 1.34 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 52.15 | 0.29 | 0.29 | (11.38 | ) | (11.09 | ) | (0.30 | ) | (0.10 | ) | — | (0.40 | ) | $ | 40.66 | -21.47 | % | $ | 4,066 | 0.45 | % | 0.45 | % | 1.13 | % | 0.45 | % | 0.45 | % | 1.13 | % | 1 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 | $ | 50.00 | 0.38 | 0.38 | 2.01 | 2.39 | (0.24 | ) | — | — | (0.24 | ) | $ | 52.15 | 4.80 | % | $ | 14,341 | 0.45 | % | 0.62 | % | 0.93 | % | 0.45 | % | 0.62 | % | 0.93 | % | 4 | % | |||||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 23.09 | 0.23 | 0.23 | (5.11 | ) | (4.88 | ) | (0.30 | ) | — | — | (0.30 | ) | $ | 17.91 | -21.16 | % | $ | 1,791 | 0.46 | % | 0.51 | % | 2.15 | % | 0.45 | % | 0.50 | % | 2.16 | % | 7 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 21.37 | 0.56 | 0.57 | 1.98 | 2.54 | (0.82 | ) | — | — | (0.82 | ) | $ | 23.09 | 12.13 | % | $ | 1,155 | 0.12 | % | 0.82 | % | 2.57 | % | 0.05 | %12 | 0.75 | % | 2.64 | % | 33 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | 0.72 | % | 2.77 | % | 0.00 | %14 | 0.72 | % | 2.77 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 21.44 | 0.52 | 0.52 | (4.73 | ) | (4.21 | ) | (0.59 | ) | — | — | (0.59 | ) | $ | 16.64 | -20.35 | % | $ | 1,664 | 0.45 | % | 0.50 | % | 5.36 | % | 0.45 | % | 0.50 | % | 5.36 | % | 12 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 19.18 | 1.37 | 1.37 | 1.95 | 3.32 | (1.06 | ) | — | 0.00 | %13 | (1.06 | ) | $ | 21.44 | 17.95 | % | $ | 1,072 | 0.09 | % | 0.77 | % | 6.66 | % | 0.07 | %12 | 0.75 | % | 6.68 | % | 33 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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 | %13 | 0.74 | % | 0.37 | % | 0.00 | %14 | 0.74 | % | 0.37 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 41.52 | 0.38 | 0.39 | (3.20 | ) | (2.82 | ) | (0.40 | ) | (0.26 | ) | — | (0.66 | ) | $ | 38.04 | -7.00 | % | $ | 20,920 | 0.34 | % | 0.49 | % | 1.85 | % | 0.32 | % | 0.47 | % | 1.87 | % | 23 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 36.41 | 0.88 | 0.89 | 5.39 | 6.27 | (1.16 | ) | — | — | (1.16 | ) | $ | 41.52 | 17.66 | % | $ | 24,912 | 0.11 | % | 0.63 | % | 2.37 | % | 0.10 | %12 | 0.62 | % | 2.38 | % | 28 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | %14 | 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, 2020 (Unaudited) | $ | 25.29 | 0.14 | 0.14 | (5.83 | ) | (5.69 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 19.44 | -22.66 | % | $ | 1,944 | 0.38 | % | 0.53 | % | 1.23 | % | 0.38 | % | 0.53 | % | 1.23 | % | 19 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 24.11 | 0.39 | 0.39 | 1.93 | 2.32 | (1.14 | ) | — | — | (1.14 | ) | $ | 25.29 | 9.98 | % | $ | 1,265 | 0.06 | % | 0.78 | % | 1.60 | % | 0.04 | %12 | 0.76 | % | 1.62 | % | 39 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | %14 | 0.72 | % | 1.74 | % | 18 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Financial Highlights
April 30, 2020
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2020 (Unaudited) | $ | 36.17 | $ | 0.23 | $ | 0.23 | $ | (10.27 | ) | $ | (10.04 | ) | $ | (0.25 | ) | $ | — | $ | — | $ | (0.25 | ) | $ | 25.88 | -27.99 | % | $ | 5,175 | 0.35 | % | 0.50 | % | 1.37 | % | 0.35 | % | 0.50 | % | 1.37 | % | 7 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 35.94 | 0.45 | 0.45 | 0.31 | 0.76 | (0.53 | ) | — | — | (0.53 | ) | $ | 36.17 | 2.34 | % | $ | 7,234 | 0.21 | % | 0.89 | % | 1.30 | % | 0.21 | %12 | 0.89 | % | 1.30 | % | 17 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | %14 | 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 operations.
9 Effective April 23, 2020, the Fund had a 1:8 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:8 stock split.
10 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 years ended October 31, 2015, October 31, 2016, October 31, 2017, October 31, 2018 and October 31, 2019 would be 0.39%, 2.41%, 0.13%, 0.41% and 0.81%, respectively.
11 The Fund's total return includes voluntary reimbursement by the Adviser for a realized loss on a trading error. Had this reimbursement not been made to the Fund, total return would have been 0.16% lower.
12 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, 0.32% for the PortfolioPlus S&P 500® ETF, 0.38% for the PortfolioPlus S&P® Mid Cap ETF and 0.35% for the PortfolioPlus S&P® Small Cap ETF.
13 Less than 0.005%.
14 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
78
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2020
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 89 separate series (each, a "Fund" and together the "Funds"). Twenty-two of these Funds are included in this report:
Strategic 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 Flight to Safety ETF (Consolidated) | PortfolioPlus S&P 500® ETF | ||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | PortfolioPlus S&P® Mid Cap ETF | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | PortfolioPlus S&P® Small Cap ETF | ||||||
Direxion S&P 500® High minus Low Quality ETF | |||||||
Direxion Zacks MLP High Income Index Shares | |||||||
Relative Weight ETFs | |||||||
Direxion FTSE Russell International Over US ETF | |||||||
Direxion FTSE Russell US Over International ETF | |||||||
Direxion MSCI Developed Over Emerging Markets ETF | |||||||
Direxion MSCI Emerging Over Developed Markets ETF | |||||||
Direxion MSCI USA Cyclicals Over Defensives ETF* | |||||||
Direxion MSCI USA Defensives Over Cyclicals 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 |
* Effective June 28, 2019, the Direxion MSCI Cyclicals Over Defensives ETF and Direxion MSCI Defensives Over Cyclicals ETF changed their names to Direxion MSCI USA Cyclicals Over Defensives ETF and Direxion MSCI USA Defensives Over Cyclicals ETF, respectively.
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.
The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) is managed to track the performance of the Auspice Broad Commodity Index. The Auspice Broad Commodity Index is a long/flat commodities index. A long/flat approach allows the Fund to attempt to take advantage of higher commodity prices, and at the same time shift into a cash position of an individual commodity that shows a downward trend in price. The Fund primarily invests in commodity and financial futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion BCS Fund Ltd. ("BCS Fund"), in order to track the returns of the Auspice Broad Commodity Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.
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The Direxion Flight to Safety Strategy ETF (Consolidated) is managed to track the performance of the Solactive Flight to Safety Index. The Solactive Flight to Safety Index combines long-term U.S. treasury bonds, utility stocks, and gold to provide multi-asset defensive exposures. The Fund primarily invests in gold, U.S. listed large-capitalization utility stocks, and U.S. treasury bonds with remaining maturities of greater than 20 years. It also invests in commodity futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion FTS Fund Ltd. ("FTS Fund"), in order to track the returns of the Solactive Flight to Safety Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.
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 | S&P Composite 1500 Executive Activity & Analyst Estimate Index* | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Auspice Broad Commodity Index | ||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | Solactive Flight to Safety Index | ||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | MSCI USA ESG Universal Top-Bottom 150/50 Return Spread Index | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | NASDAQ-100® Equal Weighted Index | ||||||
Direxion S&P 500® High minus Low Quality ETF | S&P 500® 150/50 Quality 0.30% Decrement 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 Developed Over Emerging Markets ETF | MSCI EAFE IMI – Emerging Markets IMI 150/50 Return Spread Index | ||||||
Direxion MSCI Emerging Over Developed Markets ETF | MSCI Emerging Markets IMI – EAFE IMI 150/50 Return Spread Index | ||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index | ||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | MSCI USA Defensive Sectors – USA Cyclical Sectors 150/50 Return Spread Index | ||||||
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 |
* Effective March 1, 2020, the Direxion All Cap Insider Sentiment Shares index changed from the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index changed to the S&P Composite 1500 Executive Activity & Analyst Estimate 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 |
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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, 2020.
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; 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
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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. Interest earned on collateral pledged to a counterparty is presented as part of Interest income on the Statements of Operations. Interest incurred on collateral received from a counterparty is presented as Interest expense on the Statements of Operations.
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, 2020, 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
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at April 30, 2020 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 | $ | 429,475 | $ | 429,475 | $ | — | $ | — | $ | 1,030,431 | $ | 429,475 | $ | 600,9561 | $ | — | |||||||||||||||||||
Direxion FTSE Russell US Over International ETF | — | — | — | — | 1,003,743 | — | 1,003,7431 | — | |||||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | — | — | — | — | 1,316,651 | — | 1,316,6511 | — | |||||||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | — | — | — | — | 1,038,556 | — | 1,038,5561 | — | |||||||||||||||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | — | — | — | — | 322,111 | — | 322,1111 | — | |||||||||||||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | — | — | — | — | 1,038,359 | — | 1,038,3591 | — | |||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | — | — | — | — | 870,160 | — | 870,1601 | — | |||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | — | — | — | 1,967,799 | — | 1,967,7991 | — | |||||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | — | — | — | — | 1,343,889 | — | 1,343,8891 | — | |||||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | — | — | — | — | 496,058 | — | 496,0581 | — | |||||||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | 9,749 | — | — | 9,749 | — | — | — | — | |||||||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | — | — | — | — | 10,920 | — | 10,9201 | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 48,511 | — | — | 48,511 | — | — | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 120,896 | — | — | 120,896 | — | — | — | — |
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.
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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 MSCI USA ESG – Leaders vs. Laggards ETF | $ | 1,049,488 | $ | 597,069 | $ | 450,000 | $ | 2,419 | $ | 597,069 | $ | 597,069 | $ | — | $ | — | |||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | — | — | — | — | 944,675 | 944,675 | — | — | |||||||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | 270,737 | — | 170,000 | 100,737 | — | — | — | — |
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. The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) and Direxion Flight to Safety Strategy ETF (Consolidated) were invested in futures contracts as of the period ended April 30, 2020.
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, 2020.
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.
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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, 2020, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $34,160,763 of which $4,406,208, or approximately 12.9%, 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.
The Direxion Flight to Safety Strategy ETF may invest up to 25% of its total assets in the Direxion FTS Fund Ltd. ("FTS Fund"). The FTS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Flight to Safety Strategy ETF. The FTS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Flight to Safety 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, 2020, the net assets of the Direxion Flight to Safety Strategy ETF were $28,347,815 of which $5,597,177 or approximately 19.7%, represented the Direxion Flight to Safety Strategy ETF's ownership of all issued shares and voting rights of the FTS 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 and Direxion Flight to Safety Strategy ETF, through their 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, 2020.
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, 2020, 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
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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, 2020, 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 | $ | 207,512 | $ | 120,472 | $ | 96,802 | $ | 217,274 | |||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 3,158,680 | 3,310,532 | — | 3,310,532 | |||||||||||||||
Direxion Zacks MLP High Income Index Shares | 14,320,761 | 10,011,273 | 4,668,625 | 14,679,898 | |||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 31,576 | 25,577 | 7,962 | 33,539 | |||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 983 | 975 | — | 975 | |||||||||||||||
Direxion Russell Large Over Small Cap ETF | 1,620,364 | 1,671,338 | — | 1,671,338 | |||||||||||||||
Direxion Russell Small Over Large Cap ETF | 1,999,477 | 2,121,468 | — | 2,121,468 |
k) Federal Income Taxes – Each Fund, with the exception of the Direxion Zacks MLP High Income Index Shares, intends to make the requisite distributions of income and capital gains 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. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. Certain Funds paid this excise tax during the period ended April 30, 2020.
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 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 legislation provides a reduction of the U.S. corporate tax rate from 35% to 21%. The Fund is currently using an estimated 23.72% 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 2.72% rate attributable to state taxes. In addition, Zacks has revalued the deferred tax assets and liabilities using the 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.
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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, 2019, the Fund has estimated approximately 92% 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. Expenses are charged to the Funds daily. Expenses are computed based on each Fund's respective average daily net assets. For additional discussion on expenses, refer to Note 6.
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 periods ended April 30, 2020 and October 31, 2019 are presented in the following table. The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.
Period Ended April 30, 2020 (Unaudited) | Year/Period Ended October 31, 2019 | ||||||||||||||||||||||||||
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 | $ | 1,106,538 | $ | — | $ | — | $ | 3,420,615 | $ | — | $ | — | |||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 121,372 | — | — | 1,191,152 | — | — | |||||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated)2 | 72,522 | — | — | — | — | — | |||||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF2 | 38,845 | — | — | — | — | — | |||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 938,556 | — | — | 1,593,524 | — | — |
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Period Ended April 30, 2020 (Unaudited) | Year/Period Ended October 31, 2019 | ||||||||||||||||||||||||||
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 S&P 500® High minus Low Quality ETF2 | $ | 36,284 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Direxion Zacks MLP High Income Index Shares | — | — | 3,535,000 | — | — | 6,180,000 | |||||||||||||||||||||
Direxion FTSE Russell International Over US ETF1 | 194,117 | — | — | 194,833 | — | — | |||||||||||||||||||||
Direxion FTSE Russell US Over International ETF1 | 199,990 | — | — | 108,470 | — | — | |||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF1 | 177,688 | — | — | 237,897 | — | 21,569 | |||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF1 | 253,459 | — | — | 97,912 | — | 17,311 | |||||||||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF1 | 124,045 | — | — | 154,901 | — | — | |||||||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF1 | 126,757 | — | — | 219,844 | — | ||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF1 | 78,876 | — | — | 84,942 | — | — | |||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF1 | 363,112 | — | — | 184,680 | — | — | |||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF1 | 104,630 | — | — | 118,234 | — | ||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF1 | 122,994 | — | — | 72,921 | — | — | |||||||||||||||||||||
PortfolioPlus Developed Markets ETF | 14,792 | — | — | 323,184 | — | — | |||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | 29,590 | — | — | 625,224 | — | 45 | |||||||||||||||||||||
PortfolioPlus S&P 500® ETF | 398,484 | — | — | 1,263,890 | — | ||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 8,236 | — | — | 272,147 | — | — | |||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 50,356 | — | — | 106,826 | — | — |
1 Commenced operations on January 16, 2019.
2 Commenced operations on February 5, 2020.
At October 31, 2019, 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 | $ | 635,592 | $ | 187,651 | $ | — | $ | (14,178,198 | ) | $ | (13,354,955 | ) | |||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 340,555 | 33,298 | — | (4,558 | ) | 369,295 | |||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 20,737,259 | 84,567 | — | (3,119,349 | ) | 17,702,477 | |||||||||||||||||
Direxion FTSE Russell International Over US ETF | 753,730 | 70,372 | — | (23,318 | ) | 800,784 | |||||||||||||||||
Direxion FTSE Russell US Over International ETF | 2,011,161 | 139,965 | — | — | 2,151,126 | ||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 2,219,974 | — | — | (272,571 | ) | 1,947,403 |
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Funds | Net Unrealized Appreciation (Depreciation) | Undistributed Ordinary Income | Undistributed Capital Gain | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | $ | 120,684 | $ | — | $ | — | $ | (28,455 | ) | $ | 92,229 | ||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 3,330,467 | 17,784 | — | (260,886 | ) | 3,087,365 | |||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 1,617,198 | 18,062 | — | (1,210,243 | ) | 425,017 | |||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 4,830,080 | 28,940 | — | (715,417 | ) | 4,143,603 | |||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 3,015,002 | 136,202 | — | (1,457,993 | ) | 1,693,211 | |||||||||||||||||
Direxion Russell Large Over Small Cap ETF | 3,033,618 | 40,967 | — | (406,373 | ) | 2,668,212 | |||||||||||||||||
Direxion Russell Small Over Large Cap ETF | 389,238 | 72,480 | — | — | 461,718 | ||||||||||||||||||
PortfolioPlus Developed Markets ETF | (48,205 | ) | 4,809 | — | (2,939,277 | ) | (2,982,673 | ) | |||||||||||||||
PortfolioPlus Emerging Markets ETF | (167,565 | ) | — | — | (3,600,768 | ) | (3,768,333 | ) | |||||||||||||||
PortfolioPlus S&P 500® ETF | 3,874,335 | 247,374 | — | — | 4,121,709 | ||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 30,643 | 3,170 | — | (516,833 | ) | (483,020 | ) | ||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | (49,721 | ) | 17,361 | — | (51,831 | ) | (84,191 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover.
At April 30, 2020, 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 | $ | 56,360,338 | $ | 1,929,895 | $ | (1,669,768 | ) | $ | 260,127 | ||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | |||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 26,357,288 | 2,095,084 | (1,443,150 | ) | 651,934 | ||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 11,933,515 | 181,557 | (1,244,370 | ) | (1,062,813 | ) | |||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 213,014,442 | 32,879,241 | (14,200,175 | ) | 18,679,066 | ||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 12,234,840 | 126,386 | (1,090,044 | ) | (963,658 | ) | |||||||||||||
Direxion FTSE Russell International Over US ETF | 9,331,548 | — | (768,290 | ) | (768,290 | ) | |||||||||||||
Direxion FTSE Russell US Over International ETF | 12,052,684 | 576,750 | — | 576,750 | |||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 11,376,111 | — | (1,053,813 | ) | (1,053,813 | ) | |||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 9,684,482 | — | (1,245,744 | ) | (1,245,744 | ) | |||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 11,002,774 | 1,536,939 | (921,597 | ) | 615,342 | ||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 10,373,687 | 801,962 | (849,820 | ) | (47,858 | ) | |||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 14,349,939 | 381,382 | — | 381,382 | |||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 16,993,896 | — | (1,388,628 | ) | (1,388,628 | ) | |||||||||||||
Direxion Russell Large Over Small Cap ETF | 14,377,198 | 395,160 | — | 395,160 | |||||||||||||||
Direxion Russell Small Over Large Cap ETF | 6,642,219 | — | (383,284 | ) | (383,284 | ) | |||||||||||||
PortfolioPlus Developed Markets ETF | 1,826,356 | — | (59,967 | ) | (59,967 | ) | |||||||||||||
PortfolioPlus Emerging Markets ETF | 1,663,164 | — | (48,850 | ) | (48,850 | ) | |||||||||||||
PortfolioPlus S&P 500® ETF | 18,568,357 | 2,322,669 | — | 2,322,669 | |||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 1,832,742 | 33,829 | — | 33,829 | |||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 6,153,126 | — | (1,044,247 | ) | (1,044,247 | ) |
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").
DIREXION SEMI-ANNUAL REPORT
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GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended October 31, 2019, 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, with the exception of the 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, 2019. At October 31, 2019, 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 and their character is retained as either short-term and/or long-term.
At October 31, 2019, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Unlimited ST | Unlimited LT | |||||||||
Direxion All Cap Insider Sentiment Shares | $ | 14,178,198 | $ | — | |||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | |||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | 3,119,349 | |||||||||
Direxion FTSE Russell International Over US ETF | 23,318 | — | |||||||||
Direxion FTSE Russell US Over International ETF | — | — | |||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 272,571 | — | |||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 28,455 | — | |||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 260,886 | — | |||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 1,210,243 | — | |||||||||
Direxion Russell 1000® Growth Over Value ETF | 715,417 | — | |||||||||
Direxion Russell 1000® Value Over Growth ETF | 1,457,993 | — | |||||||||
Direxion Russell Large Over Small Cap ETF | 406,373 | — | |||||||||
Direxion Russell Small Over Large Cap ETF | — | — | |||||||||
PortfolioPlus Developed Markets ETF | 1,235,673 | 1,703,604 | |||||||||
PortfolioPlus Emerging Markets ETF | 1,172,528 | 2,428,240 | |||||||||
PortfolioPlus S&P 500® ETF | — | — | |||||||||
PortfolioPlus S&P® Mid Cap ETF | 425,672 | 91,161 | |||||||||
PortfolioPlus S&P® Small Cap ETF | 44,543 | 7,288 |
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 of April 30, 2020, open U.S. Federal and state income tax years include the tax years ended October 31, 2017 through October 31, 2019. 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.
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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, 2020 are as follows:
Deferred tax assets: | |||||||
Net operating loss carryforward | $ | 233,950 | |||||
Capital loss carryforward | 13,366,058 | ||||||
Net unrealized depreciation on investments in securities | 4,462,914 | ||||||
Total deferred tax assets before valuation allowance | 18,062,922 | ||||||
Valuation allowance | (18,062,922 | ) | |||||
Total deferred tax assets after valuation allowance | — | ||||||
Less: Deferred tax liabilities | — | ||||||
Net deferred tax asset | $ | — |
As of April 30, 2020 a valuation allowance of $18,062,922 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.
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, 2020 | $ | 8,657,365 | October 31, 2025 | ||||||||
Fiscal year ended October 31, 2019 | 3,084,073 | 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, 2020 | $ | 986,278 | Indefinite |
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, 2020 is as follows:
Income tax provision (benefit) at the federal statutory rate of 21% | $ | (5,143,000 | ) | ||||
State income tax (benefit), net of federal benefit | (666,247 | ) | |||||
Tax (benefit) expense on permanent items | 159,929 | ||||||
Change in valuation allowance | 5,649,318 | ||||||
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 23.72% due to an increase in the valuation allowance.
At April 30, 2020, 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 | $ | 52,823,762 | |||||
Gross unrealized appreciation | 732,810 | ||||||
Gross unrealized depreciation | (16,458,323 | ) | |||||
Net unrealized appreciation/(depreciation) | $ | (15,725,513 | ) |
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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 for a Strategic Weight or PortfolioPlus ETF consists of 50,000 shares. A Creation Unit for a Relative Weight ETF consists of 25,000 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.
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, 2020. 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 | $ | 415,891,348 | $ | 415,987,453 | $ | — | $ | 37,338,140 | |||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | |||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated)1 | 28,961,244 | 1,008,792 | 1,004,356 | 2,785,863 | |||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF1 | 12,506,159 | 537,549 | — | — | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 47,495,645 | 47,556,218 | 42,585,570 | 35,556,606 | |||||||||||||||
Direxion S&P 500® High minus Low Quality ETF1 | 12,503,228 | 48,680 | — | 922,047 | |||||||||||||||
Direxion Zacks MLP High Income Index Shares | 18,732,680 | 19,556,504 | 19,801,429 | 3,874,751 | |||||||||||||||
Direxion FTSE Russell International Over US ETF | — | 3,030,618 | 1,295,764 | 2,581,076 | |||||||||||||||
Direxion FTSE Russell US Over International ETF | 448,613 | 3,133,403 | 3,038,084 | 3,015,533 | |||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | — | 2,969,301 | 2,757,322 | 4,125,618 | |||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | — | 2,859,697 | 2,559,408 | 3,711,618 | |||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 781,295 | 3,657,472 | — | 7,560,711 | |||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 305,073 | 3,218,527 | 2,599,409 | 3,852,207 | |||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 1,112,761 | 2,825,382 | 6,708,632 | 20,916,540 | |||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | 6,361,491 | — | 8,048,913 | |||||||||||||||
Direxion Russell Large Over Small Cap ETF | 592,810 | 3,107,821 | 3,158,838 | 3,088,440 | |||||||||||||||
Direxion Russell Small Over Large Cap ETF | 52,128 | 5,824,562 | 2,550,189 | 6,544,415 | |||||||||||||||
PortfolioPlus Developed Markets ETF | 80,545 | 167,010 | 859,394 | — | |||||||||||||||
PortfolioPlus Emerging Markets ETF | 125,774 | 215,833 | 802,971 | — | |||||||||||||||
PortfolioPlus S&P 500® ETF | 5,412,284 | 6,045,155 | — | 1,609,527 | |||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 989,095 | 239,640 | — | — | |||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 436,775 | 1,066,781 | — | — |
1 Represents the period from February 5, 2020 (commencement of operations) to April 30, 2020.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2020.
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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 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 Flight to Safety Strategy ETF (Consolidated) | 0.25 | % | |||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 0.35 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.30 | % | |||||
Direxion S&P 500® High minus Low Quality ETF | 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 Developed Over Emerging Markets ETF | 0.40 | % | |||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.40 | % | |||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 0.40 | % | |||||
Direxion MSCI USA Defensives Over Cyclicals 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 of the PortfolioPlus ETFs has agreed to waive the investment advisory fee for the PortfolioPlus ETFs at least until September 1, 2021. 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 respective Adviser. Under the Management Services Agreement, the Trust pays the respective 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 respective Adviser for performing certain management, administration and compliance functions related to the Trust.
Effective June 28, 2019, the Funds replaced the Operating Expense Limitation Agreement with the Operating Services Agreement. Under the new Operating Services Agreements, Rafferty and, for the PortfolioPlus ETFs, Direxion Advisors, LLC, will pay all the expenses (with certain exceptions such as the Management Fees and Rule 12b-1 fees) of the Funds in exchange for a fee calculated based on the following rates multiplied by the respective average daily net assets of each Fund.
Direxion All Cap Insider Sentiment Shares | 0.19 | % | |||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 0.20 | % | |||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 0.05 | % | |||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 0.05 | % |
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Direxion NASDAQ-100® Equal Weighted Index Shares | 0.05 | % | |||||
Direxion S&P 500® High minus Low Quality ETF | 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 Developed Over Emerging Markets ETF | 0.05 | % | |||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.05 | % | |||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 0.05 | % | |||||
Direxion MSCI USA Defensives Over Cyclicals 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 | % |
The net amounts receivable (payable) arising from the Investment Advisory Agreement for each Fund are presented on the Statements of Assets and Liabilities as Due from (to) 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, 2020:
Asset Class | Liability Class | ||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Futures Contracts* | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||||||||
Direxion All Cap Insider Sentiment Shares | $ | — | $ | 56,499,993 | $ | — | $ | 120,472 | $ | 398,629 | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | — | — | — | — | 34,020,906 | 25,427 | — | — |
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Asset Class | Liability Class | ||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Futures Contracts* | Total Return Swap Contracts* | Total Return Swap Contracts* | |||||||||||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | $ | 18,840,410 | $ | 8,168,812 | $ | — | $ | — | $ | 1,101,326 | $ | 22,130 | $ | — | $ | — | |||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | — | 10,853,347 | — | 17,355 | 966,732 | — | 1,049,488 | (597,069 | ) | ||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | 228,382,976 | — | 3,310,532 | 305,262 | — | — | — | |||||||||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | — | 10,224,005 | — | 1,047,177 | 897,942 | — | — | (944,675 | ) | ||||||||||||||||||||||||||
Direxion Zacks MLP High Income Index Shares | — | — | 36,898,024 | 10,011,273 | 200,225 | — | — | — | |||||||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | 7,997,691 | — | — | 565,567 | 57,122 | — | 429,475 | (1,030,431 | ) | ||||||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | 11,405,029 | — | — | 1,224,405 | 829,135 | — | — | (1,003,743 | ) | ||||||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 8,962,282 | — | — | 1,360,016 | 420,398 | — | — | (1,316,651 | ) | ||||||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 8,243,139 | — | — | 195,599 | 323,886 | — | — | (1,038,556 | ) | ||||||||||||||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | — | 11,513,482 | — | 104,634 | 698,710 | — | — | (322,111 | ) | ||||||||||||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | — | 9,352,632 | — | 973,197 | 610,672 | — | — | (1,038,359 | ) | ||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 13,710,438 | — | — | 1,020,883 | 1,674,538 | — | — | (870,160 | ) | ||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 13,521,087 | — | — | 2,084,181 | 117,633 | — | — | (1,967,799 | ) | ||||||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | 11,588,630 | — | — | 3,183,728 | 1,183,345 | — | — | (1,343,889 | ) | ||||||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | 3,853,137 | — | — | 2,405,798 | 240,149 | — | — | (496,058 | ) | ||||||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | 1,763,413 | — | — | 2,976 | 16,080 | — | 9,749 | — | |||||||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | 1,614,312 | — | — | 2 | 63,577 | — | — | (10,920 | ) | ||||||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | 20,891,021 | — | — | 5 | 276,794 | — | 270,737 | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 1,862,458 | — | — | 4,113 | 34,886 | — | 48,511 | — | |||||||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | 5,053,873 | — | — | 55,006 | 355,761 | — | 120,896 | — |
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
DIREXION SEMI-ANNUAL REPORT
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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.
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, 2020, certain Funds were invested in swap contracts. At April 30, 2020, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | $ | 1,049,488 | $ | — | $ | 1,049,488 | |||||||||
Direxion FTSE Russell International Over US ETF | 429,475 | — | 429,475 | ||||||||||||
PortfolioPlus Developed Markets ETF | 9,749 | — | 9,749 | ||||||||||||
PortfolioPlus S&P 500® ETF | 270,737 | — | 270,737 | ||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 48,511 | — | 48,511 | ||||||||||||
PortfolioPlus S&P® Small Cap ETF | 120,896 | — | 120,896 |
Futures Contracts* Fund | Equity Risk | Interest Rate Risk | Commodity Risk | Total | |||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | 25,427 | $ | 25,427 | |||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | — | — | 22,130 | 22,130 |
Liability Derivatives2 | |||||||||||||||
Swap Contracts Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | $ | 597,069 | $ | — | $ | 597,069 | |||||||||
Direxion S&P 500® High minus Low Quality ETF | 944,675 | — | 944,675 | ||||||||||||
Direxion FTSE Russell International Over US ETF | 1,030,431 | — | 1,030,431 | ||||||||||||
Direxion FTSE Russell US Over International ETF | 1,003,743 | — | 1,003,743 | ||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 1,316,651 | — | 1,316,651 | ||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 1,038,556 | — | 1,038,556 | ||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 322,111 | — | 322,111 | ||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 1,038,359 | — | 1,038,359 | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 870,160 | — | 870,160 | ||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 1,967,799 | — | 1,967,799 | ||||||||||||
Direxion Russell Large Over Small Cap ETF | 1,343,889 | — | 1,343,889 | ||||||||||||
Direxion Russell Small Over Large Cap ETF | 496,058 | — | 496,058 | ||||||||||||
PortfolioPlus Emerging Markets ETF | 10,920 | — | 10,920 |
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.
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Transactions in derivative instruments during the period ended April 30, 2020, 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 | $ | — | $ | — | $ | (3,239,413 | ) | $ | — | $ | — | $ | (315,128 | ) | ||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | Futures Contracts | — | — | 84,980 | — | — | 22,130 | ||||||||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | Swap Contracts | — | — | — | 452,419 | — | — | ||||||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | Swap Contracts | 1,382,245 | — | — | (944,675 | ) | — | — | |||||||||||||||||||||||
Direxion FTSE Russell International Over US ETF | Swap Contracts | (413,057 | ) | — | — | (271,509 | ) | — | — | ||||||||||||||||||||||
Direxion FTSE Russell US Over International ETF | Swap Contracts | 2,284,221 | — | — | (1,596,328 | ) | — | — | |||||||||||||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | Swap Contracts | 1,813,875 | — | — | (2,134,173 | ) | — | — | |||||||||||||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | Swap Contracts | 654,169 | — | — | (610,622 | ) | — | — | |||||||||||||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | Swap Contracts | 1,614,582 | — | — | (1,418,379 | ) | — | — | |||||||||||||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | Swap Contracts | 1,540,461 | — | — | (1,598,954 | ) | — | — | |||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | Swap Contracts | 4,323,779 | — | — | (2,397,332 | ) | — | — | |||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | Swap Contracts | 821,729 | — | — | (2,933,207 | ) | — | — | |||||||||||||||||||||||
Direxion Russell Large Over Small Cap ETF | Swap Contracts | 3,176,461 | — | — | (2,436,158 | ) | — | — | |||||||||||||||||||||||
Direxion Russell Small Over Large Cap ETF | Swap Contracts | (296,696 | ) | — | — | (76,556 | ) | — | — | ||||||||||||||||||||||
PortfolioPlus Developed Markets ETF | Swap Contracts | (57,811 | ) | — | — | (147 | ) | — | — | ||||||||||||||||||||||
PortfolioPlus Emerging Markets ETF | Swap Contracts | (36,957 | ) | — | — | (16,126 | ) | — | — | ||||||||||||||||||||||
PortfolioPlus S&P 500® ETF | Swap Contracts | (370,192 | ) | — | — | (284,562 | ) | — | — | ||||||||||||||||||||||
PortfolioPlus S&P® Mid Cap ETF | Swap Contracts | (105,541 | ) | — | — | 42,487 | — | — | |||||||||||||||||||||||
PortfolioPlus S&P® Small Cap ETF | Swap Contracts | (636,428 | ) | — | — | 90,488 | — | — |
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.
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For the period ended April 30, 2020, 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) | $ | — | $ | — | $ | 15,028,795 | |||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | — | — | 677,680 | ||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 3,455,858 | 3,180,658 | — | ||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 3,110,244 | 2,424,230 | — | ||||||||||||
Direxion FTSE Russell International Over US ETF | 6,388,106 | 5,370,223 | — | ||||||||||||
Direxion FTSE Russell US Over International ETF | 7,179,900 | 6,521,789 | — | ||||||||||||
Direxion MSCI Developed Over Emerging Markets ETF | 6,825,485 | 6,110,199 | — | ||||||||||||
Direxion MSCI Emerging Over Developed Markets ETF | 6,076,404 | 5,221,320 | — | ||||||||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 8,953,769 | 8,542,772 | — | ||||||||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 6,178,500 | 5,572,281 | — | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 10,561,625 | 9,910,320 | — | ||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 12,009,312 | 10,521,129 | — | ||||||||||||
Direxion Russell Large Over Small Cap ETF | 7,317,352 | 6,457,056 | — | ||||||||||||
Direxion Russell Small Over Large Cap ETF | 4,331,490 | 3,667,803 | — | ||||||||||||
PortfolioPlus Developed Markets ETF | 494,282 | — | — | ||||||||||||
PortfolioPlus Emerging Markets ETF | 470,207 | — | — | ||||||||||||
PortfolioPlus S&P 500® ETF | 8,217,710 | — | — | ||||||||||||
PortfolioPlus S&P® Mid Cap ETF | 540,432 | — | — | ||||||||||||
PortfolioPlus S&P® Small Cap ETF | 2,348,199 | — | — |
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
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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 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.
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Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
10. ADDITIONAL INFORMATION
On April 23, 2020, shares of the following fund 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 split has 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 split 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 Zacks MLP High Income Index Shares | 4/23/20 | 1 | :8 | $ | 6.04 | $ | 48.32 | 5,500,000 | 687,500 |
11. RECENT ACCOUNTING PRONOUNCEMENT
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management has assessed these changes and concluded these changes do not have a material impact on the Fund's financial statements.
12. 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.
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On June 22, 2020, certain Funds declared income distributions with an ex-date of June 23, 2020 and payable date of June 30, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion All Cap Insider Sentiment Shares | $ | 0.11532 | |||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 0.18382 | ||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 0.18502 | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.08904 | ||||||
Direxion S&P 500® High minus Low Quality ETF | 0.20091 | ||||||
Direxion Zacks MLP High Income Index Shares | 2.40000 | ||||||
Direxion FTSE Russell International Over US ETF | 0.29813 | ||||||
Direxion FTSE Russell US Over International ETF | 0.35129 | ||||||
Direxion MSCI Developed Over Emerging Markets ETF | 0.46209 | ||||||
Direxion MSCI Emerging Over Developed Markets ETF | 0.29546 | ||||||
Direxion MSCI USA Cyclicals Over Defensives ETF | 0.17377 | ||||||
Direxion MSCI USA Defensives Over Cyclicals ETF | 0.33943 | ||||||
Direxion Russell 1000® Growth Over Value ETF | 0.13424 | ||||||
Direxion Russell 1000® Value Over Growth ETF | 0.32812 | ||||||
Direxion Russell Large Over Small Cap ETF | 0.42788 | ||||||
Direxion Russell Small Over Large Cap ETF | 0.18416 | ||||||
PortfolioPlus Developed Markets ETF | 0.10985 | ||||||
PortfolioPlus S&P 500® ETF | 0.27996 | ||||||
PortfolioPlus S&P® Mid Cap ETF | 0.09127 | ||||||
PortfolioPlus S&P® Small Cap ETF | 0.14418 |
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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.
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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: 52 | 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. | 130 | 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: 76 | 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. | 130 | None. | ||||||||||||||||||
David L. Driscoll Age: 50 | 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. | 130 | None. | ||||||||||||||||||
Jacob C. Gaffey Age: 72 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. | 130 | None. |
(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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
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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 | ||||||||||||||||||
Henry W. Mulholland Age: 57 | 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. | 130 | None. | ||||||||||||||||||
Kathleen M. Berkery(3) Age: 52 | Trustee | Lifetime of Trust until removal or resignation; Since 2019 | Rynkar, Vail & Barrett, LLC, since 2018 as Manager – Trusts & Estates; Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017 as Financial Advisor | 130 | 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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
(3) Ms. Berkery was elected as a Trustee on November 26, 2019.
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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: 51 | 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: 46 | 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: 44 | 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 89 of the 116 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 14 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.
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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, (the "Independent Trustees"), considered in approving the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC ("Rafferty") and the Trust, on behalf of the Direxion Flight to Safety Strategy ETF, Direxion MSCI USA ESG – Leaders vs. Laggards ETF, and the Direxion S&P 500® High minus Low Quality ETF at its November 26, 2019 meeting, each a series of the 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 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. 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, the extent to which economies of scale may be realized as the Funds grow and whether the advisory fee enables investors to share in the benefits of economies of scale; and other benefits received by Rafferty from its relationship with the Funds. The Board recognized that the evaluation process with respect to Rafferty was an ongoing one and, in this regard, the Board considered information provide by Rafferty at regularly scheduled meetings during the past year.
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. Based on written materials received, a presentation from senior representatives of Rafferty and a discussion with Rafferty about its personnel, operations and financial condition, the Board considered the quality of the services provided by Rafferty under the Agreement. In this regard, the Board considered information regarding the experience, qualifications and professional background of the portfolio managers and other personnel at Rafferty with principal responsibility for the Funds, as well as the capacity and integrity of Rafferty's senior management and staff. The Board noted that Rafferty has provided services to the 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 fee waiver and expense obligations thereto. The Board considered that Rafferty will oversee all aspects of the operation of the Funds, including oversight of the Funds' service providers, and will provide compliance services to the Funds. The Board observed that because the Funds had not commenced operations, they did not have any prior performance history.
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. The Board considered the fees to be paid to Rafferty on an annual basis, including pursuant to expense limitation arrangements. The Board considered the proposed advisory fee rate and net expense ratio for each Fund was similar to those of comparable exchange-traded funds and other similar series of the Trust. The Board also considered that Rafferty agreed to limit the total expenses for each Fund via a limitation on operating expenses.
The Board further considered the overall profitability of Rafferty's investment business and, because the Funds had not commenced operations and Rafferty did not have any prior profit data related to the Funds, the Board considered the break-even analysis provided by Rafferty for each Fund and noted that, as new series of the 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, regulatory compliance, and entrepreneurial risk.
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 contractual fee rates. Noting that the Funds had not
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
yet commenced operations and did not yet have any assets, the Board concluded that economies of scale were not a material factor for the Board to consider in approving the Agreement.
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 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.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, and its consideration of information received throughout the year from Rafferty, the Board determined, in the exercise of its business judgment, that the advisory arrangements, as outlined in the Agreement, were fair and reasonable in light of the services performed, or to be performed, expenses incurred, or to be incurred and such other matters as the Board considered relevant.
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Direxion Shares ETF Trust
Board Review of Liquidity Risk Management Program (Unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule") to promote effective liquidity risk management throughout the open-end investment company industry.
The Board of Trustees (the "Board") of the Direxion Shares ETF Trust, on behalf of the series of the Direxion Shares ETF Trust (the "Funds"), met on November 26, 2019 to review the liquidity risk management program (the "Liquidity Program"). The Board has appointed Rafferty Asset Management, LLC, the investment advisor to certain Funds as the Liquidity Program administrator of each Fund's Liquidity Program. At the meeting, Rafferty Asset Management, LLC provided the Board with a report that addressed the operation of the Funds' Liquidity Program and assessed the adequacy and effectiveness of the implementation of the Liquidity Program, including:
• The Liquidity Program supported each Fund's ability to meet redemption requests timely;
• The Liquidity Program supported Rafferty Asset Management, LLC's management of each Fund's liquidity, including during periods of market volatility and net redemptions;
• No material liquidity issues were identified during the report period;
• There were no material changes to the Liquidity Program during the report period; and
• The Liquidity Program operated adequately during the report period.
The report covered the period from December 1, 2018 through October 31, 2019. The report also described the Liquidity Program's liquidity classification methodology for categorizing a Fund's investment (including derivative transactions) into one of four liquidity buckets as required by the Liquidity Rule. The report provided to the Board stated that the Liquidity Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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SEMI–ANNUAL REPORT APRIL 30, 2020
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
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 last fiscal half-year 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. |
(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 7, 2020 |
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 7, 2020 |
By (Signature and Title) | /s/ Patrick J. Rudnick | |
Patrick J. Rudnick, Principal Financial Officer |
Date | July 7, 2020 |