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: October 31, 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
ANNUAL REPORT OCTOBER 31, 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
2X BULL FUNDS | 2X BEAR FUNDS | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||
Direxion Daily Latin America Bull 2X Shares (formerly Direxion Daily Latin America Bull 3X Shares) | |||||||
Direxion Daily MSCI Brazil Bull 2X Shares (formerly Direxion Daily MSCI Brazil Bull 3X Shares) | |||||||
Direxion Daily MSCI India Bull 2X Shares (formerly Direxion Daily MSCI India Bull 3X Shares) | |||||||
Direxion Daily Russia Bull 2X Shares (formerly Direxion Daily Russia Bull 3X Shares) | |||||||
Direxion Daily Energy Bull 2X Shares (formerly Direxion Daily Energy Bull 3X Shares) | Direxion Daily Energy Bear 2X Shares (formerly Direxion Daily Energy Bear 3X Shares) | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares (formerly Direxion Daily Gold Miners Index Bull 3X Shares) | Direxion Daily Gold Miners Index Bear 2X Shares (formerly Direxion Daily Gold Miners Index Bear 3X Shares) | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bull 3X Shares) | Direxion Daily Junior Gold Miners Index Bear 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bear 3X Shares) | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares (formerly Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares) | |||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares) | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X 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 (Unaudited) | 4 | ||||||
Performance Summary (Unaudited) | 14 | ||||||
Expense Example (Unaudited) | 32 | ||||||
Allocation of Portfolio Holdings (Unaudited) | 34 | ||||||
Schedules of Investments | 35 | ||||||
Statements of Assets and Liabilities | 54 | ||||||
Statements of Operations | 59 | ||||||
Statements of Changes in Net Assets | 64 | ||||||
Financial Highlights | 73 | ||||||
Notes to the Financial Statements | 76 | ||||||
Report of Independent Registered Public Accounting Firm | 102 | ||||||
Supplemental Information (Unaudited) | 105 | ||||||
Board Review of Investment Advisory Agreement (Unaudited) | 106 | ||||||
Board Review of Liquidity Risk Management Program (Unaudited) | 109 | ||||||
Trustees and Officers (Unaudited) | 110 |
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Letter to Shareholders
Dear Shareholders,
This Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2019 to October 31, 2020 (the "Annual Period").
Market Review:
The onset of the Annual Period saw U.S. equity markets beginning to emerge from a relatively sideways trend that had persisted since mid-summer 2019. Asian and emerging market equities benefitted from reduced geo-political tensions as a result of a potential U.S.-China trade deal. The formal announcement of a Phase One Trade Agreement in December served to further bolster gains, both at home and abroad, through year-end for 2019. 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 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 that what began as a localized epidemic in China could turn into a global pandemic producing economic shock around the world, and 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. March saw two rate cuts, and an announcement of quantitative easing from the Federal Reserve, in an effort to bolster the market as 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 due to the effects of the Coronavirus. Those efforts were enough to spur a bit of optimism, as U.S. equity indexes closed the month off the lows. In April, as "work from home," "social distancing" and online meetings became the norm, equities began to rebound on hopes of the economy reopening, with signs lockdowns would soon be ending in some parts of Europe, as well as some states in the U.S. May saw the S&P 500 Index recoup 3,000, a major psychological threshold, as markets responded to positive news that Coronavirus cases were stabilizing. Into June, the S&P 500 Index traded at levels nearing flat for the year, due to expectations the Federal Reserve would serve as a backstop while the economy attempts to recover. China helped drive gains for Emerging Markets in June, amid signs of post-shutdown economic growth. Equity markets continued to rally into early September on sanguine expectations for the reopening of the economy. Uncertainty in September surrounding the upcoming U.S. Presidential Elections, coupled with a selloff in mega-cap technology stocks, were enough to earn the S&P 500 Index its first negative monthly return since March. Worsening Coronavirus case counts in the U.S., along with a resurgence of the virus in Europe, bore fears of a second wave, all while hopes of a vaccine began to materialize. Equity markets ended down for October, reflecting these scenarios, while also digesting economic lockdowns, stimulus hopes and the U.S. Presidential Election.
The Annual Period 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 2020, 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 basis points, in preparation for the supply chain shocks overseas. The succeeding 100 basis point 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, investors saw a steepening of the two-to-10 year yield curve – an indication that short term yields had dropped more than long term yields. 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 in the spring of 2020. Accommodative policy from the Federal Reserve underscored a bullish risk-appetite for investors, as reopening economies and Covid-19 vaccine hopes began to creep into the narrative. The September Federal Reserve meeting saw rates unchanged and a pledge to keep interest rates near zero though 2023. Into the end of the Annual Period, a tick up in the 10 year treasury yield was induced by hopes of a post-U.S. Presidential Election stimulus package. With economic growth showing a strong rebound in October, Q3 2020 GDP rose to a rate of 33.1%, while housing made a strong showing amid record-low mortgage rates.
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Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the 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.
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.
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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 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 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 Annual Period, the CSI 300 Index returned 29.45% The Direxion Daily CSI 300 China A Share Bear 1X Shares returned -30.98%, while the model indicated an expected return of -30.09%.
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 Annual Period, the S&P 500® Index returned 9.71%. The Direxion Daily S&P 500® Bear 1X Shares -17.95%, while the model indicated an expected return of -18.88%.
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 Annual Period, the CSI 300 Index returned 29.45%. 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 52.60%, while the model indicated an expected return 51.82%.
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 Annual Period, the CSI Overseas China Internet Index returned 59.69%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily CSI China Internet Index Bull 2X Shares returned 123.61%, while the model indicated an expected return of 127.11%.
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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 Annual Period, the S&P 500® Index returned 9.71%. 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 Fund. The Direxion Daily S&P 500® Bull 2X Shares returned 4.75%, while the model indicated an expected return of 6.65%.
The Direxion Daily Latin America Bull 3X Shares sought to provide 300% of the daily return of the S&P® Latin America 40 Index from November 1, 2019 through October 29, 2020. 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 stated period, the S&P® Latin America 40 Index returned -33.69%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Latin America Bull 3X Shares returned -89.57%, while the model indicated an expected return of -89.14%.
Beginning October 30, 2020, the Latin America Bull 2X Shares sought to provide 200% 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 stated period, the S&P® Latin America 40 Index returned -1.22%. 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 Latin America Bull 2X Shares returned -2.46%, while the model indicated an expected return of -2.44%.
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 15.39%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Brazil Bull 2X Shares returned 15.48%, while the model indicated an expected return of 17.15%.
The Direxion Daily MSCI India Bull 3X Shares sought to provide 300% of the daily return of the MSCI India Index from November 1, 2019 through October 29, 2020. 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 stated period, the MSCI India 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 ETFs. The Direxion Daily MSCI India Bull 3X Shares returned -53.93%, while the model indicated an expected return of -51.61%.
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Beginning October 30, 2020, the Direxion Daily MSCI India Bull 2X Shares sought to provide 200% 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 stated period, the MSCI India Index returned -0.09%. 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 2X Shares returned -0.20%, while the model indicated an expected return of -0.18%.
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 17.01%. 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 26.59%, while the model indicated an expected return of 29.39%.
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 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 1.73%. 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 -10.96%, while the model indicated an expected return of -9.74%. The Direxion Daily Energy Bear 2X Shares returned -37.19%, while the model indicated an expected return of -36.87%.
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
DIREXION ANNUAL REPORT
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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 62.72%. 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 132.69%, while the model indicated an expected return of 136.72%. The Direxion Daily Gold Miners Index Bear 2X Shares returned -73.58%, while the model indicated an expected return of -73.35%.
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 -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 89.36%. 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 Junior Gold Miners Index Bull 2X Shares returned 202.11%, while the model indicated an expected return of 207.34%. 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 Junior Gold Miners Index Bear 2X Shares returned -82.86%, while the model indicated an expected return of -82.71%.
The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares sought to provide 300% of the daily return of the Indxx Global Robotics & Artificial Intelligence Thematic Index from November 1, 2019 through October 29, 2020. The Indxx Global Robotics & 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 stated period, the Indxx Global Robotics & Artificial Intelligence Thematic Index returned 35.66%. Given the daily
DIREXION ANNUAL REPORT
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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 51.26%, while the model indicated an expected return of 58.76%. 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 October 30, 2020, the Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares sought to provide 200% of the daily return of the Indxx Global Robotics & Artificial Intelligence Thematic Index. The Indxx Global Robotics & 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 stated period, the Indxx Global Robotics & Artificial Intelligence Thematic Index returned -1.35%. 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 2X Shares returned -2.72%, while the model indicated an expected return of -2.71%.
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 25.23%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares returned 24.26%, while the model indicated an expected return of 25.94%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares returned -68.47%, while the model indicated an expected return of -68.26%.
Index Volatility:
Entering the Annual Period the CBOE Volatility Index (VIX Index), which reflects a market estimate for future volatility, was trading near all-time highs. Chief drivers of volatility for the Annual Period were inclusive of, but not limited to: a protracted U.S.-China trade spat, Presidential Impeachment, Federal Reserve monetary policy, Covid-19 and fiscal stimulus programs from the U.S. Senate. Volatility saw a brief spike, as Speaker Nancy Pelosi announced in late September 2019 that she was launching a formal impeachment inquiry of President Trump. Equity markets rallied in mid-October on positive news relating to U.S.-China trade relations, and volatility levels slid accordingly. Amid a continued melt up supported by a dovish Federal
DIREXION ANNUAL REPORT
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Reserve, a healthy global economy and positive developments on the U.S.-China trade front, the VIX Index closed at a record low of 11.54 on November 26, 2019. A blip in volatility in early December was caused by U.S./China tariff headlines. January noted the further spread of Covid-19 throughout the world. The first confirmed case of coronavirus in the United States occurred on January 21, 2020. In short order, the W.H.O. declared a global health emergency, President Trump restricted travel from China, and the first coronavirus death was reported in the Philippines. It wasn't until the newly named Covid-19 virus began making its way through Europe that the VIX Index began to surge. With the President declaring a national emergency on March 13, 2020, and the United States becoming the global leader in new infections later that month, the VIX Index closed at a record high of 82.69 on March 16, 2020; the S&P 500 marked an YTD 2020 low on March 23. A $2 trillion stimulus bill helped stabilize the stock market after it was signed into law on March 27, 2020 in an attempt to address the economic crisis, along with the public health emergency. Equity markets rebounded as hope emerged that some of the lockdowns would begin coming to an end in parts of Europe and the U.S. Fears of a second wave of the virus were, and still are, very much in play; in fact, the VIX spiked to 40.28 just three days before Period-end – its highest level since mid-June.
Index | Return | Volatility | |||||||||
CSI 300 Index | 29.45 | % | 31.53 | % | |||||||
S&P 500® Index | 9.71 | % | 34.43 | % | |||||||
CSI Overseas China Internet Index | 59.69 | % | 34.41 | % | |||||||
S&P® Latin America 40 Index1 | -33.69 | % | 53.99 | % | |||||||
S&P® Latin America 40 Index2 | -1.22 | % | 53.99 | % | |||||||
MSCI Brazil 25/50 Index3 | -46.40 | % | 82.48 | % | |||||||
MSCI Brazil 25/50 Index4 | 15.39 | % | 46.75 | % | |||||||
MSCI India Index1 | -2.62 | % | 44.31 | % | |||||||
MSCI India Index2 | -0.09 | % | 44.31 | % | |||||||
MVIS Russia Index3 | -26.94 | % | 65.79 | % | |||||||
MVIS Russia Index4 | 17.01 | % | 30.93 | % | |||||||
Energy Select Sector Index3 | -46.82 | % | 69.43 | % | |||||||
Energy Select Sector Index4 | 1.73 | % | 48.43 | % | |||||||
NYSE Arca Gold Miners Index3 | -17.59 | % | 76.22 | % | |||||||
NYSE Arca Gold Miners Index4 | 62.72 | % | 43.55 | % | |||||||
MVIS Global Junior Gold Miners Index3 | -28.04 | % | 97.49 | % | |||||||
MVIS Global Junior Gold Miners Index4 | 89.36 | % | 50.93 | % | |||||||
Indxx Global Robotics & Artificial Intelligence Thematic Index1 | 35.66 | % | 37.98 | % | |||||||
Indxx Global Robotics & Artificial Intelligence Thematic Index2 | -1.35 | % | 37.98 | % | |||||||
S&P Oil & Gas Exploration & Production Select Industry Index3 | -60.51 | % | 83.95 | % | |||||||
S&P Oil & Gas Exploration & Production Select Industry Index4 | 25.23 | % | 61.40 | % |
1 November 1, 2019 through October 29, 2020
2 October 30, 2020 through October 31, 2020
3 November 1, 2019 through March 31, 2020
4 April 1, 2020 through October 31, 2020
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 ANNUAL REPORT
12
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 October 31, 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 ANNUAL REPORT
13
Direxion Daily CSI 300 China A Share Bear 1X Shares
Performance Summary (Unaudited)
June 17, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares (NAV) | (30.98 | )% | (12.95 | )% | (14.16 | )% | (11.19 | )% | |||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares (Market Price) | (31.02 | )% | (12.95 | )% | (14.16 | )% | (11.20 | )% | |||||||||||
CSI 300 Index | 29.45 | % | 7.15 | % | 6.71 | % | (0.83 | )% |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio (gross) is 0.85%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.80% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-100%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -100% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
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Direxion Daily S&P 500® Bear 1X Shares
Performance Summary (Unaudited)
June 8, 20161 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Years | Since Inception | |||||||||||||
Direxion Daily S&P 500® Bear 1X Shares (NAV) | (17.95 | )% | (11.67 | )% | (12.67 | )% | |||||||||
Direxion Daily S&P 500® Bear 1X Shares (Market Price) | (18.13 | )% | (11.72 | )% | (12.70 | )% | |||||||||
S&P 500® Index | 9.71 | % | 10.42 | % | 12.65 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio (gross) is 0.78%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.45% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-100%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500® Index are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -100% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
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Direxion Daily CSI 300 China A Share Bull 2X Shares
Performance Summary (Unaudited)
April 16, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares (NAV) | 52.60 | % | 5.09 | % | 8.86 | % | (3.31 | )% | |||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares (Market Price) | 52.98 | % | 5.12 | % | 8.94 | % | (3.31 | )% | |||||||||||
CSI 300 Index | 29.45 | % | 7.15 | % | 6.71 | % | 1.88 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.21%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
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Direxion Daily CSI China Internet Index Bull 2X Shares
Performance Summary (Unaudited)
November 2, 20161 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Years | Since Inception | |||||||||||||
Direxion Daily CSI China Internet Bull 2X Shares (NAV) | 123.61 | % | 4.86 | % | 22.67 | % | |||||||||
Direxion Daily CSI China Internet Bull 2X Shares (Market Price) | 123.03 | % | 4.84 | % | 22.64 | % | |||||||||
CSI Overseas China Internet Index | 59.69 | % | 10.27 | % | 17.86 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.30%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The CSI Overseas China Internet 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. ("CSI''). 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
17
Direxion Daily S&P 500® Bull 2X Shares
Performance Summary (Unaudited)
May 28, 20141 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares (NAV) | 4.75 | % | 12.57 | % | 17.42 | % | 16.49 | % | |||||||||||
Direxion Daily S&P 500® Bull 2X Shares (Market Price) | 4.14 | % | 12.20 | % | 17.33 | % | 16.41 | % | |||||||||||
S&P 500® Index | 9.71 | % | 10.42 | % | 11.71 | % | 10.92 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.97%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.60% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500® Index are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
18
Direxion Daily Latin America Bull 2X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Latin America Bull 2X Shares (NAV) | (89.83 | )% | (59.37 | )% | (33.68 | )% | (39.68 | )% | |||||||||||
Direxion Daily Latin America Bull 2X Shares (Market Price) | (89.83 | )% | (59.45 | )% | (33.70 | )% | (39.68 | )% | |||||||||||
S&P® Latin America 40 Index | (34.74 | )% | (12.11 | )% | 0.47 | % | (5.96 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.41%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P® Latin America 40 Index is an equity index drawn from four major Latin American markets: Argentina, Brazil, Chile, and Mexico. It is designed for investors seeking broad market exposure through an index that is efficient to replicate. The performance of the S&P® Latin America 40 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
19
Direxion Daily MSCI Brazil Bull 2X Shares
Performance Summary (Unaudited)
April 10, 20131 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares (NAV) | (94.40 | )% | (64.30 | )% | (35.54 | )% | (50.94 | )% | |||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares (Market Price) | (94.37 | )% | (64.33 | )% | (35.50 | )% | (50.93 | )% | |||||||||||
MSCI Brazil 25/50 Index | (37.55 | )% | (9.49 | )% | 6.43 | % | (6.01 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.29%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Brazil 25/50 Index is designed to measure the performance of the large and mid cap segments of the Brazil equity market, covering approximately 85% of the free float-adjusted market capitalization in Brazil. The Index applies certain screens and weightings to take into account the investment limits placed on regulated investment companies ("RICs") under federal tax regulations. One such requirement is that at the end of each quarter of a RIC's tax year, no more than 25% of its assets may be invested in a single issuer and the sum of the weights of all issuers representing more than 5% of the RIC should not exceed 50% of its total assets. The Index aims to reflect these requirements in the selection and weighting of its component securities. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
20
Direxion Daily MSCI India Bull 2X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares (NAV) | (54.04 | )% | (31.25 | )% | (11.85 | )% | (17.10 | )% | |||||||||||
Direxion Daily MSCI India Bull 2X Shares (Market Price) | (54.04 | )% | (31.11 | )% | (11.83 | )% | (17.05 | )% | |||||||||||
MSCI India Index | (2.54 | )% | 0.09 | % | 5.13 | % | 1.60 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.33%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI India Index is designed to measure the performance of equity securities whose market capitalization, as calculated by MSCI, represents the top 85% of companies in the Indian equity securities markets. The performance of the MSCI India Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
21
Direxion Daily Russia Bull 2X Shares
Performance Summary (Unaudited)
May 25, 20111 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Russia Bull 2X Shares (NAV) | (75.17 | )% | (34.04 | )% | (15.12 | )% | (38.76 | )% | |||||||||||
Direxion Daily Russia Bull 2X Shares (Market Price) | (75.13 | )% | (34.18 | )% | (14.98 | )% | (38.74 | )% | |||||||||||
MVIS Russia Index | (13.93 | )% | 1.66 | % | 7.94 | % | (3.11 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.23%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MVIS Russia Index is a rules-based, modified capitalization weighted, float adjusted index, intended to represent the overall performance of publicly-traded companies that are domiciled and primarily listed on an exchange in Russia or that generate at least 50% of their revenues in Russia. Components of the Index must have a market capitalization of greater than $150 million on a rebalancing date to be eligible for the Index. The Index rebalances quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
22
Direxion Daily Energy Bull 2X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Energy Bull 2X Shares (NAV) | (93.97 | )% | (68.71 | )% | (51.80 | )% | (31.31 | )% | |||||||||||
Direxion Daily Energy Bull 2X Shares (Market Price) | (93.96 | )% | (68.67 | )% | (51.79 | )% | (31.28 | )% | |||||||||||
Energy Select Sector Index | (45.90 | )% | (21.06 | )% | (12.16 | )% | (3.96 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Energy Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: oil, gas & consumable fuels; and energy equipment & services. Each of the component securities of the Index is a constituent company of the S&P 500 Index. The performance of Energy Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
23
Direxion Daily Energy Bear 2X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Energy Bear 2X Shares (NAV) | 45.80 | % | 10.43 | % | (8.06 | )% | (23.45 | )% | |||||||||||
Direxion Daily Energy Bear 2X Shares (Market Price) | 45.84 | % | 10.45 | % | (8.04 | )% | (23.43 | )% | |||||||||||
Energy Select Sector Index | (45.90 | )% | (21.06 | )% | (12.16 | )% | (3.96 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.15%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Energy Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: oil, gas & consumable fuels; and energy equipment & services. Each of the component securities of the Index is a constituent company of the S&P 500 Index. The performance of Energy Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
24
Direxion Daily Gold Miners Index Bull 2X Shares
Performance Summary (Unaudited)
December 8, 20101 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares (NAV) | (51.26 | )% | (18.80 | )% | (10.85 | )% | (50.17 | )% | |||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares (Market Price) | (51.07 | )% | (18.88 | )% | (10.93 | )% | (50.12 | )% | |||||||||||
NYSE Arca Gold Miners Index | 35.62 | % | 20.13 | % | 21.65 | % | (3.77 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.17%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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 the mining for gold and silver. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
25
Direxion Daily Gold Miners Index Bear 2X Shares
Performance Summary (Unaudited)
December 8, 20101 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares (NAV) | (88.01 | )% | (68.87 | )% | (74.72 | )% | (50.94 | )% | |||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares (Market Price) | (88.11 | )% | (68.91 | )% | (74.72 | )% | (50.99 | )% | |||||||||||
NYSE Arca Gold Miners Index | 35.62 | % | 20.13 | % | 21.65 | % | (3.77 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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 the mining for gold and silver. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
26
Direxion Daily Junior Gold Miners Index Bull 2X Shares
Performance Summary (Unaudited)
October 3, 20131 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares (NAV) | (83.11 | )% | (46.14 | )% | (31.69 | )% | (55.82 | )% | |||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares (Market Price) | (83.02 | )% | (46.09 | )% | (31.62 | )% | (55.77 | )% | |||||||||||
MVIS Global Junior Gold Miners Index | 37.34 | % | 19.35 | % | 22.63 | % | 5.49 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.12%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MVIS Global Junior Gold Miners Index is a cap-weighted total return index that covers the largest and most liquid small-cap companies that derive at least 50% from Gold or Silver mining or have properties to do so. The performance of the MVIS Global Junior Gold Miners Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
27
Direxion Daily Junior Gold Miners Index Bear 2X Shares
Performance Summary (Unaudited)
October 3, 20131 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares (NAV) | (96.42 | )% | (80.36 | )% | (84.68 | )% | (78.91 | )% | |||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares (Market Price) | (96.45 | )% | (80.43 | )% | (84.74 | )% | (78.92 | )% | |||||||||||
MVIS Global Junior Gold Miners Index | 37.34 | % | 19.35 | % | 22.63 | % | 5.49 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.10%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MVIS Global Junior Gold Miners Index is a cap-weighted total return index that covers the largest and most liquid small-cap companies that derive at least 50% from Gold or Silver mining or have properties to do so. The performance of the MVIS Global Junior Gold Miners Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
28
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares
Performance Summary (Unaudited)
April 19, 20181 - October 31, 2020
Average Annual Total Return2 | |||||||||||
1 Year | Since Inception | ||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares (NAV) | 47.15 | % | (14.35 | )% | |||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares (Market Price) | 46.53 | % | (14.50 | )% | |||||||
Indxx Global Robotics & Artificial Intelligence Thematic Index | 33.54 | % | 6.20 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.43%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Indxx Global Robotics & 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 (collectively, "Robotics & Artificial Intelligence Companies"), as defined by Indxx, the Index Provider. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
29
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Performance Summary (Unaudited)
May 28, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares (NAV) | (98.19 | )% | (87.36 | )% | (76.26 | )% | (78.23 | )% | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares (Market Price) | (98.18 | )% | (87.35 | )% | (76.23 | )% | (78.22 | )% | |||||||||||
S&P Oil & Gas Exploration & Production Select Industry Index | (50.54 | )% | (32.18 | )% | (21.65 | )% | (24.19 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.05%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's Index Provider and includes domestic companies from the oil and gas exploration and production sub-industry. The Index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
30
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
Performance Summary (Unaudited)
May 28, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares (NAV) | (3.26 | )% | 1.99 | % | (24.46 | )% | (17.61 | )% | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares (Market Price) | (3.12 | )% | 2.12 | % | (24.43 | )% | (17.58 | )% | |||||||||||
S&P Oil & Gas Exploration & Production Select Industry Index | (50.54 | )% | (32.18 | )% | (21.65 | )% | (24.19 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.13%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-200%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's Index Provider and includes domestic companies from the oil and gas exploration and production sub-industry. The Index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
31
Expense Example (Unaudited)
October 31, 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 (May 1, 2020 to October 31, 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 May 1, 2020 to October 31, 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)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period May 1, 2020 to October 31, 2020* | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.80 | % | $ | 1,000.00 | $ | 708.40 | $ | 3.44 | |||||||||||
Based on hypothetical 5% return | 0.80 | % | 1,000.00 | 1,021.12 | 4.06 | ||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 862.90 | 2.11 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.87 | 2.29 | ||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,739.40 | 6.68 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 2,094.40 | 7.47 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 |
DIREXION ANNUAL REPORT
32
Expense Example (Unaudited)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period May 1, 2020 to October 31, 2020* | ||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.61 | % | $ | 1,000.00 | $ | 1,250.20 | $ | 3.45 | |||||||||||
Based on hypothetical 5% return | 0.61 | % | 1,000.00 | 1,022.07 | 3.10 | ||||||||||||||
Direxion Daily Latin America Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 1,124.50 | 5.13 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 1,097.40 | 5.22 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,020.16 | 5.03 | ||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,719.20 | 6.63 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily Russia Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.93 | % | 1,000.00 | 1,005.30 | 4.69 | ||||||||||||||
Based on hypothetical 5% return | 0.93 | % | 1,000.00 | 1,020.46 | 4.72 | ||||||||||||||
Direxion Daily Energy Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 543.30 | 3.69 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,237.90 | 5.34 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.90 | % | 1,000.00 | 1,226.70 | 5.04 | ||||||||||||||
Based on hypothetical 5% return | 0.90 | % | 1,000.00 | 1,020.61 | 4.57 | ||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.88 | % | 1,000.00 | 576.50 | 3.49 | ||||||||||||||
Based on hypothetical 5% return | 0.88 | % | 1,000.00 | 1,020.71 | 4.47 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.88 | % | 1,000.00 | 1,533.50 | 5.60 | ||||||||||||||
Based on hypothetical 5% return | 0.88 | % | 1,000.00 | 1,020.71 | 4.47 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.92 | % | 1,000.00 | 409.90 | 3.26 | ||||||||||||||
Based on hypothetical 5% return | 0.92 | % | 1,000.00 | 1,020.51 | 4.67 | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 2,315.10 | 8.08 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 475.70 | 3.52 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,024.20 | 4.83 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days (the number of days in the period of May 1, 2020 to October 31, 2020), then divided by 366.
DIREXION ANNUAL REPORT
33
Allocation of Portfolio Holdings (Unaudited)
October 31, 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 | 101 | % | — | — | (1 | )% | 100 | % | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 68 | % | — | 3 | % | 29 | % | 100 | % | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 26 | % | — | 35 | % | 39 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | (6 | )% | — | 97 | % | 9 | % | 100 | % | ||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 40 | % | — | 59 | % | 1 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 30 | % | — | 67 | % | 3 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 30 | % | — | 31 | % | 39 | % | 100 | % | ||||||||||||||
Direxion Daily Russia Bull 2X Shares | 44 | % | — | 54 | % | 2 | % | 100 | % | ||||||||||||||
Direxion Daily Energy Bull 2X Shares | 43 | % | 77 | % | — | (20 | )% | 100 | % | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | 77 | % | — | — | 23 | % | 100 | % | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 26 | % | — | 53 | % | 21 | % | 100 | % | ||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 109 | % | — | — | (9 | )% | 100 | % | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 29 | % | — | 44 | % | 27 | % | 100 | % | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 122 | % | — | — | (22 | )% | 100 | % | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 14 | % | — | 55 | % | 31 | % | 100 | % | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 99 | % | — | 45 | % | (44 | )% | 100 | % | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 58 | % | — | — | 42 | % | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
DIREXION ANNUAL REPORT
34
Direxion Daily CSI 300 China A Share Bear 1X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 24.2% | |||||||||||
Money Market Funds - 24.2% | |||||||||||
17,480,110 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 17,480,110 | ||||||||
5,362,269 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 5,362,269 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $22,842,379) (b) | $ | 22,842,379 | |||||||||
TOTAL INVESTMENTS (Cost $22,842,379) - 24.2% | $ | 22,842,379 | |||||||||
Other Assets in Excess of Liabilities - 75.8% | 71,358,392 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 94,200,771 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $22,842,379.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
(2.0508)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | Bank of America Merrill Lynch | 12/3/2020 | 822,351 | $ | 29,012,211 | $ | (478,553 | ) | ||||||||||||||||||
(1.4021)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | Citibank N.A. | 12/10/2020 | 526,026 | 18,753,500 | (107,693 | ) | ||||||||||||||||||||
(7.4521)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | Credit Suisse Capital LLC | 12/17/2020 | 223,323 | 8,055,539 | 42,056 | |||||||||||||||||||||
(5.3521)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 5/19/2021 | 67,340 | 1,781,641 | (654,451 | ) | ||||||||||||||||||||
(5.3521)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 6/16/2021 | 112,095 | 3,059,985 | (1,001,830 | ) | ||||||||||||||||||||
(5.3521)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 11/17/2021 | 779,467 | 28,401,878 | 440,136 | |||||||||||||||||||||
(5.3521)% representing 1 month LIBOR rate + spread | Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | BNP Paribas | 11/17/2021 | 99,981 | 3,548,261 | (35,224 | ) | ||||||||||||||||||||
$ | 92,613,015 | $ | (1,795,559 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
35
Direxion Daily S&P 500® Bear 1X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 22.2% | |||||||||||
Money Market Funds - 22.2% | |||||||||||
38,988,709 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | $ | 38,988,709 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $38,988,709) (b) | $ | 38,988,709 | |||||||||
TOTAL INVESTMENTS (Cost $38,988,709) - 22.2% | $ | 38,988,709 | |||||||||
Other Assets in Excess of Liabilities - 77.8% | 136,581,838 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 175,570,547 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $38,988,709.
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.2679% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Credit Suisse Capital LLC | 12/11/2020 | 53,692 | $ | 173,599,450 | $ | (2,417,231 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
36
Direxion Daily CSI 300 China A Share Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 3.4% | |||||||||||
91,900 | Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF (a) | $ | 3,290,939 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,348,744) | $ | 3,290,939 | |||||||||
SHORT TERM INVESTMENTS - 37.9% | |||||||||||
Money Market Funds - 37.9% | |||||||||||
19,773,848 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 19,773,848 | ||||||||
16,714,567 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 16,714,567 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $36,488,415) | $ | 36,488,415 | |||||||||
TOTAL INVESTMENTS (Cost $39,837,159) - 41.3% (c) | $ | 39,779,354 | |||||||||
Other Assets in Excess of Liabilities - 58.7% | 56,608,374 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 96,387,728 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $36,488,415.
Long Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (1.8508)% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 1,205,579 | $ | 33,075,847 | $ | 10,330,068 | |||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (1.0621)% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/9/2020 | 433,505 | 12,553,193 | 3,092,229 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (6.8821)% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 1,845,866 | 65,482,973 | 859,701 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (4.3521)% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 422,381 | 11,274,978 | 3,967,879 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (4.3521)% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 876,936 | 23,875,236 | 7,808,279 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (4.3521)% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 194,836 | 5,419,896 | 1,618,513 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | (4.3521)% representing 1 month LIBOR rate + spread | BNP Paribas | 10/20/2021 | 312,941 | 10,927,900 | 318,017 | |||||||||||||||||||||
$ | 162,610,023 | $ | 27,994,686 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
37
Direxion Daily CSI China Internet Index Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 34.6% | |||||||||||
272,484 | KraneShares CSI China Internet ETF (a) | $ | 19,572,526 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $17,559,668) | $ | 19,572,526 | |||||||||
SHORT TERM INVESTMENTS - 27.9% | |||||||||||
Money Market Funds - 27.9% | |||||||||||
8,932,829 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 8,932,829 | ||||||||
6,878,700 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 6,878,700 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,811,529) | $ | 15,811,529 | |||||||||
TOTAL INVESTMENTS (Cost $33,371,197) - 62.5% (c) | $ | 35,384,055 | |||||||||
Other Assets in Excess of Liabilities - 37.5% | 21,223,622 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 56,607,677 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $17,951,417.
Long Total Return Swap Contracts
October 31, 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 | 0.1479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 630,371 | $ | 29,379,660 | $ | 15,843,113 | |||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 0.7979% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 289,126 | 20,825,774 | (64,908 | ) | ||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | (0.8521)% representing 1 month LIBOR rate + spread | BNP Paribas | 12/15/2021 | 281,772 | 15,599,138 | 4,694,254 | |||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | (0.8521)% representing 1 month LIBOR rate + spread | BNP Paribas | 1/19/2022 | 102,499 | 6,052,176 | 1,329,590 | |||||||||||||||||||||
$ | 71,856,748 | $ | 21,802,049 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
38
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.4% | |||||||||||
51,509 | iShares Core S&P 500 ETF (a) | $ | 16,875,379 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,903,053) | $ | 16,875,379 | |||||||||
SHORT TERM INVESTMENTS - 1.9% | |||||||||||
Money Market Funds - 1.9% | |||||||||||
324,419 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 324,419 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $324,419) | $ | 324,419 | |||||||||
TOTAL INVESTMENTS (Cost $14,227,472) - 99.3% (c) | $ | 17,199,798 | |||||||||
Other Assets in Excess of Liabilities - 0.7% | 124,095 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 17,323,893 |
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 October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $12,231,440.
Long Total Return Swap Contracts
October 31, 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 | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 4,020 | $ | 11,514,761 | $ | 1,709,134 | |||||||||||||||||||
Total return of S&P 500® Index | 0.5679% representing 1 month LIBOR rate + spread | UBS Securities LLC | 5/26/2021 | 1,415 | 4,807,751 | (177,936 | ) | ||||||||||||||||||||
$ | 16,322,512 | $ | 1,531,198 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
39
Direxion Daily Latin America Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 58.5% | |||||||||||
561,762 | iShares Latin America 40 ETF (a) | $ | 11,825,090 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $11,593,945) | $ | 11,825,090 | |||||||||
SHORT TERM INVESTMENTS - 25.7% | |||||||||||
Money Market Funds - 25.7% | |||||||||||
1,880,187 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 1,880,187 | ||||||||
3,306,123 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 3,306,123 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,186,310) | $ | 5,186,310 | |||||||||
TOTAL INVESTMENTS (Cost $16,780,255) - 84.2% (c) | $ | 17,011,400 | |||||||||
Other Assets in Excess of Liabilities - 15.8% | 3,197,044 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,208,444 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,131,381.
Long Total Return Swap Contracts
October 31, 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 | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 547,362 | $ | 12,278,327 | $ | (761,150 | ) | ||||||||||||||||||
Total return of iShares Latin America 40 ETF | 0.3979% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 248,052 | 4,300,584 | 974,540 | |||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 0.3979% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 88,329 | 1,571,844 | 307,499 | |||||||||||||||||||||
Total return of iShares Latin America 40 ETF | 0.5479% representing 1 month LIBOR rate + spread | J.P. Morgan | 7/6/2021 | 474,547 | 10,336,493 | (361,932 | ) | ||||||||||||||||||||
$ | 28,487,248 | $ | 158,957 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
40
Direxion Daily MSCI Brazil Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 66.6% | |||||||||||
3,987,225 | iShares MSCI Brazil Capped ETF (a) | $ | 107,096,864 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $110,674,197) | $ | 107,096,864 | |||||||||
SHORT TERM INVESTMENTS - 31.0% | |||||||||||
Money Market Funds - 31.0% | |||||||||||
28,360,758 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 28,360,758 | ||||||||
21,577,826 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 21,577,826 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $49,938,584) | $ | 49,938,584 | |||||||||
TOTAL INVESTMENTS (Cost $160,612,781) - 97.6% (c) | $ | 157,035,448 | |||||||||
Other Assets in Excess of Liabilities - 2.4% | 3,817,092 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 160,852,540 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $56,545,043.
Long Total Return Swap Contracts
October 31, 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 | 0.7479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 1,869,110 | $ | 48,623,251 | $ | 1,922,785 | |||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 0.5479% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 3,059,526 | 88,761,888 | (6,622,356 | ) | ||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 107,976 | 2,826,812 | 226,582 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 2,337,666 | 56,461,595 | 6,939,400 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 617,292 | 14,640,384 | 2,111,234 | |||||||||||||||||||||
$ | 211,313,930 | $ | 4,577,645 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
41
Direxion Daily MSCI India Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 31.4% | |||||||||||
786,942 | iShares MSCI India ETF (a) | $ | 26,433,382 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $26,525,446) | $ | 26,433,382 | |||||||||
SHORT TERM INVESTMENTS - 30.1% | |||||||||||
Money Market Funds - 30.1% | |||||||||||
24,779,193 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 24,779,193 | ||||||||
639,387 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 639,387 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $25,418,580) | $ | 25,418,580 | |||||||||
TOTAL INVESTMENTS (Cost $51,944,026) - 61.5% (c) | $ | 51,851,962 | |||||||||
Other Assets in Excess of Liabilities - 38.5% | 32,494,183 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 84,346,145 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,120,491.
Long Total Return Swap Contracts
October 31, 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 India ETF | 0.6979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 2,105,976 | $ | 52,571,277 | $ | 18,053,840 | |||||||||||||||||||
Total return of iShares MSCI India ETF | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 383,956 | 10,090,032 | 2,863,295 | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 1,628,734 | 42,832,660 | 11,869,390 | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 0.6479% representing 1 month LIBOR rate + spread | J.P. Morgan | 8/9/2021 | 116,527 | 3,903,991 | 5,950 | |||||||||||||||||||||
$ | 109,397,960 | $ | 32,792,475 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
42
Direxion Daily Russia Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 53.5% | |||||||||||
1,266,221 | VanEck VectorsTM Russia ETF (a) | $ | 24,634,329 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $27,021,373) | $ | 24,634,329 | |||||||||
SHORT TERM INVESTMENTS - 27.9% | |||||||||||
Money Market Funds - 27.9% | |||||||||||
11,293,267 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 11,293,267 | ||||||||
1,555,288 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 1,555,288 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,848,555) | $ | 12,848,555 | |||||||||
TOTAL INVESTMENTS (Cost $39,869,928) - 81.4% (c) | $ | 37,482,884 | |||||||||
Other Assets in Excess of Liabilities - 18.6% | 8,532,110 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 46,014,994 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $24,233,676.
Long Total Return Swap Contracts
October 31, 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 | 0.6493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 202,597 | $ | 4,288,426 | $ | (347,745 | ) | ||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 0.8979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 143,427 | 3,027,798 | (239,030 | ) | ||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 0.6479% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 1,196,775 | 23,006,619 | 185,719 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 0.6279% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 846,979 | 15,722,381 | 687,267 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 0.6279% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 896,098 | 16,591,868 | 779,534 | |||||||||||||||||||||
Total return of VanEck VectorsTM Russia ETF | 0.6279% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 177,761 | 3,476,270 | (30,803 | ) | ||||||||||||||||||||
$ | 66,113,362 | $ | 1,034,942 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
43
Direxion Daily Energy Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 77.3% | |||||||||||
Machinery Manufacturing - 2.4% | |||||||||||
262,078 | Baker Hughes, a GE Co. | $ | 3,870,892 | ||||||||
155,040 | National Oilwell Varco, Inc. | 1,302,336 | |||||||||
168,660 | TechnipFMC PLC (United Kingdom) | 932,690 | |||||||||
6,105,918 | |||||||||||
Oil and Gas Extraction - 11.3% | |||||||||||
150,729 | Apache Corp. | 1,251,051 | |||||||||
159,158 | Cabot Oil & Gas Corp. | 2,831,421 | |||||||||
78,555 | Concho Resources, Inc. | 3,260,818 | |||||||||
152,846 | Devon Energy Corp. | 1,364,915 | |||||||||
232,485 | EOG Resources, Inc. | 7,960,286 | |||||||||
315,220 | Marathon Oil Corp. | 1,248,271 | |||||||||
334,258 | Occidental Petroleum Corp. | 3,051,776 | |||||||||
174,367 | Phillips 66 | 8,135,964 | |||||||||
29,104,502 | |||||||||||
Petroleum and Coal Products Manufacturing - 45.3% | |||||||||||
682,472 | Chevron Corp. | 47,431,804 | |||||||||
303,906 | ConocoPhillips | 8,697,790 | |||||||||
1,393,811 | Exxon Mobil Corp. | 45,466,115 | |||||||||
59,516 | HollyFrontier Corp. | 1,101,641 | |||||||||
259,829 | Marathon Petroleum Corp. | 7,664,955 | |||||||||
162,816 | Valero Energy Corp. | 6,286,326 | |||||||||
116,648,631 | |||||||||||
Pipeline Transportation - 3.6% | |||||||||||
484,578 | Williams Companies, Inc. | 9,299,052 | |||||||||
Support Activities for Mining - 9.1% | |||||||||||
63,024 | Diamondback Energy, Inc. | 1,636,103 | |||||||||
350,765 | Halliburton Co. | 4,230,226 | |||||||||
109,149 | Hess Corp. | 4,062,526 | |||||||||
65,601 | Pioneer Natural Resources Co. | 5,219,215 | |||||||||
554,263 | Schlumberger Ltd. | 8,280,689 | |||||||||
23,428,759 |
Shares | Fair Value | ||||||||||
Utilities - 5.6% | |||||||||||
777,294 | Kinder Morgan, Inc. | $ | 9,249,799 | ||||||||
177,361 | ONEOK, Inc. | 5,143,468 | |||||||||
14,393,267 | |||||||||||
TOTAL COMMON STOCKS (Cost $245,874,430) | $ | 198,980,129 | |||||||||
SHORT TERM INVESTMENTS - 27.7% | |||||||||||
Money Market Funds - 27.7% | |||||||||||
41,234,695 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 41,234,695 | ||||||||
30,184,578 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 30,184,578 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $71,419,273) | $ | 71,419,273 | |||||||||
TOTAL INVESTMENTS (Cost $317,293,703) - 105.0% (c) | $ | 270,399,402 | |||||||||
Liabilities in Excess of Other Assets - (5.0)% | (12,901,114 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 257,498,288 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $165,041,617.
Long Total Return Swap Contracts
October 31, 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 Energy Select Sector Index | 0.5779% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 296,509 | $ | 94,152,251 | $ | (2,013,636 | ) | ||||||||||||||||||
Total return of Energy Select Sector Index | 0.5679% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 248,438 | 78,323,241 | (3,568,924 | ) | ||||||||||||||||||||
Total return of Energy Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 208,122 | 85,727,549 | (22,020,633 | ) | ||||||||||||||||||||
Total return of Energy Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 7/8/2021 | 273,966 | 103,900,258 | (20,465,571 | ) | ||||||||||||||||||||
Total return of Energy Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | BNP Paribas | 8/18/2021 | 25,200 | 10,112,517 | (2,475,832 | ) | ||||||||||||||||||||
$ | 372,215,816 | $ | (50,544,596 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
44
Direxion Daily Energy Bear 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 42.5% | |||||||||||
Money Market Funds - 42.5% | |||||||||||
6,144,360 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 6,144,360 | ||||||||
8,147,923 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 8,147,923 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,292,283) (b) | $ | 14,292,283 | |||||||||
TOTAL INVESTMENTS (Cost $14,292,283) - 42.5% | $ | 14,292,283 | |||||||||
Other Assets in Excess of Liabilities - 57.5% | 19,333,305 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 33,625,588 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,292,283.
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.2279% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | UBS Securities LLC | 12/9/2020 | 64,936 | $ | 22,427,947 | $ | 2,591,098 | |||||||||||||||||||
0.2979% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | Credit Suisse Capital LLC | 12/10/2020 | 72,942 | 22,008,966 | 62,735 | |||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | BNP Paribas | 6/16/2021 | 31,894 | 12,814,782 | 3,032,768 | |||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | J.P. Morgan | 7/12/2021 | 48,153 | 16,567,829 | 1,928,903 | |||||||||||||||||||||
(0.0508)% representing 1 month LIBOR rate + spread | Total return of Energy Select Sector Index | Bank of America Merrill Lynch | 10/1/2021 | 6,000 | 1,827,534 | 20,111 | |||||||||||||||||||||
$ | 75,647,058 | $ | 7,635,615 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
45
Direxion Daily Gold Miners Index Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 52.7% | |||||||||||
14,512,729 | VanEck VectorsTM Gold Miners ETF (a) | $ | 544,082,210 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $596,706,663) | $ | 544,082,210 | |||||||||
SHORT TERM INVESTMENTS - 20.7% | |||||||||||
Money Market Funds - 20.7% | |||||||||||
83,953,831 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 83,953,831 | ||||||||
129,605,367 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 129,605,367 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $213,559,198) | $ | 213,559,198 | |||||||||
TOTAL INVESTMENTS (Cost $810,265,861) - 73.4% (c) | $ | 757,641,408 | |||||||||
Other Assets in Excess of Liabilities - 26.6% | 274,364,866 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,032,006,274 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $334,768,117.
Long Total Return Swap Contracts
October 31, 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 | 0.7493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 6,547,478 | $ | 172,300,466 | $ | 72,100,959 | |||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.0779% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 6,576,971 | 207,938,954 | 37,669,371 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 0.8079% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/9/2020 | 4,472,085 | 173,310,891 | (5,676,259 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 0.9979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 10,340,963 | 299,370,879 | 86,411,883 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 12/9/2020 | 2,100,790 | 84,152,176 | (5,441,603 | ) | ||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 1.1679% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 10,501,437 | 356,572,053 | 34,993,510 | |||||||||||||||||||||
$ | 1,293,645,419 | $ | 220,057,861 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
46
Direxion Daily Gold Miners Index Bear 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 51.2% | |||||||||||
Money Market Funds - 51.2% | |||||||||||
20,298,428 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 20,298,428 | ||||||||
31,696,552 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 31,696,552 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $51,994,980) (b) | $ | 51,994,980 | |||||||||
TOTAL INVESTMENTS (Cost $51,994,980) - 51.2% | $ | 51,994,980 | |||||||||
Other Assets in Excess of Liabilities - 48.8% | 49,600,248 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 101,595,228 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $51,994,980.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.6991% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Credit Suisse Capital LLC | 12/9/2020 | 2,187,288 | $ | 79,879,757 | $ | (2,116,984 | ) | ||||||||||||||||||
0.5493% 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 | (4,356,287 | ) | ||||||||||||||||||||
0.4979% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | UBS Securities LLC | 12/9/2020 | 1,466,191 | 54,571,039 | (343,135 | ) | ||||||||||||||||||||
0.4879% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | BNP Paribas | 12/9/2020 | 338,481 | 13,417,849 | 736,386 | |||||||||||||||||||||
0.4879% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | BNP Paribas | 12/9/2020 | 400,000 | 14,603,618 | (391,591 | ) | ||||||||||||||||||||
0.3779% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Citibank N.A. | 12/11/2020 | 150,121 | 5,480,774 | (147,140 | ) | ||||||||||||||||||||
0.0979% representing 1 month LIBOR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | J.P. Morgan | 4/16/2021 | 640,963 | 21,524,413 | (2,492,633 | ) | ||||||||||||||||||||
$ | 193,976,422 | $ | (9,111,384 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
47
Direxion Daily Junior Gold Miners Index Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 44.3% | |||||||||||
5,602,465 | VanEck VectorsTM Junior Gold Miners ETF (a) | $ | 298,107,163 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $325,252,419) | $ | 298,107,163 | |||||||||
SHORT TERM INVESTMENTS - 26.5% | |||||||||||
Money Market Funds - 26.5% | |||||||||||
96,353,181 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 96,353,181 | ||||||||
81,888,660 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 81,888,660 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $178,241,841) | $ | 178,241,841 | |||||||||
TOTAL INVESTMENTS (Cost $503,494,260) - 70.8% (c) | $ | 476,349,004 | |||||||||
Other Assets in Excess of Liabilities - 29.2% | 196,530,689 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 672,879,693 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $221,179,597.
Long Total Return Swap Contracts
October 31, 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 Junior Gold Miners ETF | 1.0979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 1,496,252 | $ | 82,860,472 | $ | (3,235,574 | ) | ||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 1.1079% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 2,718,425 | 139,793,222 | 4,543,219 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 0.9579% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 6,603,675 | 254,155,290 | 95,705,284 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 0.9479% representing 1 month LIBOR rate + spread | J.P. Morgan | 2/26/2021 | 2,452,157 | 129,947,385 | 197,480 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 6,415,038 | 257,118,581 | 82,851,267 | |||||||||||||||||||||
$ | 863,874,950 | $ | 180,061,676 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
48
Direxion Daily Junior Gold Miners Index Bear 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 63.8% | |||||||||||
Money Market Funds - 63.8% | |||||||||||
26,889,052 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 26,889,052 | ||||||||
26,408,739 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 26,408,739 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $53,297,791) (b) | $ | 53,297,791 | |||||||||
TOTAL INVESTMENTS (Cost $53,297,791) - 63.8% | $ | 53,297,791 | |||||||||
Other Assets in Excess of Liabilities - 36.2% | 30,271,934 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 83,569,725 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $53,297,791.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.6979 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | Credit Suisse Capital LLC | 12/9/2020 | 982,006 | $ | 52,006,752 | $ | (190,115 | ) | ||||||||||||||||||
0.4279 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | Citibank N.A. | 12/11/2020 | 767,251 | 30,956,960 | (9,787,073 | ) | ||||||||||||||||||||
0.4979 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | UBS Securities LLC | 12/14/2020 | 440,277 | 24,363,534 | 940,720 | |||||||||||||||||||||
0.4879 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 4/21/2021 | 4,505 | 168,527 | (71,199 | ) | ||||||||||||||||||||
0.4879 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 5/19/2021 | 447,121 | 17,476,362 | (6,263,037 | ) | ||||||||||||||||||||
0.4879 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 6/16/2021 | 300,000 | 13,187,043 | (2,749,162 | ) | ||||||||||||||||||||
0.4879 representing 1 month LIBOR rate + spread% | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 10/20/2021 | 200,000 | 10,620,813 | (15,556 | ) | ||||||||||||||||||||
$ | 148,779,991 | $ | (18,135,422 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
49
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 55.3% | |||||||||||
883,522 | Global X Robotics & Artificial Intelligence ETF (a) | $ | 24,482,395 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $20,921,552) | $ | 24,482,395 | |||||||||
SHORT TERM INVESTMENTS - 14.9% | |||||||||||
Money Market Funds - 14.9% | |||||||||||
2,145,843 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 2,145,843 | ||||||||
4,457,726 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 4,457,726 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,603,569) | $ | 6,603,569 | |||||||||
TOTAL INVESTMENTS (Cost $27,525,121) - 70.2% (c) | $ | 31,085,964 | |||||||||
Other Assets in Excess of Liabilities - 29.8% | 13,158,615 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 44,244,579 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $15,220,077.
Long Total Return Swap Contracts
October 31, 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 | 0.6979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 552,090 | $ | 11,397,667 | $ | 3,879,202 | |||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 1,757,807 | 39,030,164 | 9,680,669 | |||||||||||||||||||||
$ | 50,427,831 | $ | 13,559,871 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
50
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 44.5% | |||||||||||
3,756,824 | SPDR® S&P® Oil & Gas Exploration & Production ETF (a) | $ | 152,451,918 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $180,291,031) | $ | 152,451,918 | |||||||||
SHORT TERM INVESTMENTS - 68.6% | |||||||||||
Money Market Funds - 68.6% | |||||||||||
120,252,663 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 120,252,663 | ||||||||
114,533,690 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 114,533,690 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $234,786,353) | $ | 234,786,353 | |||||||||
TOTAL INVESTMENTS (Cost $415,077,384) - 113.1% (c) | $ | 387,238,271 | |||||||||
Liabilities in Excess of Other Assets - (13.1)% | (44,988,525 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 342,249,746 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $345,980,910.
Long Total Return Swap Contracts
October 31, 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 Oil & Gas Exploration & Production Select Industry Index | 0.3493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 42,936 | $ | 71,293,467 | $ | (4,590,532 | ) | ||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 0.6679% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 78,554 | 160,379,504 | (38,050,635 | ) | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 0.3979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 74,236 | 144,912,231 | (28,800,276 | ) | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 0.5879% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 104,819 | 193,558,023 | (30,367,033 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
51
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Long Total Return Swap Contracts, continued
October 31, 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 Oil & Gas Exploration & Production Select Industry Index | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 42,000 | $ | 115,001,460 | $ | (49,451,552 | ) | ||||||||||||||||||
$ | 685,144,685 | $ | (151,260,028 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
52
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 47.0% | |||||||||||
Money Market Funds - 47.0% | |||||||||||
9,512,441 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 9,512,441 | ||||||||
8,823,434 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 8,823,434 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,335,875) (b) | $ | 18,335,875 | |||||||||
TOTAL INVESTMENTS (Cost $18,335,875) - 47.0% | $ | 18,335,875 | |||||||||
Other Assets in Excess of Liabilities - 53.0% | 20,709,959 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 39,045,834 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $18,335,875.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.1493% 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 | 11,859 | $ | 18,263,787 | $ | (153,969 | ) | ||||||||||||||||||
0.2279% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | UBS Securities LLC | 12/9/2020 | 16,672 | 33,119,460 | 7,190,602 | |||||||||||||||||||||
0.2979% 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 | 5,299 | 11,470,085 | 3,178,330 | |||||||||||||||||||||
(0.2521)% representing 1 month LIBOR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | J.P. Morgan | 4/30/2021 | 16,446 | 31,909,751 | 6,174,417 | |||||||||||||||||||||
$ | 94,763,083 | $ | 16,389,380 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
53
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | Direxion Daily CSI China Internet Index Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 22,842,379 | $ | 38,988,709 | $ | 39,779,354 | $ | 35,384,055 | |||||||||||
Cash equivalents | 73,209,127 | 131,608,438 | 58,895,487 | 23,070,941 | |||||||||||||||
Receivable for Fund shares sold | — | 7,448,463 | — | — | |||||||||||||||
Dividend and interest receivable | 1,503 | 5,777 | 27,103 | 10,887 | |||||||||||||||
Due from broker for swap contracts | — | 3,986 | 47,200 | 89,376 | |||||||||||||||
Unrealized appreciation on swap contracts | 482,192 | — | 27,994,686 | 21,866,957 | |||||||||||||||
Prepaid expenses and other assets | 26,629 | 19,156 | 16,855 | 22,131 | |||||||||||||||
Total Assets | 96,561,830 | 178,074,529 | 126,760,685 | 80,444,347 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 2,277,751 | 2,417,231 | — | 64,908 | |||||||||||||||
Due to Adviser, net (Note 6) | 43,057 | 40,514 | 56,441 | 29,786 | |||||||||||||||
Due to broker for swap contracts | — | — | 30,254,000 | 23,701,289 | |||||||||||||||
Accrued expenses and other liabilities | 40,251 | 46,237 | 62,516 | 40,687 | |||||||||||||||
Total Liabilities | 2,361,059 | 2,503,982 | 30,372,957 | 23,836,670 | |||||||||||||||
Net Assets | $ | 94,200,771 | $ | 175,570,547 | $ | 96,387,728 | $ | 56,607,677 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 118,351,166 | $ | 233,582,822 | $ | 94,843,868 | $ | 78,231,800 | |||||||||||
Total distributable earnings (loss) | (24,150,395 | ) | (58,012,275 | ) | 1,543,860 | (21,624,123 | ) | ||||||||||||
Net Assets | $ | 94,200,771 | $ | 175,570,547 | $ | 96,387,728 | $ | 56,607,677 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 94,200,771 | $ | 175,570,547 | $ | 96,387,728 | $ | 56,607,677 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 4,650,000 | 8,249,983 | 2,950,000 | 1,050,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 20.26 | $ | 21.28 | $ | 32.67 | $ | 53.91 | |||||||||||
Cost of Investments | $ | 22,842,379 | $ | 38,988,709 | $ | 39,837,159 | $ | 33,371,197 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
54
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Latin America Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares | Direxion Daily MSCI India Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 17,199,798 | $ | 17,011,400 | $ | 157,035,448 | $ | 51,851,962 | |||||||||||
Cash equivalents | 100,154 | 4,484,199 | 14,801,590 | 36,250,383 | |||||||||||||||
Receivable for Fund shares sold | — | — | 40,445 | 1,987 | |||||||||||||||
Receivable for investments sold | 393,135 | — | — | 2,518,519 | |||||||||||||||
Dividend and interest receivable | 28 | 224 | 3,773 | 3,612 | |||||||||||||||
Due from broker for swap contracts | 13 | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 1,709,134 | 1,282,039 | 11,200,001 | 32,792,475 | |||||||||||||||
Prepaid expenses and other assets | 1,547 | 3,899 | 8,268 | 8,395 | |||||||||||||||
Total Assets | 19,403,809 | 22,781,761 | 183,089,525 | 123,427,333 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | — | 77,719 | — | |||||||||||||||
Payable for investments purchased | 165,575 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 177,936 | 1,123,082 | 6,622,356 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 1,030 | 6,595 | 121,626 | 64,451 | |||||||||||||||
Due to broker for swap contracts | 1,720,933 | 1,424,189 | 15,275,293 | 38,940,000 | |||||||||||||||
Accrued expenses and other liabilities | 14,442 | 19,451 | 139,991 | 76,737 | |||||||||||||||
Total Liabilities | 2,079,916 | 2,573,317 | 22,236,985 | 39,081,188 | |||||||||||||||
Net Assets | $ | 17,323,893 | $ | 20,208,444 | $ | 160,852,540 | $ | 84,346,145 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 12,590,430 | $ | 82,110,613 | $ | 722,655,229 | $ | 79,982,360 | |||||||||||
Total distributable earnings (loss) | 4,733,463 | (61,902,169 | ) | (561,802,689 | ) | 4,363,785 | |||||||||||||
Net Assets | $ | 17,323,893 | $ | 20,208,444 | $ | 160,852,540 | $ | 84,346,145 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 17,323,893 | $ | 20,208,444 | $ | 160,852,540 | $ | 84,346,145 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 283,236 | 490,721 | 2,608,631 | 2,749,686 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 61.16 | $ | 41.18 | $ | 61.66 | $ | 30.67 | |||||||||||
Cost of Investments | $ | 14,227,472 | $ | 16,780,255 | $ | 160,612,781 | $ | 51,944,026 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
55
Statements of Assets and Liabilities
October 31, 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) | $ | 37,482,884 | $ | 270,399,402 | $ | 14,292,283 | $ | 757,641,408 | |||||||||||
Cash equivalents | 10,212,612 | 37,335,327 | 20,110,828 | 267,589,351 | |||||||||||||||
Receivable for Fund shares sold | — | 75,677 | — | 431,328 | |||||||||||||||
Dividend and interest receivable | 519 | 594,447 | 937 | 11,351 | |||||||||||||||
Due from broker for swap contracts | 45,383 | — | 42,258 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 1,652,520 | — | 7,635,615 | 231,175,723 | |||||||||||||||
Prepaid expenses and other assets | 7,028 | 5,818 | 3,234 | 16,854 | |||||||||||||||
Total Assets | 49,400,946 | 308,410,671 | 42,085,155 | 1,256,866,015 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 617,578 | 50,544,596 | — | 11,117,862 | |||||||||||||||
Due to Adviser, net (Note 6) | 32,014 | 171,937 | 17,491 | 683,637 | |||||||||||||||
Due to broker for swap contracts | 2,707,798 | — | 8,411,394 | 212,658,259 | |||||||||||||||
Accrued expenses and other liabilities | 28,562 | 195,850 | 30,682 | 399,983 | |||||||||||||||
Total Liabilities | 3,385,952 | 50,912,383 | 8,459,567 | 224,859,741 | |||||||||||||||
Net Assets | $ | 46,014,994 | $ | 257,498,288 | $ | 33,625,588 | $ | 1,032,006,274 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 132,634,099 | $ | 1,005,825,700 | $ | 139,118,643 | $ | 2,716,305,552 | |||||||||||
Total distributable loss | (86,619,105 | ) | (748,327,412 | ) | (105,493,055 | ) | (1,684,299,278 | ) | |||||||||||
Net Assets | $ | 46,014,994 | $ | 257,498,288 | $ | 33,625,588 | $ | 1,032,006,274 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 46,014,994 | $ | 257,498,288 | $ | 33,625,588 | $ | 1,032,006,274 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 3,468,002 | 30,463,531 | 457,061 | 13,451,908 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 13.27 | $ | 8.45 | $ | 73.57 | $ | 76.72 | |||||||||||
Cost of Investments | $ | 39,869,928 | $ | 317,293,703 | $ | 14,292,283 | $ | 810,265,861 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
56
Statements of Assets and Liabilities
October 31, 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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 51,994,980 | $ | 476,349,004 | $ | 53,297,791 | $ | 31,085,964 | |||||||||||
Cash equivalents | 63,529,883 | 191,039,956 | 54,463,947 | 14,859,090 | |||||||||||||||
Receivable for Fund shares sold | — | 313,666 | 1,055 | — | |||||||||||||||
Dividend and interest receivable | 3,728 | 10,576 | 3,207 | 750 | |||||||||||||||
Due from broker for swap contracts | 12,652 | — | 1,481,719 | 1,323,393 | |||||||||||||||
Unrealized appreciation on swap contracts | 736,386 | 183,297,250 | 940,720 | 13,559,871 | |||||||||||||||
Prepaid expenses and other assets | 15,581 | 8,465 | 6,331 | 502 | |||||||||||||||
Total Assets | 116,293,210 | 851,018,917 | 110,194,770 | 60,829,570 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 3,103,163 | — | 3,515,245 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 9,847,770 | 3,235,574 | 19,076,142 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 80,197 | 467,266 | 63,625 | 28,927 | |||||||||||||||
Due to broker for swap contracts | 1,612,001 | 174,189,002 | 3,930,000 | 16,530,018 | |||||||||||||||
Due to broker for futures contracts | — | — | 284 | — | |||||||||||||||
Accrued expenses and other liabilities | 54,851 | 247,382 | 39,749 | 26,046 | |||||||||||||||
Total Liabilities | 14,697,982 | 178,139,224 | 26,625,045 | 16,584,991 | |||||||||||||||
Net Assets | $ | 101,595,228 | $ | 672,879,693 | $ | 83,569,725 | $ | 44,244,579 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 776,894,597 | $ | 1,963,619,268 | $ | 358,597,885 | $ | 21,352,653 | |||||||||||
Total distributable earnings (loss) | (675,299,369 | ) | (1,290,739,575 | ) | (275,028,160 | ) | 22,891,926 | ||||||||||||
Net Assets | $ | 101,595,228 | $ | 672,879,693 | $ | 83,569,725 | $ | 44,244,579 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 101,595,228 | $ | 672,879,693 | $ | 83,569,725 | $ | 44,244,579 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 5,060,171 | 5,743,351 | 7,132,449 | 264,729 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 20.08 | $ | 117.16 | $ | 11.72 | $ | 167.13 | |||||||||||
Cost of Investments | $ | 51,994,980 | $ | 503,494,260 | $ | 53,297,791 | $ | 27,525,121 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
57
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | ||||||||||
Assets: | |||||||||||
Investments, at fair value (Note 2) | $ | 387,238,271 | $ | 18,335,875 | |||||||
Cash equivalents | 94,373,625 | 25,026,537 | |||||||||
Receivable for Fund shares sold | 175,927 | — | |||||||||
Receivable for investments sold | 12,171,031 | — | |||||||||
Dividend and interest receivable | 53,629 | 1,081 | |||||||||
Unrealized appreciation on swap contracts | — | 16,543,349 | |||||||||
Prepaid expenses and other assets | 2,657 | 3,996 | |||||||||
Total Assets | 494,015,140 | 59,910,838 | |||||||||
Liabilities: | |||||||||||
Payable for Fund shares redeemed | — | 3,560,990 | |||||||||
Unrealized depreciation on swap contracts | 151,260,028 | 153,969 | |||||||||
Due to Adviser, net (Note 6) | 204,777 | 19,883 | |||||||||
Due to broker for swap contracts | 56,750 | 17,100,000 | |||||||||
Accrued expenses and other liabilities | 243,839 | 30,162 | |||||||||
Total Liabilities | 151,765,394 | 20,865,004 | |||||||||
Net Assets | $ | 342,249,746 | $ | 39,045,834 | |||||||
Net Assets Consist of: | |||||||||||
Capital stock | $ | 1,199,254,218 | $ | 48,686,654 | |||||||
Total distributable earnings (loss) | (857,004,472 | ) | (9,640,820 | ) | |||||||
Net Assets | $ | 342,249,746 | $ | 39,045,834 | |||||||
Calculation of Net Asset Value Per Share: | |||||||||||
Net assets | $ | 342,249,746 | $ | 39,045,834 | |||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 17,528,422 | 546,196 | |||||||||
Net assets value, redemption price and offering price per share | $ | 19.53 | $ | 71.49 | |||||||
Cost of Investments | $ | 415,077,384 | $ | 18,335,875 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
58
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | Direxion Daily CSI China Internet Index Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | — | $ | 306,444 | $ | 23,925 | |||||||||||
Interest income | 153,121 | 216,155 | 580,552 | 210,477 | |||||||||||||||
Securities lending income | — | — | 439,266 | 267,148 | |||||||||||||||
Total investment income | 153,121 | 216,155 | 1,326,262 | 501,550 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 135,056 | 368,496 | 827,748 | 412,925 | |||||||||||||||
Licensing fees | 15,110 | 52,643 | 33,149 | 16,517 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Management service fees (Note 6) | 5,725 | 26,630 | 27,997 | 13,983 | |||||||||||||||
Exchange listing fees | 5,216 | 5,217 | 5,251 | 5,231 | |||||||||||||||
Reports to shareholders | 5,033 | 23,709 | 24,900 | 12,415 | |||||||||||||||
Fund servicing fees | 1,367 | 49,883 | 52,594 | 26,725 | |||||||||||||||
Trustees' fees and expenses | 850 | 4,068 | 4,291 | 2,137 | |||||||||||||||
Interest expense | 620 | 1,647 | 68,477 | 30,264 | |||||||||||||||
Insurance fees | 526 | 2,447 | 2,562 | 1,286 | |||||||||||||||
Professional fees | 678 | 41,513 | 35,939 | 22,478 | |||||||||||||||
Other | 3,956 | 13,421 | 21,484 | 9,461 | |||||||||||||||
Total Expenses | 180,154 | 595,691 | 1,110,409 | 559,439 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 541 | 9,907 | 16,924 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (130,155 | ) | (10,374 | ) | (6,137 | ) | ||||||||||||
Net Expenses | 180,695 | 475,443 | 1,116,959 | 553,302 | |||||||||||||||
Net investment income (loss) | (27,574 | ) | (259,288 | ) | 209,303 | (51,752 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | — | — | (2,003,200 | ) | ||||||||||||||
In-kind redemptions | — | — | 1,644,248 | 6,603,207 | |||||||||||||||
Swap contracts | (3,055,894 | ) | (42,822,665 | ) | 20,096,139 | 13,615,742 | |||||||||||||
Net realized gain (loss) | (3,055,894 | ) | (42,822,665 | ) | 21,740,387 | 18,215,749 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | — | 2,349,918 | 2,244,268 | |||||||||||||||
Swap contracts | (1,690,515 | ) | (1,658,148 | ) | 20,178,021 | 16,834,508 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (1,690,515 | ) | (1,658,148 | ) | 22,527,939 | 19,078,776 | |||||||||||||
Net realized and unrealized gain (loss) | (4,746,409 | ) | (44,480,813 | ) | 44,268,326 | 37,294,525 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (4,773,983 | ) | $ | (44,740,101 | ) | $ | 44,477,629 | $ | 37,242,773 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
59
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Latin America Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares | Direxion Daily MSCI India Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 299,466 | $ | 156,313 | $ | 3,509,832 | $ | 122,936 | |||||||||||
Interest income | 4,146 | 45,713 | 1,389,837 | 257,443 | |||||||||||||||
Securities lending income | 592 | 237 | 119,554 | 24,558 | |||||||||||||||
Total investment income | 304,204 | 202,263 | 5,019,223 | 404,937 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 83,000 | 109,336 | 1,823,517 | 577,870 | |||||||||||||||
Professional fees | 14,809 | 12,970 | 57,621 | 24,238 | |||||||||||||||
Licensing fees | 9,960 | 14,578 | 140,318 | 30,820 | |||||||||||||||
Fund servicing fees | 8,710 | 7,743 | 114,837 | 36,828 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,214 | 5,213 | 5,313 | 5,232 | |||||||||||||||
Interest expense | 4,345 | 4,668 | 249,879 | 27,252 | |||||||||||||||
Management service fees (Note 6) | 4,214 | 3,691 | 61,717 | 19,504 | |||||||||||||||
Reports to shareholders | 3,743 | 3,284 | 54,887 | 17,372 | |||||||||||||||
Trustees' fees and expenses | 654 | 564 | 9,468 | 2,989 | |||||||||||||||
Insurance fees | 385 | 323 | 5,642 | 1,789 | |||||||||||||||
Other | 4,241 | 6,168 | 39,502 | 2,319 | |||||||||||||||
Total Expenses | 145,292 | 174,555 | 2,568,718 | 752,230 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 442 | 1,293 | 38,352 | 15,902 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (41,789 | ) | (32,689 | ) | (47,403 | ) | (8,911 | ) | |||||||||||
Net Expenses | 103,945 | 143,159 | 2,559,667 | 759,221 | |||||||||||||||
Net investment income (loss) | 200,259 | 59,104 | 2,459,556 | (354,284 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (451,935 | ) | (2,780,610 | ) | (109,015,285 | ) | (9,025,990 | ) | |||||||||||
In-kind redemptions | 1,482,229 | 335,609 | 34,394,742 | 10,579,348 | |||||||||||||||
Swap contracts | 1,978,185 | (15,584,113 | ) | (498,425,567 | ) | (20,199,473 | ) | ||||||||||||
Net realized gain (loss) | 3,008,479 | (18,029,114 | ) | (573,046,110 | ) | (18,646,115 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 1,667,830 | 254,899 | (11,738,804 | ) | (1,423,442 | ) | |||||||||||||
Swap contracts | 632,068 | (397,669 | ) | (76,222,052 | ) | 26,589,306 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 2,299,898 | (142,770 | ) | (87,960,856 | ) | 25,165,864 | |||||||||||||
Net realized and unrealized gain (loss) | 5,308,377 | (18,171,884 | ) | (661,006,966 | ) | 6,519,749 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,508,636 | $ | (18,112,780 | ) | $ | (658,547,410 | ) | $ | 6,165,465 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
60
Statements of Operations
For the Year Ended October 31, 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 | $ | 10,487,587 | $ | — | $ | 4,724,677 | |||||||||||
Interest income | 360,785 | 736,568 | 207,689 | 5,233,514 | |||||||||||||||
Securities lending income | — | 401 | — | 500 | |||||||||||||||
Total investment income | 978,546 | 11,224,556 | 207,689 | 9,958,691 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 514,710 | 2,226,082 | 229,635 | 8,912,334 | |||||||||||||||
Interest expense | 62,346 | 93,258 | 15,193 | 1,998,711 | |||||||||||||||
Fund servicing fees | 33,107 | 139,280 | 15,388 | 467,124 | |||||||||||||||
Professional fees | 28,609 | 76,755 | 18,952 | 289,249 | |||||||||||||||
Management service fees (Note 6) | 17,406 | 75,183 | 7,793 | 301,383 | |||||||||||||||
Reports to shareholders | 15,492 | 66,971 | 6,904 | 268,149 | |||||||||||||||
Licensing fees | 9,180 | 237,449 | 24,494 | 315,342 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,234 | 5,289 | 5,220 | 7,944 | |||||||||||||||
Trustees' fees and expenses | 2,672 | 11,543 | 1,188 | 46,217 | |||||||||||||||
Insurance fees | 1,601 | 6,890 | 711 | 27,598 | |||||||||||||||
Other | 3,138 | 14,033 | 2,011 | 33,003 | |||||||||||||||
Total Expenses | 699,512 | 2,958,750 | 333,506 | 12,673,071 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 123 | 18,512 | 779 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (123 | ) | (64,300 | ) | (28,222 | ) | — | ||||||||||||
Net Expenses | 699,512 | 2,912,962 | 306,063 | 12,673,071 | |||||||||||||||
Net investment income (loss) | 279,034 | 8,311,594 | (98,374 | ) | (2,714,380 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (10,357,309 | ) | (124,231,664 | ) | — | (275,210,423 | ) | ||||||||||||
In-kind redemptions | 11,122,489 | 27,375,629 | — | 192,488,027 | |||||||||||||||
Swap contracts | (26,680,246 | ) | (305,545,335 | ) | 49,312,193 | 4,044,899 | |||||||||||||
Net realized gain (loss) | (25,915,066 | ) | (402,401,370 | ) | 49,312,193 | (78,677,497 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | (3,484,315 | ) | (37,876,831 | ) | — | (64,151,520 | ) | ||||||||||||
Swap contracts | (10,131,092 | ) | (50,120,016 | ) | 6,174,483 | (178,029,978 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (13,615,407 | ) | (87,996,847 | ) | 6,174,483 | (242,181,498 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (39,530,473 | ) | (490,398,217 | ) | 55,486,676 | (320,858,995 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (39,251,439 | ) | $ | (482,086,623 | ) | $ | 55,388,302 | $ | (323,573,375 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
61
Statements of Operations
For the Year Ended October 31, 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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 850,196 | �� | $ | — | $ | 63,258 | ||||||||||
Interest income | 2,353,557 | 4,630,965 | 953,446 | 80,312 | |||||||||||||||
Securities lending income | — | — | — | 1,003 | |||||||||||||||
Total investment income | 2,353,557 | 5,481,161 | 953,446 | 144,573 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 1,565,101 | 5,875,722 | 759,442 | 230,503 | |||||||||||||||
Fund servicing fees | 91,636 | 298,843 | 48,329 | 15,243 | |||||||||||||||
Licensing fees | 54,345 | 25,481 | 5,426 | 18,440 | |||||||||||||||
Management service fees (Note 6) | 53,027 | 198,635 | 25,687 | 7,784 | |||||||||||||||
Professional fees | 51,443 | 191,608 | 34,471 | 15,514 | |||||||||||||||
Reports to shareholders | 47,129 | 176,792 | 22,846 | 6,923 | |||||||||||||||
Interest expense | 46,662 | 1,150,827 | 21,168 | 25,692 | |||||||||||||||
Exchange listing fees | 9,680 | 6,342 | 5,250 | 5,217 | |||||||||||||||
Trustees' fees and expenses | 8,138 | 30,472 | 3,935 | 1,188 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Insurance fees | 4,841 | 18,184 | 2,371 | 714 | |||||||||||||||
Other | 5,800 | 22,006 | 8,014 | 6,935 | |||||||||||||||
Total Expenses | 1,943,819 | 8,000,929 | 942,956 | 340,170 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 314 | — | — | 1,500 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (314 | ) | — | — | (24,009 | ) | |||||||||||||
Net Expenses | 1,943,819 | 8,000,929 | 942,956 | 317,661 | |||||||||||||||
Net investment income (loss) | 409,738 | (2,519,768 | ) | 10,490 | (173,088 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | (118,077,729 | ) | — | (1,736,986 | ) | |||||||||||||
In-kind redemptions | — | 171,779,469 | — | 1,949,187 | |||||||||||||||
Swap contracts | (205,288,482 | ) | (233,811,377 | ) | (121,795,167 | ) | 13,309,219 | ||||||||||||
Net realized gain (loss) | (205,288,482 | ) | (180,109,637 | ) | (121,795,167 | ) | 13,521,420 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | (32,410,360 | ) | — | 3,333,146 | ||||||||||||||
Swap contracts | 90,379,373 | (131,258,519 | ) | 15,357,893 | 10,036,721 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 90,379,373 | (163,668,879 | ) | 15,357,893 | 13,369,867 | ||||||||||||||
Net realized and unrealized gain (loss) | (114,909,109 | ) | (343,778,516 | ) | (106,437,274 | ) | 26,891,287 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (114,499,371 | ) | $ | (346,298,284 | ) | $ | (106,426,784 | ) | $ | 26,718,199 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
62
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | ||||||||||
Investment Income: | |||||||||||
Dividend income | $ | 3,444,794 | $ | — | |||||||
Interest income | 695,736 | 378,563 | |||||||||
Securities lending income | 62,849 | — | |||||||||
Total investment income | 4,203,379 | 378,563 | |||||||||
Expenses: | |||||||||||
Investment advisory fees (Note 6) | 2,190,193 | 382,046 | |||||||||
Licensing fees | 233,621 | 40,751 | |||||||||
Fund servicing fees | 136,540 | 24,911 | |||||||||
Management service fees (Note 6) | 73,865 | 12,954 | |||||||||
Professional fees | 69,545 | 22,300 | |||||||||
Reports to shareholders | 65,837 | 11,494 | |||||||||
Interest expense | 59,940 | 114,950 | |||||||||
Trustees' fees and expenses | 11,327 | 1,981 | |||||||||
Insurance fees | 6,782 | 1,183 | |||||||||
Pricing fees | 6,017 | 6,017 | |||||||||
Exchange listing fees | 5,263 | 5,228 | |||||||||
Other | 61,184 | 6,773 | |||||||||
Total Expenses | 2,920,114 | 630,588 | |||||||||
Recoupment of expenses to Adviser (Note 6) | 23,734 | 1,314 | |||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (109,664 | ) | (33,028 | ) | |||||||
Net Expenses | 2,834,184 | 598,874 | |||||||||
Net investment income (loss) | 1,369,195 | (220,311 | ) | ||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||
Net realized gain (loss) on: Investment securities | (128,737,445 | ) | — | ||||||||
In-kind redemptions | 25,403,538 | — | |||||||||
Swap contracts | (273,006,642 | ) | 61,409,923 | ||||||||
Net realized gain (loss) | (376,340,549 | ) | 61,409,923 | ||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||
Investment securities | (3,217,975 | ) | — | ||||||||
Swap contracts | (136,485,457 | ) | (4,854,742 | ) | |||||||
Change in net unrealized depreciation | (139,703,432 | ) | (4,854,742 | ) | |||||||
Net realized and unrealized gain (loss) | (516,043,981 | ) | 56,555,181 | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | (514,674,786 | ) | $ | 56,334,870 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
63
Statements of Changes in Net Assets
Direxion Daily CSI 300 China A Share Bear 1X Shares | Direxion Daily S&P 500® Bear 1X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (27,574 | ) | $ | 758,720 | $ | (259,288 | ) | $ | 294,858 | |||||||||
Net realized loss | (3,055,894 | ) | (2,003,774 | ) | (42,822,665 | ) | (1,784,375 | ) | |||||||||||
Change in net unrealized depreciation | (1,690,515 | ) | (7,782,190 | ) | (1,658,148 | ) | (857,071 | ) | |||||||||||
Net decrease in net assets resulting from operations | (4,773,983 | ) | (9,027,244 | ) | (44,740,101 | ) | (2,346,588 | ) | |||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (50,677 | ) | (870,624 | ) | (74,214 | ) | (291,409 | ) | |||||||||||
Return of capital | (44,290 | ) | — | (50,440 | ) | — | |||||||||||||
Total distributions | (94,967 | ) | (870,624 | ) | (124,654 | ) | (291,409 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 104,166,411 | 170,966,098 | 226,514,013 | 23,449,609 | |||||||||||||||
Cost of shares redeemed | (25,716,433 | ) | (256,282,133 | ) | (25,603,766 | ) | (14,666,479 | ) | |||||||||||
Transaction fees (Note 4) | 4,566 | 78,763 | — | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 78,454,544 | (85,237,272 | ) | 200,910,247 | 8,783,130 | ||||||||||||||
Total increase (decrease) in net assets | 73,585,594 | (95,135,140 | ) | 156,045,492 | 6,145,133 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 20,615,177 | 115,750,317 | 19,525,055 | 13,379,922 | |||||||||||||||
End of year | $ | 94,200,771 | $ | 20,615,177 | $ | 175,570,547 | $ | 19,525,055 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 700,000 | 3,000,000 | 749,983 | 449,983 | |||||||||||||||
Shares sold | 4,850,000 | 5,550,000 | 8,600,000 | 800,000 | |||||||||||||||
Shares repurchased | (900,000 | ) | (7,850,000 | ) | (1,100,000 | ) | (500,000 | ) | |||||||||||
Shares outstanding, end of year | 4,650,000 | 700,000 | 8,249,983 | 749,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
64
Statements of Changes in Net Assets
Direxion Daily CSI 300 China A Share Bull 2X Shares | Direxion Daily CSI China Internet Index Bull 2X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 209,303 | $ | 839,148 | $ | (51,752 | ) | $ | 432,985 | ||||||||||
Net realized gain (loss) | 21,740,387 | (2,177,252 | ) | 18,215,749 | (22,876,335 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | — | — | 540,329 | |||||||||||||||
Change in net unrealized appreciation | 22,527,939 | 20,771,644 | 19,078,776 | 24,757,362 | |||||||||||||||
Net increase in net assets resulting from operations | 44,477,629 | 19,433,540 | 37,242,773 | 2,854,341 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (404,988 | ) | (863,144 | ) | (126,584 | ) | (458,946 | ) | |||||||||||
Return of capital | (73,895 | ) | — | (89,169 | ) | — | |||||||||||||
Total distributions | (478,883 | ) | (863,144 | ) | (215,753 | ) | (458,946 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 63,393,945 | 130,836,659 | 34,318,402 | 21,315,859 | |||||||||||||||
Cost of shares redeemed | (138,915,873 | ) | (98,073,203 | ) | (67,963,524 | ) | (20,431,084 | ) | |||||||||||
Transaction fees (Note 4) | 14,112 | 10,712 | 6,934 | 1,739 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (75,507,816 | ) | 32,774,168 | (33,638,188 | ) | 886,514 | |||||||||||||
Total increase (decrease) in net assets | (31,509,070 | ) | 51,344,564 | 3,388,832 | 3,281,909 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 127,896,798 | 76,552,234 | 53,218,845 | 49,936,936 | |||||||||||||||
End of year | $ | 96,387,728 | $ | 127,896,798 | $ | 56,607,677 | $ | 53,218,845 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 5,950,000 | 4,800,000 | 2,200,001 | 2,200,001 | |||||||||||||||
Shares sold | 2,700,000 | 5,900,000 | 1,050,000 | 850,000 | |||||||||||||||
Shares repurchased | (5,700,000 | ) | (4,750,000 | ) | (2,200,000 | ) | (850,000 | ) | |||||||||||
Shares outstanding, end of year | 2,950,000 | 5,950,000 | 1,050,001 | 2,200,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
65
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Latin America Bull 2X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 200,259 | $ | 164,388 | $ | 59,104 | $ | 128,757 | |||||||||||
Net realized gain (loss) | 3,008,479 | 610,664 | (18,029,114 | ) | (301,416 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 2,299,898 | 1,734,641 | (142,770 | ) | (155,135 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,508,636 | 2,509,693 | (18,112,780 | ) | (327,794 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (228,339 | ) | (169,500 | ) | (61,685 | ) | (126,175 | ) | |||||||||||
Return of capital | — | — | (76,394 | ) | — | ||||||||||||||
Total distributions | (228,339 | ) | (169,500 | ) | (138,079 | ) | (126,175 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 9,808,536 | 6,987,262 | 39,614,358 | 44,656,662 | |||||||||||||||
Cost of shares redeemed | (8,627,454 | ) | (4,980,441 | ) | (9,695,166 | ) | (49,190,859 | ) | |||||||||||
Transaction fees (Note 4) | 1,131 | 270 | 3,474 | 12,687 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,182,213 | 2,007,091 | 29,922,666 | (4,521,510 | ) | ||||||||||||||
Total increase (decrease) in net assets | 6,462,510 | 4,347,284 | 11,671,807 | (4,975,479 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 10,861,383 | 6,514,099 | 8,536,637 | 13,512,116 | |||||||||||||||
End of year | $ | 17,323,893 | $ | 10,861,383 | $ | 20,208,444 | $ | 8,536,637 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 183,236 | 133,236 | 20,955 | 28,455 | |||||||||||||||
Shares sold | 250,000 | 150,000 | 542,500 | 105,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (100,000 | ) | (72,734 | ) | (112,500 | ) | |||||||||||
Shares outstanding, end of year | 283,236 | 183,236 | 490,721 | 20,955 |
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 ANNUAL REPORT
66
Statements of Changes in Net Assets
Direxion Daily MSCI Brazil Bull 2X Shares1 | Direxion Daily MSCI India Bull 2X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 2,459,556 | $ | 4,230,081 | $ | (354,284 | ) | $ | 777,781 | ||||||||||
Net realized gain (loss) | (573,046,110 | ) | 256,953,554 | (18,646,115 | ) | 23,087,941 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (87,960,856 | ) | (96,092,378 | ) | 25,165,864 | 13,958,124 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (658,547,410 | ) | 165,091,257 | 6,165,465 | 37,823,846 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (2,459,555 | ) | (4,444,723 | ) | (15,893 | ) | (664,437 | ) | |||||||||||
Return of capital | (604,582 | ) | — | (778 | ) | — | |||||||||||||
Total distributions | (3,064,137 | ) | (4,444,723 | ) | (16,671 | ) | (664,437 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 747,424,198 | 849,940,786 | 78,866,820 | 50,711,005 | |||||||||||||||
Cost of shares redeemed | (338,213,399 | ) | (1,004,883,228 | ) | (84,098,374 | ) | (104,921,438 | ) | |||||||||||
Transaction fees (Note 4) | 68,075 | 212,663 | 31,039 | 21,931 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 409,278,874 | (154,729,779 | ) | (5,200,515 | ) | (54,188,502 | ) | ||||||||||||
Total increase (decrease) in net assets | (252,332,673 | ) | 5,916,755 | 948,279 | (17,029,093 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 413,185,213 | 407,268,458 | 83,397,866 | 100,426,959 | |||||||||||||||
End of year | $ | 160,852,540 | $ | 413,185,213 | $ | 84,346,145 | $ | 83,397,866 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 370,107 | 395,821 | 1,249,686 | 1,949,686 | |||||||||||||||
Shares sold | 3,448,571 | 884,286 | 4,000,000 | 850,000 | |||||||||||||||
Shares repurchased | (1,210,047 | ) | (910,000 | ) | (2,500,000 | ) | (1,550,000 | ) | |||||||||||
Shares outstanding, end of year | 2,608,631 | 370,107 | 2,749,686 | 1,249,686 |
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 ANNUAL REPORT
67
Statements of Changes in Net Assets
Direxion Daily Russia Bull 2X Shares | Direxion Daily Energy Bull 2X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 279,034 | $ | 3,181,482 | $ | 8,311,594 | $ | 5,350,146 | |||||||||||
Net realized gain (loss) | (25,915,066 | ) | 39,086,034 | (402,401,370 | ) | (167,891,220 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (13,615,407 | ) | 11,241,642 | (87,996,847 | ) | 29,039,959 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (39,251,439 | ) | 53,509,158 | (482,086,623 | ) | (133,501,115 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (621,437 | ) | (2,965,266 | ) | (8,061,166 | ) | (5,278,075 | ) | |||||||||||
Return of capital | (33,321 | ) | — | — | — | ||||||||||||||
Total distributions | (654,758 | ) | (2,965,266 | ) | (8,061,166 | ) | (5,278,075 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 93,161,537 | 42,361,478 | 656,982,160 | 302,159,263 | |||||||||||||||
Cost of shares redeemed | (83,911,698 | ) | (163,713,000 | ) | (194,547,068 | ) | (227,984,452 | ) | |||||||||||
Transaction fees (Note 4) | 28,920 | 32,946 | 111,843 | 48,477 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 9,278,759 | (121,318,576 | ) | 462,546,935 | 74,223,288 | ||||||||||||||
Total decrease in net assets | (30,627,438 | ) | (70,774,684 | ) | (27,600,854 | ) | (64,555,902 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 76,642,432 | 147,417,116 | 285,099,142 | 349,655,044 | |||||||||||||||
End of year | $ | 46,014,994 | $ | 76,642,432 | $ | 257,498,288 | $ | 285,099,142 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 1,418,002 | 4,018,002 | 1,985,002 | 1,380,002 | |||||||||||||||
Shares sold | 5,550,000 | 1,150,000 | 37,895,000 | 1,725,000 | |||||||||||||||
Shares repurchased | (3,500,000 | ) | (3,750,000 | ) | (9,416,471 | ) | (1,120,000 | ) | |||||||||||
Shares outstanding, end of year | 3,468,002 | 1,418,002 | 30,463,531 | 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 ANNUAL REPORT
68
Statements of Changes in Net Assets
Direxion Daily Energy Bear 2X Shares | Direxion Daily Gold Miners Index Bull 2X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (98,374 | ) | $ | 338,237 | $ | (2,714,380 | ) | $ | 4,793,627 | |||||||||
Net realized gain (loss) | 49,312,193 | 20,833,158 | (78,677,497 | ) | 635,204,986 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 6,174,483 | (13,928,702 | ) | (242,181,498 | ) | 668,519,482 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 55,388,302 | 7,242,693 | (323,573,375 | ) | 1,308,518,095 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (54,239 | ) | (359,503 | ) | (3,749,143 | ) | (4,794,202 | ) | |||||||||||
Return of capital | (30,169 | ) | — | (3,384,907 | ) | (1,788,771 | ) | ||||||||||||
Total distributions | (84,408 | ) | (359,503 | ) | (7,134,050 | ) | (6,582,973 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 173,582,980 | 149,492,475 | 1,944,792,718 | 1,453,301,357 | |||||||||||||||
Cost of shares redeemed | (221,448,859 | ) | (182,683,349 | ) | (2,125,276,430 | ) | (2,345,204,362 | ) | |||||||||||
Transaction fees (Note 4) | 524,611 | 55,409 | 1,650,138 | 493,789 | |||||||||||||||
Net decrease in net assets resulting from capital transactions | (47,341,268 | ) | (33,135,465 | ) | (178,833,574 | ) | (891,409,216 | ) | |||||||||||
Total increase (decrease) in net assets | 7,962,626 | (26,252,275 | ) | (509,540,999 | ) | 410,525,906 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 25,662,962 | 51,915,237 | 1,541,547,273 | 1,131,021,367 | |||||||||||||||
End of year | $ | 33,625,588 | $ | 25,662,962 | $ | 1,032,006,274 | $ | 1,541,547,273 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 507,061 | 1,157,061 | 9,747,165 | 17,037,165 | |||||||||||||||
Shares sold | 2,500,000 | 3,000,000 | 25,080,000 | 12,870,000 | |||||||||||||||
Shares repurchased | (2,550,000 | ) | (3,650,000 | ) | (21,375,257 | ) | (20,160,000 | ) | |||||||||||
Shares outstanding, end of year | 457,061 | 507,061 | 13,451,908 | 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 ANNUAL REPORT
69
Statements of Changes in Net Assets
Direxion Daily Gold Miners Index Bear 2X Shares1 | Direxion Daily Junior Gold Miners Index Bull 2X Shares2 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 409,738 | $ | 3,292,384 | $ | (2,519,768 | ) | $ | 4,839,198 | ||||||||||
Net realized gain (loss) | (205,288,482 | ) | (98,159,625 | ) | (180,109,637 | ) | 118,018,925 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 90,379,373 | (141,822,059 | ) | (163,668,879 | ) | 577,930,110 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (114,499,371 | ) | (236,689,300 | ) | (346,298,284 | ) | 700,788,233 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (897,333 | ) | (2,899,040 | ) | (833,823 | ) | (5,035,748 | ) | |||||||||||
Return of capital | (606,649 | ) | — | (199,395 | ) | (475,303 | ) | ||||||||||||
Total distributions | (1,503,982 | ) | (2,899,040 | ) | (1,033,218 | ) | (5,511,051 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 919,384,135 | 1,242,075,220 | 1,367,685,270 | 1,060,132,994 | |||||||||||||||
Cost of shares redeemed | (1,081,791,973 | ) | (778,801,391 | ) | (1,297,369,468 | ) | (1,442,792,123 | ) | |||||||||||
Transaction fees (Note 4) | 1,332,590 | 235,330 | 1,164,490 | 311,826 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (161,075,248 | ) | 463,509,159 | 71,480,292 | (382,347,303 | ) | |||||||||||||
Total increase (decrease) in net assets | (277,078,601 | ) | 223,920,819 | (275,851,210 | ) | 312,929,879 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 378,673,829 | 154,753,010 | 948,730,903 | 635,801,024 | |||||||||||||||
End of year | $ | 101,595,228 | $ | 378,673,829 | $ | 672,879,693 | $ | 948,730,903 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 2,230,748 | 176,748 | 1,364,876 | 1,778,138 | |||||||||||||||
Shares sold | 25,660,000 | 4,306,000 | 13,445,000 | 2,156,000 | |||||||||||||||
Shares repurchased | (22,830,577 | ) | (2,252,000 | ) | (9,066,525 | ) | (2,569,262 | ) | |||||||||||
Shares outstanding, end of year | 5,060,171 | 2,230,748 | 5,743,351 | 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 ANNUAL REPORT
70
Statements of Changes in Net Assets
Direxion Daily Junior Gold Miners Index Bear 2X Shares1 | Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares2 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 10,490 | $ | 1,266,255 | $ | (173,088 | ) | $ | 113,590 | ||||||||||
Net realized gain (loss) | (121,795,167 | ) | (46,481,483 | ) | 13,521,420 | (2,562,686 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 15,357,893 | (48,164,255 | ) | 13,369,867 | 4,811,741 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (106,426,784 | ) | (93,379,483 | ) | 26,718,199 | 2,362,645 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (352,328 | ) | (1,163,840 | ) | (24,752 | ) | (113,962 | ) | |||||||||||
Return of capital | (223,740 | ) | — | — | (790 | ) | |||||||||||||
Total distributions | (576,068 | ) | (1,163,840 | ) | (24,752 | ) | (114,752 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 702,125,739 | 657,490,189 | 15,635,159 | 34,985,576 | |||||||||||||||
Cost of shares redeemed | (661,185,760 | ) | (474,485,478 | ) | (18,556,913 | ) | (20,892,525 | ) | |||||||||||
Transaction fees (Note 4) | 1,403,455 | 143,801 | 4,734 | 4,683 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 42,343,434 | 183,148,512 | (2,917,020 | ) | 14,097,734 | ||||||||||||||
Total increase (decrease) in net assets | (64,659,418 | ) | 88,605,189 | 23,776,427 | 16,345,627 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 148,229,143 | 59,623,954 | 20,468,152 | 4,122,525 | |||||||||||||||
End of year | $ | 83,569,725 | $ | 148,229,143 | $ | 44,244,579 | $ | 20,468,152 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 441,509 | 31,509 | 180,000 | 35,000 | |||||||||||||||
Shares sold | 25,956,000 | 1,118,000 | 210,000 | 330,000 | |||||||||||||||
Shares repurchased | (19,265,060 | ) | (708,000 | ) | (125,271 | ) | (185,000 | ) | |||||||||||
Shares outstanding, end of year | 7,132,449 | 441,509 | 264,729 | 180,000 |
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 ANNUAL REPORT
71
Statements of Changes in Net Assets
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares1 | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares2, 3 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,369,195 | $ | 2,127,020 | $ | (220,311 | ) | $ | 343,856 | ||||||||||
Net realized gain (loss) | (376,340,549 | ) | (308,986,613 | ) | 61,409,923 | 39,293,317 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (139,703,432 | ) | (36,472,947 | ) | (4,854,742 | ) | 5,048,181 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (514,674,786 | ) | (343,332,540 | ) | 56,334,870 | 44,685,354 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (563,199 | ) | (2,084,795 | ) | (26,156 | ) | (419,941 | ) | |||||||||||
Total distributions | (563,199 | ) | (2,084,795 | ) | (26,156 | ) | (419,941 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,062,005,865 | �� | 805,131,458 | 452,764,929 | 427,638,686 | ||||||||||||||
Cost of shares redeemed | (398,504,921 | ) | (422,723,234 | ) | (506,649,204 | ) | (478,507,159 | ) | |||||||||||
Transaction fees (Note 4) | 253,383 | 87,718 | 615,686 | 143,549 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 663,754,327 | 382,495,942 | (53,268,589 | ) | (50,724,924 | ) | |||||||||||||
Total increase (decrease) in net assets | 148,516,342 | 37,078,607 | 3,040,125 | (6,459,511 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 193,733,404 | 156,654,797 | 36,005,709 | 42,465,220 | |||||||||||||||
End of year | $ | 342,249,746 | $ | 193,733,404 | $ | 39,045,834 | $ | 36,005,709 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 179,149 | 17,899 | 486,956 | 1,171,153 | |||||||||||||||
Shares sold | 24,977,500 | 321,375 | 5,430,000 | 7,920,000 | |||||||||||||||
Shares repurchased | (7,628,227 | ) | (160,125 | ) | (5,370,760 | ) | (8,604,197 | ) | |||||||||||
Shares outstanding, end of year | 17,528,422 | 179,149 | 546,196 | 486,956 |
1 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.
2 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.
3 Effective August 28, 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 ANNUAL REPORT
72
Financial Highlights
October 31, 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 Year Ended October 31, 2020 | $ | 29.45 | $ | (0.03 | ) | $ | (0.03 | ) | $ | (9.06 | ) | $ | (9.09 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | (0.10 | ) | $ | 20.26 | -30.98 | % | $ | 94,201 | 0.80 | % | 0.80 | % | (0.12 | )% | 0.80 | % | 0.80 | % | (0.12 | )% | 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 | 0.88 | % | 0.87 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 26.03 | (0.06 | ) | (0.05 | ) | (4.60 | ) | (4.66 | ) | (0.05 | ) | — | (0.04 | ) | (0.09 | ) | $ | 21.28 | -17.95 | % | $ | 175,571 | 0.45 | % | 0.56 | % | (0.24 | )% | 0.45 | % | 0.56 | % | (0.24 | )% | 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 CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 21.50 | 0.05 | 0.06 | 11.21 | 11.26 | (0.08 | ) | — | (0.01 | ) | (0.09 | ) | $ | 32.67 | 52.60 | % | $ | 96,388 | 1.01 | % | 1.00 | % | 0.19 | % | 0.95 | % | 0.94 | % | 0.25 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 24.19 | (0.03 | ) | (0.01 | ) | 29.85 | 29.82 | (0.06 | ) | — | (0.04 | ) | (0.10 | ) | $ | 53.91 | 123.61 | % | $ | 56,608 | 1.00 | % | 1.01 | % | (0.09 | )% | 0.95 | % | 0.96 | % | (0.04 | )% | 40 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 59.28 | 0.69 | 0.70 | 2.15 | 2.84 | (0.75 | ) | (0.21 | ) | — | (0.96 | ) | $ | 61.16 | 4.75 | % | $ | 17,324 | 0.63 | % | 0.88 | % | 1.20 | % | 0.60 | % | 0.85 | % | 1.23 | % | 105 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 407.40 | 0.25 | 0.27 | (365.75 | ) | (365.50 | ) | (0.32 | ) | — | (0.40 | ) | (0.72 | ) | $ | 41.18 | -89.83 | % | $ | 20,208 | 0.98 | % | 1.20 | % | 0.41 | % | 0.95 | % | 1.17 | % | 0.44 | % | 71 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 1,116.50 | 1.54 | 1.69 | (1,049.80 | ) | (1,048.26 | ) | (5.28 | ) | — | (1.30 | ) | (6.58 | ) | $ | 61.66 | -94.40 | % | $ | 160,853 | 1.05 | % | 1.05 | % | 1.01 | % | 0.95 | % | 0.95 | % | 1.11 | % | 232 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
73
Financial Highlights
October 31, 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 MSCI India Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 66.74 | $ | (0.14 | ) | $ | (0.13 | ) | $ | (35.92 | ) | $ | (36.06 | ) | $ | (0.01 | ) | $ | — | $ | (0.00 | )10 | $ | (0.01 | ) | $ | 30.67 | -54.04 | % | $ | 84,346 | 0.99 | % | 0.98 | % | (0.46 | )% | 0.95 | % | 0.94 | % | (0.42 | )% | 157 | % | ||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 54.05 | 0.09 | 0.10 | (40.74 | ) | (40.65 | ) | (0.12 | ) | — | (0.01 | ) | (0.13 | ) | $ | 13.27 | -75.17 | % | $ | 46,015 | 1.02 | % | 1.02 | % | 0.41 | % | 0.93 | % | 0.93 | % | 0.50 | % | 207 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 143.60 | 0.52 | 0.53 | (134.67 | ) | (134.15 | ) | (1.00 | ) | — | — | (1.00 | ) | $ | 8.45 | -93.97 | % | $ | 257,498 | 0.98 | % | 1.00 | % | 2.80 | % | 0.95 | % | 0.97 | % | 2.83 | % | 72 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 50.61 | (0.19 | ) | (0.16 | ) | 23.38 | 23.19 | (0.15 | ) | — | (0.08 | ) | (0.23 | ) | $ | 73.57 | 45.80 | % | $ | 33,626 | 1.00 | % | 1.09 | % | (0.32 | )% | 0.95 | % | 1.04 | % | (0.27 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 158.15 | (0.22 | ) | (0.06 | ) | (80.50 | ) | (80.72 | ) | (0.37 | ) | — | (0.34 | ) | (0.71 | ) | $ | 76.72 | -51.26 | % | $ | 1,032,006 | 1.07 | % | 1.07 | % | (0.23 | )% | 0.90 | % | 0.90 | % | (0.06 | )% | 333 | % | ||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 169.75 | 0.10 | 0.11 | (148.72 | ) | (148.62 | ) | (0.63 | ) | — | (0.42 | ) | (1.05 | ) | $ | 20.08 | -88.01 | % | $ | 101,595 | 0.93 | % | 0.93 | % | 0.20 | % | 0.91 | % | 0.91 | % | 0.22 | % | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 695.10 | (0.55 | ) | (0.30 | ) | (577.27 | ) | (577.82 | ) | (0.10 | ) | — | (0.02 | ) | (0.12 | ) | $ | 117.16 | -83.11 | % | $ | 672,880 | 1.02 | % | 1.02 | % | (0.32 | )% | 0.87 | % | 0.87 | % | (0.17 | )% | 312 | % | ||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 335.75 | 0.0010 | 0.01 | (322.21 | ) | (322.21 | ) | (1.11 | ) | — | (0.71 | ) | (1.82 | ) | $ | 11.72 | -96.42 | % | $ | 83,570 | 0.93 | % | 0.93 | % | 0.01 | % | 0.91 | % | 0.91 | % | 0.03 | % | 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 | % | 1.44 | % | 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 | 17.70 | % | $ | 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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
74
Financial Highlights
October 31, 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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 113.70 | $ | (0.69 | ) | $ | (0.59 | ) | $ | 54.27 | $ | 53.58 | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | 167.13 | 47.15 | % | $ | 44,245 | 1.03 | % | 1.10 | % | (0.56 | )% | 0.95 | % | 1.02 | % | (0.48 | )% | 93 | % | |||||||||||||||||||||||||||||||||||||
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, 20188 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 Oil & Gas Exp. & Prod. Bull 2X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 1,081.60 | 0.18 | 0.19 | (1,059.32 | ) | (1,059.14 | ) | (2.93 | ) | — | — | (2.93 | ) | $ | 19.53 | -98.19 | % | $ | 342,250 | 0.97 | % | 1.00 | % | 0.47 | % | 0.95 | % | 0.98 | % | 0.49 | % | 315 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 8,752.00 | 24.00 | 27.60 | (7,671.20 | ) | (7,647.20 | ) | (23.20 | ) | — | — | (23.20 | ) | $ | 1,081.60 | -87.55 | % | $ | 193,733 | 1.09 | % | 1.10 | % | 0.95 | % | 0.95 | % | 0.96 | % | 1.09 | % | 257 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 9,772.00 | 24.00 | 36.00 | (1,040.00 | ) | (1,016.00 | ) | (4.00 | ) | — | — | (4.00 | ) | $ | 8,752.00 | -10.42 | % | $ | 156,655 | 1.04 | % | 1.05 | % | 0.21 | % | 0.95 | % | 0.96 | % | 0.30 | % | 119 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 13,812.00 | (24.00 | ) | (16.00 | ) | (3,352.00 | ) | (3,376.00 | ) | — | (664.00 | ) | — | (664.00 | ) | $ | 9,772.00 | -27.03 | % | $ | 129,723 | 1.02 | % | 1.04 | % | (0.24 | )% | 0.95 | % | 0.97 | % | (0.17 | )% | 350 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 26,980.00 | (104.00 | ) | (100.00 | ) | (13,064.00 | ) | (13,168.00 | ) | — | — | — | — | $ | 13,812.00 | -48.81 | % | $ | 59,024 | 0.98 | % | 1.06 | % | (0.77 | )% | 0.95 | % | 1.03 | % | (0.74 | )% | 76 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares14,19 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 73.94 | (0.30 | ) | (0.14 | ) | (2.12 | ) | (2.42 | ) | (0.03 | ) | — | — | (0.03 | ) | $ | 71.49 | -3.26 | % | $ | 39,046 | 1.18 | % | 1.24 | % | (0.44 | )% | 0.95 | % | 1.01 | % | (0.21 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 36.25 | 0.44 | 0.67 | 37.92 | 38.36 | (0.67 | ) | — | — | (0.67 | ) | $ | 73.94 | 106.33 | % | $ | 36,006 | 1.40 | % | 1.46 | % | 0.88 | % | 0.95 | % | 1.01 | % | 1.33 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 68.58 | 0.25 | 0.25 | (32.42 | ) | (32.17 | ) | (0.16 | ) | — | — | (0.16 | ) | $ | 36.25 | -46.86 | % | $ | 42,465 | 0.99 | % | 1.02 | % | 0.77 | % | 0.95 | % | 0.98 | % | 0.81 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 104.00 | (0.29 | ) | (0.21 | ) | (35.13 | ) | (35.42 | ) | — | — | — | — | $ | 68.58 | -34.05 | % | $ | 30,119 | 1.05 | % | 1.18 | % | (0.38 | )% | 0.95 | % | 1.08 | % | (0.28 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 295.67 | (1.08 | ) | (1.08 | ) | (190.59 | ) | (191.67 | ) | — | — | — | — | $ | 104.00 | -64.83 | % | $ | 26,950 | 0.96 | % | 1.12 | % | (0.75 | )% | 0.95 | % | 1.11 | % | (0.74 | )% | 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 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.
12 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.
13 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.
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.
19 Effective August 28, 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 ANNUAL REPORT
75
Direxion Shares ETF Trust
Notes to the Financial Statements
October 31, 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 70 separate series (each, a "Fund" and together the "Funds"). 18 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 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 Latin America Bull 2X Shares2 | |||||||
Direxion Daily MSCI Brazil Bull 2X Shares1 | |||||||
Direxion Daily MSCI India Bull 2X Shares2 | |||||||
Direxion Daily Russia Bull 2X Shares1 | |||||||
Direxion Daily Energy Bull 2X Shares1 | Direxion Daily Energy Bear 2X Shares1 | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares1 | Direxion Daily Gold Miners Index Bear 2X Shares1 | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares1 | Direxion Daily Junior Gold Miners Index Bear 2X Shares1 | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares2 | |||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares1 | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares1 |
1 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%.
2 Effective October 31, 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 October 31, 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.
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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 CSI 300 China A Share Bull 2X Shares | CSI 300 Index | 200 | % | ||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | CSI Overseas China Internet Index | 200 | % | ||||||||
Direxion Daily S&P 500® Bull 2X Shares | S&P 500® Index | 200 | % | ||||||||
Direxion Daily Latin America Bull 2X Shares | S&P Latin America 40 Index | 200 | % | ||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | MSCI Brazil 25/50 Index | 200 | % | ||||||||
Direxion Daily MSCI India Bull 2X Shares | MSCI India 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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | Indxx Global Robotics and Artificial Intelligence Thematic 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 October 31, 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. 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.
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c) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivative contracts and related cash collateral on the Statements of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. Each Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Funds' custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps".
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their investment objectives.
Accounting Standards Update No. 2013-01, "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope recognize derivative instruments accounted for under ASC 815, Derivatives and Hedging, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement of similar agreement.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
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
DIREXION ANNUAL REPORT
78
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 October 31, 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 October 31, 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 | $ | — | $ | — | $ | — | $ | — | $ | 478,553 | $ | — | $ | 478,5531 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 10,330,068 | — | 10,330,0681 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | — | — | — | — | 347,745 | — | 347,7451 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 20,111 | — | — | 20,111 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 72,100,959 | — | 68,330,000 | 3,770,959 | — | — | — | — |
DIREXION ANNUAL REPORT
79
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 Bear 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 4,356,287 | $ | — | $ | 4,356,2871 | $ | — | |||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 4,590,532 | — | 4,590,5321 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — | 153,969 | — | 153,9691 | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: BNP Paribas
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 440,136 | $ | 440,136 | $ | — | $ | — | $ | 1,691,505 | $ | 440,136 | $ | 1,251,3691 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 13,712,688 | — | 13,712,6881 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 6,023,844 | — | 6,023,8441 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 1,282,039 | — | 1,282,0391 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 9,277,216 | — | 9,277,2161 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 14,732,685 | — | 14,732,6851 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 1,466,801 | 30,803 | 1,435,9981 | — | 30,803 | 30,803 | — | — |
DIREXION ANNUAL REPORT
80
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 | $ | — | $ | — | $ | — | $ | — | $ | 24,496,465 | $ | — | $ | 24,496,4651 | $ | — | |||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 3,032,768 | — | 3,032,7681 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | — | — | — | 5,441,603 | — | 5,441,6031 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 736,386 | 391,591 | 344,7951 | — | 391,591 | 391,591 | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 82,851,267 | — | 79,140,000 | 3,711,267 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 9,098,954 | — | 9,098,9541 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 49,451,552 | — | 49,451,5521 | — |
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 | $ | — | $ | — | $ | — | $ | — | $ | 107,693 | $ | — | $ | 107,6931 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 3,092,229 | — | 3,092,2291 | — | — | — | — | — |
DIREXION ANNUAL REPORT
81
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 China Internet Index Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 64,908 | $ | — | $ | 64,9081 | $ | — | |||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | — | — | — | 5,676,259 | — | 5,676,2591 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 147,140 | — | 147,1401 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 95,705,284 | — | 91,889,001 | 3,816,283 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 9,787,073 | — | 9,787,0731 | — |
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 | $ | 42,056 | $ | — | $ | — | $ | 42,056 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | — | — | 2,417,231 | — | 2,417,2311 | — | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 859,701 | — | 859,7011 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 1,709,134 | — | 1,709,1341 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | — | — | — | — | 761,150 | — | 761,1501 | — |
DIREXION ANNUAL REPORT
82
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 Brazil Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 6,622,356 | $ | — | $ | 6,622,3561 | $ | — | |||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 185,719 | — | 185,7191 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | — | — | — | 3,568,924 | — | 3,568,9241 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 62,735 | — | 62,7351 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 34,993,510 | — | 29,350,000 | 5,643,510 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 2,116,984 | — | 2,116,9841 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 4,543,219 | — | 3,160,000 | 1,383,219 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 190,115 | — | 190,1151 | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 9,680,669 | — | 9,680,6691 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 30,367,033 | — | 30,367,0331 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 3,178,330 | — | 3,178,3301 | — | — | — | — | — |
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 ANNUAL REPORT
83
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 Latin America Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 361,932 | $ | — | $ | 361,9321 | $ | — | |||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 5,950 | — | 5,9501 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | — | — | — | 20,465,571 | — | 20,465,5711 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 1,928,903 | — | 1,928,9031 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Bull 2X Shares | 86,411,883 | — | 80,847,855 | 5,564,028 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 2,492,633 | — | 2,492,6331 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 197,480 | — | — | 197,480 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 28,800,276 | — | 28,800,2761 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 6,174,417 | — | 6,130,000 | 44,417 | — | — | — | — |
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 ANNUAL REPORT
84
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 CSI China Internet Index Bull 2X Shares | $ | 15,843,113 | $ | — | $ | 15,843,1131 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | — | — | — | 177,936 | — | 177,9361 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 1,922,785 | — | 1,922,7851 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 18,053,840 | — | 18,053,8401 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | — | — | — | — | 239,030 | — | 239,0301 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | — | — | — | 2,013,636 | — | 2,013,6361 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 2,591,098 | — | 2,591,0981 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 37,669,371 | — | 34,130,000 | 3,539,371 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 343,135 | — | 343,1351 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | — | — | — | — | 3,235,574 | — | 3,235,5741 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 940,720 | — | 940,7201 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 3,879,202 | — | 3,879,2021 | — | — | — | — | — |
DIREXION ANNUAL REPORT
85
Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 38,050,635 | $ | — | $ | 38,050,6351 | $ | — | |||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 7,190,602 | — | 7,140,000 | 50,602 | — | — | — | — |
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 contracts and short positions. The Funds were not invested in any type of futures or options contracts during the period ended October 31, 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.
DIREXION ANNUAL REPORT
86
h) Securities Lending — Each Fund may lend up to 33 1/3% 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 October 31, 2020, no securities were on loan. Income earned by the Funds from securities lending during the year ended October 31, 2020 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.
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 period ended October 31, 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.
DIREXION ANNUAL REPORT
87
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended October 31, 2020 and 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.
Year Ended October 31, 2020 | Year 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 | $ | 50,677 | $ | — | $ | 44,290 | $ | 870,624 | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 74,214 | — | 50,440 | 291,409 | — | — | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 404,988 | — | 73,895 | 863,144 | — | — | |||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 126,584 | — | 89,169 | 458,946 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 228,339 | — | — | 169,500 | — | — | |||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 61,685 | — | 76,394 | 126,175 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 2,459,555 | — | 604,582 | 4,444,723 | — | — | |||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 15,893 | — | 778 | 664,437 | — | — | |||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 621,437 | — | 33,321 | 2,965,266 | — | — | |||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 8,061,166 | — | — | 5,278,075 | — | — | |||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 54,239 | — | 30,169 | 359,503 | — | — | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 3,749,143 | — | 3,384,907 | 4,794,202 | — | 1,788,771 | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 897,333 | — | 606,649 | 2,899,040 | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 833,823 | — | 199,395 | 5,035,748 | — | 475,303 | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 352,328 | — | 223,740 | 1,163,840 | — | — | |||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 24,752 | — | — | 113,962 | — | 790 | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 563,199 | — | — | 2,084,795 | — | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 26,156 | — | — | 419,941 | — | — |
At October 31, 2020, 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 | $ | (4,019,627 | ) | $ | — | $ | — | $ | (20,130,768 | ) | $ | (24,150,395 | ) | ||||||||||
Direxion Daily S&P 500® Bear 1X Shares | (30,546,089 | ) | — | — | (27,466,186 | ) | (58,012,275 | ) | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 11,767,948 | — | — | (10,224,088 | ) | 1,543,860 | |||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 19,273,473 | — | — | (40,897,596 | ) | (21,624,123 | ) | ||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 3,179,653 | 1,553,810 | — | — | 4,733,463 |
DIREXION ANNUAL REPORT
88
Funds | Net Unrealized Appreciation (Depreciation) | Undistributed Ordinary Income (Loss) | Undistributed Capital Gain (Loss) | Other Accumulated Earnings (Losses)1 | Total Accumulated Earnings (Losses) | ||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | $ | (16,099,446 | ) | $ | — | $ | — | $ | (45,802,723 | ) | $ | (61,902,169 | ) | ||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | (153,836,144 | ) | — | — | (407,966,545 | ) | (561,802,689 | ) | |||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 14,443,437 | — | — | (10,079,652 | ) | 4,363,785 | |||||||||||||||||
Direxion Daily Russia Bull 2X Shares | (19,428,148 | ) | — | — | (67,190,957 | ) | (86,619,105 | ) | |||||||||||||||
Direxion Daily Energy Bull 2X Shares | (345,943,758 | ) | 320,853 | — | (402,704,507 | ) | (748,327,412 | ) | |||||||||||||||
Direxion Daily Energy Bear 2X Shares | (3,268,855 | ) | — | — | (102,224,200 | ) | (105,493,055 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | (90,845,952 | ) | — | — | (1,593,453,326 | ) | (1,684,299,278 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | (61,192,430 | ) | — | — | (614,106,939 | ) | (675,299,369 | ) | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 10,824,694 | — | — | (1,301,564,269 | ) | (1,290,739,575 | ) | ||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | (106,799,382 | ) | — | — | (168,228,778 | ) | (275,028,160 | ) | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 14,391,294 | 8,502,372 | — | (1,740 | ) | 22,891,926 | |||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | (500,983,441 | ) | 875,162 | — | (356,896,193 | ) | (857,004,472 | ) | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | (9,420,509 | ) | — | — | (220,311 | ) | (9,640,820 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At October 31, 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 | $ | 25,066,447 | $ | 482,192 | $ | (4,501,819 | ) | $ | (4,019,627 | ) | |||||||||
Direxion Daily S&P 500® Bear 1X Shares | 67,117,567 | — | (30,546,089 | ) | (30,546,089 | ) | |||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 56,006,092 | 27,994,686 | (16,226,738 | ) | 11,767,948 | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 37,912,631 | 23,938,763 | (4,665,290 | ) | 19,273,473 | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 15,551,343 | 4,684,841 | (1,505,188 | ) | 3,179,653 | ||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 33,269,803 | 1,955,869 | (18,055,315 | ) | (16,099,446 | ) | |||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 315,449,237 | 13,312,552 | (167,148,696 | ) | (153,836,144 | ) | |||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 70,201,000 | 33,124,647 | (18,681,210 | ) | 14,443,437 | ||||||||||||||
Direxion Daily Russia Bull 2X Shares | 57,945,974 | 1,652,520 | (21,080,668 | ) | (19,428,148 | ) | |||||||||||||
Direxion Daily Energy Bull 2X Shares | 565,798,564 | 738,924 | (346,682,682 | ) | (345,943,758 | ) | |||||||||||||
Direxion Daily Energy Bear 2X Shares | 25,196,753 | 7,635,615 | (10,904,470 | ) | (3,268,855 | ) | |||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 1,068,545,221 | 231,588,792 | (322,434,744 | ) | (90,845,952 | ) | |||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 104,076,026 | 736,386 | (61,928,816 | ) | (61,192,430 | ) | |||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 645,585,985 | 183,435,328 | (172,610,634 | ) | 10,824,694 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 141,961,751 | 940,720 | (107,740,102 | ) | (106,799,382 | ) | |||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 30,254,541 | 17,120,714 | (2,729,420 | ) | 14,391,294 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 736,961,684 | 302,274 | (501,285,715 | ) | (500,983,441 | ) | |||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 44,145,764 | 16,543,349 | (25,963,858 | ) | (9,420,509 | ) |
DIREXION ANNUAL REPORT
89
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.
On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax differences between accounting for total distributable earnings and capital stock under GAAP and tax reporting:
Funds | Total Distributable Earnings (Loss) | Capital Stock | |||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | |||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | (1,644,248 | ) | 1,644,248 | ||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | (5,159,998 | ) | 5,159,998 | ||||||||
Direxion Daily S&P 500® Bull 2X Shares | (2,550,622 | ) | 2,550,622 | ||||||||
Direxion Daily Latin America Bull 2X Shares | 1,672,003 | (1,672,003 | ) | ||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 34,924,668 | (34,924,668 | ) | ||||||||
Direxion Daily MSCI India Bull 2X Shares | (469,928 | ) | 469,928 | ||||||||
Direxion Daily Russia Bull 2X Shares | (697,091 | ) | 697,091 | ||||||||
Direxion Daily Energy Bull 2X Shares | 60,656,278 | (60,656,278 | ) | ||||||||
Direxion Daily Energy Bear 2X Shares | — | — | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | (47,353,951 | ) | 47,353,951 | ||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | (58,017,752 | ) | 58,017,752 | ||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | (3,194,878 | ) | 3,194,878 | ||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 43,982,161 | (43,982,161 | ) | ||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | (77,393,126 | ) | 77,393,126 |
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, 2020, the permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses and utilization of earnings and profit distributed to shareholders on redemption of shares.
In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2020.
At October 31, 2020, these Funds deferred, on a tax basis, qualified late year losses of:
Funds | Ordinary Late Year Loss Deferral | ||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 56,084 | |||||
Direxion Daily S&P 500® Bear 1X Shares | 304,078 | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 135,158 | ||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 131,998 | ||||||
Direxion Daily S&P 500® Bull 2X Shares | — | ||||||
Direxion Daily Latin America Bull 2X Shares | — | ||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | ||||||
Direxion Daily MSCI India Bull 2X Shares | 365,496 | ||||||
Direxion Daily Russia Bull 2X Shares | 329,480 | ||||||
Direxion Daily Energy Bull 2X Shares | — | ||||||
Direxion Daily Energy Bear 2X Shares | 129,850 | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 6,463,523 | ||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 3,353,591 | ||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 190,501 | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | — | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 220,311 |
DIREXION ANNUAL REPORT
90
Under current law, each Fund 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, 2020, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Utilized in Current Year | Unlimited ST | Unlimited LT | ||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | 20,074,684 | $ | — | |||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 27,162,108 | — | ||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 4,825,178 | 10,088,930 | — | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 2,620,363 | 40,765,598 | — | ||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | — | — | ||||||||||||
Direxion Daily Latin America Bull 2X Shares | — | 25,671,848 | 20,130,875 | ||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | 407,966,545 | — | ||||||||||||
Direxion Daily MSCI India Bull 2X Shares | — | 9,371,835 | 342,321 | ||||||||||||
Direxion Daily Russia Bull 2X Shares | — | 66,861,477 | — | ||||||||||||
Direxion Daily Energy Bull 2X Shares | — | 357,508,962 | 45,192,634 | ||||||||||||
Direxion Daily Energy Bear 2X Shares | 52,956,996 | 102,092,965 | — | ||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | 982,414,294 | 604,575,509 | ||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | 614,106,939 | — | ||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | — | 1,298,210,678 | — | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | 168,038,277 | — | ||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 1,431,693 | — | — | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | 325,196,792 | 31,699,401 | ||||||||||||
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 October 31, 2020, open U.S. Federal and state income tax years include the tax years ended October 31, 2017 through October 31, 2020. 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.
DIREXION ANNUAL REPORT
91
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended October 31, 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 Daily CSI 300 China A Share Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 39,349,250 | — | 58,230,013 | 136,430,451 | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 37,943,108 | 9,217,615 | 28,841,173 | 66,178,649 | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 22,148,182 | 16,740,004 | 4,117,744 | 5,939,665 | |||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 4,300,115 | 18,001,302 | 33,620,866 | 9,699,877 | |||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 293,186,215 | 727,175,487 | 755,493,448 | 328,383,360 | |||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 47,979,735 | 62,753,661 | 77,112,721 | 74,071,189 | |||||||||||||||
Direxion Daily Russia Bull 2X Shares | 71,063,625 | 49,920,178 | 76,477,279 | 83,706,335 | |||||||||||||||
Direxion Daily Energy Bull 2X Shares | 133,022,461 | 402,907,201 | 575,431,569 | 180,017,207 | |||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 1,535,491,100 | 1,505,841,024 | 1,838,991,150 | 1,919,681,773 | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 709,976,750 | 753,833,036 | 1,202,183,092 | 1,185,124,757 | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 17,163,307 | 13,288,856 | 15,146,149 | 8,243,001 | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 401,744,411 | 693,014,009 | 756,601,833 | 346,926,216 | |||||||||||||||
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 period ended October 31, 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 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 Latin America Bull 2X Shares | 0.75 | % | |||||
Direxion Daily MSCI Brazil Bull 2X Shares | 0.75 | % | |||||
Direxion Daily MSCI India 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 Robotics, Artificial Intelligence & Automation Index Bull 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 | % |
DIREXION ANNUAL REPORT
92
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse the Funds' operating expenses to the extent that they exceed the following rates multiplied by the Fund's respective average daily net assets at least until September 1, 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 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 Latin America Bull 2X Shares | 0.95 | % | |||||
Direxion Daily MSCI Brazil Bull 2X Shares | 0.95 | % | |||||
Direxion Daily MSCI India 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 Robotics, Artificial Intelligence & Automation Index Bull 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, 2021 | October 31, 2022 | October 31, 2023 | Recoupment Amount | ||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 541 | $ | — | $ | — | $ | 6,129 | $ | — | $ | 6,129 | |||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 9,907 | 130,155 | 49,159 | 45,074 | 130,155 | 224,388 | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 16,924 | 10,374 | — | — | 5,454 | 5,454 | |||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | 6,137 | — | — | 6,137 | 6,137 | |||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 442 | 41,789 | 29,764 | 29,047 | 41,789 | 100,600 | |||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 1,293 | 32,689 | 27,046 | 24,652 | 32,689 | 84,387 | |||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 38,352 | 47,403 | — | — | 9,051 | 9,051 | |||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 15,902 | 8,911 | — | — | 8,911 | 8,911 | |||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 123 | 123 | — | — | — | — | |||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 18,512 | 64,300 | 11,598 | 19,138 | 64,300 | 95,036 |
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2021 | October 31, 2022 | October 31, 2023 | Recoupment Amount | ||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | $ | 779 | $ | 28,222 | $ | 23,235 | $ | 21,811 | $ | 28,222 | $ | 73,268 | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 314 | 314 | — | — | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 1,500 | 24,009 | 28,264 | 21,776 | 24,009 | 74,049 | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 23,734 | 109,664 | 22,234 | 20,053 | 109,664 | 151,951 | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 1,314 | 33,028 | 20,109 | 21,966 | 33,028 | 75,103 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of October 31, 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.
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The following is a summary of the inputs used to value the Funds' investments at October 31, 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 | $ | — | $ | — | $ | 22,842,379 | $ | 73,209,127 | $ | 482,192 | $ | (2,277,751 | ) | ||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | — | — | 38,988,709 | 131,608,438 | — | (2,417,231 | ) | ||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 3,290,939 | — | 36,488,415 | 58,895,487 | 27,994,686 | — | |||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 19,572,526 | — | 15,811,529 | 23,070,941 | 21,866,957 | (64,908 | ) | ||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 16,875,379 | — | 324,419 | 100,154 | 1,709,134 | (177,936 | ) | ||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 11,825,090 | — | 5,186,310 | 4,484,199 | 1,282,039 | (1,123,082 | ) | ||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 107,096,864 | — | 49,938,584 | 14,801,590 | 11,200,001 | (6,622,356 | ) | ||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 26,433,382 | — | 25,418,580 | 36,250,383 | 32,792,475 | — | |||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares | 24,634,329 | — | 12,848,555 | 10,212,612 | 1,652,520 | (617,578 | ) | ||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | 198,980,129 | 71,419,273 | 37,335,327 | — | (50,544,596 | ) | ||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | 14,292,283 | 20,110,828 | 7,635,615 | — | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 544,082,210 | — | 213,559,198 | 267,589,351 | 231,175,723 | (11,117,862 | ) | ||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | 51,994,980 | 63,529,883 | 736,386 | (9,847,770 | ) | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 298,107,163 | — | 178,241,841 | 191,039,956 | 183,297,250 | (3,235,574 | ) | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | 53,297,791 | 54,463,947 | 940,720 | (19,076,142 | ) | ||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 24,482,395 | — | 6,603,569 | 14,859,090 | 13,559,871 | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 152,451,918 | — | 234,786,353 | 94,373,625 | — | (151,260,028 | ) | ||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | 18,335,875 | 25,026,537 | 16,543,349 | (153,969 | ) |
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
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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.
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 October 31, 2020, the Funds were invested in swap contracts. At October 31, 2020, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||
Swap Contracts Fund | Equity Risk | Total | |||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 482,192 | $ | 482,192 | |||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 27,994,686 | 27,994,686 | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 21,866,957 | 21,866,957 | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 1,709,134 | 1,709,134 | |||||||||
Direxion Daily Latin America Bull 2X Shares | 1,282,039 | 1,282,039 | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 11,200,001 | 11,200,001 | |||||||||
Direxion Daily MSCI India Bull 2X Shares | 32,792,475 | 32,792,475 | |||||||||
Direxion Daily Russia Bull 2X Shares | 1,652,520 | 1,652,520 | |||||||||
Direxion Daily Energy Bear 2X Shares | 7,635,615 | 7,635,615 | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 231,175,723 | 231,175,723 | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 736,386 | 736,386 | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 183,297,250 | 183,297,250 | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 940,720 | 940,720 | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 13,559,871 | 13,559,871 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 16,543,349 | 16,543,349 | |||||||||
Liability Derivatives2 | |||||||||||
Swap Contracts Fund | Equity Risk | Total | |||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | $ | 2,277,751 | $ | 2,277,751 | |||||||
Direxion Daily S&P 500® Bear 1X Shares | 2,417,231 | 2,417,231 | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 64,908 | 64,908 | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 177,936 | 177,936 | |||||||||
Direxion Daily Latin America Bull 2X Shares | 1,123,082 | 1,123,082 | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 6,622,356 | 6,622,356 | |||||||||
Direxion Daily Russia Bull 2X Shares | 617,578 | 617,578 | |||||||||
Direxion Daily Energy Bull 2X Shares | 50,544,596 | 50,544,596 | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 11,117,862 | 11,117,862 | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 9,847,770 | 9,847,770 | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 3,235,574 | 3,235,574 | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 19,076,142 | 19,076,142 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 151,260,028 | 151,260,028 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 153,969 | 153,969 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
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Transactions in derivative instruments during the period ended October 31, 2020, by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||
Fund | Equity Risk | Equity Risk | |||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | Swap Contracts | $ | (3,055,894 | ) | $ | (1,690,515 | ) | ||||||||
Direxion Daily S&P 500® Bear 1X Shares | Swap Contracts | (42,822,665 | ) | (1,655,148 | ) | ||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | Swap Contracts | 20,096,139 | 20,178,021 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | Swap Contracts | 13,615,742 | 16,834,508 | ||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | Swap Contracts | 1,978,185 | 632,068 | ||||||||||||
Direxion Daily Latin America Bull 2X Shares | Swap Contracts | (15,584,113 | ) | (397,669 | ) | ||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | Swap Contracts | (498,425,567 | ) | (76,222,052 | ) | ||||||||||
Direxion Daily MSCI India Bull 2X Shares | Swap Contracts | (20,199,473 | ) | 26,589,306 | |||||||||||
Direxion Daily Russia Bull 2X Shares | Swap Contracts | (26,680,246 | ) | (10,131,092 | ) | ||||||||||
Direxion Daily Energy Bull 2X Shares | Swap Contracts | (305,545,335 | ) | (50,120,016 | ) | ||||||||||
Direxion Daily Energy Bear 2X Shares | Swap Contracts | 49,312,193 | 6,174,483 | ||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | Swap Contracts | 4,044,899 | (178,029,978 | ) | |||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | Swap Contracts | (205,288,482 | ) | 90,379,373 | |||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | Swap Contracts | (233,811,377 | ) | (131,258,519 | ) | ||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | Swap Contracts | (121,795,167 | ) | 15,357,893 | |||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | Swap Contracts | 13,309,219 | 10,036,721 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | Swap Contracts | (273,006,642 | ) | (136,485,457 | ) | ||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | Swap Contracts | 61,409,923 | (4,854,742 | ) |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the period ended October 31, 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 | $ | — | $ | 35,230,319 | |||||||
Direxion Daily S&P 500® Bear 1X Shares | — | 97,887,327 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 182,873,612 | — | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 75,499,503 | — | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 15,225,393 | — | |||||||||
Direxion Daily Latin America Bull 2X Shares | 31,645,416 | — | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 493,750,863 | — | |||||||||
Direxion Daily MSCI India Bull 2X Shares | 166,969,416 | — | |||||||||
Direxion Daily Russia Bull 2X Shares | 132,904,126 | — | |||||||||
Direxion Daily Energy Bull 2X Shares | 499,978,153 | — | |||||||||
Direxion Daily Energy Bear 2X Shares | — | 68,433,140 | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 2,329,698,004 | — | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | 513,690,587 | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 1,573,557,367 | — | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | 244,752,797 | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 57,222,735 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 587,041,502 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | 104,225,658 |
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The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of -100%, 200%, or -200% daily performance of their respective index.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
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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 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.
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.
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10. ADDITIONAL INFORMATION
On March 23, 2020, March 27, 2020, April 23, 2020, and August 28, 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 | 124,150,017 | 12,415,002 | ||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 3/23/20 | 1 | :40 | 0.33 | 13.20 | 215,369,703 | 5,384,243 | ||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares | 3/27/20 | 1 | :20 | 2.15 | 43.00 | 1,819,092 | 90,955 | ||||||||||||||||||||
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 | 83,285,823 | 16,657,165 | ||||||||||||||||||||
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 | 89,248,763 | 8,924,876 | ||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 4/23/20 | 1 | :25 | 1.18 | 29.50 | 63,587,735 | 2,543,509 | ||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 4/23/20 | 1 | :10 | 6.07 | 60.70 | 2,650,001 | 265,000 | ||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 8/28/20 | 1 | :10 | 4.94 | 49.40 | 9,969,564 | 996,956 |
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. 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 December 9, 2020, certain Funds declared capital gain distributions with an ex-date of December 10, 2020 and payable date of December 17, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Short Term Capital Gain Distribution | ||||||
Direxion Daily S&P 500® Bull 2X Shares | $ | 5.35817 | |||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 18.08617 |
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On December 21, 2020, certain Funds declared income distributions with an ex-date of December 22, 2020 and payable date of December 30, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion Daily S&P 500® Bull 2X Shares | $ | 0.36050 | |||||
Direxion Daily Latin America Bull 2X Shares | 0.10504 | ||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 0.32217 | ||||||
Direxion Daily Energy Bull 2X Shares | 0.07433 | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 14.03110 | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 0.06567 | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 0.00277 |
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Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® 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 Latin America Bull 2X Shares (formerly Direxion Daily Latin America Bull 3X Shares), Direxion Daily MSCI Brazil Bull 2X Shares (formerly Direxion Daily MSCI Brazil Bull 3X Shares), Direxion Daily MSCI India Bull 2X Shares (formerly Direxion Daily MSCI India Bull 3X Shares), Direxion Daily Russia Bull 2X Shares (formerly Direxion Daily Russia Bull 3X Shares), Direxion Daily Energy Bull 2X Shares (formerly Direxion Daily Energy Bull 3X Shares), Direxion Daily Energy Bear 2X Shares (formerly Direxion Daily Energy Bear 3X Shares), Direxion Daily Gold Miners Index Bull 2X Shares (formerly Direxion Daily Gold Miners Index Bull 3X Shares), Direxion Daily Gold Miners Index Bear 2X Shares (formerly Direxion Daily Gold Miners Index Bear 3X Shares), Direxion Daily Junior Gold Miners Index Bull 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bull 3X Shares), Direxion Daily Junior Gold Miners Index Bear 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bear 3X Shares), Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares (formerly Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares), Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares), Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares) and the Board of Trustees of Direxion Shares ETF Trust.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® 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 Latin America Bull 2X Shares (formerly Direxion Daily Latin America Bull 3X Shares), Direxion Daily MSCI Brazil Bull 2X Shares (formerly Direxion Daily MSCI Brazil Bull 3X Shares), Direxion Daily MSCI India Bull 2X Shares (formerly Direxion Daily MSCI India Bull 3X Shares), Direxion Daily Russia Bull 2X Shares (formerly Direxion Daily Russia Bull 3X Shares), Direxion Daily Energy Bull 2X Shares (formerly Direxion Daily Energy Bull 3X Shares), Direxion Daily Energy Bear 2X Shares (formerly Direxion Daily Energy Bear 3X Shares), Direxion Daily Gold Miners Index Bull 2X Shares (formerly Direxion Daily Gold Miners Index Bull 3X Shares), Direxion Daily Gold Miners Index Bear 2X Shares (formerly Direxion Daily Gold Miners Index Bear 3X Shares), Direxion Daily Junior Gold Miners Index Bull 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bull 3X Shares), Direxion Daily Junior Gold Miners Index Bear 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bear 3X Shares), Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares (formerly Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares), Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares) and Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares) (collectively referred to as the "Funds"), (18 of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2020, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (18 of the funds constituting Direxion Shares ETF Trust) at October 31, 2020, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
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Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
Individual fund constituting the Direxion Shares ETF Trust | Statement of operations | Statements of changes in net assets | Financial highlights | ||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares Direxion Daily CSI 300 China A Share Bull 2X Shares Direxion Daily S&P 500® Bull 2X Shares Direxion Daily Latin America Bull 2X Shares (formerly Direxion Daily Latin America Bull 3X Shares) Direxion Daily MSCI Brazil Bull 2X Shares (formerly Direxion Daily MSCI Brazil Bull 3X Shares) Direxion Daily MSCI India Bull 2X Shares (formerly Direxion Daily MSCI India Bull 3X Shares) Direxion Daily Russia Bull 2X Shares (formerly Direxion Daily Russia Bull 3X Shares) Direxion Daily Energy Bull 2X Shares (formerly Direxion Daily Energy Bull 3X Shares) Direxion Daily Energy Bear 2X Shares (formerly Direxion Daily Energy Bear 3X Shares) Direxion Daily Gold Miners Index Bull 2X Shares (formerly Direxion Daily Gold Miners Index Bull 3X Shares) Direxion Daily Gold Miners Index Bear 2X Shares (formerly Direxion Daily Gold Miners Index Bear 3X Shares) Direxion Daily Junior Gold Miners Index Bull 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bull 3X Shares) Direxion Daily Junior Gold Miners Index Bear 2X Shares (formerly Direxion Daily Junior Gold Miners Index Bear 3X Shares) Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares) Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares (formerly Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares) | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the five years in the period ended October 31, 2020 | ||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the four years in the period ended October 31, 2020 and the period from June 08, 2016 (commencement of operations) through October 31, 2016 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the three years in the period ended October 31, 2020 and the period from November 2, 2016 (commencement of operations) through October 31, 2017 | ||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares (formerly Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 3X Shares) | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 and the period from April 19, 2018 (commencement of operations) through October 31, 2018 |
Basis for Opinion
These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on each of the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over
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Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Direxion investment companies since 2001.
Minneapolis, Minnesota
December 22, 2020
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Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Federal Tax Status of Dividends Declared during the Tax Year
For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction ("DRD"), the individual qualified dividend rate ("QDI"), the qualified interest income rate ("QII"), and the qualified short-term gain rate ("QSTG") is presented below.
DRD | QDI | QII | QSTG | ||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 78.60 | % | 78.60 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 19.44 | % | 19.44 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 19.25 | % | 19.25 | % | 0.00 | % | 16.49 | % | |||||||||||
Direxion Daily Latin America Bull 2X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily MSCI India Bull 2X Shares | 94.77 | % | 94.77 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Russia Bull 2X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Energy Bull 2X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Energy Bear 2X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 0.61 | % | 0.61 | % | 0.00 | % | 100.00 | % | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 97.23 | % | 97.23 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 96.16 | % |
The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended October 31, 2020. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.
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
Board Review of Investment Advisory Agreement (Unaudited)
Consistent with the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") annually considers the renewal of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® 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 Latin America Bull 2X Shares, Direxion Daily MSCI Brazil Bull 2X Shares, Direxion Daily MSCI India Bull 2X Shares, 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, 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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares, Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares, and the Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares, each a series of the ETF Trust. The Agreement is initially approved for a two-year period and must be renewed yearly thereafter to remain in effect. Each series of the ETF Trust is referred to herein as a "Fund" and collectively as the "Funds."
At an in-person meeting held on August 20, 2020, following such consideration, the Board, including the trustees who are not "interested persons" of the ETF Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement, on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 5, 2020 and August 20, 2020.
In considering whether to renew the Agreement, the Board requested, and the Adviser provided, information that the Board and Adviser believed to be reasonably necessary to evaluate the Agreement. Among other information, the Board obtained and reviewed the following:
• Detailed information regarding the advisory services provided by the Adviser to the Funds;
• The investment objectives of the Funds, which require daily rebalancing and the utilization of complex financial instruments that are not typical of traditional index tracking exchange-traded funds;
• The level of attention required by the Adviser due to the frequent and large trading activity in the Funds;
• The Adviser's Form ADV;
• Information about the professional qualifications of those employees primarily responsible for providing services to the Funds;
• Information regarding each component of the contractual advisory fee rates for the prior fiscal year;
• Information regarding advisory fees earned and waivers made by the Adviser in connection with providing services to the Funds for the prior fiscal year or since inception (if shorter);
• Information regarding fees paid to the Adviser under, and an evaluation of the services provided per the Management Services Agreement for the prior fiscal year;
• Performance information;
• Comparative industry fee data, including peer group comparisons;
• Information regarding the consolidated financial condition of the Adviser and the profitability of the Adviser of each Fund; and
• Information regarding how the Adviser monitors the Funds' compliance with regulatory requirements and ETF Trust procedures.
The Board considered that, with respect to most Funds, they had also received information relevant to their annual review of the Agreement since the Fund's inception and, most recently, throughout the past year at regular Board meetings in connection with their oversight of the Funds, including information bearing on the Funds' service provider arrangements and performance results. In addition, the Board received a memorandum from counsel regarding its responsibilities with respect to the approval of the Agreement and participated in a question and answer session with representatives of the Adviser. The Board carefully evaluated the relevant information and the Independent Trustees were advised by legal counsel with respect to their deliberations.
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, experience, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services provided, and to be provided by the Adviser, under the Agreement and noted there would be no significant differences between the scope of services provided by the Adviser in the past year and those to be provided in the upcoming year. The Board also considered the Adviser's representation to the Board that it would continue to provide investment and related services that are of materially the same quality as the services that have been provided to the Funds in the past and whether those services remain appropriate in scope and extent in light of the Funds' operations, the competitive landscape of the investment company business and investor needs.
The Board focused on the quality of the Adviser's personnel and operations and the systems and processes required to manage the Funds effectively, and noted that such personnel, systems and processes may not be present at other investment advisers. The Board considered, as applicable: (1) the Adviser's success in achieving each Fund's daily leveraged investment objective or daily inverse leveraged investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) information regarding the Adviser's management of derivatives trading activities on behalf of the Funds, including the selection of swap counterparties and the negotiation of favorable derivatives contract terms; (4) the Adviser's ability to manage the Funds in a tax efficient manner, which is more challenging for leveraged than non-leveraged funds; and (5) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train, and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.
Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. In this regard, the Board also considered the ability of investors to achieve independently the investment objective of the Funds and the costs to investors of seeking to do so by utilizing a margin account or other means. The Board concluded that it would be difficult for an investor to implement independently any Fund's investment strategy and that attempting to do so would likely be cost-prohibitive. From this perspective, the Board noted the cost effectiveness for investors of employing the Funds to achieve certain investment objectives.
The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Funds. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, past and future management service fees, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in compiling the Peer Group because, by design, each Fund is unique and, therefore, few (if any) fund complexes have funds with substantially similar investment objectives and operations. They noted that an independent consultant in 2019 had reviewed the Peer Group selection methodology and the Peer Group for each Fund and that the methodology employed in 2020 was the same as that reviewed by the independent consultant.
The Board noted that the comparison reports included the advisory fee and net and gross total expense ratios for each Fund and each Peer Group fund. The Board considered that the Adviser had agreed to limit the total expenses of the Funds (subject to certain exclusions) for the next year by contractually agreeing to pay certain expenses of the Funds under a separate Operating Expense Limitation Agreement.
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return for the periods ending June 30, 2020 and June 30, 2019 or since inception if a Fund did not have two full years of operations. In this regard, the Board considered each Fund's daily returns versus model returns ("Tracking Difference"), the standard deviation of the Tracking Differences, and a tracking error analysis provided by the Adviser. The Board also reviewed the total return of each Fund for the one-year or, if shorter, since inception period ended June 30, 2020. The Board considered reports provided to it in anticipation of the meeting, as well as performance reports provided at regular Board meetings throughout the year. The Board noted that the correlation of returns for each Fund to its model performance was generally within reasonable ranges during the reviewed periods. The Board considered that, given the investment objectives of the Funds, the correlation of each such Fund's performance with the model performance and Tracking Error were more meaningful indicia of the quality of the Advisor's management than a Fund's total return.
Costs of Services Provided to the Funds and Profits Realized by the Adviser. The Board reviewed information regarding the profitability of the Adviser based on the fee rates payable under the Agreement. The Board considered the profitability of each Fund and the overall profitability of the Adviser, as reflected in the Adviser's profitability analysis, as well as information provided by the Adviser concerning the methodology used to allocate various expenses. The Board also considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, the dedication of personnel resources to daily portfolio management activities (including rebalancing of the Funds), regulatory compliance, and entrepreneurial risk. The Board further considered a report on other investment advisers' profitability, which was compiled using publicly available information. The Board recognized that it is difficult to compare profitability among investment advisory firms because certain information is not publicly available. Further, to the extent such information is available, it is affected by numerous factors, including the nature of a firm's fund shareholder base, the structure of the adviser and its tax status, the types of funds it manages, its business mix, assumptions regarding allocations and the reporting of operating profits and net income net (rather than gross) of distribution and marketing expenses.
Economies of Scale. For certain Funds, the Board considered the current breakpoints included in the Advisory Fee Waiver Agreement, which provide for reduced advisory fee rates for certain Funds when the assets of such Funds reach certain levels. The Board also considered the Adviser's explanation as to why these breakpoints appropriately reflect the Funds' economies of scale. For the Funds that have no breakpoints in the Advisory Fee Waiver Agreement with the Adviser, the Board considered the fact that the size of these Funds often increases and decreases significantly, making economies of scale elusive.
Other Benefits. The Board considered indirect and "fall-out" benefits that the Adviser or its affiliates may derive from their relationship to the Funds. Such benefits include the Adviser's ability to leverage its investment management personnel or infrastructure to manage other accounts. In this regard, the Board noted that the Funds pay a management services fee to the Adviser.
Conclusion. Based on, but not limited to, the above considerations and determinations, the Board, including the Independent Trustees, determined that the Agreement for the Funds was fair and reasonable in light of the nature, extent and quality of the services to be performed, the fee rates to be paid, the Adviser's expenses and such other matters as the Board considered relevant in the exercise of its business judgment. Accordingly, the Board concluded that the continuation of the Agreement was in the best interests of the shareholders of the Funds. On this basis, the Board unanimously voted in favor of the renewal of the Agreement.
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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 24, 2020 to review the liquidity risk management program (the "Liquidity Program"). The Board 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 November 1, 2019 through October 31, 2020. 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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Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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. | 110 | 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: 77 | 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. | 110 | None. | ||||||||||||||||||
David L. Driscoll Age: 51 | 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. | 110 | 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. | 110 | 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 70 of the 96 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 (Unaudited)
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. | 110 | None. | ||||||||||||||||||
Kathleen M. Berkery(3) Age: 53 | 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 | 110 | 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 70 of the 96 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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111
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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: 47 | 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 70 of the 96 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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ANNUAL REPORT OCTOBER 31, 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.
Each Fund's premium/discount information is available free of charge on the Funds' website, www.direxioninvestments.com or by calling (800) 851-0511.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Annual Report.
DIREXION ANNUAL REPORT
DIREXION SHARES ETF TRUST
ANNUAL REPORT OCTOBER 31, 2020
1301 Avenue of the Americas (6th Ave.), 35th 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 MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 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 Consumer Discretionary Bull 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 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 (Unaudited) | 4 | ||||||
Performance Summary (Unaudited) | 15 | ||||||
Expense Example (Unaudited) | 55 | ||||||
Allocation of Portfolio Holdings (Unaudited) | 58 | ||||||
Schedules of Investments | 59 | ||||||
Statements of Assets and Liabilities | 119 | ||||||
Statements of Operations | 129 | ||||||
Statements of Changes in Net Assets | 139 | ||||||
Financial Highlights | 159 | ||||||
Notes to the Financial Statements | 165 | ||||||
Report of Independent Registered Public Accounting Firm | 206 | ||||||
Supplemental Information (Unaudited) | 209 | ||||||
Board Review of Investment Advisory Agreement (Unaudited) | 211 | ||||||
Board Review of Liquidity Risk Management Program (Unaudited) | 214 | ||||||
Trustees and Officers (Unaudited) | 215 |
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Letter to Shareholders (Unaudited)
Dear Shareholders,
This Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2019 to October 31, 2020 (the "Annual Period").
Market Review:
The onset of the Annual Period saw U.S. equity markets beginning to emerge from a relatively sideways trend that had persisted since mid-summer 2019. Asian and emerging market equities benefitted from reduced geo-political tensions as a result of a potential U.S.-China trade deal. The formal announcement of a Phase One Trade Agreement in December served to further bolster gains, both at home and abroad, through year-end for 2019. 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 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 that what began as a localized epidemic in China could turn into a global pandemic producing economic shock around the world, and 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. March saw two rate cuts, and an announcement of quantitative easing from the Federal Reserve, in an effort to bolster the market as 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 due to the effects of the Coronavirus. Those efforts were enough to spur a bit of optimism, as U.S. equity indexes closed the month off the lows. In April, as "work from home," "social distancing" and online meetings became the norm, equities began to rebound on hopes of the economy reopening, with signs lockdowns would soon be ending in some parts of Europe, as well as some states in the U.S. May saw the S&P 500 Index recoup 3,000, a major psychological threshold, as markets responded to positive news that Coronavirus cases were stabilizing. Into June, the S&P 500 Index traded at levels nearing flat for the year, due to expectations the Federal Reserve would serve as a backstop while the economy attempts to recover. China helped drive gains for Emerging Markets in June, amid signs of post-shutdown economic growth. Equity markets continued to rally into early September on sanguine expectations for the reopening of the economy. Uncertainty in September surrounding the upcoming U.S. Presidential Elections, coupled with a selloff in mega-cap technology stocks, were enough to earn the S&P 500 Index its first negative monthly return since March. Worsening Coronavirus case counts in the U.S., along with a resurgence of the virus in Europe, bore fears of a second wave, all while hopes of a vaccine began to materialize. Equity markets ended down for October, reflecting these scenarios, while also digesting economic lockdowns, stimulus hopes and the U.S. Presidential Election.
The Annual Period 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 2020, 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 basis points, in preparation for the supply chain shocks overseas. The succeeding 100 basis point 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, investors saw a steepening of the two-to-10 year yield curve – an indication that short term yields had dropped more than long term yields. 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 in the spring of 2020. Accommodative policy from the Federal Reserve underscored a bullish risk-appetite for investors, as reopening economies and Covid-19 vaccine hopes began to creep into the narrative. The September Federal Reserve meeting saw rates unchanged and a pledge to keep interest rates near zero though 2023. Into the end of the Annual Period, a tick up in the 10 year treasury yield was induced by hopes of a post-U.S. Presidential Election
DIREXION ANNUAL REPORT
4
stimulus package. With economic growth showing a strong rebound in October, Q3 2020 GDP rose to a rate of 33.1%, while housing made a strong showing amid record-low mortgage rates.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 300% or -300% of the performance of a particular benchmark.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods of longer than one day and the performance of the ETFs over longer periods may not correlate to their benchmarks' performance. The ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.
The ETFs with the word "Bull" in their name (the "Bull ETFs") attempt to provide investment results that correlate to 300% of the return of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
The Funds with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -300% of the return of a benchmark index, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target benchmark index.
In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in 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.
DIREXION ANNUAL REPORT
5
Factors Affecting Direxion Shares Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results (before fees and expenses) of either 300% (for the Bull ETFs) or -300% (for the Bear ETFs) of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of LIBOR plus or minus a spread and a Bear ETF receives LIBOR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
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 Annual Period, the S&P Mid Cap 400® Index returned -1.15%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Mid Cap Bull 3X Shares returned -45.61%, while the model indicated an expected return of -43.04%.
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 Annual
DIREXION ANNUAL REPORT
6
Period, the S&P 500® Index returned 9.71%. 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 S&P 500® Bull 3X Shares returned -12.54%, while the model indicated an expected return of -8.93%. The Direxion Daily S&P 500® Bear 3X Shares returned -61.87%, while the model indicated an expected return of -62.47%.
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 Annual Period, the Russell 2000® Index returned -0.14%. 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 -46.16%, while the model indicated an expected return of -44.40%. The Direxion Daily Small Cap Bear 3X Shares returned -63.86%, while the model indicated an expected return of -64.11%.
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 Annual Period, the FTSE China 50 Index returned 10.22%. 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 China Bull 3X Shares returned -6.03%, while the model indicated an expected return of -1.78%. The Direxion Daily FTSE China Bear 3X Shares returned -57.94%, while the model indicated an expected return of -58.58%.
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 Annual Period, the FTSE Developed Europe All Cap Index returned -8.43%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily FTSE Europe Bull 3X Shares returned -50.09%, while the model indicated an expected return of -47.60%.
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 Annual Period, the MSCI Emerging Market IndexSM returned 8.25%. 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 -16.87%, while the model indicated an expected return of -13.67%. The Direxion Daily MSCI Emerging Markets Bear 3X Shares returned -58.79%, while the model indicated an expected return of -58.96%.
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 Annual Period, the MSCI Mexico IMI 25/50 Index returned -22.17%. 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 Fund. The Direxion Daily MSCI Mexico Bull 3X Shares returned -75.36%, while the model indicated an expected return of -74.54%.
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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 Annual Period, the MSCI Korea 25/50 Index returned 12.12%. 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 MSCI South Korea Bull 3X Shares returned -21.27%, while the model indicated an expected return of -17.44%.
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 Annual Period, the Dow Jones U.S. Select Aerospace & Defense Index returned -29.82%. 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 Fund. The Direxion Daily Aerospace & Defense Bull 3X Shares returned -83.86% for the same period, while the model indicated an expected return of -83.04%.
The Direxion Daily Consumer Discretionary Bull 3X Shares seeks to provide 300% 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 components; distributors; leisure equipment & products; and diversified consumer services. For the Annual Period, the Consumer Discretionary Select Sector Index returned 19.87%. 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 14.26% for the same period, while the model indicated an expected return of 19.59%. 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 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 40.58%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Dow Jones Internet Bull 3X Shares returned 81.99%, while the model indicated an expected return of 90.12%. 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 Dow Jones Internet Bear 3X Shares returned -82.26%, while the model indicated an expected return of -82.44%.
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 Annual Period, the Russell 1000® Financial Services Index returned -8.04%. Given the daily investment objectives of the ETFs and
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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 -58.07%, while the model indicated an expected return of -56.12%. The Direxion Daily Financial Bear 3X Shares returned -54.76%, while the model indicated an expected return of -55.52%.
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 Annual Period, the Health Care Select Sector Index returned 10.06%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Healthcare Bull 3X Shares returned -3.85%, while the model indicated an expected return of 0.41%.
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 Annual Period, the Dow Jones U.S. Select Home Construction Index returned 17.56%. 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 -43.74%, while the model indicated an expected return of -40.82%.
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 Annual Period, the Industrials Select Sector Index returned -1.20%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Industrials Bull 3X Shares returned -43.33%, while the model indicated an expected return of -40.32%.
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 Annual Period, the MSCI US IMI Real Estate 25/50 Index returned -15.71%. 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 -69.35%, while the model indicated an expected return of -67.92%. The Direxion Daily MSCI Real Estate Bear 3X Shares returned -40.31%, while the model indicated an expected return of -40.75%.
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 Annual Period, the S&P Pharmaceuticals Select Industry Index 14.94%. 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 Pharmaceutical & Medical Bull 3X Shares returned 0.64%, while the model indicated an expected return of 5.23%.
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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 Annual Period, the S&P Regional Banks Select Industry Index returned -20.67%. 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 Regional Banks Bull 3X Shares returned -83.83%, while the model indicated an expected return of -82.99%.
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 Annual Period, the S&P Retail Select Industry Index returned 16.97%. 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 ETFs. The Direxion Daily Retail Bull 3X Shares returned -7.65%, while the model indicated an expected return of -3.57%.
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 0.37%. 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 -59.13%, while the model indicated an expected return of -57.08%. The Direxion Daily S&P 500® High Beta Bear 3X Shares returned -79.76%, while the model indicated an expected return of -79.73%.
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 Annual Period, the S&P Biotechnology Select Industry Index returned 38.08%. 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 43.96%, while the model indicated an expected return of 49.90%. 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 S&P Biotech Bear 3X Shares returned -86.59%, while the model indicated an expected return of -86.64%.
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 Annual Period, the PHLX Semiconductor Index returned 38.43%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Semiconductor Bull 3X Shares returned 25.88%, while the model indicated an expected return of 31.40%. The Direxion Daily Semiconductor Bear 3X Shares returned -89.76%, while the model indicated an expected return of -89.86%.
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
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software and services; IT services; electronic equipment, instruments and components; wireless telecommunication services; and office electronics. For the Annual Period, the Technology Select Sector Index returned 34.48%. 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 Technology Bull 3X Shares returned 38.98%, while the model indicated an expected return of 45.86%. 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 Technology Bear 3X Shares returned -84.47%, while the model indicated an expected return of -84.66%.
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 Annual Period, the Dow Jones Transportation Average returned 7.45%. 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 -27.42%, while the model indicated an expected return of -23.79%.
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 Annual Period, the Utilities Select Sector Index returned 0.62%. 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 Utilities Bull 3X Shares returned -38.38%, while the model indicated an expected return of -35.52%.
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 Annual Period, the ICE U.S. Treasury 7-10 Year Bond Index returned 8.48%. 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 7-10 Year Treasury Bull 3X Shares returned 20.96%, while the model indicated an expected return of 25.33%. The Direxion Daily 7-10 Year Treasury Bear 3X Shares returned -23.08%, while the model indicated and an expected return of -23.64%.
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 Annual Period, the ICE U.S. Treasury 20+ Year Bond Index returned 14.10%. 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 22.38%, while the model indicated an expected return of 31.42%. 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 -47.66%, while the model indicated an expected return of -45.80%.
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Index Volatility:
Entering the Annual Period the CBOE Volatility Index (VIX Index), which reflects a market estimate for future volatility, was trading near all-time highs. Chief drivers of volatility for the Annual Period were inclusive of, but not limited to: a protracted U.S.-China trade spat, Presidential Impeachment, Federal Reserve monetary policy, Covid-19 and fiscal stimulus programs from the U.S. Senate. Volatility saw a brief spike, as Speaker Nancy Pelosi announced in late September 2019 that she was launching a formal impeachment inquiry of President Trump. Equity markets rallied in mid-October on positive news relating to U.S.-China trade relations, and volatility levels slid accordingly. Amid a continued melt up supported by a dovish Federal Reserve, a healthy global economy and positive developments on the U.S.-China trade front, the VIX Index closed at a record low of 11.54 on November 26, 2019. A blip in volatility in early December was caused by U.S./China tariff headlines. January noted the further spread of Covid-19 throughout the world. The first confirmed case of coronavirus in the United States occurred on January 21, 2020. In short order, the W.H.O. declared a global health emergency, President Trump restricted travel from China, and the first coronavirus death was reported in the Philippines. It wasn't until the newly named Covid-19 virus began making its way through Europe that the VIX Index began to surge. With the President declaring a national emergency on March 13, 2020, and the United States becoming the global leader in new infections later that month, the VIX Index closed at a record high of 82.69 on March 16, 2020; the S&P 500 marked an YTD 2020 low on March 23. A $2 trillion stimulus bill helped stabilize the stock market after it was signed into law on March 27, 2020 in an attempt to address the economic crisis, along with the public health emergency. Equity markets rebounded as hope emerged that some of the lockdowns would begin coming to an end in parts of Europe and the U.S. Fears of a second wave of the virus were, and still are, very much in play; in fact, the VIX spiked to 40.28 just three days before Period-end – its highest level since mid-June.
Index | Return | Volatility | |||||||||
S&P Mid Cap 400® Index | -1.15 | % | 40.52 | % | |||||||
S&P 500® Index | 9.71 | % | 34.43 | % | |||||||
Russell 2000® Index | -0.14 | % | 42.38 | % | |||||||
FTSE China 50 Index | 10.22 | % | 31.56 | % | |||||||
FTSE Developed Europe All Cap Index | -8.43 | % | 33.99 | % | |||||||
MSCI Emerging Markets IndexSM | 8.25 | % | 34.14 | % | |||||||
MSCI Mexico IMI 25/50 Index | -22.17 | % | 43.76 | % | |||||||
MSCI Korea 25/50 Index | 12.12 | % | 40.92 | % | |||||||
Dow Jones U.S. Select Aerospace & Defense Index | -29.82 | % | 47.05 | % | |||||||
Consumer Discretionary Select Sector Index | 19.87 | % | 33.85 | % | |||||||
Dow Jones Internet Composite Index1 | 40.58 | % | 35.09 | % | |||||||
Russell 1000® Financial Services Index | -8.04 | % | 42.30 | % | |||||||
Health Care Select Sector Index | 10.06 | % | 30.46 | % | |||||||
Dow Jones U.S. Select Home Construction Index | 17.56 | % | 54.78 | % | |||||||
Industrials Select Sector Index | -1.20 | % | 39.24 | % | |||||||
MSCI US IMI Real Estate 25/50 Index | -15.71 | % | 42.85 | % | |||||||
S&P Pharmaceuticals Select Industry Index | 14.94 | % | 34.10 | % | |||||||
S&P Regional Banks Select Industry Index | -20.67 | % | 58.25 | % | |||||||
S&P Retail Select Industry Index | 16.97 | % | 40.06 | % | |||||||
S&P 500® High Beta Index1 | 0.37 | % | 52.10 | % | |||||||
S&P Biotechnology Select Industry Index | 38.08 | % | 42.17 | % | |||||||
PHLX Semiconductor Sector Index | 38.43 | % | 46.86 | % | |||||||
Technology Select Sector Index | 34.48 | % | 40.37 | % | |||||||
Dow Jones Transportation AverageTM | 7.45 | % | 39.51 | % | |||||||
Utilities Select Sector Index | 0.62 | % | 38.70 | % | |||||||
ICE U.S. Treasury 7-10 Year Bond Index | 8.48 | % | 7.08 | % | |||||||
ICE U.S. Treasury 20+ Year Bond Index | 14.10 | % | 20.88 | % |
1 November 7, 2019 through October 31, 2020
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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.
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The views of this letter were those of the Adviser as of October 31, 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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Direxion Daily Mid Cap Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares (NAV) | (45.61 | )% | (17.76 | )% | 0.98 | % | 14.44 | % | |||||||||||
Direxion Daily Mid Cap Bull 3X Shares (Market Price) | (45.55 | )% | (17.76 | )% | 1.00 | % | 14.52 | % | |||||||||||
S&P Mid Cap 400® Index | (1.15 | )% | 2.87 | % | 7.39 | % | 10.36 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Mid Cap® 400 Index measures the performance of the mid-cap segment of the U.S. equity universe. The index is a capitalization-weighted index composed of 400 domestic common stocks. The performance of the S&P Mid Cap® 400 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
15
Direxion Daily S&P 500® Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares (NAV) | (12.54 | )% | 7.64 | % | 18.39 | % | 26.37 | % | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares (Market Price) | (12.41 | )% | 7.64 | % | 18.43 | % | 26.36 | % | |||||||||||
S&P 500® Index | 9.71 | % | 10.42 | % | 11.71 | % | 13.01 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.01%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500 Index® are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
16
Direxion Daily S&P 500® Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares (NAV) | (61.87 | )% | (43.18 | )% | (40.49 | )% | (41.70 | )% | |||||||||||
Direxion Daily S&P 500® Bear 3X Shares (Market Price) | (61.90 | )% | (43.20 | )% | (40.52 | )% | (41.70 | )% | |||||||||||
S&P 500® Index | 9.71 | % | 10.42 | % | 11.71 | % | 13.01 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500 Index® are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
17
Direxion Daily Small Cap Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares (NAV) | (46.16 | )% | (21.22 | )% | (1.23 | )% | 9.64 | % | |||||||||||
Direxion Daily Small Cap Bull 3X Shares (Market Price) | (45.89 | )% | (21.09 | )% | (1.11 | )% | 9.72 | % | |||||||||||
Russell 2000® Index | (0.14 | )% | 2.19 | % | 7.27 | % | 9.64 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.12%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 2000® Index measures the small cap segment of the U.S. equity universe and includes the smallest 2,000 securities in the Russell 3000® Index based on market cap. The performance of the Russell 2000® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
18
Direxion Daily Small Cap Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares (NAV) | (63.86 | )% | (37.94 | )% | (40.82 | )% | (44.19 | )% | |||||||||||
Direxion Daily Small Cap Bear 3X Shares (Market Price) | (63.99 | )% | (38.05 | )% | (40.88 | )% | (50.46 | )% | |||||||||||
Russell 2000® Index | (0.14 | )% | 2.19 | % | 7.27 | % | 9.64 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 2000® Index measures the small cap segment of the U.S. equity universe and includes the smallest 2,000 securities in the Russell 3000® Index based on market cap. The performance of the Russell 2000® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
19
Direxion Daily FTSE China Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares (NAV) | (6.03 | )% | (18.86 | )% | (4.29 | )% | (10.13 | )% | |||||||||||
Direxion Daily FTSE China Bull 3X Shares (Market Price) | (6.10 | )% | (18.85 | )% | (4.29 | )% | (10.17 | )% | |||||||||||
FTSE China 50 Index | 10.22 | % | 2.16 | % | 6.35 | % | 3.08 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.39%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The FTSE China 50 Index consists of the 50 largest and most liquid Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the FTSE China 50 Index are weighted based on the total market value of their shares, so that the securities with the higher total market values will generally have a higher representation in the Index. Index constituents are screened for liquidity and weightings are capped to prevent the Index from being overly concentrated in any one stock. The performance of The FTSE China 50 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
20
Direxion Daily FTSE China Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares (NAV) | (57.94 | )% | (31.10 | )% | (37.07 | )% | (36.86 | )% | |||||||||||
Direxion Daily FTSE China Bear 3X Shares (Market Price) | (57.94 | )% | (31.16 | )% | (37.08 | )% | (36.87 | )% | |||||||||||
FTSE China 50 Index | 10.22 | % | 2.16 | % | 6.35 | % | 3.08 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.11%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The FTSE China 50 Index consists of the 50 largest and most liquid Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the FTSE China 50 Index are weighted based on the total market value of their shares, so that the securities with the higher total market values will generally have a higher representation in the Index. Index constituents are screened for liquidity and weightings are capped to prevent the Index from being overly concentrated in any one stock. The performance of The FTSE China 50 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
21
Direxion Daily FTSE Europe Bull 3X Shares
Performance Summary (Unaudited)
January 22, 20141 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares (NAV) | (50.09 | )% | (25.76 | )% | (11.44 | )% | (13.28 | )% | |||||||||||
Direxion Daily FTSE Europe Bull 3X Shares (Market Price) | (50.30 | )% | (25.91 | )% | (11.70 | )% | (13.36 | )% | |||||||||||
FTSE Developed Europe All Cap Index | (8.43 | )% | (2.32 | )% | 2.09 | % | 0.92 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. The performance of FTSE Developed Europe All Cap Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
22
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares (NAV) | (16.87 | )% | (18.91 | )% | 1.52 | % | (12.74 | )% | |||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares (Market Price) | (17.52 | )% | (19.05 | )% | 1.35 | % | (12.81 | )% | |||||||||||
MSCI Emerging Markets IndexSM | 8.25 | % | 1.94 | % | 7.92 | % | 2.42 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.35%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Emerging Markets IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The performance of the MSCI Emerging Markets IndexSM does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
23
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares (NAV) | (58.79 | )% | (29.60 | )% | (38.60 | )% | (29.75 | )% | |||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares (Market Price) | (58.81 | )% | (29.61 | )% | (38.59 | )% | (29.76 | )% | |||||||||||
MSCI Emerging Markets IndexSM | 8.25 | % | 1.94 | % | 7.92 | % | 2.42 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.14%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Emerging Markets IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The performance of the MSCI Emerging Markets IndexSM does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
24
Direxion Daily MSCI Mexico Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Years | Since Inception | |||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares (NAV) | (75.36 | )% | (49.57 | )% | (46.51 | )% | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares (Market Price) | (75.57 | )% | (49.76 | )% | (46.69 | )% | |||||||||
MSCI Mexico IMI 25/50 Index | (22.17 | )% | (10.01 | )% | (9.28 | )% |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.36%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
25
Direxion Daily MSCI South Korea Bull 3X Shares
Performance Summary (Unaudited)
April 10, 20131 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares (NAV) | (21.27 | )% | (33.61 | )% | (9.00 | )% | (10.00 | )% | |||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares (Market Price) | (21.38 | )% | (33.59 | )% | (9.04 | )% | (10.03 | )% | |||||||||||
MSCI Korea 25/50 Index | 12.12 | % | (2.08 | )% | 6.04 | % | 4.20 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.35%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
26
Direxion Daily Aerospace & Defense Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Year | Since Inception | |||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares (NAV) | (83.86 | )% | (38.72 | )% | (24.83 | )% | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares (Market Price) | (83.84 | )% | (38.71 | )% | (24.83 | )% | |||||||||
Dow Jones U.S. Select Aerospace & Defense Index | (29.82 | )% | (4.10 | )% | 1.26 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.03%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones U.S. Select Aerospace & Defense 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
27
Direxion Daily Consumer Discretionary Bull 3X Shares
Performance Summary (Unaudited)
November 29, 20181 - October 31, 2020
Average Annual Total Return2 | |||||||||||
1 Year | Since Inception | ||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares (NAV) | 14.26 | % | 21.79 | % | |||||||
Direxion Daily Consumer Discretionary Bull 3X Shares (Market Price) | 14.39 | % | 21.59 | % | |||||||
Consumer Discretionary Select Sector Index | 19.87 | % | 17.61 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 2.08%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Consumer Discretionary Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the consumer discretionary sector which includes the following industries: media; retail (specialty, multiline, internet & catalog); hotels, restaurants & leisure; textiles, apparel & luxury goods; household durables; automobiles; automobile components; distributors; leisure equipment & products; and diversified consumer services. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
28
Direxion Daily Dow Jones Internet Bull 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Daily Dow Jones Internet Bull 3X Shares (NAV) | 81.99 | % | |||||
Direxion Daily Dow Jones Internet Bull 3X Shares (Market Price) | 82.00 | % | |||||
Dow Jones Internet Composite Index | 40.58 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.19%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones Internet Composite Index is provided by S&P Dow Jones Indices and 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
29
Direxion Daily Dow Jones Internet Bear 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Daily Dow Jones Internet Bear 3X Shares (NAV) | (82.26 | )% | |||||
Direxion Daily Dow Jones Internet Bear 3X Shares (Market Price) | (82.11 | )% | |||||
Dow Jones Internet Composite Index | 40.58 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones Internet Composite Index is provided by S&P Dow Jones Indices and 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
30
Direxion Daily Financial Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Financial Bull 3X Shares (NAV) | (58.07 | )% | (16.93 | )% | 2.73 | % | 14.10 | % | |||||||||||
Direxion Daily Financial Bull 3X Shares (Market Price) | (58.11 | )% | (16.96 | )% | 2.72 | % | 14.10 | % | |||||||||||
Russell 1000® Financial Services Index | (8.04 | )% | 3.76 | % | 8.50 | % | 10.97 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.99%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 1000® Financial Services Index measures the performance of all financial services related securities in the Russell 1000® Index. The performance of the Russell 1000® Financial Services Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
31
Direxion Daily Financial Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Financial Bear 3X Shares (NAV) | (54.76 | )% | (39.30 | )% | (40.93 | )% | (44.09 | )% | |||||||||||
Direxion Daily Financial Bear 3X Shares (Market Price) | (54.88 | )% | (39.38 | )% | (40.99 | )% | (44.11 | )% | |||||||||||
Russell 1000® Financial Services Index | (8.04 | )% | 3.76 | % | 8.50 | % | 10.97 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.08%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 1000® Financial Services Index measures the performance of all financial services related to securities in the Russell 1000® Index. The performance of the Russell 1000® Financial Services Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
32
Direxion Daily Healthcare Bull 3X Shares
Performance Summary (Unaudited)
June 15, 20111 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares (NAV) | (3.85 | )% | 8.68 | % | 11.66 | % | 30.07 | % | |||||||||||
Direxion Daily Healthcare Bull 3X Shares (Market Price) | (3.69 | )% | 8.77 | % | 11.70 | % | 30.07 | % | |||||||||||
Health Care Select Sector Index | 10.06 | % | 9.96 | % | 9.36 | % | 14.11 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Health Care Select Sector Index includes companies from the following industries: pharmaceuticals; health care providers & services; health care equipment & supplies; biotechnology; life sciences tools & services; and health care technology. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
33
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Performance Summary (Unaudited)
August 19, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares (NAV) | (43.74 | )% | (17.41 | )% | 6.83 | % | 0.18 | % | |||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares (Market Price) | (43.79 | )% | (17.47 | )% | 6.73 | % | 0.14 | % | |||||||||||
Dow Jones U.S. Select Home Construction Index | 17.56 | % | 10.38 | % | 14.86 | % | 12.36 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.04%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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 products, sellers and suppliers if building materials, furnishings and fixtures and also home improvement retailers. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
34
Direxion Daily Industrials Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Years | Since Inception | |||||||||||||
Direxion Daily Industrials Bull 3X Shares (NAV) | (43.33 | )% | (14.72 | )% | (7.29 | )% | |||||||||
Direxion Daily Industrials Bull 3X Shares (Market Price) | (43.22 | )% | (14.81 | )% | (7.31 | )% | |||||||||
Industrials Select Sector Index | (1.20 | )% | 4.21 | % | 6.09 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.82%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Industrials Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the industrials sector which includes the following industries: aerospace and defense; industry conglomerates; and machinery. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
35
Direxion Daily MSCI Real Estate Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares (NAV) | (69.35 | )% | (22.93 | )% | (11.79 | )% | 4.42 | % | |||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares (Market Price) | (69.65 | )% | (23.11 | )% | (11.93 | )% | 4.30 | % | |||||||||||
MSCI U.S. REIT IndexSM | (21.01 | )% | (0.23 | )% | 2.29 | % | 7.11 | % | |||||||||||
MSCI U.S. IMI Real Estate 25/50 Index | (15.71 | )% | 2.17 | % | N/A | N/A |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
36
Direxion Daily MSCI Real Estate Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares (NAV) | (40.31 | )% | (34.77 | )% | (31.68 | )% | (38.55 | )% | |||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares (Market Price) | (40.53 | )% | (34.84 | )% | (31.73 | )% | (38.55 | )% | |||||||||||
MSCI U.S. REIT IndexSM | (21.01 | )% | (0.23 | )% | 2.29 | % | 7.11 | % | |||||||||||
MSCI U.S. IMI Real Estate 25/50 Index | (15.71 | )% | 2.17 | % | N/A | N/A |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.39%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
37
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Performance Summary (Unaudited)
November 15, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||
1 Year | Since Inception | ||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares (NAV) | 0.64 | % | (14.05 | )% | |||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares (Market Price) | 0.77 | % | (14.15 | )% | |||||||
S&P Pharmaceuticals Select Industry Index | 14.94 | % | 3.18 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.44%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
38
Direxion Daily Regional Banks Bull 3X Shares
Performance Summary (Unaudited)
August 19, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares (NAV) | (83.83 | )% | (53.13 | )% | (27.83 | )% | (28.64 | )% | |||||||||||
Direxion Daily Regional Banks Bull 3X Shares (Market Price) | (83.86 | )% | (53.21 | )% | (27.89 | )% | (28.66 | )% | |||||||||||
S&P Regional Banks Select Industry Index | (20.67 | )% | (7.80 | )% | 1.74 | % | 1.46 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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 (GICS) regional banks sub-industry. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
39
Direxion Daily Retail Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Retail Bull 3X Shares (NAV) | (7.65 | )% | (3.25 | )% | (9.14 | )% | 19.87 | % | |||||||||||
Direxion Daily Retail Bull 3X Shares (Market Price) | (8.48 | )% | (3.61 | )% | (9.31 | )% | 19.75 | % | |||||||||||
S&P Retail Select Industry® Index | 16.97 | % | 9.64 | % | 3.18 | % | 10.15 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.14%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Retail Select Industry® Index represents the retail sub-industry portion of the S&P TMI. The S&P TMI tracks all eligible U.S. common equities listed on the NYSE, NYSE Arca, NYSE MKT, NASDAQ Global Select Market, NASDAQ Select Market, NASDAQ Capital Market, Bats BZX, Bats BYX, Bats EDGA, or Bats EDGX exchanges. The Retail Index is a modified equal weight index. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
40
Direxion Daily S&P 500® High Beta Bull 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
S&P 500® High Beta Bull 3X Shares (NAV) | (59.13 | )% | |||||
S&P 500® High Beta Bull 3X Shares (Market Price) | (59.03 | )% | |||||
S&P 500® High Beta Index | 0.37 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.14%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® High Beta Index is provided by S&P Dow Jones Indices (the "Index Provider"). The Index Provider 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
41
Direxion Daily S&P 500® High Beta Bear 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
S&P 500® High Beta Bear 3X Shares (NAV) | (79.76 | )% | |||||
S&P 500® High Beta Bear 3X Shares (Market Price) | (79.72 | )% | |||||
S&P 500® High Beta Index | 0.37 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage, and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® High Beta Index is provided by S&P Dow Jones Indices (the "Index Provider"). The Index Provider 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
42
Direxion Daily S&P Biotech Bull 3X Shares
Performance Summary (Unaudited)
May 28, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares (NAV) | 43.96 | % | (10.93 | )% | (6.83 | )% | (18.13 | )% | |||||||||||
Direxion Daily S&P Biotech Bull 3X Shares (Market Price) | 44.56 | % | (10.88 | )% | (6.76 | )% | (18.06 | )% | |||||||||||
S&P Biotechnology Select Industry Index | 38.08 | % | 10.53 | % | 11.18 | % | 6.93 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.04%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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 (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
43
Direxion Daily S&P Biotech Bear 3X Shares
Performance Summary (Unaudited)
May 28, 20151 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares (NAV) | (86.59 | )% | (61.88 | )% | (63.15 | )% | (59.92 | )% | |||||||||||
Direxion Daily S&P Biotech Bear 3X Shares (Market Price) | (86.66 | )% | (61.94 | )% | (63.20 | )% | (59.95 | )% | |||||||||||
S&P Biotechnology Select Industry Index | 38.08 | % | 10.53 | % | 11.18 | % | 6.93 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.08%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage, and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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 (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
44
Direxion Daily Semiconductor Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares (NAV) | 25.88 | % | 19.58 | % | 57.97 | % | 39.67 | % | |||||||||||
Direxion Daily Semiconductor Bull 3X Shares (Market Price) | 25.86 | % | 19.61 | % | 57.94 | % | 39.67 | % | |||||||||||
PHLX Semiconductor Sector Index | 38.43 | % | 23.00 | % | 30.03 | % | 21.79 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.96%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The PHLX Semiconductor Sector Index measures the performance of the semiconductor subsector of the U.S. equity market. Component companies are engaged in the design, distribution, manufacture and sale of semiconductors. The performance of the PHLX Semiconductor Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
45
Direxion Daily Semiconductor Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares (NAV) | (89.76 | )% | (73.00 | )% | (72.73 | )% | (63.91 | )% | |||||||||||
Direxion Daily Semiconductor Bear 3X Shares (Market Price) | (89.78 | )% | (73.03 | )% | (72.74 | )% | (63.92 | )% | |||||||||||
PHLX Semiconductor Sector Index | 38.43 | % | 23.00 | % | 30.03 | % | 21.79 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.08%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The PHLX Semiconductor Sector Index measures the performance of the semiconductor subsector of the U.S. equity market. Component companies are engaged in the design, distribution, manufacture and sale of semiconductors. The performance of the PHLX Semiconductor Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2019.
DIREXION ANNUAL REPORT
46
Direxion Daily Technology Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Technology Bull 3X Shares (NAV) | 38.98 | % | 33.87 | % | 46.27 | % | 38.61 | % | |||||||||||
Direxion Daily Technology Bull 3X Shares (Market Price) | 39.31 | % | 33.96 | % | 46.33 | % | 38.62 | % | |||||||||||
Technology Select Sector Index | 34.48 | % | 22.61 | % | 22.55 | % | 18.51 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.08%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Technology Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: computers & peripherals; software; diversified telecommunications services; communications equipment; semiconductors & semiconductors equipment; internet software and energy equipment & services; IT services; electronic equipment, instruments & components; wireless telecommunications services; and office electronics. Each of the component securities of the Index is a constituent company of the S&P 500® Index. The performance of Technology Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
47
Direxion Daily Technology Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily Technology Bear 3X Shares (NAV) | (84.47 | )% | (65.47 | )% | (60.32 | )% | (52.87 | )% | |||||||||||
Direxion Daily Technology Bear 3X Shares (Market Price) | (84.48 | )% | (65.47 | )% | (60.32 | )% | (52.86 | )% | |||||||||||
Technology Select Sector Index | 34.48 | % | 22.61 | % | 22.55 | % | 18.51 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.13%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Technology Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: computers & peripherals; software; diversified telecommunications services; communications equipment; semiconductors & semiconductors equipment; internet software and energy equipment & services; IT services; electronic equipment, instruments & components; wireless telecommunications services; and office electronics. Each of the component securities of the Index is a constituent company of the S&P 500® Index. The performance of Technology Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
48
Direxion Daily Transportation Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Year | Since Inception | |||||||||||||
Direxion Daily Transportation Bull 3X Shares (NAV) | (27.42 | )% | (11.86 | )% | (5.96 | )% | |||||||||
Direxion Daily Transportation Bull 3X Shares (Market Price) | (27.30 | )% | (12.05 | )% | (6.07 | )% | |||||||||
Dow Jones Transportation Average | 7.45 | % | 6.04 | % | 7.32 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.59%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones Transportation Average (DJTTR) is provided by Dow Jones and measures the performance of large, well-known companies within the transportation industry (e.g. shipping, railroad companies, airlines, etc.). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
49
Direxion Daily Utilities Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Years | Since Inception | |||||||||||||
Direxion Daily Utilities Bull 3X Shares (NAV) | (38.38 | )% | (1.92 | )% | 4.72 | % | |||||||||
Direxion Daily Utilities Bull 3X Shares (Market Price) | (39.07 | )% | (2.30 | )% | 4.30 | % | |||||||||
Utilities Select Sector Index | 0.62 | % | 7.93 | % | 9.38 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.53%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Utilities Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: electric utilities, multi-utilities, water utilities, independent power producers and energy trades, and gas utilities. Each of the component securities of the Index is a constituent company of the S&P 500® Index. The performance of Utilities Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
50
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares (NAV) | 20.96 | % | 14.60 | % | 9.15 | % | 9.38 | % | |||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares (Market Price) | 21.08 | % | 14.57 | % | 8.81 | % | 9.39 | % | |||||||||||
ICE U.S. Treasury 7-10 Year Bond Index | 8.48 | % | 6.37 | % | 4.37 | % | 4.12 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.32%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. The performance of the ICE U.S. Treasury 7-10 Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
51
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares (NAV) | (23.08 | )% | (16.10 | )% | (12.91 | )% | (14.81 | )% | |||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares (Market Price) | (23.13 | )% | (16.15 | )% | (12.83 | )% | (14.84 | )% | |||||||||||
ICE U.S. Treasury 7-10 Year Bond Index | 8.48 | % | 6.37 | % | 4.37 | % | 4.12 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.29%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. The performance of the ICE U.S. Treasury 7-10 Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
52
Direxion Daily 20+ Year Treasury Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares (NAV) | 22.38 | % | 21.17 | % | 13.58 | % | 13.70 | % | |||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares (Market Price) | 22.59 | % | 21.20 | % | 13.61 | % | 13.71 | % | |||||||||||
ICE U.S. Treasury 20+ Year Bond Index | 14.10 | % | 10.98 | % | 7.85 | % | 7.66 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.05%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. The performance of the ICE U.S. Treasury 20+ Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
53
Direxion Daily 20+ Year Treasury Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2010 - October 31, 2020
Average Annual Total Return1 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | ||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares (NAV) | (47.66 | )% | (33.17 | )% | (27.03 | )% | (29.63 | )% | |||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares (Market Price) | (47.62 | )% | (33.18 | )% | (27.04 | )% | (29.64 | )% | |||||||||||
ICE U.S. Treasury 20+ Year Bond Index | 14.10 | % | 10.98 | % | 7.85 | % | 7.66 | % |
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. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.04%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2022 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses).The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. The performance of the ICE U.S. Treasury 20+ Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2020.
DIREXION ANNUAL REPORT
54
Expense Example (Unaudited)
October 31, 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 (May 1, 2020 to October 31, 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 May 1, 2020 to October 31, 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)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | $ | 1,000.00 | $ | 1,388.00 | $ | 5.76 | |||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 1,342.90 | 5.65 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 601.00 | 3.82 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,426.00 | 5.92 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 463.20 | 3.49 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 |
DIREXION ANNUAL REPORT
55
Expense Example (Unaudited)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | $ | 1,000.00 | $ | 1,373.20 | $ | 5.67 | |||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 528.00 | 3.65 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 1,176.30 | 5.36 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,020.21 | 4.98 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,700.60 | 6.58 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 463.70 | 3.50 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,349.30 | 5.61 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,776.10 | 6.77 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 753.60 | 4.23 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 1,706.70 | 6.67 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,020.21 | 4.98 | ||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,790.90 | 6.80 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 392.80 | 3.33 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,150.40 | 5.14 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 620.50 | 3.87 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 1,015.00 | 4.86 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 2,306.50 | 8.15 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,020.21 | 4.98 | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 1,482.80 | 5.99 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 943.00 | 4.79 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,020.21 | 4.98 | ||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 732.20 | 4.14 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 |
DIREXION ANNUAL REPORT
56
Expense Example (Unaudited)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | $ | 1,000.00 | $ | 1,068.50 | $ | 4.99 | |||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 889.80 | 4.51 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 2,211.20 | 7.83 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,358.80 | 5.75 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 302.20 | 3.11 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,448.80 | 5.97 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 395.60 | 3.33 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,911.40 | 6.95 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 333.10 | 3.18 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.97 | % | 1,000.00 | 1,585.80 | 6.30 | ||||||||||||||
Based on hypothetical 5% return | 0.97 | % | 1,000.00 | 1,020.26 | 4.93 | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 441.10 | 3.44 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 2,062.20 | 7.39 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 1,258.50 | 5.45 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.96 | % | 1,000.00 | 964.60 | 4.74 | ||||||||||||||
Based on hypothetical 5% return | 0.96 | % | 1,000.00 | 1,020.31 | 4.88 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.95 | % | 1,000.00 | 1,010.00 | 4.80 | ||||||||||||||
Based on hypothetical 5% return | 0.95 | % | 1,000.00 | 1,020.36 | 4.82 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.94 | % | 1,000.00 | 830.50 | 4.33 | ||||||||||||||
Based on hypothetical 5% return | 0.94 | % | 1,000.00 | 1,020.41 | 4.77 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.85 | % | 1,000.00 | 1,101.20 | 4.49 | ||||||||||||||
Based on hypothetical 5% return | 0.85 | % | 1,000.00 | 1,020.86 | 4.32 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days (the number of days in the period of May 1, 2020 to October 31, 2020), then divided by 366.
DIREXION ANNUAL REPORT
57
Allocation of Portfolio Holdings (Unaudited)
October 31, 2020
Cash* | Common Stocks | Investment Companies | Swaps | Total | |||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | 13 | % | — | 68 | % | 19 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 19 | % | — | 71 | % | 10 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 110 | % | — | — | (10 | )% | 100 | % | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 0 | %** | — | 51 | % | 49 | % | 100 | % | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 125 | % | — | — | (25 | )% | 100 | % | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 41 | % | — | 51 | % | 8 | % | 100 | % | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 119 | % | — | — | (19 | )% | 100 | % | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 49 | % | — | 45 | % | 6 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 29 | % | — | 29 | % | 42 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 148 | % | — | — | (48 | )% | 100 | % | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 47 | % | — | 44 | % | 9 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 33 | % | — | 35 | % | 32 | % | 100 | % | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 35 | % | 75 | % | — | (10 | )% | 100 | % | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 8 | % | 47 | % | — | 45 | % | 100 | % | ||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 16 | % | 63 | % | — | 21 | % | 100 | % | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 101 | % | — | — | (1 | )% | 100 | % | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 24 | % | 73 | % | — | 3 | % | 100 | % | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | 106 | % | — | — | (6 | )% | 100 | % | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 29 | % | 61 | % | — | 10 | % | 100 | % | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | (40 | )% | 87 | % | — | 53 | % | 100 | % | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 16 | % | 67 | % | — | 17 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 39 | % | 66 | % | — | (5 | )% | 100 | % | ||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 92 | % | — | — | 8 | % | 100 | % | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 8 | % | 63 | % | — | 29 | % | 100 | % | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 22 | % | 49 | % | — | 29 | % | 100 | % | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | 0 | %** | 41 | % | — | 59 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 65 | % | 16 | % | — | 19 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 105 | % | — | — | (5 | )% | 100 | % | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 14 | % | 51 | % | — | 35 | % | 100 | % | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 116 | % | — | — | (16 | )% | 100 | % | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | (2 | )% | 67 | % | — | 35 | % | 100 | % | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 111 | % | — | — | (11 | )% | 100 | % | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 1 | % | 65 | % | — | 34 | % | 100 | % | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | 106 | % | — | — | (6 | )% | 100 | % | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 17 | % | 53 | % | — | 30 | % | 100 | % | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 36 | % | 45 | % | — | 19 | % | 100 | % | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 23 | % | — | 70 | % | 7 | % | 100 | % | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 113 | % | — | — | (13 | )% | 100 | % | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 32 | % | — | 67 | % | 1 | % | 100 | % | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 100 | % | — | — | 0 | %** | 100 | % | |||||||||||||||
Allocation of Portfolio Holdings reflects percentages of net assets. |
* Cash, cash equivalents and other assets less liabilities.
** Less than 0.5%.
DIREXION ANNUAL REPORT
58
Direxion Daily Mid Cap Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 68.2% | |||||||||||
144,284 | iShares Core S&P Mid-Cap ETF (a) | $ | 27,337,489 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $23,450,632) | $ | 27,337,489 | |||||||||
SHORT TERM INVESTMENTS - 18.1% | |||||||||||
Money Market Funds - 18.1% | |||||||||||
6,221,683 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 6,221,683 | ||||||||
1,041,408 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 1,041,408 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,263,091) | $ | 7,263,091 | |||||||||
TOTAL INVESTMENTS (Cost $30,713,723) - 86.3% (c) | $ | 34,600,580 | |||||||||
Other Assets in Excess of Liabilities - 13.7% | 5,454,436 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 40,055,016 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,965,241.
Long Total Return Swap Contracts
October 31, 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 | 0.4493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 12,681 | $ | 23,072,081 | $ | 1,121,452 | |||||||||||||||||||
Total return of S&P MidCap 400® Index | 0.4479% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 19,753 | 31,777,906 | 5,955,112 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 12,524 | 24,751,829 | (946,973 | ) | ||||||||||||||||||||
Total return of S&P MidCap 400® Index | 0.4979% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 1,796 | 2,594,949 | 836,254 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 0.4979% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 2,099 | 3,422,165 | 586,787 | |||||||||||||||||||||
$ | 85,618,930 | $ | 7,552,632 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
59
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 71.1% | |||||||||||
2,890,666 | iShares Core S&P 500 ETF (a) | $ | 947,039,995 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $920,384,954) | $ | 947,039,995 | |||||||||
SHORT TERM INVESTMENTS - 19.9% | |||||||||||
Money Market Funds - 19.9% | |||||||||||
190,546,824 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 190,546,824 | ||||||||
74,098,738 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 74,098,738 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $264,645,562) | $ | 264,645,562 | |||||||||
TOTAL INVESTMENTS (Cost $1,185,030,516) - 91.0% (c) | $ | 1,211,685,557 | |||||||||
Other Assets in Excess of Liabilities - 9.0% | 120,048,708 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,331,734,265 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,103,892,025.
Long Total Return Swap Contracts
October 31, 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 | 0.5193% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 189,428 | $ | 525,292,435 | $ | 97,965,955 | |||||||||||||||||||
Total return of S&P 500® Index | 0.5679% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 206,979 | 680,556,492 | (2,383,125 | ) | ||||||||||||||||||||
Total return of S&P 500® Index | 0.4979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 103,246 | 340,567,365 | (2,120,729 | ) | ||||||||||||||||||||
Total return of S&P 500® Index | 0.5979% representing 1 month LIBOR rate + spread | BNP Paribas | 12/9/2020 | 77,522 | 203,074,506 | 51,984,145 | |||||||||||||||||||||
Total return of S&P 500® Index | 0.5979% representing 1 month LIBOR rate + spread | BNP Paribas | 12/9/2020 | 50,000 | 169,030,194 | (5,518,473 | ) | ||||||||||||||||||||
Total return of S&P 500® Index | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 74,917 | 259,065,090 | (14,026,865 | ) | ||||||||||||||||||||
Total return of S&P 500® Index | 0.3979% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 230,095 | 747,183,157 | 7,668,883 | |||||||||||||||||||||
$ | 2,924,769,239 | $ | 133,569,791 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
60
Direxion Daily S&P 500® Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 70.4% | |||||||||||
Money Market Funds - 70.4% | |||||||||||
351,009,906 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 351,009,906 | ||||||||
214,358,415 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 214,358,415 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $565,368,321) (b) | $ | 565,368,321 | |||||||||
TOTAL INVESTMENTS (Cost $565,368,321) - 70.4% | $ | 565,368,321 | |||||||||
Other Assets in Excess of Liabilities - 29.6% | 237,811,757 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 803,180,078 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $565,368,321.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.2679% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Credit Suisse Capital LLC | 12/09/2020 | 123,903 | $ | 415,512,708 | $ | 10,276,091 | |||||||||||||||||||
0.3193% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Bank of America Merrill Lynch | 12/9/2020 | 139,070 | 386,538,045 | (71,183,069 | ) | ||||||||||||||||||||
0.2779% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | UBS Securities LLC | 12/9/2020 | 164,205 | 548,532,748 | 11,118,927 | |||||||||||||||||||||
0.2479% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | J.P. Morgan | 12/9/2020 | 99,106 | 325,040,345 | 85,202 | |||||||||||||||||||||
0.1979% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | Citibank N.A. | 12/11/2020 | 115,611 | 381,158,023 | 2,823,936 | |||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | BNP Paribas | 5/19/2021 | 50,000 | 142,281,003 | (22,444,440 | ) | ||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | BNP Paribas | 6/16/2021 | 25,000 | 75,029,984 | (7,175,006 | ) | ||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of S&P 500® Index | BNP Paribas | 11/17/2021 | 20,000 | 65,400,974 | (9,725 | ) | ||||||||||||||||||||
$ | 2,339,493,830 | $ | (76,508,084 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
61
Direxion Daily Small Cap Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 51.1% | |||||||||||
2,774,071 | iShares Russell 2000 ETF (a) | $ | 424,682,529 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $431,726,419) | $ | 424,682,529 | |||||||||
SHORT TERM INVESTMENTS - 40.4% | |||||||||||
Money Market Funds - 40.4% | |||||||||||
145,155,466 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 145,155,466 | ||||||||
190,445,103 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 190,445,103 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $335,600,569) | $ | 335,600,569 | |||||||||
TOTAL INVESTMENTS (Cost $767,326,988) - 91.5% (c) | $ | 760,283,098 | |||||||||
Other Assets in Excess of Liabilities - 8.5% | 70,919,301 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 831,202,399 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $393,301,874.
Long Total Return Swap Contracts
October 31, 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 | 0.3993% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 57,589 | $ | 92,936,659 | $ | (4,333,388 | ) | ||||||||||||||||||
Total return of Russell 2000® Index | 0.4079% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 295,462 | 357,925,610 | 98,633,473 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.2279% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 189,444 | 207,468,535 | 85,571,931 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.3679% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 460,900 | 584,666,915 | 127,530,951 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.4479% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 261,311 | 306,894,195 | 96,700,253 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.4479% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 32,905 | 39,547,975 | 11,270,412 | |||||||||||||||||||||
Total return of Russell 2000® Index | 0.4479% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 47,208 | 77,260,296 | (4,634,226 | ) | ||||||||||||||||||||
$ | 1,666,700,185 | $ | 410,739,406 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
62
Direxion Daily Small Cap Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 84.0% | |||||||||||
Money Market Funds - 84.0% | |||||||||||
238,279,944 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 238,279,944 | ||||||||
220,426,421 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 220,426,421 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $458,706,365) (b) | $ | 458,706,365 | |||||||||
TOTAL INVESTMENTS (Cost $458,706,365) - 84.0% | $ | 458,706,365 | |||||||||
Other Assets in Excess of Liabilities - 16.0% | 87,095,850 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 545,802,215 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $458,706,365.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.0179% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Credit Suisse Capital LLC | 12/9/2020 | 171,227 | $ | 197,493,214 | $ | (67,276,055 | ) | ||||||||||||||||||
0.0979% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Citibank N.A. | 12/9/2020 | 220,188 | 330,670,400 | (8,561,485 | ) | ||||||||||||||||||||
0.1779% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | UBS Securities LLC | 12/9/2020 | 214,551 | 305,949,828 | (25,174,578 | ) | ||||||||||||||||||||
0.1993% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | Bank of America Merrill Lynch | 12/10/2020 | 125,786 | 197,533,792 | 4,000,658 | |||||||||||||||||||||
0.2479% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 5/19/2021 | 84,430 | 104,694,894 | (25,803,985 | ) | ||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | J.P. Morgan | 6/1/2021 | 113,153 | 173,760,493 | (435,051 | ) | ||||||||||||||||||||
0.2479% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 7/21/2021 | 105,000 | 149,644,193 | (12,325,378 | ) | ||||||||||||||||||||
0.2479% representing 1 month LIBOR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 11/17/2021 | 30,000 | 46,284,361 | 126,766 | |||||||||||||||||||||
$ | 1,506,031,175 | $ | (135,449,108 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
63
Direxion Daily FTSE China Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 50.9% | |||||||||||
3,013,626 | iShares China Large-Cap ETF (a) | $ | 132,900,907 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $128,428,631) | $ | 132,900,907 | |||||||||
SHORT TERM INVESTMENTS - 41.8% | |||||||||||
Money Market Funds - 41.8% | |||||||||||
87,370,811 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 87,370,811 | ||||||||
21,562,333 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 21,562,333 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $108,933,144) | $ | 108,933,144 | |||||||||
TOTAL INVESTMENTS (Cost $237,361,775) - 92.7% (c) | $ | 241,834,051 | |||||||||
Other Assets in Excess of Liabilities - 7.3% | 19,075,200 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 260,909,251 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $160,872,228.
Long Total Return Swap Contracts
October 31, 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 | 0.6493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/10/2020 | 2,475,280 | $ | 110,227,134 | $ | (1,170,654 | ) | ||||||||||||||||||
Total return of iShares China Large-Cap ETF | 0.4879% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 4,838,156 | 207,994,724 | 5,279,687 | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 0.4979% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 610,018 | 26,156,702 | 786,309 | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 0.4979% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 1,499,424 | 57,230,458 | 9,205,825 | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 0.4979% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 1,528,183 | 61,394,707 | 6,363,806 | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 0.7379% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2021 | 3,784,490 | 167,577,217 | (718,981 | ) | ||||||||||||||||||||
$ | 630,580,942 | $ | 19,745,992 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
64
Direxion Daily FTSE China Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 84.7% | |||||||||||
Money Market Funds - 84.7% | |||||||||||
25,536,498 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 25,536,498 | ||||||||
12,147,853 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 12,147,853 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $37,684,351) (b) | $ | 37,684,351 | |||||||||
TOTAL INVESTMENTS (Cost $37,684,351) - 84.7% | $ | 37,684,351 | |||||||||
Other Assets in Excess of Liabilities - 15.3% | 6,793,097 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 44,477,448 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $37,684,351.
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.4493% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | Bank of America Merrill Lynch | 12/3/2020 | 1,604,835 | $ | 65,551,804 | $ | (5,280,642 | ) | ||||||||||||||||||
0.0979% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | Credit Suisse Capital LLC | 12/8/2020 | 1,097,998 | 47,350,278 | (1,069,243 | ) | ||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of iShares China Large-Cap ETF | UBS Securities LLC | 12/9/2020 | 322,915 | 12,029,025 | (2,309,789 | ) | ||||||||||||||||||||
$ | 124,931,107 | $ | (8,659,674 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
65
Direxion Daily FTSE Europe Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 45.5% | |||||||||||
126,176 | Vanguard FTSE Europe ETF (a) | $ | 6,257,068 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $6,484,687) | $ | 6,257,068 | |||||||||
SHORT TERM INVESTMENTS - 37.4% | |||||||||||
Money Market Funds - 37.4% | |||||||||||
3,394,714 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 3,394,714 | ||||||||
1,744,582 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 1,744,582 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,139,296) | $ | 5,139,296 | |||||||||
TOTAL INVESTMENTS (Cost $11,623,983) - 82.9% (c) | $ | 11,396,364 | |||||||||
Other Assets in Excess of Liabilities - 17.1% | 2,360,266 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 13,756,630 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,445,029.
Long Total Return Swap Contracts
October 31, 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 | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 127,034 | $ | 6,979,879 | $ | (648,954 | ) | ||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 1.0979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 290,898 | 14,318,664 | 206,714 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 0.3979% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 171,230 | 6,914,392 | 1,681,042 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 7/2/2021 | 116,888 | 6,152,924 | (357,596 | ) | ||||||||||||||||||||
$ | 34,365,859 | $ | 881,206 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
66
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 28.8% | |||||||||||
879,341 | iShares MSCI Emerging Markets ETF (a) | $ | 39,315,336 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $39,497,214) | $ | 39,315,336 | |||||||||
SHORT TERM INVESTMENTS - 48.5% | |||||||||||
Money Market Funds - 48.5% | |||||||||||
35,831,639 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 35,831,639 | ||||||||
30,300,664 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 30,300,664 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $66,132,303) | $ | 66,132,303 | |||||||||
TOTAL INVESTMENTS (Cost $105,629,517) - 77.3% (c) | $ | 105,447,639 | |||||||||
Other Assets in Excess of Liabilities - 22.7% | 31,031,342 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 136,478,981 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $75,147,091.
Long Total Return Swap Contracts
October 31, 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 Emerging Markets ETF | 0.6679% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 2,113,069 | $ | 80,567,306 | $ | 13,968,242 | |||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.0279% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 1,200,413 | 48,049,956 | 5,632,401 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.4579% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/15/2020 | 1,890,696 | 71,160,745 | 13,533,812 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.4979% representing 1 month LIBOR rate + spread | J.P. Morgan | 2/23/2021 | 618,304 | 28,442,664 | (802,870 | ) | ||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.3179% representing 1 month LIBOR rate + spread | BNP Paribas | 3/17/2021 | 200,137 | 6,746,619 | 2,224,693 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.3179% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 2,069,912 | 69,277,109 | 23,540,575 | |||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 0.3993% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 10/26/2021 | 185,790 | 8,417,970 | (116,977 | ) | ||||||||||||||||||||
$ | 312,662,369 | $ | 57,979,876 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
67
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 105.8% | |||||||||||
Money Market Funds - 105.8% | |||||||||||
26,170,574 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 26,170,574 | ||||||||
14,800,573 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 14,800,573 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $40,971,147) (b) | $ | 40,971,147 | |||||||||
TOTAL INVESTMENTS (Cost $40,971,147) - 105.8% | $ | 40,971,147 | |||||||||
Liabilities in Excess of Other Assets - (5.8)% | (2,251,535 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 38,719,612 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $40,971,147.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.1779% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | UBS Securities LLC | 12/9/2020 | 459,204 | $ | 14,170,627 | $ | (6,468,301 | ) | ||||||||||||||||||
(0.5821)% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | Credit Suisse Capital LLC | 12/10/2020 | 449,705 | 19,439,845 | (731,030 | ) | ||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | Citibank N.A. | 12/11/2020 | 448,893 | 16,872,930 | (3,239,293 | ) | ||||||||||||||||||||
(0.1521)% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | J.P. Morgan | 4/5/2021 | 467,137 | 21,108,820 | 222,699 | |||||||||||||||||||||
0.0479% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 4/21/2021 | 420,715 | 13,742,010 | (5,200,538 | ) | ||||||||||||||||||||
0.0479% representing 1 month LIBOR rate + spread | Total return of iShares MSCI Emerging Markets ETF | BNP Paribas | 6/16/2021 | 352,465 | 12,836,448 | (2,999,360 | ) | ||||||||||||||||||||
$ | 98,170,680 | $ | (18,415,823 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
68
Direxion Daily MSCI Mexico Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 44.3% | |||||||||||
138,303 | iShares MSCI Mexico ETF (a) | $ | 4,724,430 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $4,309,140) | $ | 4,724,430 | |||||||||
SHORT TERM INVESTMENTS - 39.2% | |||||||||||
Money Market Funds - 39.2% | |||||||||||
856,516 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 856,516 | ||||||||
3,321,654 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 3,321,654 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,178,170) | $ | 4,178,170 | |||||||||
TOTAL INVESTMENTS (Cost $8,487,310) - 83.5% (c) | $ | 8,902,600 | |||||||||
Other Assets in Excess of Liabilities - 16.5% | 1,757,533 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,660,133 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,319,421.
Long Total Return Swap Contracts
October 31, 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 Mexico ETF | 0.0479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 182,949 | $ | 5,655,936 | $ | 608,606 | |||||||||||||||||||
Total return of iShares MSCI Mexico ETF | (0.8521)% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 422,731 | 13,935,630 | 557,012 | |||||||||||||||||||||
Total return of iShares MSCI Mexico ETF | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 192,240 | 6,805,552 | (240,101 | ) | ||||||||||||||||||||
$ | 26,397,118 | $ | 925,517 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
69
Direxion Daily MSCI South Korea Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 34.8% | |||||||||||
138,460 | iShares MSCI South Korea Capped ETF (a) | $ | 8,986,054 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $8,778,059) | $ | 8,986,054 | |||||||||
SHORT TERM INVESTMENTS - 40.5% | |||||||||||
Money Market Funds - 40.5% | |||||||||||
2,974,939 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 2,974,939 | ||||||||
7,482,971 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 7,482,971 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,457,910) | $ | 10,457,910 | |||||||||
TOTAL INVESTMENTS (Cost $19,235,969) - 75.3% (c) | $ | 19,443,964 | |||||||||
Other Assets in Excess of Liabilities - 24.7% | 6,376,601 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 25,820,565 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,872,172.
Long Total Return Swap Contracts
October 31, 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 | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 574,566 | $ | 33,908,367 | $ | 3,308,804 | |||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 370,861 | 18,646,843 | 5,350,220 | |||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 10/20/2021 | 15,395 | 1,052,410 | (53,432 | ) | ||||||||||||||||||||
Total return of iShares MSCI South Korea Capped ETF | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 94,323 | 6,379,414 | (258,861 | ) | ||||||||||||||||||||
$ | 59,987,034 | $ | 8,346,731 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
70
Direxion Daily Aerospace & Defense Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 74.6% | |||||||||||
Computer and Electronic Product Manufacturing - 22.4% | |||||||||||
47,671 | Aerojet Rocketdyne Holdings, Inc. (a) | $ | 1,545,494 | ||||||||
20,437 | Cubic Corp. | 1,208,031 | |||||||||
39,539 | L3 Harris Technologies, Inc. | 6,370,128 | |||||||||
36,521 | Mercury Systems, Inc. (a) | 2,515,567 | |||||||||
19,558 | Moog, Inc. Class A | 1,220,224 | |||||||||
21,064 | Northrop Grumman Corp. | 6,104,768 | |||||||||
471,582 | Raytheon Technologies Corp. | 25,616,334 | |||||||||
44,580,546 | |||||||||||
Credit Intermediation and Related Activities - 0.3% | |||||||||||
36,232 | Smith & Wesson Brands, Inc. | 601,089 | |||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.1% | |||||||||||
41,396 | Axon Enterprise, Inc. (a) | 4,094,064 | |||||||||
Fabricated Metal Product Manufacturing - 4.2% | |||||||||||
62,134 | BWX Technologies, Inc. | 3,417,991 | |||||||||
27,115 | Curtiss-Wright Corp. | 2,287,422 | |||||||||
16,379 | RBC Bearings, Inc. (a) | 1,949,920 | |||||||||
11,407 | Sturm, Ruger & Co, Inc. | 762,672 | |||||||||
8,418,005 | |||||||||||
Merchant Wholesalers, Durable Goods - 3.2% | |||||||||||
54,440 | Hexcel Corp. | 1,822,651 | |||||||||
26,415 | Huntington Ingalls Industries, Inc. | 3,895,684 | |||||||||
18,041 | Kaman Corp. | 715,506 | |||||||||
6,433,841 | |||||||||||
Miscellaneous Manufacturing - 2.7% | |||||||||||
148,686 | Textron, Inc. | 5,322,959 | |||||||||
Primary Metal Manufacturing - 2.2% | |||||||||||
255,917 | Howmet Aerospace, Inc. | 4,414,568 | |||||||||
Professional, Scientific, and Technical Services - 4.3% | |||||||||||
39,674 | Maxar Technologies, Inc. | 1,022,399 | |||||||||
15,101 | Parsons Corp. (a) | 475,984 | |||||||||
22,882 | Teledyne Technologies, Inc. (a) | 7,073,970 | |||||||||
8,572,353 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.9% | |||||||||||
40,193 | PAE, Inc. (a) | 318,329 | |||||||||
83,912 | Virgin Galactic Holdings, Inc. (a) | 1,461,747 | |||||||||
1,780,076 | |||||||||||
Textile Mills - 0.1% | |||||||||||
3,382 | National Presto Industries, Inc. | 281,010 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing - 32.2% | |||||||||||
21,649 | AAR Corp. | $ | 421,290 | ||||||||
14,294 | AeroVironment, Inc. (a) | 1,091,490 | |||||||||
88,080 | Boeing Co. | 12,717,871 | |||||||||
48,925 | General Dynamics Corp. | 6,425,320 | |||||||||
47,262 | HEICO Corp. | 4,418,997 | |||||||||
27,226 | HEICO Corp. Class A | 2,860,091 | |||||||||
80,010 | Kratos Defense & Security Solutions, Inc. (a) | 1,511,389 | |||||||||
75,926 | Lockheed Martin Corp. | 26,583,970 | |||||||||
68,861 | Spirit AeroSystems Holdings, Inc. | 1,252,582 | |||||||||
14,273 | TransDigm Group, Inc. | 6,814,073 | |||||||||
33,929 | Triumph Group, Inc. | 223,931 | |||||||||
64,321,004 | |||||||||||
TOTAL COMMON STOCKS (Cost $157,321,332) | $ | 148,819,515 | |||||||||
SHORT TERM INVESTMENTS - 35.9% | |||||||||||
Money Market Funds - 35.9% | |||||||||||
9,774,907 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 9,774,907 | ||||||||
61,867,723 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 61,867,723 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $71,642,630) | $ | 71,642,630 | |||||||||
TOTAL INVESTMENTS (Cost $228,963,962) - 110.5% (c) | $ | 220,462,145 | |||||||||
Liabilities in Excess of Other Assets - (10.5)% | (20,976,947 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 199,485,198 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $165,462,547.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
71
Direxion Daily Aerospace & Defense Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 3,906 | $ | 65,139,056 | $ | 9,556,654 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 0.7979% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/15/2020 | 4,721 | 101,524,273 | (11,534,204 | ) | ||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/17/2020 | 7,013 | 142,287,116 | (8,665,362 | ) | ||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 0.6479% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 7,955 | 160,564,483 | (8,836,982 | ) | ||||||||||||||||||||
$ | 469,514,928 | $ | (19,479,894 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
72
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 47.3% | |||||||||||
Accommodation - 1.2% | |||||||||||
703 | Hilton Worldwide Holdings, Inc. | $ | 61,730 | ||||||||
674 | Marriott International, Inc. Class A | 62,601 | |||||||||
1,038 | MGM Resorts International | 21,352 | |||||||||
145,683 | |||||||||||
Administrative and Support Services - 1.3% | |||||||||||
103 | Booking Holdings, Inc. (a) | 167,117 | |||||||||
Amusement, Gambling, and Recreation Industries - 0.5% | |||||||||||
834 | Las Vegas Sands Corp. | 40,082 | |||||||||
245 | Wynn Resorts Ltd. | 17,745 | |||||||||
57,827 | |||||||||||
Apparel Manufacturing - 0.8% | |||||||||||
882 | Hanesbrands, Inc. | 14,174 | |||||||||
181 | PVH Corp. | 10,551 | |||||||||
122 | Ralph Lauren Corp. | 8,156 | |||||||||
479 | Under Armour, Inc. Class A (a) | 6,629 | |||||||||
�� | 493 | Under Armour, Inc. Class C (a) | 6,029 | ||||||||
810 | V F Corp. | 54,432 | |||||||||
99,971 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 7.8% | |||||||||||
1,687 | Lowe's Companies, Inc. | 266,715 | |||||||||
2,698 | The Home Depot, Inc. | 719,583 | |||||||||
986,298 | |||||||||||
Clothing and Clothing Accessories Stores - 2.3% | |||||||||||
520 | Gap, Inc. | 10,114 | |||||||||
592 | L Brands, Inc. | 18,950 | |||||||||
902 | Ross Stores, Inc. | 76,823 | |||||||||
274 | Tiffany & Co. | 35,850 | |||||||||
3,040 | TJX Companies, Inc. | 154,432 | |||||||||
296,169 | |||||||||||
Construction of Buildings - 1.3% | |||||||||||
839 | D.R. Horton, Inc. | 56,053 | |||||||||
696 | Lennar Corp. Class A | 48,880 | |||||||||
9 | NVR, Inc. (a) | 35,578 | |||||||||
680 | PulteGroup, Inc. | 27,717 | |||||||||
168,228 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.2% | |||||||||||
158 | Whirlpool Corp. | 29,224 | |||||||||
Electronics and Appliance Stores - 0.5% | |||||||||||
583 | Best Buy Co., Inc. | 65,034 | |||||||||
Food Services and Drinking Places - 7.0% | |||||||||||
71 | Chipotle Mexican Grill, Inc. (a) | 85,305 | |||||||||
331 | Darden Restaurants, Inc. | 30,426 | |||||||||
100 | Domino's Pizza, Inc. | 37,832 | |||||||||
1,864 | McDonald's Corp. | 397,032 | |||||||||
2,964 | Starbucks Corp. | 257,749 | |||||||||
764 | Yum! Brands, Inc. | 71,304 | |||||||||
879,648 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.3% | |||||||||||
378 | Garmin Ltd. ADR (Switzerland) | 39,320 |
Shares | Fair Value | ||||||||||
General Merchandise Stores - 3.3% | |||||||||||
632 | Dollar General Corp. | $ | 131,905 | ||||||||
602 | Dollar Tree, Inc. (a) | 54,372 | |||||||||
1,269 | Target Corp. | 193,167 | |||||||||
294 | Tractor Supply Co. | 39,164 | |||||||||
418,608 | |||||||||||
Health and Personal Care Stores - 0.2% | |||||||||||
144 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 29,775 | |||||||||
Leather and Allied Product Manufacturing - 3.1% | |||||||||||
3,119 | NIKE, Inc. Class B | 374,529 | |||||||||
699 | Tapestry, Inc. | 15,539 | |||||||||
390,068 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.6% | |||||||||||
335 | Leggett & Platt, Inc. | 13,979 | |||||||||
709 | LKQ Corp. (a) | 22,681 | |||||||||
151 | Mohawk Industries, Inc. (a) | 15,582 | |||||||||
78 | Pool Corp. | 27,287 | |||||||||
79,529 | |||||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
322 | Hasbro, Inc. | 26,636 | |||||||||
Miscellaneous Store Retailers - 0.3% | |||||||||||
303 | Etsy, Inc. (a) | 36,842 | |||||||||
Motor Vehicle and Parts Dealers - 1.7% | |||||||||||
175 | Advance Auto Parts, Inc. | 25,774 | |||||||||
59 | AutoZone, Inc. (a) | 66,610 | |||||||||
413 | CarMax, Inc. (a) | 35,699 | |||||||||
188 | O'Reilly Automotive, Inc. (a) | 82,081 | |||||||||
210,164 | |||||||||||
Nonstore Retailers - 11.4% | |||||||||||
448 | Amazon.com, Inc. (a) | 1,360,195 | |||||||||
1,685 | eBay, Inc. | 80,257 | |||||||||
1,440,452 | |||||||||||
Plastics and Rubber Products Manufacturing - 0.1% | |||||||||||
957 | Newell Rubbermaid, Inc. | 16,901 | |||||||||
Support Activities for Transportation - 0.3% | |||||||||||
344 | Expedia, Inc. | 32,388 | |||||||||
Transportation Equipment Manufacturing - 2.2% | |||||||||||
685 | Aptiv PLC ADR (Ireland) | 66,096 | |||||||||
619 | BorgWarner, Inc. | 21,652 | |||||||||
9,906 | Ford Motor Co. | 76,573 | |||||||||
3,192 | General Motors Co. | 110,220 | |||||||||
274,541 | |||||||||||
Water Transportation - 0.4% | |||||||||||
1,312 | Carnival Corp. | 17,988 | |||||||||
699 | Norwegian Cruise Line Holdings Ltd. (a)(b) | 11,624 | |||||||||
452 | Royal Caribbean Cruises Ltd. ADR (Liberia) | 25,502 | |||||||||
55,114 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
73
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.3% | |||||||||||
365 | Genuine Parts Co. | $ | 33,007 | ||||||||
TOTAL COMMON STOCKS (Cost $5,958,669) | $ | 5,978,544 | |||||||||
SHORT TERM INVESTMENTS - 29.4% | |||||||||||
Money Market Funds - 29.4% | |||||||||||
1,560,593 | Dreyfus Government Cash Management Institutional Shares, 0.02% (c)(d) | $ | 1,560,593 | ||||||||
2,159,868 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (c)(††) | 2,159,868 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,720,461) | $ | 3,720,461 | |||||||||
TOTAL INVESTMENTS (Cost $9,679,130) - 76.7% (e) | $ | 9,699,005 | |||||||||
Other Assets in Excess of Liabilities - 23.3% | 2,948,088 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 12,647,093 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 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 $9,699,005.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 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 | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 5,719 | $ | 5,539,568 | $ | 2,737,198 | |||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 0.7379% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/16/2020 | 2,951 | 3,026,237 | 1,242,213 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 1,403 | 1,643,336 | 386,543 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 8,637 | 11,612,416 | 872,140 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 1,992 | 2,391,893 | 490,280 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 0.5478% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 11/24/2021 | 1,429 | 2,151,086 | (87,287 | ) | ||||||||||||||||||||
$ | 26,364,536 | $ | 5,641,087 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
74
Direxion Daily Dow Jones Internet Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 63.1% | |||||||||||
Administrative and Support Services - 1.6% | |||||||||||
2,831 | Teladoc Health, Inc. (a) | $ | 556,178 | ||||||||
Computer and Electronic Product Manufacturing - 3.6% | |||||||||||
1,576 | Arista Networks, Inc. (a) | 329,226 | |||||||||
24,452 | Cisco Systems, Inc. | 877,827 | |||||||||
1,207,053 | |||||||||||
Data Processing, Hosting, and Related Services - 1.6% | |||||||||||
4,652 | Match Group, Inc. (a) | 543,261 | |||||||||
Electronics and Appliance Stores - 0.7% | |||||||||||
4,991 | Smartsheet, Inc. (a) | 248,801 | |||||||||
Food and Beverage Stores - 0.8% | |||||||||||
3,730 | Grubhub, Inc. (a) | 275,871 | |||||||||
Miscellaneous Store Retailers - 1.1% | |||||||||||
3,169 | Etsy, Inc. (a) | 385,319 | |||||||||
Motion Picture and Sound Recording Industries - 3.1% | |||||||||||
2,196 | Netflix, Inc. (a) | 1,044,725 | |||||||||
Nonstore Retailers - 7.4% | |||||||||||
668 | Amazon.com, Inc. (a) | 2,028,148 | |||||||||
10,312 | eBay, Inc. | 491,161 | |||||||||
2,519,309 | |||||||||||
Other Information Services - 9.1% | |||||||||||
601 | Alphabet, Inc. Class A (a) | 971,282 | |||||||||
588 | Alphabet, Inc. Class C (a) | 953,154 | |||||||||
10,984 | Pinterest, Inc. (a) | 647,507 | |||||||||
13,160 | Twitter, Inc. (a) | 544,297 | |||||||||
3,116,240 | |||||||||||
Professional, Scientific, and Technical Services - 10.4% | |||||||||||
4,861 | 2U, Inc. (a) | 179,128 | |||||||||
6,204 | Ciena Corp. (a) | 244,375 | |||||||||
15,025 | Cloudera, Inc. (a) | 146,043 | |||||||||
5,842 | Facebook, Inc. (a) | 1,537,089 | |||||||||
4,541 | GoDaddy, Inc. (a) | 321,230 | |||||||||
12,126 | Juniper Networks, Inc. | 239,125 | |||||||||
2,277 | Okta, Inc. (a) | 477,783 | |||||||||
2,139 | VeriSign, Inc. (a) | 407,907 | |||||||||
3,552,680 | |||||||||||
Publishing Industries (except Internet) - 15.4% | |||||||||||
3,707 | Akamai Technologies, Inc. (a) | 352,610 | |||||||||
9,745 | Box, Inc. (a) | 151,048 | |||||||||
2,835 | Citrix Systems, Inc. | 321,120 | |||||||||
1,540 | Coupa Software, Inc. (a) | 412,258 | |||||||||
2,711 | DocuSign, Inc. (a) | 548,300 | |||||||||
12,355 | Dropbox, Inc. (a) | 225,602 | |||||||||
1,201 | HubSpot, Inc. (a) | 348,374 | |||||||||
4,452 | Salesforce.com, Inc. (a) | 1,034,066 | |||||||||
18,503 | Snap, Inc. (a) | 728,833 | |||||||||
2,061 | Veeva Systems, Inc. (a) | 556,573 | |||||||||
2,654 | Workday, Inc. (a) | 557,659 | |||||||||
5,236,443 |
Shares | Fair Value | ||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.4% | |||||||||||
16,386 | CommScope Holding Co., Inc. (a) | $ | 145,836 | ||||||||
Support Activities for Transportation - 1.0% | |||||||||||
3,602 | Expedia, Inc. | 339,128 | |||||||||
Telecommunications - 6.9% | |||||||||||
9,556 | 8x8, Inc. (a) | 165,128 | |||||||||
5,733 | PayPal Holdings, Inc. (a) | 1,067,083 | |||||||||
16,873 | Vonage Holdings Corp. (a) | 178,516 | |||||||||
2,060 | Zoom Video Communications, Inc. (a) | 949,475 | |||||||||
2,360,202 | |||||||||||
TOTAL COMMON STOCKS (Cost $19,294,653) | $ | 21,531,046 | |||||||||
SHORT TERM INVESTMENTS - 42.4% | |||||||||||
Money Market Funds - 42.4% | |||||||||||
8,817,358 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 8,817,358 | ||||||||
5,643,083 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 5,643,083 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,460,441) | $ | 14,460,441 | |||||||||
TOTAL INVESTMENTS (Cost $33,755,094) - 105.5% (c) | $ | 35,991,487 | |||||||||
Liabilities in Excess of Other Assets - (5.5)% | (1,891,373 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 34,100,114 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $35,817,936.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
75
Direxion Daily Dow Jones Internet Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 Internet Composite Index | 0.4993% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 30,515 | $ | 22,892,196 | $ | 2,890,080 | |||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 0.5979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 41,894 | 35,422,855 | (13,326 | ) | ||||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 0.5479% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 18,148 | 10,776,316 | 4,545,381 | |||||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 0.4479% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 5,003 | 4,472,652 | (243,923 | ) | ||||||||||||||||||||
$ | 73,564,019 | $ | 7,178,212 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
76
Direxion Daily Dow Jones Internet Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 70.6% | |||||||||||
Money Market Funds - 70.6% | |||||||||||
1,830,807 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 1,830,807 | ||||||||
1,916,434 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 1,916,434 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,747,241) (b) | $ | 3,747,241 | |||||||||
TOTAL INVESTMENTS (Cost $3,747,241) - 70.6% | $ | 3,747,241 | |||||||||
Other Assets in Excess of Liabilities - 29.4% | 1,557,772 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 5,305,013 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,747,241.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.2993% representing 1 month LIBOR rate + spread | Total return of Dow Jones Internet Composite Index | Bank of America Merrill Lynch | 12/3/2020 | 6,998 | $ | 5,721,820 | $ | (195,708 | ) | ||||||||||||||||||
0.2979% representing 1 month LIBOR rate + spread | Total return of Dow Jones Internet Composite Index | Credit Suisse Capital LLC | 12/11/2020 | 11,827 | 10,159,394 | 160,068 | |||||||||||||||||||||
$ | 15,881,214 | $ | (35,640 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
77
Direxion Daily Financial Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 72.7% | |||||||||||
Administrative and Support Services - 2.5% | |||||||||||
38,030 | Broadridge Financial Solutions, Inc. | $ | 5,232,928 | ||||||||
12,350 | FactSet Research System, Inc. | 3,785,275 | |||||||||
131,926 | IHS Markit Ltd. | 10,668,856 | |||||||||
54,024 | Moody's Corp. | 14,202,909 | |||||||||
33,889,968 | |||||||||||
Credit Intermediation and Related Activities - 27.6% | |||||||||||
124,112 | Ally Financial, Inc. | 3,311,308 | |||||||||
50,335 | Associated Banc-Corp | 689,086 | |||||||||
2,574,436 | Bank of America Corp. | 61,014,133 | |||||||||
13,082 | Bank of Hawaii Corp. | 793,292 | |||||||||
265,531 | Bank of New York Mellon Corp. | 9,123,645 | |||||||||
40,556 | Bank OZK | 1,004,978 | |||||||||
10,409 | BOK Financial Corp. | 611,425 | |||||||||
693,008 | Citigroup, Inc. | 28,704,391 | |||||||||
141,576 | Citizens Financial Group, Inc. | 3,857,946 | |||||||||
46,207 | Comerica, Inc. | 2,102,881 | |||||||||
33,392 | Commerce Bancshares, Inc. | 2,078,652 | |||||||||
3,266 | Credit Acceptance Corp. (a) | 973,660 | |||||||||
101,839 | Discover Financial Services | 6,620,553 | |||||||||
46,824 | East West Bancorp, Inc. | 1,708,139 | |||||||||
107,083 | F.N.B. Corp. | 809,547 | |||||||||
236,300 | Fifth Third Bancorp | 5,486,886 | |||||||||
2,090 | First Citizens BancShares, Inc. Class A | 967,043 | |||||||||
43,038 | First Hawaiian, Inc. | 742,836 | |||||||||
181,221 | First Horizon National Corp. | 1,886,511 | |||||||||
56,588 | First Republic Bank | 7,138,010 | |||||||||
335,524 | Huntington Bancshares, Inc. | 3,502,871 | |||||||||
1,008,156 | JPMorgan Chase & Co. | 98,839,614 | |||||||||
322,752 | KeyCorp | 4,189,321 | |||||||||
2,617 | LendingTree, Inc. (a) | 846,835 | |||||||||
42,535 | M&T Bank Corp. | 4,405,775 | |||||||||
149,381 | New York Community Bancorp, Inc. | 1,241,356 | |||||||||
63,812 | Northern Trust Corp. | 4,994,565 | |||||||||
21,588 | OneMain Holdings, Inc. | 753,205 | |||||||||
38,748 | PacWest Bancorp | 745,512 | |||||||||
140,469 | People's United Financial, Inc. | 1,498,804 | |||||||||
24,535 | Pinnacle Financial Partners, Inc. | 1,123,458 | |||||||||
141,090 | PNC Financial Services Group, Inc. | 15,785,149 | |||||||||
27,562 | Popular, Inc. | 1,163,116 | |||||||||
29,647 | Prosperity Bancshares, Inc. | 1,633,846 | |||||||||
319,212 | Regions Financial Corp. | 4,245,520 | |||||||||
31,671 | Rocket Cos., Inc. (a) | 577,362 | |||||||||
24,638 | Santander Consumer USA Holdings, Inc. | 501,137 | |||||||||
17,274 | Signature Bank | 1,394,703 | |||||||||
124,303 | SLM Corp. | 1,142,345 | |||||||||
116,971 | State Street Corp. | 6,889,592 | |||||||||
64,190 | Sterling Bancorp | 858,862 | |||||||||
17,068 | SVB Financial Group (a) | 4,961,668 | |||||||||
48,571 | Synovus Financial Corp. | 1,262,846 | |||||||||
50,103 | TCF Financial Corp. | 1,363,303 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
16,224 | TFS Financial Corp. | $ | 254,879 | ||||||||
448,127 | Truist Financial Corp. | 18,875,109 | |||||||||
452,198 | U.S. Bancorp | 17,613,112 | |||||||||
29,718 | Webster Financial Corp. | 957,217 | |||||||||
1,249,699 | Wells Fargo & Co. | 26,806,044 | |||||||||
32,455 | Western Alliance Bancorp | 1,337,146 | |||||||||
18,953 | Wintrust Financial Corp. | 933,056 | |||||||||
53,632 | Zions Bancorp | 1,730,705 | |||||||||
372,052,955 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.3% | |||||||||||
184,568 | AGNC Investment Corp. | 2,578,415 | |||||||||
38,673 | Carlyle Group, Inc. | 963,731 | |||||||||
3,542,146 | |||||||||||
Insurance Carriers and Related Activities - 25.0% | |||||||||||
236,081 | Aflac, Inc. | 8,014,950 | |||||||||
4,601 | Alleghany Corp. | 2,516,425 | |||||||||
104,243 | Allstate Corp. | 9,251,566 | |||||||||
24,132 | American Financial Group, Inc. | 1,808,452 | |||||||||
286,637 | American International Group, Inc. | 9,026,199 | |||||||||
2,448 | American Naional Group, Inc. | 168,422 | |||||||||
76,273 | AON PLC | 14,034,995 | |||||||||
130,624 | Arch Capital Group Ltd. (a) | 3,946,151 | |||||||||
62,549 | Arthur J. Gallagher & Co. | 6,486,957 | |||||||||
19,796 | Assurant, Inc. | 2,462,028 | |||||||||
26,782 | Assured Guaranty Ltd. | 683,745 | |||||||||
38,372 | Athene Holding Ltd. (a) | 1,230,974 | |||||||||
27,564 | Axis Capital Holdings Ltd. | 1,176,707 | |||||||||
637,748 | Berkshire Hathaway, Inc. Class B (a) | 128,761,321 | |||||||||
30,857 | Brighthouse Financial, Inc. (a) | 1,021,367 | |||||||||
78,294 | Brown & Brown, Inc. | 3,406,572 | |||||||||
149,558 | Chubb Limited (Switzerland) | 19,429,080 | |||||||||
49,736 | Cincinnati Financial Corp. | 3,518,325 | |||||||||
9,318 | CNA Financial Corp. | 277,583 | |||||||||
135,058 | Equitable Holdings, Inc. | 2,902,396 | |||||||||
8,352 | Erie Indemnity Co. Class A | 1,944,930 | |||||||||
13,072 | Everest Re Group Ltd. | 2,576,230 | |||||||||
36,020 | First American Financial Corp. | 1,606,132 | |||||||||
34,842 | Globe Life, Inc. | 2,825,338 | |||||||||
13,767 | GoHealth, Inc. (a) | 142,626 | |||||||||
12,561 | Hanover Insurance Group, Inc. | 1,201,585 | |||||||||
118,779 | Hartford Financial Services Group, Inc. | 4,575,367 | |||||||||
20,505 | Kemper Corp. | 1,264,338 | |||||||||
4,218 | Lemonade, Inc. (a) | 212,123 | |||||||||
63,978 | Lincoln National Corp. | 2,245,628 | |||||||||
79,572 | Loews Corp. | 2,759,557 | |||||||||
4,488 | Markel Corp. (a) | 4,186,406 | |||||||||
168,346 | Marsh & McLennan Companies, Inc. | 17,417,077 | |||||||||
9,070 | Mercury General Corp. | 369,240 | |||||||||
255,813 | MetLife, Inc. | 9,682,522 | |||||||||
112,152 | MGIC Investment Corp. | 1,128,249 | |||||||||
94,005 | Old Republic International Corp. | 1,530,401 | |||||||||
13,044 | Primerica, Inc. | 1,437,971 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
78
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
90,235 | Principal Financial Group, Inc. | $ | 3,539,017 | ||||||||
194,475 | Progressive Corp. | 17,872,252 | |||||||||
131,529 | Prudential Financial, Inc. | 8,420,487 | |||||||||
22,496 | Reinsurance Group of America, Inc. | 2,272,546 | |||||||||
16,803 | RenaissanceRe Holdings Ltd. | 2,717,381 | |||||||||
84,060 | Travelers Companies, Inc. | 10,146,883 | |||||||||
67,510 | Unum Group | 1,192,227 | |||||||||
41,757 | Voya Financial, Inc. | 2,001,413 | |||||||||
46,253 | W.R. Berkley Corp. | 2,780,730 | |||||||||
1,005 | White Mountains Insurance Group Ltd. | 912,872 | |||||||||
42,760 | Willis Towers Watson PLC (Ireland) | 7,802,845 | |||||||||
336,888,588 | |||||||||||
Management of Companies and Enterprises - 0.1% | |||||||||||
18,604 | Cullen/Frost Bankers, Inc. | 1,307,303 | |||||||||
73,058 | Umpqua Holdings Corp. | 917,609 | |||||||||
2,224,912 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
75,314 | Jefferies Financial Group, Inc. | 1,469,376 | |||||||||
Real Estate - 0.4% | |||||||||||
466,327 | Annaly Capital Management, Inc. | 3,306,258 | |||||||||
137,618 | New Residential Investment Corp. | 1,032,135 | |||||||||
90,765 | Starwood Property Trust, Inc. | 1,267,987 | |||||||||
5,606,380 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 16.6% | |||||||||||
15,346 | Affiliated Managers Group | 1,156,628 | |||||||||
39,969 | Ameriprise Financial, Inc. | 6,428,214 | |||||||||
56,666 | Apollo Global Management, Inc. | 2,088,709 | |||||||||
32,577 | Ares Management Corp. | 1,378,007 | |||||||||
48,972 | BlackRock, Inc. | 29,344,512 | |||||||||
36,375 | CBOE Holdings, Inc. | 2,956,924 | |||||||||
477,783 | Charles Schwab Corp. | 19,641,659 | |||||||||
118,089 | CME Group, Inc. | 17,798,374 | |||||||||
36,784 | Eaton Vance Corp. | 2,199,316 | |||||||||
13,104 | Evercore, Inc. | 1,042,292 | |||||||||
91,306 | FNF Group | 2,856,965 | |||||||||
89,993 | Franklin Resources, Inc. | 1,687,369 | |||||||||
110,220 | Goldman Sachs Group, Inc. | 20,835,989 | |||||||||
24,359 | Interactive Brokers Group, Inc. Class A | 1,158,758 | |||||||||
179,647 | IntercontinentalExchange, Inc. | 16,958,677 | |||||||||
125,246 | Invesco Ltd. | 1,641,975 | |||||||||
177,035 | KKR & Co., Inc. | 6,045,745 | |||||||||
33,495 | Lazard Ltd. Class A | 1,127,777 | |||||||||
26,074 | LPL Investment Holdings, Inc. | 2,084,095 | |||||||||
12,262 | MarketAxess Holdings, Inc. | 6,607,379 | |||||||||
443,523 | Morgan Stanley | 21,355,632 | |||||||||
7,192 | Morningstar, Inc. | 1,369,213 | |||||||||
27,063 | MSCI, Inc. Class A | 9,467,720 |
Shares | Fair Value | ||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities (continued) | |||||||||||
38,032 | NASDAQ OMX Group, Inc. | $ | 4,601,492 | ||||||||
40,768 | Raymond James Financial, Inc. | 3,116,306 | |||||||||
80,129 | S&P Global, Inc. | 25,860,032 | |||||||||
38,310 | SEI Investments Co. | 1,882,936 | |||||||||
75,199 | T. Rowe Price Group, Inc. | 9,524,705 | |||||||||
27,803 | Tradeweb Markets Inc. | 1,514,707 | |||||||||
21,039 | Virtu Financial, Inc. | 449,814 | |||||||||
224,181,921 | |||||||||||
TOTAL COMMON STOCKS (Cost $958,129,771) | $ | 979,856,246 | |||||||||
SHORT TERM INVESTMENTS - 27.4% | |||||||||||
Money Market Funds - 27.4% | |||||||||||
164,864,366 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 164,864,366 | ||||||||
19,340,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 0.00% (b)(††) | 19,340,000 | |||||||||
185,414,933 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 185,414,933 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $369,619,299) | $ | 369,619,299 | |||||||||
TOTAL INVESTMENTS (Cost $1,327,749,070) - 100.1% (c) | $ | 1,349,475,545 | |||||||||
Liabilities in Excess of Other Assets - (0.1)% | (1,837,307 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,347,638,238 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,062,497,968.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
79
Direxion Daily Financial Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 | 0.6493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 124,002 | $ | 230,203,278 | $ | (7,461,902 | ) | ||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.5879% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 618,177 | 1,049,404,827 | 67,434,009 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.6479% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 296,809 | 522,749,880 | 11,861,334 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 5/19/2021 | 5,856 | 9,193,937 | 1,401,128 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 95,000 | 178,110,022 | (6,714,930 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.7979% representing 1 month LIBOR rate + spread | Citibank N.A. | 6/17/2021 | 414,162 | 766,060,344 | (21,499,595 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 10/20/2021 | 42,534 | 79,556,910 | (3,181,831 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.5479% representing 1 month LIBOR rate + spread | Barclays | 11/5/2021 | 70,000 | 130,994,696 | (5,259,439 | ) | ||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 15,000 | 26,872,009 | 61,113 | |||||||||||||||||||||
Total return of Russell 1000® Financial Services Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 25,000 | 47,222,888 | (2,324,236 | ) | ||||||||||||||||||||
$ | 3,040,368,791 | $ | 34,315,651 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
80
Direxion Daily Financial Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 71.4% | |||||||||||
Money Market Funds - 71.4% | |||||||||||
67,010,782 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 67,010,782 | ||||||||
126,905,708 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 126,905,708 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $193,916,490) (b) | $ | 193,916,490 | |||||||||
TOTAL INVESTMENTS (Cost $193,916,490) - 71.4% | $ | 193,916,490 | |||||||||
Other Assets in Excess of Liabilities - 28.6% | 77,751,184 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 271,667,674 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $193,916,490.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.2479% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | Credit Suisse Capital LLC | 12/09/2020 | 53,334 | $ | 96,749,177 | $ | 792,920 | |||||||||||||||||||
0.4493% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | Bank of America Merrill Lynch | 12/9/2020 | 108,933 | 202,048,057 | 6,301,190 | |||||||||||||||||||||
0.2979% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | UBS Securities LLC | 12/9/2020 | 52,021 | 91,364,850 | (2,446,638 | ) | ||||||||||||||||||||
0.3979% representing 1 month LIBOR rate + spread | Total return of Russell 1000® Financial Services Index | J.P. Morgan | 12/9/2020 | 239,790 | 410,370,961 | (22,209,525 | ) | ||||||||||||||||||||
$ | 800,533,045 | $ | (17,562,053 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
81
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 60.8% | |||||||||||
Ambulatory Health Care Services - 0.7% | |||||||||||
1,235 | DaVita, Inc. (a) | $ | 106,519 | ||||||||
1,599 | Laboratory Corp. of America Holdings (a) | 319,432 | |||||||||
2,204 | Quest Diagnostics, Inc. | 269,196 | |||||||||
695,147 | |||||||||||
Chemical Manufacturing - 29.9% | |||||||||||
29,054 | Abbott Laboratories | 3,053,866 | |||||||||
28,959 | AbbVie, Inc. | 2,464,411 | |||||||||
3,597 | Alexion Pharmaceuticals, Inc. (a) | 414,158 | |||||||||
9,611 | Amgen, Inc. | 2,085,010 | |||||||||
2,597 | Biogen, Inc. (a) | 654,626 | |||||||||
36,985 | Bristol-Myers Squibb Co. | 2,161,773 | |||||||||
2,693 | Catalent, Inc. (a) | 236,364 | |||||||||
13,026 | Eli Lilly and Company | 1,699,372 | |||||||||
20,573 | Gilead Sciences, Inc. | 1,196,320 | |||||||||
2,396 | Illumina, Inc. (a) | 701,309 | |||||||||
3,051 | Incyte Corp. (a) | 264,339 | |||||||||
43,202 | Johnson & Johnson | 5,923,426 | |||||||||
41,504 | Merck & Co., Inc. | 3,121,516 | |||||||||
8,483 | Mylan NV (a) | 123,343 | |||||||||
2,239 | Perrigo Co. PLC ADR (Ireland) | 98,225 | |||||||||
91,184 | Pfizer, Inc. | 3,235,208 | |||||||||
1,716 | Regeneron Pharmaceuticals, Inc. (a) | 932,749 | |||||||||
4,274 | Vertex Pharmaceuticals, Inc. (a) | 890,531 | |||||||||
1,212 | West Pharmaceutical Services, Inc. | 329,749 | |||||||||
7,796 | Zoetis, Inc. | 1,236,056 | |||||||||
30,822,351 | |||||||||||
Computer and Electronic Product Manufacturing - 7.5% | |||||||||||
5,059 | Agilent Technologies, Inc. | 516,473 | |||||||||
351 | Bio-Rad Laboratories, Inc. (a) | 205,834 | |||||||||
10,360 | Danaher Corp. | 2,378,034 | |||||||||
4,249 | Hologic, Inc. (a) | 292,416 | |||||||||
1,396 | IDEXX Laboratories, Inc. (a) | 593,049 | |||||||||
1,835 | PerkinElmer, Inc. | 237,724 | |||||||||
6,491 | Thermo Fisher Scientific, Inc. | 3,071,022 | |||||||||
1,496 | Varian Medical Systems, Inc. (a) | 258,509 | |||||||||
1,017 | Waters Corp. (a) | 226,608 | |||||||||
7,779,669 | |||||||||||
Health and Personal Care Stores - 1.2% | |||||||||||
21,474 | CVS Health Corp. | 1,204,477 | |||||||||
Hospitals - 0.7% | |||||||||||
4,328 | HCA Healthcare, Inc. | 536,413 | |||||||||
1,275 | Universal Health Services, Inc. Class B | 139,676 | |||||||||
676,089 | |||||||||||
Insurance Carriers and Related Activities - 8.1% | |||||||||||
4,127 | Anthem, Inc. | 1,125,846 | |||||||||
9,509 | Centene Corp. | 561,982 | |||||||||
6,025 | Cigna Corp. | 1,005,994 | |||||||||
2,171 | Humana, Inc. | 866,837 | |||||||||
15,594 | UnitedHealth Group, Inc. | 4,758,353 | |||||||||
8,319,012 |
Shares | Fair Value | ||||||||||
Machinery Manufacturing - 0.4% | |||||||||||
394 | Mettler-Toledo International, Inc. (a) | $ | 393,176 | ||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
2,343 | Henry Schein, Inc. (a) | 148,968 | |||||||||
Merchant Wholesalers, Nondurable Goods - 0.8% | |||||||||||
2,412 | AmerisourceBergen Corp. | 231,721 | |||||||||
4,799 | Cardinal Health, Inc. | 219,746 | |||||||||
2,661 | McKesson Corp. | 392,471 | |||||||||
843,938 | |||||||||||
Miscellaneous Manufacturing - 10.6% | |||||||||||
739 | Abiomed, Inc. (a) | 186,139 | |||||||||
1,177 | Align Technology, Inc. (a) | 501,496 | |||||||||
8,306 | Baxter International, Inc. | 644,297 | |||||||||
4,756 | Becton, Dickinson & Co. | 1,099,254 | |||||||||
23,476 | Boston Scientific Corp. (a) | 804,523 | |||||||||
3,585 | Dentsply Sirona, Inc. | 169,176 | |||||||||
1,571 | DexCom, Inc. (a) | 502,060 | |||||||||
10,202 | Edwards Lifesciences Corp. | 731,381 | |||||||||
1,920 | Intuitive Surgical, Inc. (a) | 1,280,794 | |||||||||
22,058 | Medtronic PLC ADR (Ireland) | 2,218,373 | |||||||||
2,377 | ResMed, Inc. | 456,241 | |||||||||
1,396 | STERIS PLC (Ireland) | 247,357 | |||||||||
5,362 | Stryker Corp. | 1,083,178 | |||||||||
763 | Teleflex, Inc. | 242,810 | |||||||||
806 | The Cooper Companies, Inc. | 257,154 | |||||||||
3,398 | Zimmer Biomet Holdings, Inc. | 448,876 | |||||||||
10,873,109 | |||||||||||
Professional, Scientific, and Technical Services - 0.8% | |||||||||||
5,011 | Cerner Corp. | 351,221 | |||||||||
3,138 | IQVIA Holdings, Inc. (a) | 483,221 | |||||||||
834,442 | |||||||||||
TOTAL COMMON STOCKS (Cost $62,108,549) | $ | 62,590,378 | |||||||||
SHORT TERM INVESTMENTS - 19.7% | |||||||||||
Money Market Funds - 19.7% | |||||||||||
3,382,726 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 3,382,726 | ||||||||
16,951,103 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 16,951,103 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $20,333,829) | $ | 20,333,829 | |||||||||
TOTAL INVESTMENTS (Cost $82,442,378) - 80.5% (c) | $ | 82,924,207 | |||||||||
Other Assets in Excess of Liabilities - 19.5% | 20,114,831 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 103,039,038 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
82
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $73,471,897.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 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 | 0.5493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 10,484 | $ | 11,386,366 | $ | (621,612 | ) | ||||||||||||||||||
Total return of Health Care Select Sector Index | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 101,502 | 103,414,493 | 1,362,892 | |||||||||||||||||||||
Total return of Health Care Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 83,638 | 85,858,854 | 367,259 | |||||||||||||||||||||
Total return of Health Care Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 44,443 | 36,672,131 | 9,243,843 | |||||||||||||||||||||
$ | 237,331,844 | $ | 10,352,382 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
83
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 87.1% | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 8.1% | |||||||||||
92,393 | Lowe's Companies, Inc. | $ | 14,607,334 | ||||||||
18,925 | Lumber Liquidators Holdings, Inc. (a) | 418,621 | |||||||||
53,206 | The Home Depot, Inc. | 14,190,572 | |||||||||
29,216,527 | |||||||||||
Construction of Buildings - 50.4% | |||||||||||
58,825 | Beazer Homes USA, Inc. (a) | 716,489 | |||||||||
57,898 | Century Communities, Inc. (a) | 2,248,758 | |||||||||
660,498 | D.R. Horton, Inc. | 44,127,871 | |||||||||
96,043 | Green Brick Partners, Inc. (a) | 1,718,209 | |||||||||
175,733 | KB Home | 5,667,389 | |||||||||
30,784 | Lennar Corp. Class B | 1,751,302 | |||||||||
548,033 | Lennar Corp. Class A | 38,488,358 | |||||||||
44,063 | LGI Homes, Inc. (a) | 4,709,453 | |||||||||
99,957 | M.D.C Holdings, Inc. | 4,350,129 | |||||||||
56,964 | M/I Homes, Inc. (a) | 2,330,967 | |||||||||
75,046 | Meritage Homes Corp. (a) | 6,535,756 | |||||||||
6,948 | NVR, Inc. (a) | 27,466,069 | |||||||||
535,180 | PulteGroup, Inc. | 21,813,937 | |||||||||
258,825 | Taylor Morrison Home Corp. (a) | 5,590,620 | |||||||||
229,150 | Toll Brothers, Inc. | 9,688,462 | |||||||||
260,079 | TRI Pointe Group, Inc. (a) | 4,273,098 | |||||||||
181,476,867 | |||||||||||
Fabricated Metal Product Manufacturing - 0.9% | |||||||||||
38,684 | PGT Innovations, Inc. (a) | 641,381 | |||||||||
28,525 | Simpson Manufacturing Company, Inc. | 2,530,738 | |||||||||
3,172,119 | |||||||||||
Furniture and Home Furnishings Stores - 1.4% | |||||||||||
14,296 | Ethan Allen Interiors, Inc. | 229,451 | |||||||||
68,055 | Floor & Decor Holdings, Inc. (a) | 4,968,015 | |||||||||
5,197,466 | |||||||||||
Furniture and Related Product Manufacturing - 0.3% | |||||||||||
11,154 | American Woodmark Corp. (a) | 921,432 | |||||||||
Management of Companies and Enterprises - 0.4% | |||||||||||
47,055 | AZEK Co., Inc. (a) | 1,573,519 | |||||||||
Merchant Wholesalers, Durable Goods - 8.2% | |||||||||||
35,699 | Beacon Roofing Supply, Inc. (a) | 1,095,959 | |||||||||
76,574 | Builders FirstSource, Inc. (a) | 2,320,192 | |||||||||
90,634 | Fortune Brands Home & Security, Inc. | 7,329,572 | |||||||||
86,848 | Leggett & Platt, Inc. | 3,624,167 | |||||||||
22,836 | Lennox International, Inc. | 6,203,628 | |||||||||
39,227 | Mohawk Industries, Inc. (a) | 4,047,834 | |||||||||
21,532 | Watsco, Inc. | 4,826,182 | |||||||||
29,447,534 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 4.1% | |||||||||||
21,233 | The Sherwin Williams Co. | 14,607,879 | |||||||||
Nonmetallic Mineral Product Manufacturing - 2.0% | |||||||||||
27,398 | Eagle Materials, Inc. | 2,335,680 | |||||||||
70,861 | Owens Corning | 4,639,270 | |||||||||
21,517 | Quanex Building Products Corp. | 391,609 | |||||||||
7,366,559 |
Shares | Fair Value | ||||||||||
Specialty Trade Contractors - 3.9% | |||||||||||
45,200 | Installed Building Products, Inc. (a) | $ | 4,092,408 | ||||||||
66,012 | TopBuild Corp. (a) | 10,113,698 | |||||||||
14,206,106 | |||||||||||
Wood Product Manufacturing - 7.4% | |||||||||||
17,037 | Cavco Industries, Inc. (a) | 2,932,749 | |||||||||
44,206 | JELD-WEN Holding, Inc. (a) | 929,652 | |||||||||
73,678 | Louisiana-Pacific Corp. | 2,105,717 | |||||||||
171,574 | Masco Corp. | 9,196,367 | |||||||||
16,072 | Masonite International Corp. (a) | 1,414,336 | |||||||||
104,034 | Skyline Champion Corp. (a) | 2,668,472 | |||||||||
75,940 | Trex Company, Inc. (a) | 5,280,868 | |||||||||
40,135 | UFP Industries, Inc. | 2,003,138 | |||||||||
26,531,299 | |||||||||||
TOTAL COMMON STOCKS (Cost $318,142,817) | $ | 313,717,307 | |||||||||
SHORT TERM INVESTMENTS - 16.5% | |||||||||||
Money Market Funds - 16.5% | |||||||||||
17,451,200 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 17,451,200 | ||||||||
16,960,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 0.00% (b)(††) | 16,960,000 | |||||||||
25,026,687 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 25,026,687 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $59,437,887) | $ | 59,437,887 | |||||||||
TOTAL INVESTMENTS (Cost $377,580,704) - 103.6% (c) | $ | 373,155,194 | |||||||||
Liabilities in Excess of Other Assets - (3.6)% | (13,013,759 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 360,141,435 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $227,157,946.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
84
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 9,843 | $ | 49,459,106 | $ | 42,109,200 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 20,742 | 149,243,253 | 43,496,967 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 25,613 | 149,631,288 | 88,472,593 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 0.7979% representing 1 month LIBOR rate + spread | Citibank N.A. | 6/17/2021 | 15,607 | 124,508,438 | 20,366,463 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 0.4946% representing 1 month LIBOR rate + spread | Barclays | 11/26/2021 | 10,840 | 102,736,031 | (2,171,171 | ) | ||||||||||||||||||||
$ | 575,578,116 | $ | 192,274,052 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
85
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 67.3% | |||||||||||
Administrative and Support Services - 3.0% | |||||||||||
599 | Equifax, Inc. | $ | 81,823 | ||||||||
1,840 | IHS Markit Ltd. | 148,801 | |||||||||
565 | Robert Half International, Inc. | 28,640 | |||||||||
728 | Rollins, Inc. | 42,115 | |||||||||
1,917 | Waste Management, Inc. | 206,863 | |||||||||
508,242 | |||||||||||
Air Transportation - 1.9% | |||||||||||
609 | Alaska Air Group, Inc. | 23,075 | |||||||||
2,509 | American Airlines Group, Inc. | 28,302 | |||||||||
3,147 | Delta Air Lines, Inc. | 96,424 | |||||||||
2,910 | Southwest Airlines Co. | 115,032 | |||||||||
1,436 | United Airlines Holdings (a) | 48,623 | |||||||||
311,456 | |||||||||||
Computer and Electronic Product Manufacturing - 8.9% | |||||||||||
1,132 | AMETEK, Inc. | 111,163 | |||||||||
1,663 | Fortive Corp. | 102,441 | |||||||||
3,671 | Johnson Controls International PLC ADR (Ireland) | 154,953 | |||||||||
1,067 | L3 Harris Technologies, Inc. | 171,904 | |||||||||
765 | Northrop Grumman Corp. | 221,712 | |||||||||
2,008 | Otis Worldwide Corp. | 123,050 | |||||||||
7,537 | Raytheon Technologies Corp. | 409,410 | |||||||||
517 | Roper Technologies, Inc. | 191,983 | |||||||||
1,486,616 | |||||||||||
Couriers and Messengers - 5.1% | |||||||||||
1,189 | FedEx Corp. | 308,510 | |||||||||
3,488 | United Parcel Service, Inc. Class B | 548,000 | |||||||||
856,510 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 3.4% | |||||||||||
668 | A.O. Smith Corp. | 34,529 | |||||||||
1,974 | Eaton Corp PLC ADR (Ireland) | 204,881 | |||||||||
2,949 | Emerson Electric Co. | 191,066 | |||||||||
573 | Rockwell Automation, Inc. | 135,870 | |||||||||
566,346 | |||||||||||
Fabricated Metal Product Manufacturing - 1.8% | |||||||||||
634 | Parker Hannifin Corp. | 132,100 | |||||||||
818 | Pentair PLC (Ireland) | 40,704 | |||||||||
788 | Stanley Black & Decker, Inc. | 130,966 | |||||||||
303,770 | |||||||||||
Machinery Manufacturing - 10.9% | |||||||||||
4,018 | Carrier Global Corp. | 134,161 | |||||||||
2,671 | Caterpillar, Inc. | 419,481 | |||||||||
729 | Cummins, Inc. | 160,300 | |||||||||
1,546 | Deere & Co. | 349,257 | |||||||||
642 | Flowserve Corp. | 18,695 | |||||||||
43,191 | General Electric Co. | 320,477 | |||||||||
373 | IDEX Corp. | 63,555 | |||||||||
1,832 | Ingersoll Rand, Inc. (a) | 64,010 | |||||||||
268 | Snap-on, Inc. | 42,218 | |||||||||
1,181 | Trane Technologies PLC (Ireland) | 156,778 | |||||||||
888 | Xylem, Inc. | 77,380 | |||||||||
1,806,312 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Durable Goods - 8.1% | |||||||||||
2,842 | 3M Co. | $ | 454,606 | ||||||||
1,019 | Copart, Inc. (a) | 112,457 | |||||||||
2,830 | Fastenal Co. | 122,341 | |||||||||
681 | Fortune Brands Home & Security, Inc. | 55,072 | |||||||||
3,463 | Honeywell International, Inc. | 571,222 | |||||||||
200 | Huntington Ingalls Industries, Inc. | 29,496 | |||||||||
1,345,194 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.7% | |||||||||||
1,419 | Illinois Tool Works, Inc. | 277,954 | |||||||||
Miscellaneous Manufacturing - 0.7% | |||||||||||
712 | Dover Corp. | 78,826 | |||||||||
1,125 | Textron, Inc. | 40,275 | |||||||||
119,101 | |||||||||||
Nonstore Retailers - 0.5% | |||||||||||
222 | W.W. Grainger, Inc. | 77,704 | |||||||||
Personal and Laundry Services - 0.8% | |||||||||||
429 | Cintas Corp. | 134,942 | |||||||||
Primary Metal Manufacturing - 0.2% | |||||||||||
1,937 | Howmet Aerospace, Inc. | 33,413 | |||||||||
Professional, Scientific, and Technical Services - 1.7% | |||||||||||
642 | Jacobs Engineering Group, Inc. | 60,990 | |||||||||
1,760 | Nielsen Holdings PLC | 23,778 | |||||||||
182 | Teledyne Technologies, Inc. (a) | 56,265 | |||||||||
802 | Verisk Analytics, Inc. Class A | 142,732 | |||||||||
283,765 | |||||||||||
Rail Transportation - 7.4% | |||||||||||
3,776 | CSX Corp. | 298,077 | |||||||||
466 | Kansas City Southern Railway Co. | 82,081 | |||||||||
1,258 | Norfolk Southern Corp. | 263,073 | |||||||||
3,350 | Union Pacific Corp. | 593,587 | |||||||||
1,236,818 | |||||||||||
Rental and Leasing Services - 0.4% | |||||||||||
355 | United Rentals, Inc. (a) | 63,293 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.3% | |||||||||||
456 | Allegion PLC ADR (Ireland) | 44,916 | |||||||||
Specialty Trade Contractors - 0.3% | |||||||||||
680 | Quanta Services, Inc. | 42,452 | |||||||||
Support Activities for Transportation - 0.8% | |||||||||||
665 | C.H. Robinson Worldwide, Inc. | 58,806 | |||||||||
826 | Expeditors International of Washington, Inc. | 72,994 | |||||||||
131,800 | |||||||||||
Transportation Equipment Manufacturing - 7.7% | |||||||||||
2,618 | Boeing Co. | 378,013 | |||||||||
1,147 | General Dynamics Corp. | 150,635 | |||||||||
1,214 | Lockheed Martin Corp. | 425,058 | |||||||||
1,708 | Paccar, Inc. | 145,829 | |||||||||
267 | TransDigm Group, Inc. | 127,468 | |||||||||
882 | Wabtec Corp. | 52,303 | |||||||||
1,279,306 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
86
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Truck Transportation - 0.8% | |||||||||||
411 | J.B. Hunt Transport Services, Inc. | $ | 50,035 | ||||||||
475 | Old Dominion Freight Line, Inc. | 90,426 | |||||||||
140,461 | |||||||||||
Waste Management and Remediation Services - 0.5% | |||||||||||
1,038 | Republic Services, Inc. | 91,520 | |||||||||
Wood Product Manufacturing - 0.4% | |||||||||||
1,290 | Masco Corp. | 69,144 | |||||||||
TOTAL COMMON STOCKS (Cost $11,235,349) | $ | 11,211,035 | |||||||||
SHORT TERM INVESTMENTS - 30.2% | |||||||||||
Money Market Funds - 30.2% | |||||||||||
693,203 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 693,203 | ||||||||
1,840,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 0.00% (b)(††) | 1,840,000 | |||||||||
2,483,468 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 2,483,468 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,016,671) | $ | 5,016,671 | |||||||||
TOTAL INVESTMENTS (Cost $16,252,020) - 97.5% (c) | $ | 16,227,706 | |||||||||
Other Assets in Excess of Liabilities - 2.5% | 408,667 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 16,636,373 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $13,360,460.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 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 Industrials Select Sector Index | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 6,495 | $ | 3,913,156 | $ | 1,078,151 | |||||||||||||||||||
Total return of Industrials Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 8,647 | 5,748,412 | 884,722 | |||||||||||||||||||||
Total return of Industrials Select Sector Index | 0.7979% representing 1 month LIBOR rate + spread | Citibank N.A. | 06/03/2021 | 14,491 | 10,189,249 | 907,473 | |||||||||||||||||||||
Total return of Industrials Select Sector Index | 0.4478% representing 1 month LIBOR rate + spread | Barclays | 11/26/2021 | 21,033 | 16,083,192 | (17,008 | ) | ||||||||||||||||||||
$ | 35,934,009 | $ | 2,853,338 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
87
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 65.9% | |||||||||||
Accommodation - 0.9% | |||||||||||
1,428 | Chatham Lodging Trust | $ | 10,496 | ||||||||
21,456 | Host Hotels & Resorts, Inc. | 224,859 | |||||||||
7,169 | Park Hotels & Resorts, Inc. | 71,188 | |||||||||
5,007 | Service Property Trust | 36,101 | |||||||||
3,214 | Summit Hotel Properties, Inc. | 16,970 | |||||||||
6,562 | Sunstone Hotel Investors, Inc. | 48,690 | |||||||||
3,454 | Xenia Hotels & Resorts, Inc. | 28,461 | |||||||||
436,765 | |||||||||||
Administrative and Support Services - 0.6% | |||||||||||
14,643 | Colony Capital, Inc. | 52,129 | |||||||||
3,642 | CoreCivic, Inc. | 23,345 | |||||||||
8,762 | Iron Mountain, Inc. | 228,338 | |||||||||
303,812 | |||||||||||
Credit Intermediation and Related Activities - 0.0% (†) | |||||||||||
1,564 | Front Yard Residential Corp. | 20,942 | |||||||||
Data Processing, Hosting and Related Services - 0.5% | |||||||||||
3,507 | CyrusOne, Inc. | 249,172 | |||||||||
Forestry and Logging - 0.2% | |||||||||||
4,148 | Rayonier, Inc. | 105,276 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 2.0% | |||||||||||
2,621 | Acadia Realty Trust | 24,454 | |||||||||
1,640 | Agree Realty Corp. | 101,795 | |||||||||
302 | Ashford Hospitality Trust, Inc. | 390 | |||||||||
2,719 | Cedar Realty Trust, Inc. | 2,583 | |||||||||
6,062 | Diamondrock Hospitality Co. | 29,946 | |||||||||
1,188 | EastGroup Properties, Inc. | 158,099 | |||||||||
3,871 | First Industrial Realty Trust, Inc. | 154,104 | |||||||||
3,267 | Franklin Street Properties Corp. (a) | 13,721 | |||||||||
1,070 | Getty Realty Corp. | 28,120 | |||||||||
1,034 | Gladstone Commercial Corp. | 16,802 | |||||||||
8,339 | Lexington Realty Trust | 82,806 | |||||||||
2,830 | Monmouth Real Estate Investment Corp. Class A | 39,195 | |||||||||
1,357 | National Health Investors, Inc. | 76,060 | |||||||||
498 | One Liberty Properties, Inc. | 7,684 | |||||||||
628 | PS Business Parks, Inc. | 71,611 | |||||||||
421 | Saul Centers, Inc. | 10,420 | |||||||||
4,700 | SITE Centers Corp. | 32,007 | |||||||||
3,135 | Spirit Realty Capital, Inc. | 94,207 | |||||||||
2,846 | Tanger Factory Outlet Centers, Inc. | 17,617 | |||||||||
1,127 | UMH Properties, Inc. | 15,361 | |||||||||
399 | Universal Health Realty Income Trust | 21,335 | |||||||||
910 | Urstadt Biddle Properties, Inc. Class A | 8,654 | |||||||||
1,006,971 | |||||||||||
Heavy and Civil Engineering Construction - 0.1% | |||||||||||
984 | St. Joe Co. (a) | 26,607 | |||||||||
Insurance Carriers and Related Activities - 0.0% (†) | |||||||||||
918 | Braemar Hotels & Resorts, Inc. | 2,222 | |||||||||
Paper Manufacturing - 0.2% | |||||||||||
2,038 | PotlatchDeltic Corp. | 84,679 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services - 1.4% | |||||||||||
3,927 | Extra Space Storage, Inc. | $ | 455,336 | ||||||||
2,626 | Lamar Advertising Co. | 162,707 | |||||||||
4,393 | Outfront Media, Inc. | 57,592 | |||||||||
675,635 | |||||||||||
Real Estate - 50.0% | |||||||||||
2,091 | Alexander & Baldwin, Inc. | 26,869 | |||||||||
71 | Alexander's, Inc. | 17,266 | |||||||||
3,840 | Alexandria Real Estate Equities, Inc. | 581,837 | |||||||||
161 | Altisource Portfolio Solutions S.A. (a) | 1,792 | |||||||||
1,551 | American Assets Trust, Inc. | 32,462 | |||||||||
4,187 | American Campus Communities, Inc. | 156,845 | |||||||||
8,226 | American Homes 4 Rent | 232,549 | |||||||||
13,492 | American Tower Corp. | 3,098,438 | |||||||||
6,095 | Americold Realty Trust | 220,822 | |||||||||
4,531 | Apartment Investment & Management Co. Class A | 144,539 | |||||||||
6,452 | Apple Hospitality REIT, Inc. | 63,875 | |||||||||
1,718 | Armada Hoffler Properties, Inc. | 15,479 | |||||||||
4,282 | AvalonBay Communities, Inc. | 595,755 | |||||||||
4,492 | Boston Properties, Inc. | 325,266 | |||||||||
5,189 | Brandywine Realty Trust | 45,456 | |||||||||
9,022 | Brixmor Property Group, Inc. | 98,881 | |||||||||
2,962 | Camden Property Trust | 273,215 | |||||||||
2,914 | CareTrust REIT, Inc. | 49,829 | |||||||||
1,479 | CatchMark Timber Trust, Inc. | 12,853 | |||||||||
10,199 | CBRE Group, Inc. Class A (a) | 514,030 | |||||||||
1,450 | City Office REIT, Inc. | 9,164 | |||||||||
3,480 | Columbia Property Trust, Inc. | 36,818 | |||||||||
642 | Community Healthcare Trust, Inc. | 29,725 | |||||||||
1,238 | CorePoint Lodging, Inc. | 5,918 | |||||||||
1,155 | CoreSite Realty Corp. | 137,861 | |||||||||
3,415 | Corporate Office Properties Trust | 76,598 | |||||||||
4,520 | Cousins Properties, Inc. | 115,170 | |||||||||
5,891 | CubeSmart | 199,882 | |||||||||
3,354 | Cushman & Wakefield PLC (United Kingdom) (a) | 39,309 | |||||||||
8,165 | Digital Realty Trust, Inc. | 1,178,209 | |||||||||
7,241 | Diversified Healthcare Trust | 20,963 | |||||||||
5,070 | Douglas Emmett, Inc. | 119,652 | |||||||||
11,212 | Duke Realty Corp. | 425,944 | |||||||||
2,288 | Easterly Government Properties, Inc. | 47,819 | |||||||||
4,510 | Empire State Realty Trust, Inc. | 24,264 | |||||||||
2,357 | EPR Properties | 56,191 | |||||||||
3,697 | Equity Commonwealth | 97,675 | |||||||||
5,267 | Equity Lifestyle Properties, Inc. | 311,754 | |||||||||
11,323 | Equity Residential | 531,955 | |||||||||
2,799 | Essential Properties Realty Trust, Inc. | 46,239 | |||||||||
1,988 | Essex Property Trust, Inc. | 406,725 | |||||||||
811 | eXp World Holdings, Inc. (a) | 34,378 | |||||||||
2,186 | Federal Realty Investment Trust | 150,353 | |||||||||
1,578 | Five Point Holdings, LLC (a) | 6,612 | |||||||||
513 | Forestar Group, Inc. (a) | 8,536 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
88
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
2,141 | Four Corners Property Trust, Inc. | $ | 54,253 | ||||||||
6,417 | Gaming & Leisure Properties, Inc. | 233,258 | |||||||||
1,300 | Global Medical REIT, Inc. | 16,159 | |||||||||
2,724 | Global Net Lease, Inc. | 38,763 | |||||||||
4,108 | Healthcare Realty Trust, Inc. | 114,202 | |||||||||
6,649 | Healthcare Trust of America, Inc. Class A | 161,571 | |||||||||
16,381 | Healthpeak Properties, Inc. | 441,796 | |||||||||
1,059 | Hersha Hospitality Trust | 5,189 | |||||||||
3,162 | Highwoods Properties, Inc. | 94,133 | |||||||||
1,255 | Howard Hughes Corp. (a) | 78,048 | |||||||||
4,668 | Hudson Pacific Properties, Inc. | 89,906 | |||||||||
2,882 | Independence Realty Trust, Inc. | 35,016 | |||||||||
1,981 | Industrial Logistics Properties Trust | 37,996 | |||||||||
650 | Innovative Industrial Properties, Inc. | 75,809 | |||||||||
368 | Investors Real Estate Trust | 24,807 | |||||||||
16,550 | Invitation Homes, Inc. | 451,153 | |||||||||
2,328 | iStar, Inc. | 27,470 | |||||||||
3,660 | JBG SMITH Properties | 85,461 | |||||||||
1,571 | Jones Lang LaSalle, Inc. | 177,303 | |||||||||
3,929 | Kennedy-Wilson Holdings, Inc. | 51,784 | |||||||||
3,152 | Kilroy Realty Corp. | 148,396 | |||||||||
13,163 | Kimco Realty Corp. | 135,052 | |||||||||
2,560 | Kite Realty Group Trust | 26,522 | |||||||||
1,424 | Life Storage, Inc. | 162,550 | |||||||||
1,193 | LTC Properties, Inc. | 39,381 | |||||||||
3,229 | Macerich Co. | 22,474 | |||||||||
2,756 | Mack-Cali Realty Corp. | 30,288 | |||||||||
720 | Marcus & Millichap, Inc. (a) | 22,486 | |||||||||
16,077 | Medical Properties Trust, Inc. | 286,492 | |||||||||
3,999 | MGM Growth Properties LLC | 105,774 | |||||||||
3,478 | Mid-America Apartment Communities, Inc. | 405,639 | |||||||||
5,233 | National Retail Properties, Inc. | 167,508 | |||||||||
2,075 | National Storage Affiliates Trust | 70,322 | |||||||||
2,522 | New Senior Investment Group, Inc. | 9,861 | |||||||||
4,539 | Newmark Group, Inc. | 21,492 | |||||||||
593 | NexPoint Residential Trust, Inc. | 26,282 | |||||||||
1,467 | Office Properties Income Trust | 27,007 | |||||||||
6,903 | Omega Healthcare Investors, Inc. | 198,875 | |||||||||
5,400 | Paramount Group, Inc. | 31,212 | |||||||||
3,981 | Pebblebrook Hotel Trust | 47,692 | |||||||||
2,041 | Pennsylvania REIT | 1,018 | |||||||||
6,166 | Physicians Realty Trust | 103,959 | |||||||||
3,833 | Piedmont Office Realty Trust, Inc. Class A | 43,773 | |||||||||
1,450 | Preferred Apartment Communities, Inc. | 7,830 | |||||||||
22,475 | Prologis, Inc. | 2,229,520 | |||||||||
4,787 | Public Storage | 1,096,558 | |||||||||
1,836 | QTS Realty Trust, Inc. Class A | 112,932 | |||||||||
3,512 | Realogy Holdings Corp. (a) | 39,194 | |||||||||
10,451 | Realty Income Corp. | 604,695 |
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
2,849 | Redfin Corp. (a) | $ | 119,003 | ||||||||
5,161 | Regency Centers Corp. | 183,680 | |||||||||
3,540 | Retail Opportunity Investments Corp. | 34,444 | |||||||||
6,515 | Retail Properties of America, Inc. Class A | 34,139 | |||||||||
514 | Retail Value, Inc. | 6,425 | |||||||||
3,731 | Rexford Industrial Realty, Inc. | 173,342 | |||||||||
5,025 | RLJ Lodging Trust | 41,105 | |||||||||
2,451 | RPT Realty | 11,985 | |||||||||
1,592 | Ryman Hospitality Properties, Inc. | 63,441 | |||||||||
6,255 | Sabra Health Care REIT, Inc. | 82,316 | |||||||||
390 | Safehold, Inc. | 26,840 | |||||||||
1,116 | Seritage Growth Properties (a) | 14,207 | |||||||||
9,305 | Simon Property Group, Inc. | 584,447 | |||||||||
�� | 2,330 | SL Green Realty Corp. | 99,747 | ||||||||
4,526 | Stag Industrial, Inc. | 140,849 | |||||||||
7,067 | Store Capital Corp. | 181,622 | |||||||||
2,992 | Sun Communities, Inc. | 411,789 | |||||||||
1,876 | Taubman Centers, Inc. | 62,696 | |||||||||
678 | Tejon Ranch Co. (a) | 9,295 | |||||||||
2,059 | Terreno Realty Corp. | 115,881 | |||||||||
3,693 | The GEO Group, Inc. | 32,720 | |||||||||
468 | The RMR Group LLC | 12,477 | |||||||||
8,976 | UDR, Inc. | 280,410 | |||||||||
5,611 | Uniti Group, Inc. | 49,489 | |||||||||
3,544 | Urban Edge Properties | 33,314 | |||||||||
11,354 | Ventas, Inc. | 448,142 | |||||||||
32,803 | VEREIT, Inc. | 203,379 | |||||||||
14,262 | VICI Properties, Inc. | 327,313 | |||||||||
4,943 | Vornado Realty Trust | 151,898 | |||||||||
5,703 | Washington Prime Group, Inc. | 3,339 | |||||||||
2,505 | Washington REIT | 43,787 | |||||||||
3,705 | Weingarten Realty Investors | 58,761 | |||||||||
12,703 | Welltower, Inc. | 683,040 | |||||||||
22,712 | Weyerhaeuser Co. | 619,810 | |||||||||
1,155 | Whitestone REIT | 6,884 | |||||||||
5,246 | WP Carey, Inc. | 328,452 | |||||||||
24,825,101 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% | |||||||||||
3,301 | American Finance Trust, Inc. | 19,030 | |||||||||
551 | RE/MAX Holdings, Inc. | 17,820 | |||||||||
36,850 | |||||||||||
Telecommunications - 9.9% | |||||||||||
12,684 | Crown Castle International Corp. | 1,981,241 | |||||||||
2,692 | Equinix, Inc. | 1,968,498 | |||||||||
3,398 | SBA Communications Corp. | 986,677 | |||||||||
4,936,416 | |||||||||||
Utilities — 0.0% (†) | |||||||||||
415 | CorEnergy Infrastructure Trust, Inc. | 1,942 | |||||||||
TOTAL COMMON STOCKS (Cost $32,789,657) | $ | 32,712,390 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
89
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 29.7% | |||||||||||
Money Market Funds - 29.7% | |||||||||||
11,435,151 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 11,435,151 | ||||||||
3,312,108 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 3,312,108 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,747,259) | $ | 14,747,259 | |||||||||
TOTAL INVESTMENTS (Cost $47,536,916) - 95.6% (c) | $ | 47,459,649 | |||||||||
Other Assets in Excess of Liabilities - 4.4% | 2,198,996 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 49,658,645 |
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%.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $42,228,506.
Long Total Return Swap Contracts
October 31, 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 | 0.1493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 47,632 | $ | 46,124,147 | $ | (1,758,812 | ) | ||||||||||||||||||
Total return of MSCI US IMI Real Estate 25/50 Index | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 15,533 | 12,144,418 | 2,461,066 | |||||||||||||||||||||
Total return of MSCI US IMI Real Estate 25/50 Index | 0.3979% representing 1 month LIBOR rate + spread | JP Morgan | 12/9/2020 | 9,038 | 8,649,623 | (274,210 | ) | ||||||||||||||||||||
Total return of MSCI US IMI Real Estate 25/50 Index | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 53,399 | 52,607,535 | (3,033,591 | ) | ||||||||||||||||||||
$ | 119,525,723 | $ | (2,605,547 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
90
Direxion Daily MSCI Real Estate Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 59.8% | |||||||||||
Money Market Funds - 59.8% | |||||||||||
14,027,989 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 14,027,989 | ||||||||
13,045,002 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 13,045,002 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $27,072,991) (b) | $ | 27,072,991 | |||||||||
TOTAL INVESTMENTS (Cost $27,072,991) - 59.8% | $ | 27,072,991 | |||||||||
Other Assets in Excess of Liabilities - 40.2% | 18,210,306 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 45,283,297 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $27,072,991.
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.3479% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | UBS Securities LLC | 12/9/2020 | 16,361 | $ | 15,260,752 | $ | 21,061 | |||||||||||||||||||
(0.0508)% 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 | 51,533 | 48,814,464 | 772,129 | |||||||||||||||||||||
0.2979% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | Credit Suisse Capital LLC | 12/11/2020 | 53,214 | 51,599,084 | 2,206,887 | |||||||||||||||||||||
(0.1021)% representing 1 month LIBOR rate + spread | Total return of MSCI US IMI Real Estate 25/50 Index | J.P. Morgan | 5/3/2021 | 25,655 | 24,567,730 | 797,879 | |||||||||||||||||||||
$ | 140,242,030 | $ | 3,797,956 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
91
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 62.8% | |||||||||||
Administrative and Support Services - 2.6% | |||||||||||
7,890 | Royalty Pharma PLC (United Kingdom) | $ | 289,563 | ||||||||
Ambulatory Health Care Services - 2.0% | |||||||||||
3,268 | Axsome Therapeutics, Inc. (a) | 216,701 | |||||||||
Chemical Manufacturing - 50.9% | |||||||||||
6,903 | Aerie Pharmaceuticals, Inc. (a) | 73,241 | |||||||||
2,192 | Amphastar Pharmaceuticals, Inc. (a) | 42,941 | |||||||||
7,545 | BioDelivery Sciences International, Inc. (a) | 23,842 | |||||||||
5,157 | Bristol-Myers Squibb Co. | 301,427 | |||||||||
3,259 | Cara Therapeutics, Inc. (a) | 43,214 | |||||||||
3,679 | Catalent, Inc. (a) | 322,906 | |||||||||
2,789 | Collegium Pharmaceutical, Inc. (a) | 49,728 | |||||||||
6,032 | Corcept Therapeutics, Inc. (a) | 101,217 | |||||||||
9,120 | CymaBay Therapeutics, Inc. (a) | 75,878 | |||||||||
11,236 | Elanco Animal Health, Inc. (a) | 348,428 | |||||||||
2,055 | Eli Lilly and Company | 268,095 | |||||||||
4,313 | Horizon Therapeutics PLC (Ireland) (a) | 323,173 | |||||||||
5,635 | Innoviva, Inc. (a) | 60,914 | |||||||||
4,226 | Intra-Cellular Therapies, Inc. (a) | 104,255 | |||||||||
2,225 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 320,623 | |||||||||
2,059 | Johnson & Johnson | 282,310 | |||||||||
3,602 | Merck & Co., Inc. | 270,906 | |||||||||
19,848 | Mylan NV (a) | 288,590 | |||||||||
2,286 | MyoKardia, Inc. (a) | 510,990 | |||||||||
7,971 | Nektar Therapeutics (a) | 126,261 | |||||||||
4,192 | Pacira Pharmaceuticals, Inc. (a) | 219,242 | |||||||||
6,258 | Perrigo Co. PLC ADR (Ireland) | 274,539 | |||||||||
8,436 | Pfizer, Inc. | 299,309 | |||||||||
498 | Phathom Pharmaceuticals, Inc. (a) | 19,601 | |||||||||
2,935 | Prestige Consumer Healthcare, Inc. (a) | 96,943 | |||||||||
6,200 | Provention Bio, Inc. (a) | 73,532 | |||||||||
982 | Relmada Therapeutics, Inc. (a) | 30,373 | |||||||||
2,894 | Revance Therapeutics, Inc. (a) | 74,897 | |||||||||
3,763 | Supernus Pharmaceuticals, Inc. (a) | 69,089 | |||||||||
3,744 | Theravance Biopharma, Inc. (a) | 70,799 | |||||||||
1,918 | Zoetis, Inc. | 304,099 | |||||||||
6,691 | Zogenix, Inc. (a) | 142,652 | |||||||||
5,614,014 | |||||||||||
Computer and Electronic Product Manufacturing - 0.5% | |||||||||||
5,370 | Ocular Therapeutix, Inc. (a) | 51,015 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Nondurable Goods - 2.3% | |||||||||||
11,540 | Amneal Pharmaceuticals, Inc. (a) | $ | 48,006 | ||||||||
41,554 | Endo International PLC (Ireland) (a) | 189,902 | |||||||||
1,210 | Phibro Animal Health Corp. | 19,892 | |||||||||
257,800 | |||||||||||
Miscellaneous Manufacturing - 0.3% | |||||||||||
2,117 | Intersect ENT, Inc. (a) | 32,813 | |||||||||
Professional, Scientific, and Technical Services - 4.2% | |||||||||||
3,826 | Arvinas, Inc. (a) | 80,002 | |||||||||
3,684 | Omeros Corp. (a) | 37,356 | |||||||||
3,006 | Reata Pharmaceuticals, Inc. (a) | 350,830 | |||||||||
468,188 | |||||||||||
TOTAL COMMON STOCKS (Cost $6,932,782) | $ | 6,930,094 | |||||||||
SHORT TERM INVESTMENTS - 16.7% | |||||||||||
Money Market Funds - 16.7% | |||||||||||
1,345,833 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 1,345,833 | ||||||||
493,084 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 493,084 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,838,917) | $ | 1,838,917 | |||||||||
TOTAL INVESTMENTS (Cost $8,771,699) - 79.5% (c) | $ | 8,769,011 | |||||||||
Other Assets in Excess of Liabilities - 20.5% | 2,260,409 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 11,029,420 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $8,166,196.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
92
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 Pharmaceuticals Select Industry Index | 0.3979% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 2,554 | $ | 10,585,362 | $ | 2,407,820 | |||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 0.7979% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 516 | 2,735,852 | (115,407 | ) | ||||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/14/2020 | 2,080 | 9,659,066 | 913,903 | |||||||||||||||||||||
$ | 22,980,280 | $ | 3,206,316 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
93
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 48.5% | |||||||||||
Credit Intermediation and Related Activities - 46.1% | |||||||||||
1,465 | 1st Source Corp. | $ | 49,063 | ||||||||
1,366 | Allegiance Bancshares, Inc. | 38,658 | |||||||||
8,679 | Ameris Bancorp | 254,295 | |||||||||
29,331 | Associated Banc-Corp | 401,541 | |||||||||
7,705 | Atlantic Union Bankshares Corp. | 194,859 | |||||||||
2,305 | BancFirst Corp. | 102,457 | |||||||||
11,193 | BancorpSouth Bank | 262,028 | |||||||||
6,700 | Bank of Hawaii Corp. | 406,288 | |||||||||
23,303 | Bank OZK | 577,448 | |||||||||
20,295 | BankUnited, Inc. | 512,449 | |||||||||
4,498 | Banner Corp. | 165,841 | |||||||||
14,265 | Berkshire Hills Bancorp, Inc. | 185,873 | |||||||||
5,882 | BOK Financial Corp. | 345,509 | |||||||||
12,364 | Boston Private Financial Holdings, Inc. | 76,410 | |||||||||
8,336 | Brookline Bancorp, Inc. | 79,859 | |||||||||
38,873 | Cadence Bancorporation | 436,155 | |||||||||
1,296 | Camden National Corp. | 41,433 | |||||||||
8,632 | Cathay General Bancorp | 203,111 | |||||||||
4,411 | Central Pacific Financial Corp. | 60,739 | |||||||||
56,187 | CIT Group, Inc. | 1,654,707 | |||||||||
64,016 | Citizens Financial Group, Inc. | 1,744,436 | |||||||||
1,798 | City Holding Co. | 108,653 | |||||||||
10,562 | Columbia Banking System, Inc. | 300,066 | |||||||||
38,241 | Comerica, Inc. | 1,740,348 | |||||||||
9,574 | Commerce Bancshares, Inc. | 595,982 | |||||||||
5,418 | Community Bank System, Inc. | 314,190 | |||||||||
3,287 | ConnectOne Bancorp, Inc. | 50,718 | |||||||||
4,885 | Customers Bancorp, Inc. (a) | 67,511 | |||||||||
14,994 | CVB Financial Corp. | 262,395 | |||||||||
4,967 | Dime Community Bancshares, Inc. | 62,833 | |||||||||
3,629 | Eagle Bancorp, Inc. (a) | 108,580 | |||||||||
21,186 | East West Bancorp, Inc. | 772,865 | |||||||||
2,637 | Enterprise Financial Services Corp. | 76,763 | |||||||||
57,350 | F.N.B. Corp. | 433,566 | |||||||||
3,240 | FB Financial Corp. | 95,580 | |||||||||
82,465 | Fifth Third Bancorp | 1,914,837 | |||||||||
3,142 | First Bancorp | 75,691 | |||||||||
35,980 | First BanCorp | 233,510 | |||||||||
3,895 | First Busey Corp. | 70,071 | |||||||||
1,130 | First Citizens BancShares, Inc. Class A | 522,851 | |||||||||
15,101 | First Commonwealth Financial Corp. | 130,171 | |||||||||
10,658 | First Financial Bancorp | 152,409 | |||||||||
10,822 | First Financial Bankshares, Inc. | 322,604 | |||||||||
30,406 | First Hawaiian, Inc. | 524,808 | |||||||||
158,462 | First Horizon National Corp. | 1,649,589 | |||||||||
5,263 | First Merchants Corp. | 137,417 | |||||||||
15,589 | First Midwest Bancorp, Inc. | 195,642 | |||||||||
16,222 | First Republic Bank | 2,046,243 | |||||||||
28,192 | Fulton Financial Corp. | 309,830 | |||||||||
9,376 | Glacier Bancorp, Inc. | 335,661 | |||||||||
14,724 | Great Western Bancorp, Inc. | 191,265 | |||||||||
12,753 | Hancock Holding Co. | 291,661 | |||||||||
6,623 | HarborOne Bancorp, Inc. | 62,256 | |||||||||
2,635 | Heartland Financial USA, Inc. | 86,797 | |||||||||
5,812 | Heritage Commerce Corp. | 42,137 | |||||||||
4,495 | Heritage Financial Corp. | 94,215 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
8,661 | Hilltop Holdings, Inc. | $ | 197,557 | ||||||||
20,780 | Home Bancshares, Inc. | 344,948 | |||||||||
24,587 | Hope Bancorp, Inc. | 198,417 | |||||||||
179,290 | Huntington Bancshares, Inc. | 1,871,788 | |||||||||
3,334 | Independent Bank Corp. (Massachusetts) | 191,005 | |||||||||
2,373 | Independent Bank Corp. (Michigan) | 35,524 | |||||||||
8,071 | Independent Bank Group, Inc. | 416,302 | |||||||||
4,203 | International Bancshares Corp. | 116,339 | |||||||||
41,183 | Investors Bancorp, Inc. | 348,408 | |||||||||
140,414 | KeyCorp | 1,822,574 | |||||||||
3,735 | Lakeland Bancorp, Inc. | 41,571 | |||||||||
2,762 | Lakeland Financial Corp. | 141,221 | |||||||||
3,057 | Live Oak Bancshares, Inc. | 113,965 | |||||||||
17,075 | M&T Bank Corp. | 1,768,629 | |||||||||
3,383 | NBT Bancorp, Inc. | 92,627 | |||||||||
572 | Nicolet Bankshares, Inc. (a) | 35,292 | |||||||||
5,438 | OceanFirst Financial Corp. | 81,407 | |||||||||
7,913 | OFG Bancorp | 113,868 | |||||||||
20,008 | Old National Bancorp | 279,712 | |||||||||
11,247 | Pacific Premier Bancorp, Inc. | 286,799 | |||||||||
30,242 | PacWest Bancorp | 581,856 | |||||||||
105,862 | People's United Financial, Inc. | 1,129,548 | |||||||||
8,381 | Pinnacle Financial Partners, Inc. | 383,766 | |||||||||
15,671 | PNC Financial Services Group, Inc. | 1,753,271 | |||||||||
15,907 | Popular, Inc. | 671,275 | |||||||||
1,831 | Preferred Bank | 61,943 | |||||||||
13,472 | Prosperity Bancshares, Inc. | 742,442 | |||||||||
150,653 | Regions Financial Corp. | 2,003,685 | |||||||||
5,373 | Renasant Corp. | 153,184 | |||||||||
5,097 | S&T Bancorp, Inc. | 100,870 | |||||||||
5,545 | Sandy Spring Bancorp, Inc. | 140,566 | |||||||||
6,026 | Seacoast Banking Corp. of Florida (a) | 129,438 | |||||||||
9,916 | Signature Bank | 800,618 | |||||||||
13,825 | Simmons First National Corp. | 234,887 | |||||||||
3,231 | Southside Bancshares, Inc. | 87,108 | |||||||||
63,236 | Sterling Bancorp | 846,098 | |||||||||
6,593 | SVB Financial Group (a) | 1,916,585 | |||||||||
30,117 | Synovus Financial Corp. | 783,042 | |||||||||
18,577 | TCF Financial Corp. | 505,480 | |||||||||
12,531 | Texas Capital Bancshares, Inc. (a) | 563,895 | |||||||||
7,947 | The Bancorp, Inc. (a) | 76,291 | |||||||||
891 | Tompkins Financial Corp. | 49,887 | |||||||||
2,166 | TriCo Bancshares | 62,662 | |||||||||
2,257 | Triumph Bancorp, Inc. (a) | 95,087 | |||||||||
45,398 | Truist Financial Corp. | 1,912,164 | |||||||||
8,314 | Trustmark Corp. | 194,464 | |||||||||
5,690 | UMB Financial Corp. | 346,350 | |||||||||
12,560 | United Bankshares, Inc. | 329,449 | |||||||||
12,481 | United Community Banks, Inc. | 261,352 | |||||||||
2,597 | Univest Corp. of Pennsylvania | 41,188 | |||||||||
54,149 | Valley National Bancorp | 413,698 | |||||||||
17,447 | Webster Financial Corp. | 561,968 | |||||||||
6,438 | WesBanco, Inc. | 156,379 | |||||||||
2,773 | Westamerica Bancorp | 145,222 | |||||||||
15,815 | Western Alliance Bancorp | 651,578 | |||||||||
8,440 | Wintrust Financial Corp. | 415,501 | |||||||||
43,159 | Zions Bancorp | 1,392,741 | |||||||||
51,366,365 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
94
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Management of Companies and Enterprises - 2.3% | |||||||||||
6,135 | Banc of California, Inc. | $ | 73,620 | ||||||||
2,008 | Bryn Mawr Bank Corp. | 53,935 | |||||||||
9,684 | Cullen/Frost Bankers, Inc. | 680,495 | |||||||||
4,973 | First Foundation, Inc. (a) | 73,948 | |||||||||
5,137 | First Interstate BancSystem, Inc. | 181,336 | |||||||||
2,972 | National Bank Holdings Corp. | 89,606 | |||||||||
1,494 | Park National Corp. | 136,925 | |||||||||
4,001 | ServisFirst Bancshares, Inc. | 147,637 | |||||||||
8,986 | South State Corp. | 551,740 | |||||||||
41,155 | Umpqua Holdings Corp. | 516,907 | |||||||||
5,460 | Veritex Holdings, Inc. | 107,726 | |||||||||
2,613,875 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% | |||||||||||
1,535 | QCR Holdings, Inc. | 47,631 | |||||||||
3,148 | TriState Capital Holdings, Inc. (a) | 39,634 | |||||||||
87,265 | |||||||||||
TOTAL COMMON STOCKS (Cost $51,817,996) | $ | 54,067,505 | |||||||||
SHORT TERM INVESTMENTS - 22.7% | |||||||||||
Money Market Funds - 22.7% | |||||||||||
10,313,813 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 10,313,813 | ||||||||
14,925,518 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 14,925,518 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $25,239,331) | $ | 25,239,331 | |||||||||
TOTAL INVESTMENTS (Cost $77,057,327) - 71.2% (c) | $ | 79,306,836 | |||||||||
Other Assets in Excess of Liabilities - 28.8% | 32,089,712 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 111,396,548 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $72,868,616.
Long Total Return Swap Contracts
October 31, 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 Regional Banks Select Industry Index | 0.4979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 100,999 | $ | 110,632,696 | $ | 20,681,429 | |||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/16/2020 | 92,940 | 108,545,002 | 11,642,833 | |||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/19/2021 | 23,361 | 29,929,487 | 205,480 | |||||||||||||||||||||
$ | 249,107,185 | $ | 32,529,742 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
95
Direxion Daily Retail Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 41.1% | |||||||||||
Administrative and Support Services - 0.5% | |||||||||||
66 | Booking Holdings, Inc. (a) | $ | 107,085 | ||||||||
Broadcasting (except Internet) - 0.3% | |||||||||||
10,919 | Qurate Retail, Inc. | 73,922 | |||||||||
Clothing and Clothing Accessories Stores - 7.6% | |||||||||||
8,139 | Abercrombie & Fitch Co. Class A | 115,736 | |||||||||
8,417 | American Eagle Outfitters, Inc. | 115,397 | |||||||||
4,048 | Boot Barn Holdings, Inc. (a) | 129,617 | |||||||||
19,105 | Designer Brands, Inc. | 82,725 | |||||||||
6,976 | Gap, Inc. | 135,683 | |||||||||
9,955 | Guess?, Inc. | 117,270 | |||||||||
4,145 | L Brands, Inc. | 132,681 | |||||||||
8,021 | Nordstrom, Inc. | 97,054 | |||||||||
1,286 | Ross Stores, Inc. | 109,529 | |||||||||
6,528 | Signet Jewelers Ltd. | 145,444 | |||||||||
3,969 | The Buckle, Inc. | 95,097 | |||||||||
1,020 | Tiffany & Co. | 133,457 | |||||||||
2,144 | TJX Companies, Inc. | 108,915 | |||||||||
5,126 | Urban Outfitters, Inc. (a) | 114,515 | |||||||||
2,637 | Zumiez, Inc. (a) | 73,836 | |||||||||
1,706,956 | |||||||||||
Data Processing, Hosting and Related Services - 0.5% | |||||||||||
1,643 | Shutterstock, Inc. | 107,534 | |||||||||
Electronics and Appliance Stores - 0.5% | |||||||||||
1,084 | Best Buy Co., Inc. | 120,920 | |||||||||
Food and Beverage Stores - 2.4% | |||||||||||
3,002 | Grocery Outlet Holding Corp. (a) | 132,148 | |||||||||
1,678 | Grubhub, Inc. (a) | 124,105 | |||||||||
1,004 | Ingles Markets, Inc. | 36,004 | |||||||||
3,377 | Kroger Co. | 108,773 | |||||||||
5,368 | Sprouts Farmers Market, Inc. (a) | 102,260 | |||||||||
995 | Weis Markets, Inc. | 45,183 | |||||||||
548,473 | |||||||||||
Food Services and Drinking Places - 1.0% | |||||||||||
648 | Casey's General Stores, Inc. | 109,233 | |||||||||
460 | Wayfair, Inc. (a) | 114,094 | |||||||||
223,327 | |||||||||||
General Merchandise Stores - 6.4% | |||||||||||
2,452 | Big Lots, Inc. | 116,715 | |||||||||
2,849 | BJ's Wholesale Club Holdings, Inc. (a) | 109,088 | |||||||||
571 | Burlington Stores, Inc. (a) | 110,534 | |||||||||
342 | Costco Wholesale Corp. | 122,306 | |||||||||
579 | Dollar General Corp. | 120,843 | |||||||||
1,289 | Dollar Tree, Inc. (a) | 116,423 | |||||||||
893 | Five Below, Inc. (a) | 119,073 | |||||||||
5,442 | Kohl's Corp. | 115,860 | |||||||||
16,463 | Macy's, Inc. | 102,235 | |||||||||
814 | PriceSmart, Inc. | 56,166 | |||||||||
786 | Target Corp. | 119,645 | |||||||||
843 | Tractor Supply Co. | 112,296 | |||||||||
849 | Wal-Mart Stores, Inc. | 117,799 | |||||||||
1,438,983 | |||||||||||
Health and Personal Care Stores - 1.9% | |||||||||||
4,001 | Petmed Express, Inc. | 118,350 | |||||||||
9,844 | Rite Aid Corp. (a) | 89,974 |
Shares | Fair Value | ||||||||||
Health and Personal Care Stores (continued) | |||||||||||
507 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | $ | 104,832 | ||||||||
3,345 | Walgreens Boots Alliance, Inc. | 113,864 | |||||||||
427,020 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.2% | |||||||||||
425 | America's Car-Mart, Inc. (a) | 36,771 | |||||||||
Merchant Wholesalers, Nondurable Goods - 0.6% | |||||||||||
3,393 | Foot Locker, Inc. | 125,134 | |||||||||
Miscellaneous Manufacturing - 0.6% | |||||||||||
3,105 | National Vision Holdings, Inc. (a) | 125,225 | |||||||||
Miscellaneous Store Retailers - 3.5% | |||||||||||
4,971 | 1-800-Flowers.com, Inc. (a) | 98,575 | |||||||||
2,157 | Chewy, Inc. (a) | 132,871 | |||||||||
1,048 | Etsy, Inc. (a) | 127,426 | |||||||||
1,310 | Ollie's Bargain Outlet Holdings, Inc. (a) | 114,088 | |||||||||
3,954 | Rent-A-Center, Inc. | 122,179 | |||||||||
10,600 | Sally Beauty Holdings, Inc. (a) | 88,722 | |||||||||
5,462 | The ODP Corp. | 106,509 | |||||||||
790,370 | |||||||||||
Motor Vehicle and Parts Dealers - 6.6% | |||||||||||
750 | Advance Auto Parts, Inc. | 110,460 | |||||||||
1,109 | Asbury Automotive Group, Inc. (a) | 114,205 | |||||||||
2,114 | AutoNation, Inc. (a) | 119,927 | |||||||||
94 | AutoZone, Inc. (a) | 106,124 | |||||||||
1,142 | CarMax, Inc. (a) | 98,714 | |||||||||
11,953 | CarParts.com, Inc. (a) | 151,684 | |||||||||
666 | Carvana Co. (a) | 123,443 | |||||||||
1,319 | Group 1 Automotive, Inc. | 139,920 | |||||||||
3,031 | MarineMax, Inc. (a) | 90,869 | |||||||||
835 | Murphy USA, Inc. (a) | 102,112 | |||||||||
244 | O'Reilly Automotive, Inc. (a) | 106,530 | |||||||||
2,420 | Penske Automotive Group, Inc. | 123,807 | |||||||||
2,859 | Sonic Automotive, Inc. | 103,096 | |||||||||
1,490,891 | |||||||||||
Nonstore Retailers - 2.1% | |||||||||||
37 | Amazon.com, Inc. (a) | 112,338 | |||||||||
2,199 | eBay, Inc. | 104,738 | |||||||||
1,781 | Overstock.com, Inc. (a) | 99,914 | |||||||||
4,307 | Stitch Fix, Inc. (a) | 148,290 | |||||||||
465,280 | |||||||||||
Professional, Scientific, and Technical Services - 1.9% | |||||||||||
3,583 | Groupon, Inc. (a) | 69,474 | |||||||||
20,434 | Magnite, Inc. (a) | 184,519 | |||||||||
4,860 | Quotient Technology, Inc. (a) | 43,254 | |||||||||
551 | Stamps.Com., Inc. (a) | 123,005 | |||||||||
420,252 | |||||||||||
Repair and Maintenance - 0.5% | |||||||||||
2,669 | Monro Muffler Brake, Inc. | 112,258 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.4% | |||||||||||
3,370 | Camping World Holdings, Inc. | 89,103 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
96
Direxion Daily Retail Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Sporting Goods, Hobby, Musical Instrument, and Book Stores - 2.6% | |||||||||||
2,063 | Dick's Sporting Goods, Inc. | $ | 116,869 | ||||||||
19,058 | GameStop Corp. Class A (a) | 199,537 | |||||||||
1,955 | Hibbett Sports, Inc. (a) | 73,919 | |||||||||
8,727 | Sportsman's Warehouse Holdings, Inc. (a) | 113,626 | |||||||||
11,149 | The Michaels Companies, Inc. (a) | 90,418 | |||||||||
594,369 | |||||||||||
Support Activities for Transportation - 0.5% | |||||||||||
1,225 | Expedia, Inc. | 115,334 | |||||||||
Truck Transportation - 0.5% | |||||||||||
486 | Lithia Motors, Inc. Class A | 111,572 | |||||||||
TOTAL COMMON STOCKS (Cost $8,481,322) | $ | 9,230,779 | |||||||||
SHORT TERM INVESTMENTS - 35.6% | |||||||||||
Money Market Funds - 35.6% | |||||||||||
976,430 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 976,430 | ||||||||
7,028,743 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 7,028,743 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,005,173) | $ | 8,005,173 | |||||||||
TOTAL INVESTMENTS (Cost $16,486,495) - 76.7% (c) | $ | 17,235,952 | |||||||||
Other Assets in Excess of Liabilities - 23.3% | 5,249,215 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 22,485,167 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $12,040,943.
Long Total Return Swap Contracts
October 31, 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 | 0.4979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/8/2020 | 1,851 | $ | 5,856,147 | $ | 3,731,904 | |||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 3,632 | 16,360,649 | 2,437,145 | |||||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 0.5479% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 5,300 | 20,179,095 | 7,270,971 | |||||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 0.3479% representing 1 month LIBOR rate + spread | Citibank N.A. | 10/21/2021 | 468 | 2,573,119 | (150,570 | ) | ||||||||||||||||||||
$ | 44,969,010 | $ | 13,289,450 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
97
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 15.9% | |||||||||||
Accommodation - 0.2% | |||||||||||
2,736 | MGM Resorts International | $ | 56,279 | ||||||||
Air Transportation - 0.5% | |||||||||||
1,285 | Alaska Air Group, Inc. | 48,689 | |||||||||
3,393 | American Airlines Group, Inc. | 38,273 | |||||||||
1,453 | United Airlines Holdings (a) | 49,198 | |||||||||
136,160 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.3% | |||||||||||
266 | Global Payments, Inc. | 41,959 | |||||||||
602 | Wynn Resorts Ltd. | 43,603 | |||||||||
85,562 | |||||||||||
Apparel Manufacturing - 0.4% | |||||||||||
1,074 | PVH Corp. | 62,603 | |||||||||
4,226 | Under Armour, Inc. Class A (a) | 58,488 | |||||||||
121,091 | |||||||||||
Broadcasting (except Internet) - 0.3% | |||||||||||
1,373 | Dish Network Corp. (a) | 34,998 | |||||||||
1,618 | ViacomCBS, Inc. Class B | 46,226 | |||||||||
81,224 | |||||||||||
Chemical Manufacturing - 0.3% | |||||||||||
728 | LyondellBasell Industries N.V. Class A ADR (Netherlands) | 49,832 | |||||||||
2,545 | Mosaic Co. | 47,082 | |||||||||
96,914 | |||||||||||
Clothing and Clothing Accessories Stores - 0.4% | |||||||||||
3,438 | Gap, Inc. | 66,869 | |||||||||
1,924 | L Brands, Inc. | 61,587 | |||||||||
128,456 | |||||||||||
Computer and Electronic Product Manufacturing - 0.8% | |||||||||||
493 | Microchip Technology, Inc. | 51,804 | |||||||||
1,005 | Micron Technology, Inc. (a) | 50,592 | |||||||||
97 | NVIDIA Corp. | 48,632 | |||||||||
304 | Skyworks Solutions, Inc. | 42,952 | |||||||||
1,413 | Western Digital Corp. | 53,313 | |||||||||
247,293 | |||||||||||
Credit Intermediation and Related Activities - 2.6% | |||||||||||
491 | American Express Co. | 44,799 | |||||||||
1,820 | Bank of America Corp. | 43,134 | |||||||||
1,034 | Citigroup, Inc. | 42,828 | |||||||||
2,106 | Citizens Financial Group, Inc. | 57,388 | |||||||||
1,196 | Comerica, Inc. | 54,430 | |||||||||
1,159 | Discover Financial Services | 75,347 | |||||||||
2,644 | Fifth Third Bancorp | 61,394 | |||||||||
4,354 | KeyCorp | 56,515 | |||||||||
418 | PNC Financial Services Group, Inc. | 46,766 | |||||||||
4,334 | Regions Financial Corp. | 57,642 | |||||||||
636 | State Street Corp. | 37,460 | |||||||||
205 | SVB Financial Group (a) | 59,594 | |||||||||
2,266 | Synchrony Financial | 56,695 | |||||||||
1,249 | Truist Financial Corp. | 52,608 | |||||||||
1,829 | Wells Fargo & Co. | 39,232 | |||||||||
785,832 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.2% | |||||||||||
258 | Whirlpool Corp. | 47,720 |
Shares | Fair Value | ||||||||||
Fabricated Metal Product Manufacturing - 0.3% | |||||||||||
235 | Parker Hannifin Corp. | $ | 48,965 | ||||||||
322 | Stanley Black & Decker, Inc. | 53,516 | |||||||||
102,481 | |||||||||||
Food Services and Drinking Places - 0.2% | |||||||||||
629 | Darden Restaurants, Inc. | 57,818 | |||||||||
Hospitals - 0.1% | |||||||||||
391 | Universal Health Services, Inc. Class B | 42,834 | |||||||||
Insurance Carriers and Related Activities - 1.2% | |||||||||||
1,658 | American International Group, Inc. | 52,210 | |||||||||
1,955 | Lincoln National Corp. | 68,621 | |||||||||
1,227 | Loews Corp. | 42,552 | |||||||||
1,254 | MetLife, Inc. | 47,464 | |||||||||
1,116 | Principal Financial Group, Inc. | 43,770 | |||||||||
770 | Prudential Financial, Inc. | 49,295 | |||||||||
3,123 | Unum Group | 55,152 | |||||||||
359,064 | |||||||||||
Leather and Allied Product Manufacturing - 0.3% | |||||||||||
3,733 | Tapestry, Inc. | 82,985 | |||||||||
Machinery Manufacturing - 0.7% | |||||||||||
717 | Applied Materials, Inc. | 42,468 | |||||||||
2,884 | Baker Hughes, a GE Co. | 42,597 | |||||||||
136 | Lam Research Corp. | 46,523 | |||||||||
4,214 | National Oilwell Varco, Inc. | 35,397 | |||||||||
6,208 | TechnipFMC PLC (United Kingdom) | 34,330 | |||||||||
201,315 | |||||||||||
Management of Companies and Enterprises - 0.2% | |||||||||||
787 | Capital One Financial Corp. | 57,514 | |||||||||
Merchant Wholesalers, Durable Goods - 0.8% | |||||||||||
228 | KLA-Tencor Corp. | 44,957 | |||||||||
1,243 | Leggett & Platt, Inc. | 51,871 | |||||||||
1,426 | LKQ Corp. (a) | 45,618 | |||||||||
1,557 | WestRock Co. | 58,465 | |||||||||
2,474 | Xerox Corp. | 42,998 | |||||||||
243,909 | |||||||||||
Mining (except Oil and Gas) - 0.2% | |||||||||||
3,882 | Freeport-McMoRan Copper & Gold, Inc. | 67,314 | |||||||||
Miscellaneous Manufacturing - 0.4% | |||||||||||
153 | Align Technology, Inc. (a) | 65,190 | |||||||||
1,257 | Textron, Inc. | 45,001 | |||||||||
110,191 | |||||||||||
Oil and Gas Extraction - 0.5% | |||||||||||
4,042 | Apache Corp. | 33,548 | |||||||||
4,616 | Devon Energy Corp. | 41,221 | |||||||||
7,996 | Marathon Oil Corp. | 31,664 | |||||||||
4,090 | Occidental Petroleum Corp. | 37,342 | |||||||||
143,775 | |||||||||||
Petroleum and Coal Products Manufacturing - 0.5% | |||||||||||
497 | Chevron Corp. | 34,541 | |||||||||
1,188 | ConocoPhillips | 34,001 | |||||||||
1,427 | Marathon Petroleum Corp. | 42,096 | |||||||||
916 | Valero Energy Corp. | 35,367 | |||||||||
146,005 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
98
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Primary Metal Manufacturing - 0.2% | |||||||||||
2,692 | Howmet Aerospace, Inc. | $ | 46,437 | ||||||||
Professional, Scientific, and Technical Services - 0.2% | |||||||||||
3,183 | DXC Technology Co. | 58,631 | |||||||||
Publishing Industries (except Internet) - 0.2% | |||||||||||
162 | Paycom Software, Inc. (a) | 58,982 | |||||||||
Real Estate - 0.9% | |||||||||||
968 | CBRE Group, Inc. Class A (a) | 48,787 | |||||||||
730 | Simon Property Group, Inc. | 45,851 | |||||||||
1,012 | SL Green Realty Corp. | 43,324 | |||||||||
1,240 | Ventas, Inc. | 48,943 | |||||||||
788 | Welltower, Inc. | 42,371 | |||||||||
2,007 | Weyerhaeuser Co. | 54,771 | |||||||||
284,047 | |||||||||||
Rental and Leasing Services - 0.2% | |||||||||||
282 | United Rentals, Inc. (a) | 50,278 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.9% | |||||||||||
386 | Ameriprise Financial, Inc. | 62,080 | |||||||||
1,027 | Dow, Inc. | 46,718 | |||||||||
5,161 | Invesco Ltd. | 67,661 | |||||||||
952 | Morgan Stanley | 45,839 | |||||||||
591 | Raymond James Financial, Inc. | 45,176 | |||||||||
267,474 | |||||||||||
Support Activities for Mining - 0.6% | |||||||||||
1,087 | Diamondback Energy, Inc. | 28,219 | |||||||||
3,692 | Halliburton Co. | 44,526 | |||||||||
899 | Hess Corp. | 33,461 | |||||||||
449 | Pioneer Natural Resources Co. | 35,722 | |||||||||
2,525 | Schlumberger Ltd. | 37,723 | |||||||||
179,651 | |||||||||||
Transportation Equipment Manufacturing - 0.5% | |||||||||||
548 | Aptiv PLC ADR (Ireland) | 52,877 | |||||||||
313 | Boeing Co. | 45,194 | |||||||||
89 | TransDigm Group, Inc. | 42,489 | |||||||||
140,560 | |||||||||||
Utilities - 0.2% | |||||||||||
1,820 | ONEOK, Inc. | 52,780 | |||||||||
Water Transportation - 0.6% | |||||||||||
4,192 | Carnival Corp. | 57,472 | |||||||||
4,314 | Norwegian Cruise Line Holdings Ltd. (a) | 71,742 | |||||||||
1,009 | Royal Caribbean Cruises Ltd. ADR (Liberia) | 56,928 | |||||||||
186,142 | |||||||||||
TOTAL COMMON STOCKS (Cost $5,147,290) | $ | 4,726,718 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 53.1% | |||||||||||
Money Market Funds - 53.1% | |||||||||||
6,802,706 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 6,802,706 | ||||||||
9,025,094 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 9,025,094 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,827,800) | $ | 15,827,800 | |||||||||
TOTAL INVESTMENTS (Cost $20,975,090) - 69.0% (c) | $ | 20,554,518 | |||||||||
Other Assets in Excess of Liabilities - 31.0% | 9,240,140 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 29,794,658 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $19,007,971.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
99
Direxion Daily S&P 500® High Beta Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 | 0.4993% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 3,084 | $ | 31,153,384 | $ | (385,388 | ) | ||||||||||||||||||
Total return of S&P 500® High Beta Index | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 3,436 | 27,814,810 | 6,730,879 | |||||||||||||||||||||
Total return of S&P 500® High Beta Index | 0.6279% representing 1 month LIBOR rate + spread | J.P. Morgan | 6/28/2021 | 1,979 | 20,520,462 | (687,658 | ) | ||||||||||||||||||||
$ | 79,488,656 | $ | 5,657,833 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
100
Direxion Daily S&P 500® High Beta Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 74.4% | |||||||||||
Money Market Funds - 74.4% | |||||||||||
21,900,442 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 21,900,442 | ||||||||
17,373,429 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 17,373,429 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $39,273,871) (b) | $ | 39,273,871 | |||||||||
TOTAL INVESTMENTS (Cost $39,273,871) - 74.4% | $ | 39,273,871 | |||||||||
Other Assets in Excess of Liabilities - 25.6% | 13,507,571 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 52,781,442 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $39,273,871.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.1493% representing 1 month LIBOR rate + spread | Total return of S&P 500® High Beta Index | Bank of America Merrill Lynch | 12/3/2020 | 6,486 | $ | 66,555,369 | $ | 1,875,638 | |||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of S&P 500® High Beta Index | UBS Securities LLC | 12/7/2020 | 3,139 | 30,750,030 | (586,652 | ) | ||||||||||||||||||||
0.2879% representing 1 month LIBOR rate + spread | Total return of S&P 500® High Beta Index | Credit Suisse Capital LLC | 12/11/2020 | 3,872 | 35,588,958 | (3,296,081 | ) | ||||||||||||||||||||
(0.1021)% representing 1 month LIBOR rate + spread | Total return of S&P 500® High Beta Index | J.P. Morgan | 6/29/2021 | 2,399 | 23,205,985 | (872,081 | ) | ||||||||||||||||||||
$ | 156,100,342 | $ | (2,879,176 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
101
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 50.8% | |||||||||||
Ambulatory Health Care Services - 1.4% | |||||||||||
35,285 | CareDx, Inc. (a) | $ | 1,730,730 | ||||||||
43,587 | Invitae Corp. (a) | 1,709,047 | |||||||||
14,307 | Y-mAbs Therapeutics, Inc. (a) | 611,481 | |||||||||
4,051,258 | |||||||||||
Chemical Manufacturing - 34.9% | |||||||||||
15,805 | AbbVie, Inc. | 1,345,005 | |||||||||
102,552 | Achillion Pharmaceuticals, Inc. CVR (a) | — | |||||||||
38,719 | ACADIA Pharmaceuticals, Inc. (a) | 1,798,498 | |||||||||
15,687 | Acceleron Pharma, Inc. (a) | 1,640,546 | |||||||||
114,570 | Adverum Biotechnologies, Inc. (a) | 1,249,959 | |||||||||
38,352 | Agios Pharmaceuticals, Inc. (a) | 1,536,765 | |||||||||
367,452 | Akebia Therapeutics, Inc. (a) | 815,743 | |||||||||
13,445 | Alexion Pharmaceuticals, Inc. (a) | 1,548,057 | |||||||||
81,477 | Alkermes PLC ADR (Ireland) (a) | 1,324,001 | |||||||||
11,575 | Alnylam Pharmaceuticals, Inc. (a) | 1,423,378 | |||||||||
5,822 | Amgen, Inc. | 1,263,025 | |||||||||
109,982 | Amicus Therapeutics, Inc. (a) | 1,960,979 | |||||||||
36,728 | Arcturus Therapeutics Holdings Inc.(a) | 1,986,250 | |||||||||
50,272 | Arcus Biosciences Inc. (a) | 1,095,930 | |||||||||
22,366 | Arena Pharmaceuticals, Inc. (a) | 1,917,213 | |||||||||
16,875 | Assembly Biosciences, Inc. (a) | 248,737 | |||||||||
243,290 | Athersys Inc. (a) | 425,757 | |||||||||
376,081 | BioCryst Pharmaceuticals, Inc. (a) | 1,436,629 | |||||||||
5,248 | Biogen, Inc. (a) | 1,322,863 | |||||||||
19,672 | BioMarin Pharmaceutical, Inc. (a) | 1,464,187 | |||||||||
26,659 | Bluebird Bio Inc. (a) | 1,378,537 | |||||||||
21,331 | Blueprint Medicines Corp. (a) | 2,181,735 | |||||||||
31,615 | BridgeBio Pharma, Inc. (a) | 1,213,384 | |||||||||
166,726 | Catalyst Pharmaceuticals, Inc. (a) | 495,176 | |||||||||
29,498 | ChemoCentryx, Inc. (a) | 1,415,904 | |||||||||
234,735 | Clovis Oncology, Inc. (a) | 1,157,244 | |||||||||
72,140 | Coherus BioSciences, Inc. (a) | 1,202,574 | |||||||||
46,473 | Constellation Pharmaceuticals Inc. (a) | 911,800 | |||||||||
445,780 | Corbus Pharmaceuticals Holdings Inc. (a) | 418,899 | |||||||||
23,869 | Cue Biopharma Inc. (a) | 265,901 | |||||||||
34,869 | CytomX Therapeutics, Inc. (a) | 230,833 | |||||||||
30,457 | Deciphera Pharmaceuticals, Inc. (a) | 1,768,638 | |||||||||
27,957 | Denali Therapeutics, Inc. (a) | 1,196,000 | |||||||||
52,997 | Dicerna Pharmaceuticals, Inc. (a) | 1,112,407 | |||||||||
13,398 | Eagle Pharmaceuticals, Inc. (a) | 623,275 | |||||||||
14,455 | Emergent Biosolutions, Inc. (a) | 1,300,516 | |||||||||
10,580 | Enanta Pharmaceuticals, Inc. (a) | 461,605 | |||||||||
37,464 | Esperion Therapeutics, Inc. (a) | 1,122,796 | |||||||||
33,619 | FibroGen, Inc. (a) | 1,290,297 | |||||||||
46,286 | Flexion Therapeutics, Inc. (a) | 554,969 | |||||||||
49,013 | G1 Therapeutics, Inc. (a) | 538,653 | |||||||||
193,989 | Geron Corp. (a) | 337,541 | |||||||||
21,612 | Gilead Sciences, Inc. | 1,256,738 | |||||||||
34,173 | Gossamer Bio, Inc. (a) | 283,636 |
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
52,415 | Halozyme Therapeutics, Inc. (a) | $ | 1,467,620 | ||||||||
77,874 | Heron Therapeutics, Inc. (a) | 1,270,125 | |||||||||
163,724 | Immunogen, Inc. (a) | 923,403 | |||||||||
16,102 | Incyte Corp. (a) | 1,395,077 | |||||||||
49,795 | Insmed, Inc. (a) | 1,640,247 | |||||||||
58,356 | Intellia Therapeutics, Inc. (a) | 1,397,043 | |||||||||
34,000 | Intercept Pharmaceuticals, Inc. (a) | 944,860 | |||||||||
27,281 | Ionis Pharmaceuticals, Inc. (a) | 1,280,843 | |||||||||
139,096 | Ironwood Pharmaceuticals, Inc. Class A (a) | 1,374,268 | |||||||||
158,870 | Kadmon Holdings, Inc. (a) | 540,158 | |||||||||
14,524 | Karuna Therapeutics, Inc. (a) | 1,179,204 | |||||||||
99,846 | Karyopharm Therapeutics, Inc. (a) | 1,479,718 | |||||||||
9,309 | Krystal Biotech, Inc. (a) | 400,194 | |||||||||
13,932 | Ligand Pharmaceuticals, Inc. (a) | 1,148,693 | |||||||||
37,441 | MacroGenics, Inc. (a) | 726,730 | |||||||||
7,503 | Madrigal Pharmaceuticals, Inc. (a) | 954,757 | |||||||||
55,335 | Mersana Therapeutics Inc. (a) | 997,137 | |||||||||
57,558 | Myriad Genetics, Inc. (a) | 715,446 | |||||||||
14,123 | Neurocrine Biosciences, Inc. (a) | 1,393,516 | |||||||||
14,854 | Novavax, Inc. | 1,198,866 | |||||||||
474,176 | OPKO Health, Inc. (a) | 1,669,100 | |||||||||
65,611 | PDL BioPharma, Inc. (a) | 141,064 | |||||||||
16,459 | Prothena Corp. PLC (a) | 179,568 | |||||||||
31,093 | PTC Therapeutics, Inc. (a) | 1,622,744 | |||||||||
63,967 | Puma Biotechnology, Inc. (a) | 535,404 | |||||||||
43,016 | Radius Health, Inc. (a) | 576,845 | |||||||||
2,610 | Regeneron Pharmaceuticals, Inc. (a) | 1,418,692 | |||||||||
32,701 | REGENXBIO, Inc. (a) | 940,481 | |||||||||
28,973 | Retrophin, Inc. (a) | 586,414 | |||||||||
7,626 | Rhythm Pharmaceuticals, Inc. (a) | 161,442 | |||||||||
193,459 | Rigel Pharmaceuticals, Inc. (a) | 479,778 | |||||||||
26,312 | Rocket Pharmaceuticals, Inc. (a) | 735,157 | |||||||||
25,436 | Sage Therapeutics, Inc. (a) | 1,866,494 | |||||||||
134,767 | Sangamo Therapeutics, Inc. (a) | 1,393,491 | |||||||||
10,843 | Sarepta Therapeutics, Inc. (a) | 1,473,672 | |||||||||
9,455 | Seagen Inc. (a) | 1,577,094 | |||||||||
76,102 | Spectrum Pharmaceuticals, Inc. (a) | 261,030 | |||||||||
11,940 | SpringWorks Therapeutics, Inc. (a) | 692,401 | |||||||||
18,866 | Syndax Pharmaceuticals Inc. (a) | 328,457 | |||||||||
24,897 | Syros Pharmaceuticals Inc. (a) | 166,063 | |||||||||
56,916 | TG Therapeutics, Inc. (a) | 1,438,267 | |||||||||
109,141 | Translate Bio, Inc. (a) | 1,400,279 | |||||||||
18,021 | Turning Point Therapeutics, Inc. (a) | 1,661,356 | |||||||||
22,688 | Twist Bioscience Corp. (a) | 1,738,808 | |||||||||
19,196 | Ultragenyx Pharmaceutical, Inc. (a) | 1,929,198 | |||||||||
13,825 | United Therapeutics Corp. (a) | 1,855,730 | |||||||||
44,693 | Vanda Pharmaceuticals, Inc. (a) | 477,768 | |||||||||
32,139 | Veracyte, Inc. (a) | 1,113,938 | |||||||||
30,051 | Vericel Corp. (a) | 556,845 | |||||||||
5,498 | Vertex Pharmaceuticals, Inc. (a) | 1,145,563 | |||||||||
19,299 | Xencor, Inc. (a) | 740,696 | |||||||||
146,372 | ZIOPHARM Oncology, Inc. (a) | 305,917 | |||||||||
102,120,241 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
102
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Nondurable Goods - 2.0% | |||||||||||
15,035 | Allakos, Inc. (a) | $ | 1,430,279 | ||||||||
50,966 | Atara Biotherapeutics, Inc. (a) | 657,971 | |||||||||
31,555 | Bioxcel Therapeutics Inc. (a) | 1,441,748 | |||||||||
26,867 | Global Blood Therapeutics, Inc. (a) | 1,420,727 | |||||||||
20,007 | Protagonist Therapeutics Inc. (a) | 379,133 | |||||||||
109,071 | Viking Therapeutics, Inc. (a) | 614,070 | |||||||||
5,943,928 | |||||||||||
Miscellaneous Manufacturing - 1.4% | |||||||||||
7,965 | Anika Therapeutics, Inc. (a) | 259,818 | |||||||||
140,649 | Inovio Pharmaceuticals, Inc. (a) | 1,385,393 | |||||||||
5,246 | LENSAR, Inc. (a) | 51,201 | |||||||||
10,732 | Mirati Therapeutics, Inc. (a) | 2,330,346 | |||||||||
4,026,758 | |||||||||||
Professional, Scientific, and Technical Services - 10.0% | |||||||||||
113,208 | Agenus, Inc. (a) | 417,737 | |||||||||
78,731 | Alector, Inc. (a) | 740,859 | |||||||||
43,788 | Allogene Therapeutics, Inc. (a) | 1,485,289 | |||||||||
21,027 | AnaptysBio, Inc. (a) | 619,455 | |||||||||
49,475 | Apellis Pharmaceuticals, Inc. (a) | 1,578,252 | |||||||||
40,483 | Ardelyx, Inc. (a) | 206,868 | |||||||||
42,689 | Arrowhead Pharmaceuticals, Inc. (a) | 2,446,080 | |||||||||
35,777 | Athenex, Inc. (a) | 407,858 | |||||||||
19,300 | AVROBIO, Inc. (a) | 275,604 | |||||||||
24,019 | Biohaven Pharmaceutical Holding Co. Ltd (a) | 1,860,512 | |||||||||
33,275 | CEL-SCI Corp. (a) | 400,298 | |||||||||
50,818 | Cytokinetics, Inc. (a) | 781,073 | |||||||||
282,994 | Dynavax Technologies Corp. (a) | 1,055,568 | |||||||||
47,270 | Editas Medicine, Inc. (a) | 1,462,534 | |||||||||
79,726 | Epizyme, Inc. (a) | 985,413 | |||||||||
18,601 | Exact Sciences Corp. (a) | 2,303,362 | |||||||||
65,249 | Exelixis, Inc. (a) | 1,336,299 | |||||||||
42,249 | Fate Therapeutics, Inc. (a) | 1,875,856 | |||||||||
6,043 | IGM Biosciences Inc. (a) | 319,010 | |||||||||
19,542 | Kodiak Sciences, Inc. (a) | 1,774,609 | |||||||||
20,441 | Kura Oncology, Inc. (a) | 638,781 | |||||||||
23,896 | Moderna, Inc. (a) | 1,612,263 | |||||||||
23,787 | Natera, Inc. (a) | 1,599,914 | |||||||||
69,517 | Precigen, Inc. (a) | 298,228 | |||||||||
13,206 | Revolution Medicines, Inc. (a) | 398,689 | |||||||||
224,339 | Sorrento Therapeutics Inc. (a) | 1,556,913 | |||||||||
23,979 | Viela Bio, Inc (a) | 765,170 | |||||||||
29,202,494 | |||||||||||
Real Estate - 0.4% | |||||||||||
454,414 | VBI Vaccines Inc. (a) | 1,067,873 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.2% | |||||||||||
15,380 | Immunovant Inc. (a) | 670,875 | |||||||||
Support Activities for Transportation - 0.5% | |||||||||||
44,722 | Iovance Biotherapeutics, Inc. (a) | 1,595,681 | |||||||||
TOTAL COMMON STOCKS (Cost $165,906,846) | $ | 148,679,108 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 38.5% | |||||||||||
Money Market Funds - 38.5% | |||||||||||
69,971,513 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 69,971,513 | ||||||||
42,496,719 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 42,496,719 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $112,468,232) | $ | 112,468,232 | |||||||||
TOTAL INVESTMENTS (Cost $278,375,078) - 89.3% (c) | $ | 261,147,340 | |||||||||
Other Assets in Excess of Liabilities - 10.7% | 31,150,780 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 292,298,120 |
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 October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $213,427,070.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
103
Direxion Daily S&P Biotech Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 | 0.3493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 17,088 | $ | 102,741,299 | $ | 46,203,466 | |||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.5079% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/10/2020 | 7,401 | 66,892,460 | (2,284,621 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.4679% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 2,214 | 19,411,908 | (88,853 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.4479% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/18/2020 | 32,835 | 253,270,234 | 32,745,412 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 2/17/2021 | 920 | 6,546,888 | 1,444,767 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 4/21/2021 | 9,000 | 50,727,754 | 27,643,977 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.3979% representing 1 month LIBOR rate + spread | J.P. Morgan | 6/21/2021 | 2,331 | 20,946,189 | (608,379 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 10/20/2021 | 3,630 | 32,430,456 | (765,751 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 0.6979% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 8,000 | 70,711,520 | (886,839 | ) | ||||||||||||||||||||
$ | 623,678,708 | $ | 103,403,179 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
104
Direxion Daily S&P Biotech Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 76.0% | |||||||||||
Money Market Funds - 76.0% | |||||||||||
25,358,364 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 25,358,364 | ||||||||
22,958,994 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 22,958,994 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $48,317,358) (b) | $ | 48,317,358 | |||||||||
TOTAL INVESTMENTS (Cost $48,317,358) - 76.0% | $ | 48,317,358 | |||||||||
Other Assets in Excess of Liabilities - 24.0% | 15,243,169 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 63,560,527 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $48,317,358.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.1179% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | UBS Securities LLC | 12/7/2020 | 7,549 | $ | 67,862,774 | $ | 1,961,199 | |||||||||||||||||||
0.1493% 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 | (10,130,192 | ) | ||||||||||||||||||||
0.0979% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | Citibank N.A. | 12/11/2020 | 5,183 | 46,085,430 | 837,080 | |||||||||||||||||||||
(0.0021)% representing 1 month LIBOR rate + spread | Total return of S&P Biotechnology Select Industry Index | J.P. Morgan | 6/21/2021 | 5,903 | 48,780,436 | (2,763,853 | ) | ||||||||||||||||||||
$ | 180,585,239 | $ | (10,095,766 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
105
Direxion Daily Semiconductor Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 67.4% | |||||||||||
Chemical Manufacturing - 0.4% | |||||||||||
32,060 | CMC Materials, Inc. | $ | 4,558,611 | ||||||||
Computer and Electronic Product Manufacturing - 55.3% | |||||||||||
392,366 | Advanced Micro Devices, Inc. (a) | 29,541,236 | |||||||||
304,885 | Analog Devices, Inc. | 36,138,019 | |||||||||
205,296 | Broadcom, Inc. | 71,777,641 | |||||||||
121,025 | Cree, Inc. (a) | 7,697,190 | |||||||||
57,308 | Inphi Corp. (a) | 8,009,366 | |||||||||
1,398,826 | Intel Corp. | 61,940,015 | |||||||||
149,314 | Lattice Semiconductor Corp. (a) | 5,211,059 | |||||||||
739,494 | Marvell Technology Group Ltd. | 27,738,420 | |||||||||
278,567 | Microchip Technology, Inc. | 29,271,820 | |||||||||
783,010 | Micron Technology, Inc. (a) | 39,416,723 | |||||||||
60,826 | MKS Instruments, Inc. | 6,592,930 | |||||||||
49,556 | Monolithic Power Systems, Inc. | 15,838,098 | |||||||||
133,220 | NVIDIA Corp. | 66,791,179 | |||||||||
283,358 | NXP Semiconductors NV | 38,287,333 | |||||||||
453,321 | ON Semiconductor Corp. (a) | 11,373,824 | |||||||||
126,054 | Qorvo, Inc. (a) | 16,054,238 | |||||||||
598,408 | Qualcomm, Inc. | 73,819,611 | |||||||||
184,314 | Skyworks Solutions, Inc. | 26,041,725 | |||||||||
449,653 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | 37,712,397 | |||||||||
183,211 | Teradyne, Inc. | 16,095,086 | |||||||||
501,370 | Texas Instruments, Inc. | 72,493,088 | |||||||||
269,589 | Xilinx, Inc. | 31,997,519 | |||||||||
729,838,517 | |||||||||||
Machinery Manufacturing - 7.9% | |||||||||||
578,488 | Applied Materials, Inc. | 34,263,844 | |||||||||
84,238 | ASML Holding NV ADR (Netherlands) | 30,427,608 | |||||||||
81,392 | Brooks Automation, Inc. | 3,801,007 | |||||||||
105,953 | Lam Research Corp. | 36,244,402 | |||||||||
104,736,861 | |||||||||||
Merchant Wholesalers, Durable Goods - 3.4% | |||||||||||
148,765 | Entegris, Inc. | 11,123,159 | |||||||||
171,546 | KLA-Tencor Corp. | 33,825,440 | |||||||||
44,948,599 | |||||||||||
Primary Metal Manufacturing - 0.4% | |||||||||||
48,321 | Silicon Laboratories, Inc. (a) | 4,950,970 | |||||||||
TOTAL COMMON STOCKS (Cost $871,892,258) | $ | 889,033,558 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 14.9% | |||||||||||
Money Market Funds - 14.9% | |||||||||||
175,671,299 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 175,671,299 | ||||||||
21,043,476 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 21,043,476 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $196,714,775) | $ | 196,714,775 | |||||||||
TOTAL INVESTMENTS (Cost $1,068,607,033) - 82.3% (c) | $ | 1,085,748,333 | |||||||||
Other Assets in Excess of Liabilities - 17.7% | 233,096,052 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,318,844,385 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $937,862,716.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
106
Direxion Daily Semiconductor Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 | 0.3993% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 130,396 | $ | 186,008,281 | $ | 108,730,280 | |||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.6779% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/4/2020 | 234,049 | 358,511,063 | 170,118,850 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.4479% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 360,405 | 820,935,371 | (11,151,657 | ) | ||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.5379% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 240,235 | 437,127,505 | 104,870,647 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.6879% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 98,182 | 227,099,873 | (6,562,054 | ) | ||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 245,593 | 465,097,745 | 89,086,895 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 7/21/2021 | 14,215 | 29,529,417 | 2,502,465 | |||||||||||||||||||||
Total return of PHLX Semiconductor Sector Index | 0.6479% representing 1 month LIBOR rate + spread | BNP Paribas | 8/18/2021 | 42,554 | 89,589,796 | 6,305,379 | |||||||||||||||||||||
$ | 2,613,899,051 | $ | 463,900,805 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
107
Direxion Daily Semiconductor Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 80.1% | |||||||||||
Money Market Funds - 80.1% | |||||||||||
38,242,394 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 38,242,394 | ||||||||
36,916,740 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 36,916,740 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $75,159,134) (b) | $ | 75,159,134 | |||||||||
TOTAL INVESTMENTS (Cost $75,159,134) - 80.1% | $ | 75,159,134 | |||||||||
Other Assets in Excess of Liabilities - 19.9% | 18,617,831 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 93,776,965 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $75,159,134.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.2479% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Credit Suisse Capital LLC | 12/9/2020 | 15,127 | $ | 32,741,710 | $ | (1,320,276 | ) | ||||||||||||||||||
0.1993% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Bank of America Merrill Lynch | 12/9/2020 | 22,138 | 53,798,129 | 4,048,553 | |||||||||||||||||||||
0.2279% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | UBS Securities LLC | 12/9/2020 | 7,059 | 9,074,727 | (6,907,705 | ) | ||||||||||||||||||||
(0.0021)% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | J.P. Morgan | 12/9/2020 | 59,569 | 132,004,324 | (1,876,648 | ) | ||||||||||||||||||||
0.3179% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | Citibank N.A. | 12/11/2020 | 2,498 | 5,737,507 | 120,686 | |||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | BNP Paribas | 7/21/2021 | 9,203 | 18,005,363 | (2,752,783 | ) | ||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of PHLX Semiconductor Sector Index | BNP Paribas | 8/18/2021 | 9,662 | 19,853,348 | (1,939,115 | ) | ||||||||||||||||||||
$ | 271,215,108 | $ | (10,627,288 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
108
Direxion Daily Technology Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 64.7% | |||||||||||
Administrative and Support Services - 4.8% | |||||||||||
86,302 | Accenture PLC Class A ADR (Ireland) | $ | 18,719,767 | ||||||||
58,324 | Automatic Data Processing, Inc. | 9,212,859 | |||||||||
15,622 | Broadridge Financial Solutions, Inc. | 2,149,587 | |||||||||
11,401 | FleetCor Technologies, Inc. (a) | 2,518,595 | |||||||||
12,106 | Gartner, Inc. (a) | 1,453,931 | |||||||||
228,716 | Visa, Inc. Class A | 41,559,984 | |||||||||
75,614,723 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.4% | |||||||||||
40,594 | Global Payments, Inc. | 6,403,297 | |||||||||
Computer and Electronic Product Manufacturing - 29.7% | |||||||||||
159,264 | Advanced Micro Devices, Inc. (a) | 11,990,986 | |||||||||
40,476 | Amphenol Corp. Class A | 4,567,312 | |||||||||
50,130 | Analog Devices, Inc. | 5,941,909 | |||||||||
2,180,823 | Apple, Inc. | 237,404,392 | |||||||||
7,427 | Arista Networks, Inc. (a) | 1,551,500 | |||||||||
54,557 | Broadcom, Inc. | 19,074,764 | |||||||||
574,280 | Cisco Systems, Inc. | 20,616,652 | |||||||||
17,789 | FLIR System, Inc. | 617,100 | |||||||||
18,221 | Fortinet, Inc. (a) | 2,011,052 | |||||||||
186,322 | HP, Inc. | 3,346,343 | |||||||||
576,938 | Intel Corp. | 25,546,815 | |||||||||
120,809 | International Business Machines Corp. | 13,489,533 | |||||||||
25,387 | Keysight Technologies, Inc. (a) | 2,662,335 | |||||||||
36,219 | Maxim Integrated Products, Inc. | 2,522,653 | |||||||||
34,248 | Microchip Technology, Inc. | 3,598,780 | |||||||||
150,712 | Micron Technology, Inc. (a) | 7,586,842 | |||||||||
23,032 | Motorola Solutions, Inc. | 3,640,438 | |||||||||
30,115 | NetApp, Inc. | 1,321,747 | |||||||||
83,697 | NVIDIA Corp. | 41,962,328 | |||||||||
15,496 | Qorvo, Inc. (a) | 1,973,570 | |||||||||
153,052 | Qualcomm, Inc. | 18,880,495 | |||||||||
30,279 | Seagate Technology PLC (Ireland) | 1,447,942 | |||||||||
22,659 | Skyworks Solutions, Inc. | 3,201,490 | |||||||||
22,522 | Teradyne, Inc. | 1,978,558 | |||||||||
124,249 | Texas Instruments, Inc. | 17,965,163 | |||||||||
18,290 | VONTIER CORPORATION (a) | 525,655 | |||||||||
41,039 | Western Digital Corp. | 1,548,402 | |||||||||
33,143 | Xilinx, Inc. | 3,933,743 | |||||||||
7,234 | Zebra Technologies Corp. Class A (a) | 2,051,852 | |||||||||
462,960,351 | |||||||||||
Credit Intermediation and Related Activities - 2.9% | |||||||||||
84,050 | Fidelity National Information Services, Inc. | 10,471,789 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
119,830 | MasterCard, Inc. Class A | $ | 34,587,731 | ||||||||
55,754 | Western Union Co. | 1,083,858 | |||||||||
46,143,378 | |||||||||||
Data Processing, Hosting and Related Services - 0.6% | |||||||||||
75,399 | Fiserv, Inc. | 7,198,342 | |||||||||
174,504 | Hewlett Packard Enterprise Co. | 1,507,715 | |||||||||
8,706,057 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.5% | |||||||||||
103,225 | Corning, Inc. | 3,300,103 | |||||||||
4,844 | IPG Photonics Corp. (a) | 900,790 | |||||||||
44,772 | TE Connectivity Ltd. (Switzerland) | 4,337,512 | |||||||||
8,538,405 | |||||||||||
Machinery Manufacturing - 0.9% | |||||||||||
123,890 | Applied Materials, Inc. | 7,338,005 | |||||||||
19,753 | Lam Research Corp. | 6,757,106 | |||||||||
14,095,111 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.3% | |||||||||||
21,089 | KLA-Tencor Corp. | 4,158,329 | |||||||||
24,275 | Xerox Corp. | 421,899 | |||||||||
4,580,228 | |||||||||||
Professional, Scientific, and Technical Services - 2.1% | |||||||||||
19,354 | CDW Corp. | 2,372,800 | |||||||||
73,561 | Cognizant Technology Solutions Corp. Class A | 5,253,727 | |||||||||
34,483 | DXC Technology Co. | 635,177 | |||||||||
8,299 | F5 Networks, Inc. (a) | 1,103,269 | |||||||||
10,399 | Jack Henry & Associates, Inc. | 1,541,652 | |||||||||
45,002 | Juniper Networks, Inc. | 887,439 | |||||||||
18,134 | Leidos Holdings, Inc. | 1,505,122 | |||||||||
43,458 | Paychex, Inc. | 3,574,420 | |||||||||
26,019 | ServiceNow, Inc. (a) | 12,946,274 | |||||||||
13,711 | VeriSign, Inc. (a) | 2,614,688 | |||||||||
32,434,568 | |||||||||||
Publishing Industries (except Internet) - 20.6% | |||||||||||
65,067 | Adobe Systems, Inc. (a) | 29,091,456 | |||||||||
22,071 | Akamai Technologies, Inc. (a) | 2,099,393 | |||||||||
11,639 | ANSYS, Inc. (a) | 3,542,562 | |||||||||
29,748 | Autodesk, Inc. (a) | 7,006,844 | |||||||||
37,821 | Cadence Design Systems, Inc. (a) | 4,136,483 | |||||||||
16,756 | Citrix Systems, Inc. | 1,897,952 | |||||||||
35,511 | Intuit, Inc. | 11,174,601 | |||||||||
1,026,580 | Microsoft Corp. | 207,851,653 | |||||||||
80,173 | NortonLifeLock, Inc. | 1,649,159 | |||||||||
262,257 | Oracle Corp. | 14,715,240 | |||||||||
6,641 | Paycom Software, Inc. (a) | 2,417,922 | |||||||||
123,447 | Salesforce.com, Inc. (a) | 28,673,035 | |||||||||
20,586 | Synopsys, Inc. (a) | 4,402,522 | |||||||||
5,461 | Tyler Technologies, Inc. (a) | 2,099,099 | |||||||||
320,757,921 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
109
Direxion Daily Technology Bull 3X Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Telecommunications - 1.9% | |||||||||||
159,165 | PayPal Holdings, Inc. (a) | $ | 29,625,381 | ||||||||
TOTAL COMMON STOCKS (Cost $950,844,204) | $ | 1,009,859,420 | |||||||||
SHORT TERM INVESTMENTS - 26.1% | |||||||||||
Money Market Funds - 26.1% | |||||||||||
307,369,786 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 307,369,786 | ||||||||
99,896,506 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 99,896,506 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $407,266,292) | $ | 407,266,292 | |||||||||
TOTAL INVESTMENTS (Cost $1,358,110,496) - 90.8% (c) | $ | 1,417,125,712 | |||||||||
Other Assets in Excess of Liabilities - 9.2% | 142,962,337 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,560,088,049 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,197,665,216.
ADR - American Depositary Receipt
Long Total Return Swap Contracts
October 31, 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 Technology Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 558,810 | $ | 449,292,693 | $ | 175,868,662 | |||||||||||||||||||
Total return of Technology Select Sector Index | 0.5879% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 383,700 | 311,993,561 | 117,076,979 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 0.8279% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 596,624 | 626,779,608 | 39,224,859 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 0.5493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/10/2020 | 530,581 | 420,156,482 | 173,593,359 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/9/2021 | 507,978 | 578,901,293 | (11,902,182 | ) | ||||||||||||||||||||
Total return of Technology Select Sector Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 6/16/2021 | 20,181 | 21,131,607 | 1,407,955 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 7/21/2021 | 566,844 | 591,143,661 | 41,468,942 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 0.8979% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 125,000 | 142,994,135 | (3,533,613 | ) | ||||||||||||||||||||
$ | 3,142,393,040 | $ | 533,204,961 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
110
Direxion Daily Technology Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 68.9% | |||||||||||
Money Market Funds - 68.9% | |||||||||||
18,388,201 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 18,388,201 | ||||||||
36,795,255 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 36,795,255 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $55,183,456) (b) | $ | 55,183,456 | |||||||||
TOTAL INVESTMENTS (Cost $55,183,456) - 68.9% | $ | 55,183,456 | |||||||||
Other Assets in Excess of Liabilities - 31.1% | 24,852,387 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 80,035,843 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $55,183,455.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.3493% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Bank of America Merrill Lynch | 12/3/2020 | 16,628 | $ | 17,349,821 | $ | (1,241,216 | ) | ||||||||||||||||||
0.2979% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | UBS Securities LLC | 12/7/2020 | 25,835 | 25,301,095 | (3,599,476 | ) | ||||||||||||||||||||
0.1478% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | J.P. Morgan | 12/9/2020 | 87,278 | 97,871,709 | 480,477 | |||||||||||||||||||||
0.3979% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Citibank N.A. | 12/11/2020 | 42,932 | 47,687,676 | (268,026 | ) | ||||||||||||||||||||
0.2979% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | Credit Suisse Capital LLC | 12/17/2020 | 28,963 | 32,626,674 | 297,694 | |||||||||||||||||||||
0.1479% representing 1 month LIBOR rate + spread | Total return of Technology Select Sector Index | BNP Paribas | 8/18/2021 | 13,568 | 14,401,770 | (774,100 | ) | ||||||||||||||||||||
$235,238,745 | $(5,104,647) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
111
Direxion Daily Transportation Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 53.0% | |||||||||||
Air Transportation - 4.8% | |||||||||||
11,325 | Alaska Air Group, Inc. | $ | 429,104 | ||||||||
11,325 | American Airlines Group, Inc. | 127,746 | |||||||||
11,325 | Delta Air Lines, Inc. | 346,998 | |||||||||
11,325 | JetBlue Airways Corp. (a) | 135,560 | |||||||||
11,325 | Southwest Airlines Co. | 447,677 | |||||||||
11,325 | United Airlines Holdings (a) | 383,465 | |||||||||
1,870,550 | |||||||||||
Couriers and Messengers - 12.1% | |||||||||||
11,325 | FedEx Corp. | 2,938,497 | |||||||||
11,325 | United Parcel Service, Inc. Class B | 1,779,271 | |||||||||
4,717,768 | |||||||||||
Rail Transportation - 18.7% | |||||||||||
11,325 | CSX Corp. | 893,995 | |||||||||
11,325 | Kansas City Southern Railway Co. | 1,994,786 | |||||||||
11,325 | Norfolk Southern Corp. | 2,368,284 | |||||||||
11,325 | Union Pacific Corp. | 2,006,677 | |||||||||
7,263,742 | |||||||||||
Rental and Leasing Services - 1.0% | |||||||||||
11,325 | Avis Budget Group, Inc. (a) | 381,313 | |||||||||
Support Activities for Transportation - 6.7% | |||||||||||
11,325 | C.H. Robinson Worldwide, Inc. | 1,001,470 | |||||||||
11,325 | Expeditors International of Washington, Inc. | 1,000,790 | |||||||||
11,325 | Matson, Inc. | 588,334 | |||||||||
2,590,594 | |||||||||||
Truck Transportation - 8.6% | |||||||||||
11,325 | J.B. Hunt Transport Services, Inc. | 1,378,705 | |||||||||
11,325 | Landstar System, Inc. | 1,412,228 | |||||||||
11,325 | Ryder System, Inc. | 557,870 | |||||||||
3,348,803 | |||||||||||
Water Transportation - 1.1% | |||||||||||
11,325 | Kirby Corp. (a) | 435,899 | |||||||||
TOTAL COMMON STOCKS (Cost $19,690,941) | $ | 20,608,669 | |||||||||
SHORT TERM INVESTMENTS - 17.9% | |||||||||||
Money Market Funds - 17.9% | |||||||||||
675,894 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 675,894 | ||||||||
3,320,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 0.00% (b)(††) | 3,320,000 | |||||||||
2,969,543 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 2,969,543 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,965,437) | $ | 6,965,437 | |||||||||
TOTAL INVESTMENTS (Cost $26,656,378) - 70.9% (b) | $ | 27,574,106 | |||||||||
Other Assets in Excess of Liabilities - 29.1% | 11,305,074 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 38,879,180 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,359,208.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
112
Direxion Daily Transportation Bull 3X Shares
Long Total Return Swap Contracts
October 31, 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 Index | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/7/2020 | 3,392 | $ | 31,407,191 | $ | 6,356,272 | |||||||||||||||||||
Total return of Dow Jones Transportation Average Index | 0.5979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 2,215 | 21,679,908 | 2,962,681 | |||||||||||||||||||||
Total return of Dow Jones Transportation Average Index | 0.8479% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/11/2020 | 612 | 6,945,970 | (154,474 | ) | ||||||||||||||||||||
Total return of Dow Jones Transportation Average Index | 0.6479% representing 1 month LIBOR rate + spread | J.P. Morgan | 5/28/2021 | 1,240 | 11,044,343 | 2,756,914 | |||||||||||||||||||||
Total return of Dow Jones Transportation Average Index | 0.4946% representing 1 month LIBOR rate + spread | Barclays | 11/26/2021 | 1,187 | 13,502,600 | (320,187 | ) | ||||||||||||||||||||
$ | 84,580,012 | $ | 11,601,206 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
113
Direxion Daily Utilities Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 45.3% | |||||||||||
Utilities - 45.3% | |||||||||||
5,105 | AES Corp. | $ | 99,549 | ||||||||
1,917 | Alliant Energy Corp. | 105,972 | |||||||||
1,896 | Ameren Corp. | 153,804 | |||||||||
3,808 | American Electric Power Co., Inc. | 342,453 | |||||||||
1,391 | American Water Works Co., Inc. | 209,359 | |||||||||
946 | Atmos Energy Corp. | 86,720 | |||||||||
4,182 | CenterPoint Energy, Inc. | 88,366 | |||||||||
2,197 | CMS Energy Corp. | 139,136 | |||||||||
2,568 | Consolidated Edison, Inc. | 201,562 | |||||||||
6,448 | Dominion Energy, Inc. | 518,032 | |||||||||
1,478 | DTE Energy Co. | 182,415 | |||||||||
5,645 | Duke Energy Corp. | 519,961 | |||||||||
2,902 | Edison International | 162,628 | |||||||||
1,536 | Entergy Corp. | 155,474 | |||||||||
1,740 | Evergy, Inc. | 96,048 | |||||||||
2,630 | Eversource Energy | 229,520 | |||||||||
7,480 | Exelon Corp. | 298,377 | |||||||||
4,161 | FirstEnergy Corp. | 123,665 | |||||||||
15,032 | NextEra Energy, Inc. | 1,100,493 | |||||||||
2,940 | NiSource, Inc. | 67,532 | |||||||||
1,873 | NRG Energy, Inc. | 59,224 | |||||||||
864 | Pinnacle West Capital Corp. | 70,476 | |||||||||
5,900 | PPL Corp. | 162,250 | |||||||||
3,882 | Public Service Enterprise Group, Inc. | 225,738 | |||||||||
2,220 | Sempra Energy | 278,299 | |||||||||
8,105 | Southern Co. | 465,632 | |||||||||
2,421 | WEC Energy Group, Inc. | 243,432 | |||||||||
4,032 | Xcel Energy, Inc. | 282,361 | |||||||||
6,668,478 | |||||||||||
TOTAL COMMON STOCKS (Cost $6,472,225) | $ | 6,668,478 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 26.9% | |||||||||||
Money Market Funds - 26.9% | |||||||||||
784,003 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 784,003 | ||||||||
3,179,379 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 3,179,379 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,963,382) | $ | 3,963,382 | |||||||||
TOTAL INVESTMENTS (Cost $10,435,607) - 72.2% (b) | $ | 10,631,860 | |||||||||
Other Assets in Excess of Liabilities - 27.8% | 4,083,521 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 14,715,381 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,823,426.
Long Total Return Swap Contracts
October 31, 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 Utilities Select Sector Index | 0.5479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 8,403 | $ | 5,270,296 | $ | 39,998 | |||||||||||||||||||
Total return of Utilities Select Sector Index | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/10/2020 | 25,831 | 15,229,321 | 1,205,736 | |||||||||||||||||||||
Total return of Utilities Select Sector Index | 0.6479% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 16,629 | 9,217,654 | 1,425,952 | |||||||||||||||||||||
Total return of Utilities Select Sector Index | 0.5979% representing 1 month LIBOR rate + spread | J.P. Morgan | 4/30/2021 | 8,449 | 5,168,274 | 178,297 | |||||||||||||||||||||
$ | 34,885,545 | $ | 2,849,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
114
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 70.4% | |||||||||||
114,463 | iShares 7-10 Year Treasury Bond ETF (a) | $ | 13,742,428 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $12,863,633) | $ | 13,742,428 | |||||||||
SHORT TERM INVESTMENTS - 25.9% | |||||||||||
Money Market Funds - 25.9% | |||||||||||
3,403,440 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 3,403,440 | ||||||||
1,660,000 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 1,660,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,063,440) | $ | 5,063,440 | |||||||||
TOTAL INVESTMENTS (Cost $17,927,073) - 96.3% (c) | $ | 18,805,868 | |||||||||
Other Assets in Excess of Liabilities - 3.7% | 728,485 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 19,534,353 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $15,355,273.
Long Total Return Swap Contracts
October 31, 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 7-10 Year Treasury Bond ETF | 0.4493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 16,369 | $ | 1,833,564 | $ | 134,882 | |||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 0.3479% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 229,318 | 27,566,935 | (6,560 | ) | ||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | (0.4821)% representing 1 month LIBOR rate + spread | BNP Paribas | 2/17/2021 | 124,612 | 13,922,271 | 1,213,207 | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | (0.4821)% representing 1 month LIBOR rate + spread | BNP Paribas | 10/20/2021 | 3,355 | 409,387 | (6,108 | ) | ||||||||||||||||||||
$ | 43,732,157 | $ | 1,335,421 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
115
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 68.8% | |||||||||||
Money Market Funds - 68.8% | |||||||||||
3,522,826 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 3,522,826 | ||||||||
1,214,201 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 1,214,201 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,737,027) (b) | $ | 4,737,027 | |||||||||
TOTAL INVESTMENTS (Cost $4,737,027) - 68.8% | $ | 4,737,027 | |||||||||
Other Assets in Excess of Liabilities - 31.2% | 2,145,254 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,882,281 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,737,027.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
(0.2521)% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/10/2020 | 55,452 | $ | 6,723,786 | $ | 57,310 | |||||||||||||||||||
(0.7821)% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | BNP Paribas | 2/17/2021 | 94,943 | 10,601,892 | (955,585 | ) | ||||||||||||||||||||
(0.8021)% representing 1 month LIBOR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | J.P. Morgan | 4/19/2021 | 14,939 | 1,806,907 | 5,655 | |||||||||||||||||||||
(0.7821)% 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 | (26,162 | ) | ||||||||||||||||||||
$ | 19,911,516 | $ | (918,782 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
116
Direxion Daily 20+ Year Treasury Bull 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 66.9% | |||||||||||
1,201,711 | iShares 20+ Year Treasury Bond ETF (a) | $ | 189,353,602 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $184,744,768) | $ | 189,353,602 | |||||||||
SHORT TERM INVESTMENTS - 34.2% | |||||||||||
Money Market Funds - 34.2% | |||||||||||
86,502,001 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 86,502,001 | ||||||||
10,103,737 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | 10,103,737 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $96,605,738) | $ | 96,605,738 | |||||||||
TOTAL INVESTMENTS (Cost $281,350,506) - 101.1% (c) | $ | 285,959,340 | |||||||||
Liabilities in Excess of Other Assets - (1.1)% | (3,080,482 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 282,878,858 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $203,567,575.
Long Total Return Swap Contracts
October 31, 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 | 0.4179% representing 1 month LIBOR rate + spread | BNP Paribas | 11/18/2020 | 565,911 | $ | 78,957,619 | $ | 10,715,477 | |||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.4493% representing 1 month LIBOR rate + spread | Bank of America Merrill Lynch | 12/3/2020 | 867,035 | 137,700,293 | (963,714 | ) | ||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.5679% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/9/2020 | 1,237,799 | 201,704,015 | (6,414,022 | ) | ||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.4479% representing 1 month LIBOR rate + spread | J.P. Morgan | 12/9/2020 | 817,569 | 129,219,830 | (68,350 | ) | ||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.4491% representing 1 month LIBOR rate + spread | Citibank N.A. | 12/10/2020 | 299,486 | 47,660,202 | (471,383 | ) | ||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.4179% representing 1 month LIBOR rate + spread | BNP Paribas | 12/16/2020 | 31,688 | 4,389,766 | 628,929 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.4179% representing 1 month LIBOR rate + spread | BNP Paribas | 9/15/2021 | 53,959 | 8,834,707 | (320,621 | ) | ||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 0.4179% representing 1 month LIBOR rate + spread | BNP Paribas | 11/17/2021 | 310,925 | 49,544,671 | (553,091 | ) | ||||||||||||||||||||
$ | 658,011,103 | $ | 2,553,225 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
117
Direxion Daily 20+ Year Treasury Bear 3X Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 58.0% | |||||||||||
Money Market Funds - 58.0% | |||||||||||
22,398,624 | Dreyfus Government Cash Management Institutional Shares, 0.02% (a) | $ | 22,398,624 | ||||||||
35,033,033 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (a)(††) | 35,033,033 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $57,431,657) (b) | $ | 57,431,657 | |||||||||
TOTAL INVESTMENTS (Cost $57,431,657) - 58.0% | $ | 57,431,657 | |||||||||
Other Assets in Excess of Liabilities - 42.0% | 41,578,566 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 99,010,223 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2020.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $57,431,657.
Short Total Return Swap Contracts
October 31, 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) | |||||||||||||||||||||
0.1779% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | UBS Securities LLC | 12/4/2020 | 493,565 | $ | 74,776,170 | $ | (3,331,204 | ) | ||||||||||||||||||
(0.2521)% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Credit Suisse Capital LLC | 12/10/2020 | 415,542 | 66,145,075 | 665,602 | |||||||||||||||||||||
(0.1521)% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Citibank N.A. | 12/11/2020 | 432,100 | 70,621,840 | 2,253,874 | |||||||||||||||||||||
0.1979% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | BNP Paribas | 4/21/2021 | 218,827 | 33,366,152 | (1,576,138 | ) | ||||||||||||||||||||
(0.0521)% representing 1 month LIBOR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | J.P. Morgan | 5/28/2021 | 324,336 | 53,012,520 | 1,608,852 | |||||||||||||||||||||
$ | 297,921,757 | $ | (379,014 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
118
Statements of Assets and Liabilities
October 31, 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 (Note 2) | $ | 34,600,580 | $ | 1,211,685,557 | $ | 565,368,321 | $ | 760,283,098 | |||||||||||
Cash equivalents | 6,959,111 | 114,062,261 | 326,972,194 | 180,468,282 | |||||||||||||||
Receivable for Fund shares sold | — | 34,707,200 | 14,335,494 | 193,358 | |||||||||||||||
Receivable for investments sold | — | 49,140,564 | — | — | |||||||||||||||
Dividend and interest receivable | 441 | 9,933 | 21,312 | 232,560 | |||||||||||||||
Due from broker for swap contracts | 690 | 1,343,783 | — | 59,595 | |||||||||||||||
Unrealized appreciation on swap contracts | 8,499,605 | 157,618,983 | 24,304,156 | 419,707,020 | |||||||||||||||
Prepaid expenses and other assets | 5,751 | 21,577 | 1,201 | 16,852 | |||||||||||||||
Total Assets | 50,066,178 | 1,568,589,858 | 931,002,678 | 1,360,960,765 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | 2,668,510 | 12,807,009 | 6,660,689 | |||||||||||||||
Payable for investments purchased | — | 24,836,925 | — | 62,059,600 | |||||||||||||||
Unrealized depreciation on swap contracts | 946,973 | 24,049,192 | 100,812,240 | 8,967,614 | |||||||||||||||
Due to Adviser, net (Note 6) | 23,115 | 973,555 | 430,956 | 656,903 | |||||||||||||||
Due to broker for swap contracts | 9,010,692 | 183,567,998 | 13,280,000 | 450,940,471 | |||||||||||||||
Accrued expenses and other liabilities | 30,382 | 759,413 | 492,395 | 473,089 | |||||||||||||||
Total Liabilities | 10,011,162 | 236,855,593 | 127,822,600 | 529,758,366 | |||||||||||||||
Net Assets | $ | 40,055,016 | $ | 1,331,734,265 | $ | 803,180,078 | $ | 831,202,399 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 54,159,358 | $ | 1,379,000,070 | $ | 2,977,353,358 | $ | 821,087,931 | |||||||||||
Total distributable earnings (loss) | (14,104,342 | ) | (47,265,805 | ) | (2,174,173,280 | ) | 10,114,468 | ||||||||||||
Net Assets | $ | 40,055,016 | $ | 1,331,734,265 | $ | 803,180,078 | $ | 831,202,399 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 40,055,016 | $ | 1,331,734,265 | $ | 803,180,078 | $ | 831,202,399 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,750,132 | 27,700,002 | 131,703,892 | 25,950,002 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 22.89 | $ | 48.08 | $ | 6.10 | $ | 32.03 | |||||||||||
Cost of Investments | $ | 30,713,723 | $ | 1,185,030,516 | $ | 565,368,321 | $ | 767,326,988 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
119
Statements of Assets and Liabilities
October 31, 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 (Note 2) | $ | 458,706,365 | $ | 241,834,051 | $ | 37,684,351 | $ | 11,396,364 | |||||||||||
Cash equivalents | 230,838,166 | 40,046,137 | 15,509,403 | 3,397,270 | |||||||||||||||
Receivable for Fund shares sold | 1,400 | 35,549 | — | 4,876 | |||||||||||||||
Dividend and interest receivable | 16,305 | 62,012 | 1,184 | 276 | |||||||||||||||
Unrealized appreciation on swap contracts | 4,127,424 | 21,635,627 | — | 1,887,756 | |||||||||||||||
Prepaid expenses and other assets | 8,211 | 8,454 | 2,041 | 8,447 | |||||||||||||||
Total Assets | 693,697,871 | 303,621,830 | 53,196,979 | 16,694,989 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 4,666,240 | 24,815 | — | — | |||||||||||||||
Payable for investments purchased | — | 13,367,700 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 139,576,532 | 1,889,635 | 8,659,674 | 1,006,550 | |||||||||||||||
Due to Adviser, net (Note 6) | 353,986 | 178,796 | 24,469 | 7,920 | |||||||||||||||
Due to broker for swap contracts | 2,990,000 | 27,090,513 | — | 1,913,752 | |||||||||||||||
Accrued expenses and other liabilities | 308,898 | 161,120 | 35,388 | 10,137 | |||||||||||||||
Total Liabilities | 147,895,656 | 42,712,579 | 8,719,531 | 2,938,359 | |||||||||||||||
Net Assets | $ | 545,802,215 | $ | 260,909,251 | $ | 44,477,448 | $ | 13,756,630 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 3,811,712,241 | $ | 403,512,281 | $ | 149,813,608 | $ | 42,057,771 | |||||||||||
Total distributable loss | (3,265,910,026 | ) | (142,603,030 | ) | (105,336,160 | ) | (28,301,141 | ) | |||||||||||
Net Assets | $ | 545,802,215 | $ | 260,909,251 | $ | 44,477,448 | $ | 13,756,630 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 545,802,215 | $ | 260,909,251 | $ | 44,477,448 | $ | 13,756,630 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 35,091,573 | 15,550,013 | 2,127,337 | 950,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 15.55 | $ | 16.78 | $ | 20.91 | $ | 14.48 | |||||||||||
Cost of Investments | $ | 458,706,365 | $ | 237,361,775 | $ | 37,684,351 | $ | 11,623,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
120
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | Direxion Daily MSCI Mexico Bull 3X Shares | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 105,447,639 | $ | 40,971,147 | $ | 8,902,600 | $ | 19,443,964 | |||||||||||
Cash equivalents | 36,107,085 | 16,201,534 | 1,400,424 | 7,957,800 | |||||||||||||||
Receivable for investments sold | — | — | 341,502 | — | |||||||||||||||
Dividend and interest receivable | 2,020 | 1,122 | 1,198 | 435 | |||||||||||||||
Due from broker for swap contracts | 392,298 | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 58,899,723 | 222,699 | 1,165,618 | 8,659,024 | |||||||||||||||
Prepaid expenses and other assets | 18,226 | 39,168 | 894 | 1,646 | |||||||||||||||
Total Assets | 200,866,991 | 57,435,670 | 11,812,236 | 36,062,869 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 130,296 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 919,847 | 18,638,522 | 240,101 | 312,293 | |||||||||||||||
Due to Adviser, net (Note 6) | 99,089 | 17,533 | 1,529 | 10,124 | |||||||||||||||
Due to broker for swap contracts | 63,149,942 | — | 900,000 | 9,897,604 | |||||||||||||||
Accrued expenses and other liabilities | 88,836 | 60,003 | 10,473 | 22,283 | |||||||||||||||
Total Liabilities | 64,388,010 | 18,716,058 | 1,152,103 | 10,242,304 | |||||||||||||||
Net Assets | $ | 136,478,981 | $ | 38,719,612 | $ | 10,660,133 | $ | 25,820,565 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 340,408,198 | $ | 364,821,011 | $ | 18,284,469 | $ | 31,708,220 | |||||||||||
Total distributable loss | (203,929,217 | ) | (326,101,399 | ) | (7,624,336 | ) | (5,887,655 | ) | |||||||||||
Net Assets | $ | 136,478,981 | $ | 38,719,612 | $ | 10,660,133 | $ | 25,820,565 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 136,478,981 | $ | 38,719,612 | $ | 10,660,133 | $ | 25,820,565 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 2,281,598 | 2,245,232 | 333,205 | 1,550,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 59.82 | $ | 17.25 | $ | 31.99 | $ | 16.66 | |||||||||||
Cost of Investments | $ | 105,629,517 | $ | 40,971,147 | $ | 8,487,310 | $ | 19,235,969 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
121
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | Direxion Daily Dow Jones Internet Bull 3X Shares | Direxion Daily Dow Jones Internet Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 220,462,145 | $ | 9,699,005 | $ | 35,991,487 | $ | 3,747,241 | |||||||||||
Cash equivalents | 8,246,307 | 1,904,014 | 1,143,164 | 1,581,531 | |||||||||||||||
Receivable for Fund shares sold | 59,608 | — | 15,505,000 | — | |||||||||||||||
Receivable for investments sold | — | 1,600,604 | — | — | |||||||||||||||
Due from Adviser, net (Note 6) | — | — | — | 849 | |||||||||||||||
Dividend and interest receivable | 50,729 | 1,706 | 45 | 117 | |||||||||||||||
Due from broker for swap contracts | — | — | 875,665 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 9,556,654 | 5,728,374 | 7,435,461 | 160,068 | |||||||||||||||
Prepaid expenses and other assets | 12,197 | 21,917 | 8,385 | 12,183 | |||||||||||||||
Total Assets | 238,387,640 | 18,955,620 | 60,959,207 | 5,501,989 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 10,624 | — | 13,643,726 | — | |||||||||||||||
Payable for investments purchased | — | — | 193,930 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 29,036,548 | 87,287 | 257,249 | 195,708 | |||||||||||||||
Due to Adviser, net (Note 6) | 132,183 | 381 | 24,628 | — | |||||||||||||||
Due to broker for swap contracts | 9,610,000 | 6,212,471 | 12,731,990 | — | |||||||||||||||
Accrued expenses and other liabilities | 113,087 | 8,388 | 7,570 | 1,268 | |||||||||||||||
Total Liabilities | 38,902,442 | 6,308,527 | 26,859,093 | 196,976 | |||||||||||||||
Net Assets | $ | 199,485,198 | $ | 12,647,093 | $ | 34,100,114 | $ | 5,305,013 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 307,681,119 | $ | 10,393,093 | $ | 26,252,410 | $ | 10,246,771 | |||||||||||
Total distributable earnings (loss) | (108,195,921 | ) | 2,254,000 | 7,847,704 | (4,941,758 | ) | |||||||||||||
Net Assets | $ | 199,485,198 | $ | 12,647,093 | $ | 34,100,114 | $ | 5,305,013 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 199,485,198 | $ | 12,647,093 | $ | 34,100,114 | $ | 5,305,013 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 22,500,001 | 350,001 | 750,001 | 119,952 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 8.87 | $ | 36.13 | $ | 45.47 | $ | 44.23 | |||||||||||
Cost of Investments | $ | 228,963,962 | $ | 9,679,130 | $ | 33,755,094 | $ | 3,747,241 |
* Securities loaned with values of $–, $5,588, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
122
Statements of Assets and Liabilities
October 31, 2020
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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 1,349,475,545 | $ | 193,916,490 | $ | 82,924,207 | $ | 373,155,194 | |||||||||||
Cash equivalents | 32,038,877 | 105,888,184 | 21,022,698 | 4,062,398 | |||||||||||||||
Receivable for Fund shares sold | 8,401,860 | 221 | — | — | |||||||||||||||
Dividend and interest receivable | 2,056,830 | 6,249 | 78,702 | 106,682 | |||||||||||||||
Due from broker for swap contracts | — | 729,542 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 80,757,584 | 7,094,110 | 10,973,994 | 194,445,223 | |||||||||||||||
Prepaid expenses and other assets | 42,256 | 914 | 4,599 | 3,293 | |||||||||||||||
Total Assets | 1,472,772,952 | 307,635,710 | 115,004,200 | 571,772,790 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | 737,318 | — | 27,700 | |||||||||||||||
Unrealized depreciation on swap contracts | 46,441,933 | 24,656,163 | 621,612 | 2,171,171 | |||||||||||||||
Due to Adviser, net (Note 6) | 960,930 | 145,393 | 67,823 | 281,811 | |||||||||||||||
Due to broker for swap contracts | 76,971,160 | 10,262,622 | 11,187,422 | 208,954,177 | |||||||||||||||
Accrued expenses and other liabilities | 760,691 | 166,540 | 88,305 | 196,496 | |||||||||||||||
Total Liabilities | 125,134,714 | 35,968,036 | 11,965,162 | 211,631,355 | |||||||||||||||
Net Assets | $ | 1,347,638,238 | $ | 271,667,674 | $ | 103,039,038 | $ | 360,141,435 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 1,768,493,520 | $ | 3,108,515,900 | $ | 112,819,869 | $ | 222,921,725 | |||||||||||
Total distributable earnings (loss) | (420,855,282 | ) | (2,836,848,226 | ) | (9,780,831 | ) | 137,219,710 | ||||||||||||
Net Assets | $ | 1,347,638,238 | $ | 271,667,674 | $ | 103,039,038 | $ | 360,141,435 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,347,638,238 | $ | 271,667,674 | $ | 103,039,038 | $ | 360,141,435 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 40,099,289 | 18,422,860 | 1,850,008 | 9,100,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 33.61 | $ | 14.75 | $ | 55.70 | $ | 39.58 | |||||||||||
Cost of Investments | $ | 1,327,749,070 | $ | 193,916,490 | $ | 82,442,378 | $ | 377,580,704 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
123
Statements of Assets and Liabilities
October 31, 2020
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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 16,227,706 | $ | 47,459,649 | $ | 27,072,991 | $ | 8,769,011 | |||||||||||
Cash equivalents | 395,634 | 7,519,444 | 17,226,463 | 2,428,099 | |||||||||||||||
Receivable for Fund shares sold | 4,636,836 | 13,228 | — | — | |||||||||||||||
Due from Adviser, net (Note 6) | — | — | — | 6,674 | |||||||||||||||
Dividend and interest receivable | 7,570 | 22,196 | 1,281 | 3,463 | |||||||||||||||
Due from broker for swap contracts | 1,459 | 16,042 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 2,870,346 | 2,461,066 | 3,797,956 | 3,321,723 | |||||||||||||||
Prepaid expenses and other assets | 11,051 | 54,215 | 9,560 | 16,717 | |||||||||||||||
Total Assets | 24,150,602 | 57,545,840 | 48,108,251 | 14,545,687 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 4,621,582 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 17,008 | 5,066,613 | — | 115,407 | |||||||||||||||
Due to Adviser, net (Note 6) | 1,486 | 30,483 | 16,994 | — | |||||||||||||||
Due to broker for swap contracts | 2,864,226 | 2,720,723 | 2,790,000 | 3,392,183 | |||||||||||||||
Accrued expenses and other liabilities | 9,927 | 69,376 | 17,960 | 8,677 | |||||||||||||||
Total Liabilities | 7,514,229 | 7,887,195 | 2,824,954 | 3,516,267 | |||||||||||||||
Net Assets | $ | 16,636,373 | $ | 49,658,645 | $ | 45,283,297 | $ | 11,029,420 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 16,757,222 | $ | 74,169,383 | $ | 150,598,557 | $ | 8,901,260 | |||||||||||
Total distributable earnings (loss) | (120,849 | ) | (24,510,738 | ) | (105,315,260 | ) | 2,128,160 | ||||||||||||
Net Assets | $ | 16,636,373 | $ | 49,658,645 | $ | 45,283,297 | $ | 11,029,420 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 16,636,373 | $ | 49,658,645 | $ | 45,283,297 | $ | 11,029,420 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 900,001 | 5,500,000 | 2,951,444 | 700,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 18.48 | $ | 9.03 | $ | 15.34 | $ | 15.76 | |||||||||||
Cost of Investments | $ | 16,252,020 | $ | 47,536,916 | $ | 27,072,991 | $ | 8,771,699 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
124
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Retail Bull 3X Shares | Direxion Daily S&P 500® High Beta Bull 3X Shares | Direxion Daily S&P 500® High Beta Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 79,306,836 | $ | 17,235,952 | $ | 20,554,518 | $ | 39,273,871 | |||||||||||
Cash equivalents | 27,837,166 | 7,748,964 | 10,228,470 | 18,969,542 | |||||||||||||||
Receivable for Fund shares sold | 150,567 | — | — | — | |||||||||||||||
Dividend and interest receivable | 116,733 | 7,374 | 7,416 | 1,278 | |||||||||||||||
Due from broker for swap contracts | — | 4 | — | 49,047 | |||||||||||||||
Unrealized appreciation on swap contracts | 32,529,742 | 13,440,020 | 6,730,879 | 1,875,638 | |||||||||||||||
Prepaid expenses and other assets | 8,829 | 5,818 | 5,313 | 2,308 | |||||||||||||||
Total Assets | 139,949,873 | 38,438,132 | 37,526,596 | 60,171,684 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 103,791 | — | — | 509,894 | |||||||||||||||
Unrealized depreciation on swap contracts | — | 150,570 | 1,073,046 | 4,754,814 | |||||||||||||||
Due to Adviser, net (Note 6) | 72,040 | 11,004 | 16,926 | 30,882 | |||||||||||||||
Due to broker for swap contracts | 28,340,000 | 15,778,886 | 6,633,953 | 2,080,079 | |||||||||||||||
Accrued expenses and other liabilities | 37,494 | 12,505 | 8,013 | 14,573 | |||||||||||||||
Total Liabilities | 28,553,325 | 15,952,965 | 7,731,938 | 7,390,242 | |||||||||||||||
Net Assets | $ | 111,396,548 | $ | 22,485,167 | $ | 29,794,658 | $ | 52,781,442 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 121,546,554 | $ | 17,682,191 | $ | 28,670,531 | $ | 96,573,218 | |||||||||||
Total distributable earnings (loss) | (10,150,006 | ) | 4,802,976 | 1,124,127 | (43,791,776 | ) | |||||||||||||
Net Assets | $ | 111,396,548 | $ | 22,485,167 | $ | 29,794,658 | $ | 52,781,442 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 111,396,548 | $ | 22,485,167 | $ | 29,794,658 | $ | 52,781,442 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,689,718 | 104,844 | 294,910 | 10,450,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 65.93 | $ | 214.46 | $ | 101.03 | $ | 5.05 | |||||||||||
Cost of Investments | $ | 77,057,327 | $ | 16,486,495 | $ | 20,975,090 | $ | 39,273,871 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
125
Statements of Assets and Liabilities
October 31, 2020
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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 261,147,340 | $ | 48,317,358 | $ | 1,085,748,333 | $ | 75,159,134 | |||||||||||
Cash equivalents | 50,828,387 | 31,575,823 | 289,991,203 | 23,650,360 | |||||||||||||||
Receivable for Fund shares sold | 112,318 | 1,635 | 1,359,122 | 8,934,274 | |||||||||||||||
Dividend and interest receivable | 84,951 | 2,081 | 538,926 | 2,697 | |||||||||||||||
Due from broker for swap contracts | — | — | 4,882,824 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 108,037,622 | 2,798,279 | 481,614,516 | 4,169,239 | |||||||||||||||
Prepaid expenses and other assets | 14,035 | 2,605 | 20,833 | 1,044 | |||||||||||||||
Total Assets | 420,224,653 | 82,697,781 | 1,864,155,757 | 111,916,748 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | 5,450,935 | 679,561 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 4,634,443 | 12,894,045 | 17,713,711 | 14,796,527 | |||||||||||||||
Due to Adviser, net (Note 6) | 197,608 | 37,962 | 1,000,956 | 45,896 | |||||||||||||||
Due to broker for swap contracts | 122,853,750 | 700,000 | 525,290,000 | 3,220,000 | |||||||||||||||
Accrued expenses and other liabilities | 240,732 | 54,312 | 627,144 | 77,360 | |||||||||||||||
Total Liabilities | 127,926,533 | 19,137,254 | 545,311,372 | 18,139,783 | |||||||||||||||
Net Assets | $ | 292,298,120 | $ | 63,560,527 | $ | 1,318,844,385 | $ | 93,776,965 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 278,874,885 | $ | 306,492,903 | $ | 1,082,872,987 | $ | 728,124,007 | |||||||||||
Total distributable earnings (loss) | 13,423,235 | (242,932,376 | ) | 235,971,398 | (634,347,042 | ) | |||||||||||||
Net Assets | $ | 292,298,120 | $ | 63,560,527 | $ | 1,318,844,385 | $ | 93,776,965 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 292,298,120 | $ | 63,560,527 | $ | 1,318,844,385 | $ | 93,776,965 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 5,461,600 | 1,166,024 | 5,300,004 | 2,501,071 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 53.52 | $ | 54.51 | $ | 248.84 | $ | 37.49 | |||||||||||
Cost of Investments | $ | 278,375,078 | $ | 48,317,358 | $ | 1,068,607,033 | $ | 75,159,134 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
126
Statements of Assets and Liabilities
October 31, 2020
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 1,417,125,712 | $ | 55,183,456 | $ | 27,574,106 | $ | 10,631,860 | |||||||||||
Cash equivalents | 93,367,556 | 28,853,044 | 12,431,434 | 4,460,749 | |||||||||||||||
Receivable for Fund shares sold | 138,512,686 | 7,829,872 | — | — | |||||||||||||||
Receivable for investments sold | 137,086,225 | — | — | — | |||||||||||||||
Dividend and interest receivable | 326,898 | 1,779 | 419 | 5,654 | |||||||||||||||
Due from broker for swap contracts | — | — | — | 33,107 | |||||||||||||||
Unrealized appreciation on swap contracts | 548,640,756 | 778,171 | 12,075,867 | 2,849,983 | |||||||||||||||
Prepaid expenses and other assets | 18,573 | 2,064 | 11,276 | 10,938 | |||||||||||||||
Total Assets | 2,335,078,406 | 92,648,386 | 52,093,102 | 17,992,291 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 129,898,132 | 6,651,484 | 38,390 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 15,435,795 | 5,882,818 | 474,661 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 1,295,765 | 35,904 | 27,288 | 1,110 | |||||||||||||||
Due to broker for swap contracts | 627,463,448 | — | 12,659,352 | 3,266,000 | |||||||||||||||
Accrued expenses and other liabilities | 897,217 | 42,337 | 14,231 | 9,800 | |||||||||||||||
Total Liabilities | 774,990,357 | 12,612,543 | 13,213,922 | 3,276,910 | |||||||||||||||
Net Assets | $ | 1,560,088,049 | $ | 80,035,843 | $ | 38,879,180 | $ | 14,715,381 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 1,312,747,470 | $ | 307,688,917 | $ | 29,624,273 | $ | 16,569,075 | |||||||||||
Total distributable earnings (loss) | 247,340,579 | (227,653,074 | ) | 9,254,907 | (1,853,694 | ) | |||||||||||||
Net Assets | $ | 1,560,088,049 | $ | 80,035,843 | $ | 38,879,180 | $ | 14,715,381 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,560,088,049 | $ | 80,035,843 | $ | 38,879,180 | $ | 14,715,381 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 6,100,000 | 5,414,848 | 2,150,001 | 550,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 255.75 | $ | 14.78 | $ | 18.08 | $ | 26.76 | |||||||||||
Cost of Investments | $ | 1,358,110,496 | $ | 55,183,456 | $ | 26,656,378 | $ | 10,435,607 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
127
Statements of Assets and Liabilities
October 31, 2020
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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 18,805,868 | $ | 4,737,027 | $ | 285,959,340 | $ | 57,431,657 | |||||||||||
Cash equivalents | 1,069,394 | 3,076,562 | 7,348,972 | 44,738,432 | |||||||||||||||
Dividend and interest receivable | 119 | 199 | 5,889 | 2,435 | |||||||||||||||
Due from broker for swap contracts | — | — | 916,607 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 1,348,089 | 62,965 | 11,344,406 | 4,528,328 | |||||||||||||||
Prepaid expenses and other assets | 23,561 | 24,197 | 2,492 | 56,822 | |||||||||||||||
Total Assets | 21,247,031 | 7,900,950 | 305,577,706 | 106,757,674 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Unrealized depreciation on swap contracts | 12,668 | 981,747 | 8,791,181 | 4,907,342 | |||||||||||||||
Due to Adviser, net (Note 6) | 10,777 | 300 | 190,604 | 53,558 | |||||||||||||||
Due to broker for swap contracts | 1,648,908 | — | 13,600,002 | 2,676,000 | |||||||||||||||
Accrued expenses and other liabilities | 40,325 | 36,622 | 117,061 | 110,551 | |||||||||||||||
Total Liabilities | 1,712,678 | 1,018,669 | 22,698,848 | 7,747,451 | |||||||||||||||
Net Assets | $ | 19,534,353 | $ | 6,882,281 | $ | 282,878,858 | $ | 99,010,223 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 16,117,621 | $ | 70,100,148 | $ | 285,820,974 | $ | 1,133,029,503 | |||||||||||
Total distributable earnings (loss) | 3,416,732 | (63,217,867 | ) | (2,942,116 | ) | (1,034,019,280 | ) | ||||||||||||
Net Assets | $ | 19,534,353 | $ | 6,882,281 | $ | 282,878,858 | $ | 99,010,223 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 19,534,353 | $ | 6,882,281 | $ | 282,878,858 | $ | 99,010,223 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 300,000 | 850,000 | 7,900,000 | 1,774,261 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 65.11 | $ | 8.10 | $ | 35.81 | $ | 55.80 | |||||||||||
Cost of Investments | $ | 17,927,073 | $ | 4,737,027 | $ | 281,350,506 | $ | 57,431,657 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
128
Statements of Operations
For the Year Ended October 31, 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 | $ | 420,709 | $ | 15,321,576 | $ | — | $ | 5,765,716 | |||||||||||
Interest income | 93,988 | 2,257,946 | 3,948,614 | 2,276,722 | |||||||||||||||
Securities lending income | — | 13,486 | — | 779,336 | |||||||||||||||
Total investment income | 514,697 | 17,593,008 | 3,948,614 | 8,821,774 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 309,623 | 9,617,999 | 5,828,346 | 6,046,823 | |||||||||||||||
Licensing fees | 33,027 | 1,025,920 | 621,690 | 490,177 | |||||||||||||||
Interest expense | 21,664 | 1,023,098 | 83,784 | 605,551 | |||||||||||||||
Fund servicing fees | 20,223 | 599,592 | 364,398 | 366,011 | |||||||||||||||
Professional fees | 18,245 | 342,622 | 277,744 | 174,060 | |||||||||||||||
Management service fees (Note 6) | 10,473 | 325,056 | 197,088 | 204,164 | |||||||||||||||
Reports to shareholders | 9,311 | 289,192 | 175,275 | 181,810 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,225 | 5,964 | 6,799 | 5,422 | |||||||||||||||
Trustees' fees and expenses | 1,599 | 49,779 | 30,183 | 31,290 | |||||||||||||||
Insurance fees | 942 | 29,773 | 18,044 | 18,723 | |||||||||||||||
Other | 3,724 | 13,585 | 102,242 | — | |||||||||||||||
Total Expenses | 440,073 | 13,328,597 | 7,711,610 | 8,130,048 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 1,094 | 69,874 | 59,529 | 159,440 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (27,314 | ) | (192,574 | ) | (304,783 | ) | (24,627 | ) | |||||||||||
Net Expenses | 413,853 | 13,205,897 | 7,466,356 | 8,264,861 | |||||||||||||||
Net investment income (loss) | 100,844 | 4,387,111 | (3,517,742 | ) | 556,913 | ||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (5,111,912 | ) | (208,136,820 | ) | — | (126,367,188 | ) | ||||||||||||
In-kind redemptions | 459,555 | 254,792,606 | — | 101,227,017 | |||||||||||||||
Swap contracts | (11,405,074 | ) | 236,929,293 | (997,767,559 | ) | (150,098,945 | ) | ||||||||||||
Net realized gain (loss) | (16,057,431 | ) | 283,585,079 | (997,767,559 | ) | (175,239,116 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 3,546,413 | (12,569,137 | ) | — | 2,590,725 | ||||||||||||||
Swap contracts | 5,389,298 | (64,481,437 | ) | (18,278,355 | ) | 308,675,357 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 8,935,711 | (77,050,574 | ) | (18,278,355 | ) | 311,266,082 | |||||||||||||
Net realized and unrealized gain (loss) | (7,121,720 | ) | 206,534,505 | (1,016,045,914 | ) | 136,026,966 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (7,020,876 | ) | $ | 210,921,616 | $ | (1,019,563,656 | ) | $ | 136,583,879 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
129
Statements of Operations
For the Year Ended October 31, 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 | $ | — | $ | 4,117,656 | $ | — | $ | 186,846 | |||||||||||
Interest income | 2,525,909 | 1,227,612 | 610,562 | 109,561 | |||||||||||||||
Securities lending income | — | 417,984 | — | 2,193 | |||||||||||||||
Total investment income | 2,525,909 | 5,763,252 | 610,562 | 298,600 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 3,690,704 | 2,220,063 | 545,239 | 153,345 | |||||||||||||||
Licensing fees | 298,112 | 257,823 | 63,320 | 6,678 | |||||||||||||||
Fund servicing fees | 230,532 | 139,464 | 35,105 | 10,533 | |||||||||||||||
Professional fees | 153,934 | 78,285 | 27,789 | 13,563 | |||||||||||||||
Management service fees (Note 6) | 124,692 | 75,098 | 18,460 | 5,191 | |||||||||||||||
Reports to shareholders | 110,967 | 66,778 | 16,415 | 4,616 | |||||||||||||||
Interest expense | 82,952 | 130,529 | 20,119 | 16,034 | |||||||||||||||
Trustees' fees and expenses | 19,095 | 11,504 | 2,833 | 796 | |||||||||||||||
Insurance fees | 11,413 | 6,872 | 1,687 | 471 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,300 | 5,318 | 5,232 | 5,220 | |||||||||||||||
Excise tax | — | — | — | 882 | |||||||||||||||
Other | 27,365 | 4,046 | 1,956 | 1,088 | |||||||||||||||
Total Expenses | 4,761,083 | 3,001,797 | 744,172 | 224,434 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 49,850 | 6,874 | 1,378 | 503 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (53,089 | ) | (66,062 | ) | (34,795 | ) | (13,785 | ) | |||||||||||
Net Expenses | 4,757,844 | 2,942,609 | 710,755 | 211,152 | |||||||||||||||
Net investment income (loss) | (2,231,935 | ) | 2,820,643 | (100,193 | ) | 87,448 | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | (29,263,564 | ) | — | (2,353,785 | ) | |||||||||||||
In-kind redemptions | — | 23,159,072 | — | 1,070,497 | |||||||||||||||
Swap contracts | (452,997,640 | ) | (30,252,141 | ) | (27,559,136 | ) | (6,522,193 | ) | |||||||||||
Net realized loss | (452,997,640 | ) | (36,356,633 | ) | (27,559,136 | ) | (7,805,481 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | — | 6,778,784 | — | (445,287 | ) | ||||||||||||||
Swap contracts | (98,845,429 | ) | 18,836,435 | (6,991,731 | ) | (4,100,554 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (98,845,429 | ) | 25,615,219 | (6,991,731 | ) | (4,545,841 | ) | ||||||||||||
Net realized and unrealized loss | (551,843,069 | ) | (10,741,414 | ) | (34,550,867 | ) | (12,351,322 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (554,075,004 | ) | $ | (7,920,771 | ) | $ | (34,651,060 | ) | $ | (12,263,874 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
130
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | Direxion Daily MSCI Mexico Bull 3X Shares | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 1,522,273 | $ | — | $ | 52,677 | $ | 139,210 | |||||||||||
Interest income | 783,229 | 454,551 | 47,657 | 83,473 | |||||||||||||||
Securities lending income | 19,488 | — | 18,821 | — | |||||||||||||||
Total investment income | 2,324,990 | 454,551 | 119,155 | 222,683 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 1,180,192 | 398,655 | 73,964 | 168,396 | |||||||||||||||
Licensing fees | 143,388 | 67,501 | 3,945 | 17,962 | |||||||||||||||
Interest expense | 105,317 | 16,738 | 7,765 | 14,531 | |||||||||||||||
Fund servicing fees | 62,947 | 25,967 | 5,559 | 11,455 | |||||||||||||||
Professional fees | 41,352 | 23,949 | 11,622 | 15,388 | |||||||||||||||
Management service fees (Note 6) | 39,901 | 13,505 | 2,503 | 5,696 | |||||||||||||||
Reports to shareholders | 35,501 | 11,998 | 2,224 | 5,061 | |||||||||||||||
Trustees' fees and expenses | 6,116 | 2,069 | 381 | 870 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,278 | 5,228 | 5,214 | 5,217 | |||||||||||||||
Insurance fees | 3,643 | 1,234 | 226 | 514 | |||||||||||||||
Other | 4,369 | 1,948 | 4,467 | 7,283 | |||||||||||||||
Total Expenses | 1,634,021 | 574,809 | 123,887 | 258,390 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 6,473 | 1,012 | 51 | 828 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (40,267 | ) | (54,120 | ) | (22,485 | ) | (31,386 | ) | |||||||||||
Net Expenses | 1,600,227 | 521,701 | 101,453 | 227,832 | |||||||||||||||
Net investment income (loss) | 724,763 | (67,150 | ) | 17,702 | (5,149 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (16,701,221 | ) | — | (1,580,269 | ) | (2,478,504 | ) | ||||||||||||
In-kind redemptions | 11,184,033 | — | 356,904 | 3,335,428 | |||||||||||||||
Swap contracts | (72,255,999 | ) | (9,811,273 | ) | (4,306,451 | ) | 2,984,514 | ||||||||||||
Net realized gain (loss) | (77,773,187 | ) | (9,811,273 | ) | (5,529,816 | ) | 3,841,438 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 509,212 | — | 415,765 | 286,058 | |||||||||||||||
Swap contracts | 54,820,668 | (12,937,320 | ) | (605,289 | ) | 4,079,798 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 55,329,880 | (12,937,320 | ) | (189,524 | ) | 4,365,856 | |||||||||||||
Net realized and unrealized gain (loss) | (22,443,307 | ) | (22,748,593 | ) | (5,719,340 | ) | 8,207,294 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (21,718,544 | ) | $ | (22,815,743 | ) | $ | (5,701,638 | ) | $ | 8,202,145 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
131
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | Direxion Daily Dow Jones Internet Bull 3X Shares1 | Direxion Daily Dow Jones Internet Bear 3X Shares1 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 1,190,309 | $ | 60,636 | $ | 39,880 | $ | — | |||||||||||
Interest income | 165,315 | 13,875 | 16,191 | 19,797 | |||||||||||||||
Securities lending income | 10,290 | 281 | 183 | — | |||||||||||||||
Total investment income | 1,365,914 | 74,792 | 56,254 | 19,797 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 965,847 | 70,389 | 136,070 | 22,592 | |||||||||||||||
Licensing fees | 103,024 | 20,058 | 14,278 | 9,836 | |||||||||||||||
Fund servicing fees | 60,598 | 13,364 | 9,351 | 2,407 | |||||||||||||||
Interest expense | 45,906 | 4,530 | 3,995 | 399 | |||||||||||||||
Professional fees | 34,588 | 11,820 | 13,166 | 10,519 | |||||||||||||||
Management service fees (Note 6) | 32,538 | 2,377 | 4,588 | 766 | |||||||||||||||
Reports to shareholders | 29,006 | 2,114 | 4,079 | 678 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 5,918 | 5,918 | |||||||||||||||
Exchange listing fees | 5,230 | 5,213 | 5,116 | 5,116 | |||||||||||||||
Trustees' fees and expenses | 4,981 | 363 | 698 | 116 | |||||||||||||||
Excise tax | 4,606 | — | — | 9 | |||||||||||||||
Insurance fees | 2,993 | 210 | 422 | 73 | |||||||||||||||
Offering fees | — | — | 4,277 | 4,231 | |||||||||||||||
Other | 19,446 | 473 | 5,300 | 1,770 | |||||||||||||||
Total Expenses | 1,314,780 | 136,928 | 207,258 | 64,430 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 9,966 | 369 | 228 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (50,828 | ) | (43,606 | ) | (31,127 | ) | (35,406 | ) | |||||||||||
Net Expenses | 1,273,918 | 93,691 | 176,359 | 29,024 | |||||||||||||||
Net investment income (loss) | 91,996 | (18,899 | ) | (120,105 | ) | (9,227 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (30,637,698 | ) | (773,139 | ) | (1,181,081 | ) | — | ||||||||||||
In-kind redemptions | 12,851,948 | 1,744,361 | 2,020,210 | — | |||||||||||||||
Swap contracts | (58,043,836 | ) | (957,161 | ) | 2,588,348 | (4,893,560 | ) | ||||||||||||
Net realized gain (loss) | (75,829,586 | ) | 14,061 | 3,427,477 | (4,893,560 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | (9,715,017 | ) | (240,918 | ) | 2,236,393 | — | |||||||||||||
Swap contracts | (32,146,200 | ) | 5,095,882 | 7,178,212 | (35,640 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (41,861,217 | ) | 4,854,964 | 9,414,605 | (35,640 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (117,690,803 | ) | 4,869,025 | 12,842,082 | (4,929,200 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (117,598,807 | ) | $ | 4,850,126 | $ | 12,721,977 | $ | (4,938,427 | ) |
1 Represents the period from November 7, 2019 (commencement of operations) to October 31, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
132
Statements of Operations
For the Year Ended October 31, 2020
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 20,401,808 | $ | — | $ | 1,262,521 | $ | 1,209,072 | |||||||||||
(net of foreign withholding tax of $6,123, $—, $1,006, and $—, respectively) | |||||||||||||||||||
Interest income | 3,404,752 | 1,265,002 | 404,687 | 203,975 | |||||||||||||||
Securities lending income | 6,942 | — | 2,659 | 136 | |||||||||||||||
Total investment income | 23,813,502 | 1,265,002 | 1,669,867 | 1,413,183 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 10,186,782 | 1,961,051 | 1,032,779 | 1,576,084 | |||||||||||||||
Interest expense | 1,165,559 | 34,623 | 85,056 | 116,745 | |||||||||||||||
Licensing fees | 839,216 | 159,714 | 110,164 | 168,116 | |||||||||||||||
Fund servicing fees | 634,089 | 123,159 | 65,365 | 98,043 | |||||||||||||||
Management service fees (Note 6) | 344,130 | 66,293 | 34,926 | 53,054 | |||||||||||||||
Reports to shareholders | 306,360 | 58,965 | 31,080 | 47,294 | |||||||||||||||
Professional fees | 291,009 | 97,395 | 44,639 | 44,128 | |||||||||||||||
Trustees' fees and expenses | 52,770 | 10,148 | 5,358 | 8,103 | |||||||||||||||
Insurance fees | 31,536 | 6,072 | 3,208 | 4,887 | |||||||||||||||
Excise tax | 6,166 | — | — | — | |||||||||||||||
Exchange listing fees | 6,081 | 5,257 | 5,259 | 5,228 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Other | 43,911 | 46,950 | 8,041 | 11,929 | |||||||||||||||
Total Expenses | 13,913,626 | 2,575,644 | 1,431,892 | 2,139,628 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 4,909 | 23,091 | 3,252 | 21,184 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (4,909 | ) | (80,115 | ) | (41,898 | ) | (47,694 | ) | |||||||||||
Net Expenses | 13,913,626 | 2,518,620 | 1,393,246 | 2,113,118 | |||||||||||||||
Net investment income (loss) | 9,899,876 | (1,253,618 | ) | 276,621 | (699,935 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (259,907,915 | ) | — | (7,625,477 | ) | (23,775,434 | ) | ||||||||||||
In-kind redemptions | 132,782,324 | — | 7,047,459 | 70,646,721 | |||||||||||||||
Swap contracts | (233,625,728 | ) | (240,656,648 | ) | 18,075,671 | (4,525,900 | ) | ||||||||||||
Net realized gain (loss) | (360,751,319 | ) | (240,656,648 | ) | 17,497,653 | 42,345,387 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | (20,281,730 | ) | — | (4,657,429 | ) | (6,992,438 | ) | ||||||||||||
Swap contracts | (253,893,144 | ) | 5,159,269 | (6,588,871 | ) | 175,213,405 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (274,174,874 | ) | 5,159,269 | (11,246,300 | ) | 168,220,967 | |||||||||||||
Net realized and unrealized gain (loss) | (634,926,193 | ) | (235,497,379 | ) | 6,251,353 | 210,566,354 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (625,026,317 | ) | $ | (236,750,997 | ) | $ | 6,527,974 | $ | 209,866,419 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
133
Statements of Operations
For the Year Ended October 31, 2020
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 105,431 | $ | 1,119,594 | $ | — | $ | 64,859 | |||||||||||
(net of foreign withholding tax of $1,237,$—,$— and $63, respectively) | |||||||||||||||||||
Interest income | 10,139 | 104,866 | 121,469 | 24,641 | |||||||||||||||
Securities lending income | 28 | 2,109 | — | — | |||||||||||||||
Total investment income | 115,598 | 1,226,569 | 121,469 | 89,500 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 69,818 | 381,824 | 253,332 | 97,881 | |||||||||||||||
Licensing fees | 20,000 | 50,002 | 50,002 | 20,000 | |||||||||||||||
Professional fees | 11,594 | 20,757 | 21,362 | 13,192 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Fund servicing fees | 15,251 | 24,684 | 16,757 | 18,471 | |||||||||||||||
Exchange listing fees | 5,212 | 5,226 | 5,214 | 5,215 | |||||||||||||||
Management service fees (Note 6) | 2,355 | 12,911 | 8,573 | 3,311 | |||||||||||||||
Reports to shareholders | 1,457 | 11,484 | 7,612 | 2,945 | |||||||||||||||
Interest expense | 1,950 | 23,083 | 1,884 | 10,699 | |||||||||||||||
Trustees' fees and expenses | 359 | 1,978 | 1,325 | 513 | |||||||||||||||
Insurance fees | 205 | 1,182 | 784 | 298 | |||||||||||||||
Excise tax | 48 | 6,802 | — | — | |||||||||||||||
Other | 110 | 5,522 | 9,281 | 1,207 | |||||||||||||||
Total Expenses | 134,376 | 551,472 | 382,143 | 179,749 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 2,632 | 3,060 | 337 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (43,942 | ) | (40,574 | ) | (62,433 | ) | (45,404 | ) | |||||||||||
Net Expenses | 90,434 | 513,530 | 322,770 | 134,682 | |||||||||||||||
Net investment income (loss) | 25,164 | 713,039 | (201,301 | ) | (45,182 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (546,500 | ) | (4,519,467 | ) | — | (73,346 | ) | ||||||||||||
In-kind redemptions | 923,699 | 2,794,510 | — | 1,574,891 | |||||||||||||||
Swap contracts | (1,958,351 | ) | (18,036,811 | ) | (40,073,574 | ) | 2,704,575 | ||||||||||||
Net realized gain (loss) | (1,581,152 | ) | (19,761,768 | ) | (40,073,574 | ) | 4,206,120 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | (172,239 | ) | (5,412,864 | ) | — | (418,143 | ) | ||||||||||||
Swap contracts | 2,561,867 | (7,880,532 | ) | 5,546,779 | 1,962,119 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 2,389,628 | (13,293,396 | ) | 5,546,779 | 1,543,976 | ||||||||||||||
Net realized and unrealized gain (loss) | 808,476 | (33,055,164 | ) | (34,526,795 | ) | 5,750,096 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 833,640 | $ | (32,342,125 | ) | $ | (34,728,096 | ) | $ | 5,704,914 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
134
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily Regional Banks Bull 3X Shares | Direxion Daily Retail Bull 3X Shares | Direxion Daily S&P 500® High Beta Bull 3X Shares1 | Direxion Daily S&P 500® High Beta Bear 3X Shares1 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 1,613,263 | $ | 166,838 | $ | 167,652 | $ | — | |||||||||||
(net of foreign withholding tax of $3,422, $—, $—, and $—, respectively) | |||||||||||||||||||
Interest income | 83,052 | 23,755 | 19,709 | 41,732 | |||||||||||||||
Securities lending income | 17 | 36,873 | 2,626 | — | |||||||||||||||
Total investment income | 1,696,332 | 227,466 | 189,987 | 41,732 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 487,401 | 153,715 | 151,109 | 188,748 | |||||||||||||||
Fund servicing fees | 31,031 | 29,818 | 10,281 | 12,616 | |||||||||||||||
Licensing fees | 25,999 | 20,000 | 19,819 | 24,757 | |||||||||||||||
Professional fees | 20,548 | 8,334 | 13,217 | 14,973 | |||||||||||||||
Management service fees (Note 6) | 16,411 | 5,188 | 5,092 | 6,366 | |||||||||||||||
Reports to shareholders | 14,632 | 2,254 | 4,539 | 5,658 | |||||||||||||||
Interest expense | 10,944 | 8,476 | 3,278 | 1,291 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 5,918 | 5,918 | |||||||||||||||
Exchange listing fees | 5,217 | 5,215 | 5,116 | 5,116 | |||||||||||||||
Trustees' fees and expenses | 2,510 | 794 | 779 | 967 | |||||||||||||||
Insurance fees | 1,511 | 476 | 468 | 586 | |||||||||||||||
Offering fees | — | — | 3,987 | 3,987 | |||||||||||||||
Excise tax | — | — | — | 9 | |||||||||||||||
Other | 28,681 | 384 | 8,864 | 5,012 | |||||||||||||||
Total Expenses | 650,902 | 240,671 | 232,467 | 276,004 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 13,979 | 946 | 3,317 | 2,138 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (36,561 | ) | (38,436 | ) | (41,102 | ) | (37,761 | ) | |||||||||||
Net Expenses | 628,320 | 203,181 | 194,682 | 240,381 | |||||||||||||||
Net investment income (loss) | 1,068,012 | 24,285 | (4,695 | ) | (198,649 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (20,883,506 | ) | (1,864,126 | ) | (2,467,982 | ) | — | ||||||||||||
In-kind redemptions | 18,981,811 | 4,950,613 | 2,271,936 | — | |||||||||||||||
Swap contracts | (30,265,867 | ) | 2,629,787 | (3,644,859 | ) | (40,710,211 | ) | ||||||||||||
Net realized gain (loss) | (32,167,562 | ) | 5,716,274 | (3,840,905 | ) | (40,710,211 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 3,206,514 | 888,813 | (420,572 | ) | — | ||||||||||||||
Swap contracts | 31,068,323 | 12,014,269 | 5,657,833 | (2,879,176 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 34,274,837 | 12,903,082 | 5,237,261 | (2,879,176 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 2,107,275 | 18,619,356 | 1,396,356 | (43,589,387 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,175,287 | $ | 18,643,641 | $ | 1,391,661 | $ | (43,788,036 | ) |
1 Represents the period from November 7, 2019 (commencement of operations) to October 31, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
135
Statements of Operations
For the Year Ended October 31, 2020
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 306,215 | $ | — | $ | 10,708,827 | $ | — | |||||||||||
(net of foreign withholding tax of $—, $—, $211,543, and $—, respectively) | |||||||||||||||||||
Interest income | 1,623,923 | 917,687 | 2,623,428 | 1,589,336 | |||||||||||||||
Securities lending income | 363,510 | — | 1,688 | — | |||||||||||||||
Total investment income | 2,293,648 | 917,687 | 13,333,943 | 1,589,336 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 3,081,466 | 749,297 | 8,428,163 | 1,244,527 | |||||||||||||||
Interest expense | 384,627 | 44,489 | 1,333,001 | 41,757 | |||||||||||||||
Licensing fees | 328,690 | 79,925 | 674,253 | 99,562 | |||||||||||||||
Fund servicing fees | 192,957 | 47,790 | 487,577 | 78,913 | |||||||||||||||
Management service fees (Note 6) | 104,189 | 25,354 | 284,560 | 42,157 | |||||||||||||||
Professional fees | 101,158 | 31,574 | 279,729 | 54,708 | |||||||||||||||
Reports to shareholders | 92,731 | 22,555 | 253,301 | 37,479 | |||||||||||||||
Trustees' fees and expenses | 15,990 | 3,893 | 43,566 | 6,471 | |||||||||||||||
Insurance fees | 9,520 | 2,318 | 26,102 | 3,850 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,341 | 5,258 | 5,465 | 5,272 | |||||||||||||||
Other | 18,054 | 10,281 | 31,175 | 23,876 | |||||||||||||||
Total Expenses | 4,340,740 | 1,028,751 | 11,852,909 | 1,644,589 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 13,167 | 4,662 | 4,634 | 16,377 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (66,089 | ) | (39,815 | ) | (4,634 | ) | (42,808 | ) | |||||||||||
Net Expenses | 4,287,818 | 993,598 | 11,852,909 | 1,618,158 | |||||||||||||||
Net investment income (loss) | (1,994,170 | ) | (75,911 | ) | 1,481,034 | (28,822 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (60,883,623 | ) | — | (233,717,136 | ) | — | |||||||||||||
In-kind redemptions | 102,048,870 | — | 345,139,179 | — | |||||||||||||||
Swap contracts | 125,374,622 | (79,575,607 | ) | 365,094,806 | (332,521,165 | ) | |||||||||||||
Net realized gain (loss) | 166,539,869 | (79,575,607 | ) | 476,516,849 | (332,521,165 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 21,437,319 | — | 6,862,201 | — | |||||||||||||||
Swap contracts | 152,413,623 | (11,746,719 | ) | 247,533,807 | 43,059,014 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 173,850,942 | (11,746,719 | ) | 254,396,008 | 43,059,014 | ||||||||||||||
Net realized and unrealized gain (loss) | 340,390,811 | (91,322,326 | ) | 730,912,857 | (289,462,151 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 338,396,641 | $ | (91,398,237 | ) | $ | 732,393,891 | $ | (289,490,973 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
136
Statements of Operations
For the Year Ended October 31, 2020
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 9,205,472 | $ | — | $ | 145,650 | $ | 321,946 | |||||||||||
(net of foreign withholding tax of $8,975,$—,$— and $—, respectively) | |||||||||||||||||||
Interest income | 3,475,218 | 420,264 | 15,448 | 28,895 | |||||||||||||||
Securities lending income | 3,877 | — | 24 | — | |||||||||||||||
Total investment income | 12,684,567 | 420,264 | 161,122 | 350,841 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 9,983,522 | 404,860 | 141,215 | 107,484 | |||||||||||||||
Interest expense | 1,412,550 | 7,574 | 2,613 | 8,112 | |||||||||||||||
Licensing fees | 1,064,909 | 43,185 | 20,122 | 20,000 | |||||||||||||||
Fund servicing fees | 564,893 | 26,275 | 9,673 | 7,665 | |||||||||||||||
Management service fees (Note 6) | 337,034 | 13,699 | 4,760 | 3,637 | |||||||||||||||
Professional fees | 302,004 | 24,397 | 13,199 | 13,897 | |||||||||||||||
Reports to shareholders | 300,046 | 12,163 | 4,233 | 3,232 | |||||||||||||||
Trustees' fees and expenses | 51,589 | 2,090 | 724 | 564 | |||||||||||||||
Insurance fees | 30,922 | 1,254 | 438 | 330 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Exchange listing fees | 5,564 | 5,224 | 5,212 | 5,214 | |||||||||||||||
Other | 46,572 | 9,721 | 5,470 | 6,371 | |||||||||||||||
Total Expenses | 14,105,622 | 556,459 | 213,676 | 182,523 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 85,032 | 1,146 | 2,292 | 385 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (130,532 | ) | (37,209 | ) | (34,483 | ) | (38,650 | ) | |||||||||||
Net Expenses | 14,060,122 | 520,396 | 181,485 | 144,258 | |||||||||||||||
Net investment income (loss) | (1,375,555 | ) | (100,132 | ) | (20,363 | ) | 206,583 | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (163,602,134 | ) | — | (2,053,583 | ) | (1,883,088 | ) | ||||||||||||
In-kind redemptions | 188,158,036 | — | 4,018,438 | 1,104,985 | |||||||||||||||
Swap contracts | 171,413,995 | (88,487,681 | ) | 756,511 | (3,799,262 | ) | |||||||||||||
Net realized gain (loss) | 195,969,897 | (88,487,681 | ) | 2,721,366 | (4,577,365 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | (15,091,140 | ) | — | 888,568 | (132,268 | ) | |||||||||||||
Swap contracts | 318,213,617 | 4,785,963 | 11,564,308 | 1,454,686 | |||||||||||||||
Change in net unrealized appreciation | 303,122,477 | 4,785,963 | 12,452,876 | 1,322,418 | |||||||||||||||
Net realized and unrealized gain (loss) | 499,092,374 | (83,701,718 | ) | 15,174,242 | (3,254,947 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 497,716,819 | $ | (83,801,850 | ) | $ | 15,153,879 | $ | (3,048,364 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
137
Statements of Operations
For the Year Ended October 31, 2020
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 120,004 | $ | — | $ | 2,628,417 | $ | — | |||||||||||
Interest income | 65,424 | 73,097 | 473,449 | 811,510 | |||||||||||||||
Securities lending income | 10 | — | 16,383 | — | |||||||||||||||
Total investment income | 185,438 | 73,097 | 3,118,249 | 811,510 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 155,692 | 63,833 | 1,960,432 | 747,827 | |||||||||||||||
Licensing fees | 21,775 | 21,775 | 85,378 | 32,568 | |||||||||||||||
Professional fees | 15,394 | 12,218 | 78,721 | 33,418 | |||||||||||||||
Fund servicing fees | 10,677 | 5,034 | 123,143 | 7,943 | |||||||||||||||
Interest expense | 7,516 | — | 134,944 | 8,866 | |||||||||||||||
Pricing fees | 6,017 | 6,017 | 6,017 | 6,017 | |||||||||||||||
Management service fees (Note 6) | 5,271 | 2,164 | 66,279 | 25,309 | |||||||||||||||
Exchange listing fees | 5,215 | 5,214 | 5,266 | 5,244 | |||||||||||||||
Reports to shareholders | 4,683 | 1,921 | 58,936 | 22,491 | |||||||||||||||
Trustees' fees and expenses | 813 | 331 | 10,139 | 3,874 | |||||||||||||||
Insurance fees | 486 | 204 | 6,071 | 2,315 | |||||||||||||||
Excise tax | 227 | — | 5,934 | — | |||||||||||||||
Other | 3,644 | 543 | 17,858 | 4,747 | |||||||||||||||
Total Expenses | 237,410 | 119,254 | 2,559,118 | 900,619 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 721 | 176 | — | 433 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (33,178 | ) | (38,575 | ) | — | (433 | ) | ||||||||||||
Net Expenses | 204,953 | 80,855 | 2,559,118 | 900,619 | |||||||||||||||
Net investment income (loss) | (19,515 | ) | (7,758 | ) | 559,131 | (89,109 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | 45,868 | — | (2,225,234 | ) | — | ||||||||||||||
In-kind redemptions | — | — | 17,785,804 | — | |||||||||||||||
Swap contracts | 2,945,816 | (3,720,905 | ) | 66,426,268 | (96,025,160 | ) | |||||||||||||
Net realized gain (loss) | 2,991,684 | (3,720,905 | ) | 81,986,838 | (96,025,160 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 216,458 | — | (530,629 | ) | — | ||||||||||||||
Swap contracts | (186,675 | ) | 1,530,535 | (27,199,060 | ) | 25,819,147 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 29,783 | 1,530,535 | (27,729,689 | ) | 25,819,147 | ||||||||||||||
Net realized and unrealized gain (loss) | 3,021,467 | (2,190,370 | ) | 54,257,149 | (70,206,013 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,001,952 | $ | (2,198,128 | ) | $ | 54,816,280 | $ | (70,295,122 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
138
Statements of Changes in Net Assets
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily S&P 500® Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 100,844 | $ | 396,970 | $ | 4,387,111 | $ | 9,694,565 | |||||||||||
Net realized gain (loss) | (16,057,431 | ) | (2,433,942 | ) | 283,585,079 | 61,549,131 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 8,935,711 | 10,886,572 | (77,050,574 | ) | 230,866,868 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (7,020,876 | ) | 8,849,600 | 210,921,616 | 302,110,564 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (181,797 | ) | (494,580 | ) | (6,048,859 | ) | (11,449,455 | ) | |||||||||||
Return of capital | (11,321 | ) | — | — | — | ||||||||||||||
Total distributions | (193,118 | ) | (494,580 | ) | (6,048,859 | ) | (11,449,455 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 24,573,445 | 41,075,096 | 2,429,941,065 | 993,301,395 | |||||||||||||||
Cost of shares redeemed | (23,805,629 | ) | (60,640,620 | ) | (2,251,614,321 | ) | (1,328,657,459 | ) | |||||||||||
Transaction fees (Note 4) | 19,708 | 13,927 | 683,976 | 314,039 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 787,524 | (19,551,597 | ) | 179,010,720 | (335,042,025 | ) | |||||||||||||
Total increase (decrease) in net assets | (6,426,470 | ) | (11,196,577 | ) | 383,883,477 | (44,380,916 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 46,481,486 | 57,678,063 | 947,850,788 | 992,231,704 | |||||||||||||||
End of year | $ | 40,055,016 | $ | 46,481,486 | $ | 1,331,734,265 | $ | 947,850,788 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 1,100,132 | 1,500,132 | 17,155,004 | 23,055,004 | |||||||||||||||
Shares sold | 1,500,000 | 1,100,000 | 65,400,000 | 22,700,000 | |||||||||||||||
Shares repurchased | (850,000 | ) | (1,500,000 | ) | (54,855,002 | ) | (28,600,000 | ) | |||||||||||
Shares outstanding, end of year | 1,750,132 | 1,100,132 | 27,700,002 | 17,155,004 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
139
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bear 3X Shares | Direxion Daily Small Cap Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (3,517,742 | ) | $ | 5,480,739 | $ | 556,913 | $ | 4,443,506 | ||||||||||
Net realized loss | (997,767,559 | ) | (112,681,039 | ) | (175,239,116 | ) | (145,874,785 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (18,278,355 | ) | (61,571,750 | ) | 311,266,082 | 168,643,688 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,019,563,656 | ) | (168,772,050 | ) | 136,583,879 | 27,212,409 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,228,222 | ) | (5,338,151 | ) | (1,582,234 | ) | (4,558,793 | ) | |||||||||||
Return of capital | (590,141 | ) | — | (517,360 | ) | — | |||||||||||||
Total distributions | (1,818,363 | ) | (5,338,151 | ) | (2,099,594 | ) | (4,558,793 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,474,574,967 | 1,223,566,513 | 2,318,341,738 | 962,043,805 | |||||||||||||||
Cost of shares redeemed | (1,139,913,051 | ) | (827,834,428 | ) | (2,353,208,651 | ) | (1,137,917,469 | ) | |||||||||||
Transaction fees (Note 4) | 915,872 | 248,351 | 992,804 | 250,169 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,335,577,788 | 395,980,436 | (33,874,109 | ) | (175,623,495 | ) | |||||||||||||
Total increase (decrease) in net assets | 314,195,769 | 221,870,235 | 100,610,176 | (152,969,879 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 488,984,309 | 267,114,074 | 730,592,223 | 883,562,102 | |||||||||||||||
End of year | $ | 803,180,078 | $ | 488,984,309 | $ | 831,202,399 | $ | 730,592,223 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 30,453,892 | 10,303,892 | 12,250,068 | 14,300,068 | |||||||||||||||
Shares sold | 216,600,000 | 59,900,000 | 89,150,000 | 17,400,000 | |||||||||||||||
Shares repurchased | (115,350,000 | ) | (39,750,000 | ) | (75,450,066 | ) | (19,450,000 | ) | |||||||||||
Shares outstanding, end of year | 131,703,892 | 30,453,892 | 25,950,002 | 12,250,068 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
140
Statements of Changes in Net Assets
Direxion Daily Small Cap Bear 3X Shares | Direxion Daily FTSE China Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (2,231,935 | ) | $ | 4,267,917 | $ | 2,820,643 | $ | 3,950,105 | ||||||||||
Net realized loss | (452,997,640 | ) | (10,697,621 | ) | (36,356,633 | ) | (27,460,049 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (98,845,429 | ) | (47,475,848 | ) | 25,615,219 | 49,130,513 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (554,075,004 | ) | (53,905,552 | ) | (7,920,771 | ) | 25,620,569 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (809,006 | ) | (4,325,198 | ) | (3,169,542 | ) | (3,949,648 | ) | |||||||||||
Return of capital | (378,778 | ) | — | (301,335 | ) | — | |||||||||||||
Total distributions | (1,187,784 | ) | (4,325,198 | ) | (3,470,877 | ) | (3,949,648 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,429,131,148 | 593,649,652 | 288,754,595 | 383,330,207 | |||||||||||||||
Cost of shares redeemed | (1,650,473,771 | ) | (497,149,206 | ) | (345,936,485 | ) | (382,733,749 | ) | |||||||||||
Transaction fees (Note 4) | 1,004,871 | 149,109 | 79,377 | 78,296 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 779,662,248 | 96,649,555 | (57,102,513 | ) | 674,754 | ||||||||||||||
Total increase (decrease) in net assets | 224,399,460 | 38,418,805 | (68,494,161 | ) | 22,345,675 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 321,402,755 | 282,983,950 | 329,403,412 | 307,057,737 | |||||||||||||||
End of year | $ | 545,802,215 | $ | 321,402,755 | $ | 260,909,251 | $ | 329,403,412 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 7,441,573 | 4,894,075 | 18,250,013 | 17,200,013 | |||||||||||||||
Shares sold | 89,350,000 | 11,950,000 | 18,150,000 | 18,900,000 | |||||||||||||||
Shares repurchased | (61,700,000 | ) | (9,402,502 | ) | (20,850,000 | ) | (17,850,000 | ) | |||||||||||
Shares outstanding, end of year | 35,091,573 | 7,441,573 | 15,550,013 | 18,250,013 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
141
Statements of Changes in Net Assets
Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (100,193 | ) | $ | 1,045,537 | $ | 87,448 | $ | 461,884 | ||||||||||
Net realized loss | (27,559,136 | ) | (5,609,705 | ) | (7,805,481 | ) | (1,868,331 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (6,991,731 | ) | (12,650,990 | ) | (4,545,841 | ) | 7,379,899 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (34,651,060 | ) | (17,215,158 | ) | (12,263,874 | ) | 5,973,452 | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (161,009 | ) | (1,047,032 | ) | (130,258 | ) | (514,390 | ) | |||||||||||
Return of capital | (127,151 | ) | — | — | — | ||||||||||||||
Total distributions | (288,160 | ) | (1,047,032 | ) | (130,258 | ) | (514,390 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 216,334,644 | 163,162,012 | 10,745,409 | 4,976,969 | |||||||||||||||
Cost of shares redeemed | (215,938,887 | ) | (146,256,369 | ) | (12,400,656 | ) | (29,270,594 | ) | |||||||||||
Transaction fees (Note 4) | 249,853 | 43,876 | 2,480 | 5,979 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 645,610 | 16,949,519 | (1,652,767 | ) | (24,287,646 | ) | |||||||||||||
Total decrease in net assets | (34,293,610 | ) | (1,312,671 | ) | (14,046,899 | ) | (18,828,584 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 78,771,058 | 80,083,729 | 27,803,529 | 46,632,113 | |||||||||||||||
End of year | $ | 44,477,448 | $ | 78,771,058 | $ | 13,756,630 | $ | 27,803,529 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 1,577,337 | 1,127,337 | 950,001 | 1,900,001 | |||||||||||||||
Shares sold | 5,650,000 | 3,100,000 | 650,000 | 200,000 | |||||||||||||||
Shares repurchased | (5,100,000 | ) | (2,650,000 | ) | (650,000 | ) | (1,150,000 | ) | |||||||||||
Shares outstanding, end of year | 2,127,337 | 1,577,337 | 950,001 | 950,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
142
Statements of Changes in Net Assets
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 724,763 | $ | 2,731,404 | $ | (67,150 | ) | $ | 915,578 | ||||||||||
Net realized loss | (77,773,187 | ) | (5,877,824 | ) | (9,811,273 | ) | (23,082,033 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 55,329,880 | 48,286,984 | (12,937,320 | ) | (4,455,830 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (21,718,544 | ) | 45,140,564 | (22,815,743 | ) | (26,622,285 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,269,642 | ) | (2,694,656 | ) | (149,374 | ) | (955,647 | ) | |||||||||||
Return of capital | — | — | (80,075 | ) | — | ||||||||||||||
Total distributions | (1,269,642 | ) | (2,694,656 | ) | (229,449 | ) | (955,647 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 93,898,890 | 166,224,051 | 85,499,849 | 123,639,796 | |||||||||||||||
Cost of shares redeemed | (123,053,340 | ) | (222,863,758 | ) | (86,598,299 | ) | (123,645,598 | ) | |||||||||||
Transaction fees (Note 4) | 25,424 | 44,891 | 26,512 | 37,093 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (29,129,026 | ) | (56,594,816 | ) | (1,071,938 | ) | 31,291 | ||||||||||||
Total decrease in net assets | (52,117,212 | ) | (14,148,908 | ) | (24,117,130 | ) | (27,546,641 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 188,596,193 | 202,745,101 | 62,836,742 | 90,383,383 | |||||||||||||||
End of year | $ | 136,478,981 | $ | 188,596,193 | $ | 38,719,612 | $ | 62,836,742 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 2,581,598 | 3,231,598 | 1,495,232 | 1,395,232 | |||||||||||||||
Shares sold | 1,800,000 | 2,350,000 | 2,750,000 | 2,500,000 | |||||||||||||||
Shares repurchased | (2,100,000 | ) | (3,000,000 | ) | (2,000,000 | ) | (2,400,000 | ) | |||||||||||
Shares outstanding, end of year | 2,281,598 | 2,581,598 | 2,245,232 | 1,495,232 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
143
Statements of Changes in Net Assets
Direxion Daily MSCI Mexico Bull 3X Shares1 | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 17,702 | $ | 195,329 | $ | (5,149 | ) | $ | 261,032 | ||||||||||
Net realized gain (loss) | (5,529,816 | ) | (3,258,835 | ) | 3,841,438 | (10,149,578 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (189,524 | ) | 4,172,497 | 4,365,856 | 10,137,611 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (5,701,638 | ) | 1,108,991 | 8,202,145 | 249,065 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (45,272 | ) | (188,557 | ) | (142,470 | ) | (231,430 | ) | |||||||||||
Return of capital | (9,723 | ) | — | — | — | ||||||||||||||
Total distributions | (54,995 | ) | (188,557 | ) | (142,470 | ) | (231,430 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 18,706,556 | 30,508,299 | 29,120,431 | 123,486,796 | |||||||||||||||
Cost of shares redeemed | (13,694,341 | ) | (24,842,352 | ) | (36,946,990 | ) | (120,873,990 | ) | |||||||||||
Transaction fees (Note 4) | 4,555 | 5,076 | 7,389 | 25,727 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 5,016,770 | 5,671,023 | (7,819,170 | ) | 2,638,533 | ||||||||||||||
Total increase (decrease) in net assets | (739,863 | ) | 6,591,457 | 240,505 | 2,656,168 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 11,399,996 | 4,808,539 | 25,580,060 | 22,923,892 | |||||||||||||||
End of year | $ | 10,660,133 | $ | 11,399,996 | $ | 25,820,565 | $ | 25,580,060 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 87,500 | 37,500 | 1,200,001 | 950,001 | |||||||||||||||
Shares sold | 387,500 | 241,667 | 2,550,000 | 5,050,000 | |||||||||||||||
Shares repurchased | (141,795 | ) | (191,667 | ) | (2,200,000 | ) | (4,800,000 | ) | |||||||||||
Shares outstanding, end of year | 333,205 | 87,500 | 1,550,001 | 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 ANNUAL REPORT
144
Statements of Changes in Net Assets
Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | For the Period November 29, 20181 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 91,996 | $ | 354,399 | $ | (18,899 | ) | $ | 19,586 | ||||||||||
Net realized gain (loss) | (75,829,586 | ) | (459,599 | ) | 14,061 | (185,541 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (41,861,217 | ) | 16,829,834 | 4,854,964 | 805,998 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (117,598,807 | ) | 16,724,634 | 4,850,126 | 640,043 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (155,985 | ) | (392,972 | ) | (13,290 | ) | (20,474 | ) | |||||||||||
Return of capital | (116,045 | ) | — | — | (4,274 | ) | |||||||||||||
Total distributions | (272,030 | ) | (392,972 | ) | (13,290 | ) | (24,748 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 355,740,451 | 10,622,361 | 22,366,306 | 5,731,929 | |||||||||||||||
Cost of shares redeemed | (91,164,337 | ) | (31,101,372 | ) | (20,908,792 | ) | — | ||||||||||||
Transaction fees (Note 4) | 20,590 | 6,220 | 5,519 | — | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 264,596,704 | (20,472,791 | ) | 1,463,033 | 5,731,929 | ||||||||||||||
Total increase (decrease) in net assets | 146,725,867 | (4,141,129 | ) | 6,299,869 | 6,347,224 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 52,759,331 | 56,900,460 | 6,347,224 | — | |||||||||||||||
End of year/period | $ | 199,485,198 | $ | 52,759,331 | $ | 12,647,093 | $ | 6,347,224 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 950,001 | 1,350,001 | 200,001 | — | |||||||||||||||
Shares sold | 28,200,000 | 250,000 | 650,000 | 200,001 | |||||||||||||||
Shares repurchased | (6,650,000 | ) | (650,000 | ) | (500,000 | ) | — | ||||||||||||
Shares outstanding, end of year/period | 22,500,001 | 950,001 | 350,001 | 200,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
145
Statements of Changes in Net Assets
Direxion Daily Dow Jones Internet Bull 3X Shares | Direxion Daily Dow Jones Internet Bear 3X Shares2 | ||||||||||
For the Period November 7, 20191 through October 31, 2020 | For the Period November 7, 20191 through October 31, 2020 | ||||||||||
Operations: | |||||||||||
Net investment loss | $ | (120,105 | ) | $ | (9,227 | ) | |||||
Net realized gain (loss) | 3,427,477 | (4,893,560 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 9,414,605 | (35,640 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 12,721,977 | (4,938,427 | ) | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (2,646 | ) | (4,123 | ) | |||||||
Return of capital | — | (4,413 | ) | ||||||||
Total distributions | (2,646 | ) | (8,536 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 68,754,242 | 18,197,483 | |||||||||
Cost of shares redeemed | (47,387,120 | ) | (7,947,891 | ) | |||||||
Transaction fees (Note 4) | 13,661 | 2,384 | |||||||||
Net increase in net assets resulting from capital transactions | 21,380,783 | 10,251,976 | |||||||||
Total increase in net assets | 34,100,114 | 5,305,013 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 34,100,114 | $ | 5,305,013 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 1,650,001 | 225,000 | |||||||||
Shares repurchased | (900,000 | ) | (105,048 | ) | |||||||
Shares outstanding, end of period | 750,001 | 119,952 |
1 Commencement of operations.
2 Effective August 28, 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 ANNUAL REPORT
146
Statements of Changes in Net Assets
Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 9,899,876 | $ | 15,058,365 | $ | (1,253,618 | ) | $ | 2,309,441 | ||||||||||
Net realized gain (loss) | (360,751,319 | ) | 36,214,809 | (240,656,648 | ) | (78,630,703 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (274,174,874 | ) | 451,202,304 | 5,159,269 | (10,085,637 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (625,026,317 | ) | 502,475,478 | (236,750,997 | ) | (86,406,899 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (8,708,613 | ) | (13,959,446 | ) | (427,657 | ) | (2,271,607 | ) | |||||||||||
Return of capital | — | (57,860 | ) | (186,053 | ) | — | |||||||||||||
Total distributions | (8,708,613 | ) | (14,017,306 | ) | (613,710 | ) | (2,271,607 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,569,791,629 | 239,421,235 | 835,514,454 | 290,517,933 | |||||||||||||||
Cost of shares redeemed | (928,223,121 | ) | (1,016,097,666 | ) | (502,691,801 | ) | (167,887,450 | ) | |||||||||||
Transaction fees (Note 4) | 306,806 | 203,219 | 408,798 | 50,324 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 641,875,314 | (776,473,212 | ) | 333,231,451 | 122,680,807 | ||||||||||||||
Total increase (decrease) in net assets | 8,140,384 | (288,015,040 | ) | 95,866,744 | 34,002,301 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 1,339,497,854 | 1,627,512,894 | 175,800,930 | 141,798,629 | |||||||||||||||
End of year | $ | 1,347,638,238 | $ | 1,339,497,854 | $ | 271,667,674 | $ | 175,800,930 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 16,549,888 | 27,749,888 | 5,372,860 | 2,526,411 | |||||||||||||||
Shares sold | 48,350,000 | 3,900,000 | 34,850,000 | 6,460,000 | |||||||||||||||
Shares repurchased | (24,800,599 | ) | (15,100,000 | ) | (21,800,000 | ) | (3,613,551 | ) | |||||||||||
Shares outstanding, end of year | 40,099,289 | 16,549,888 | 18,422,860 | 5,372,860 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
147
Statements of Changes in Net Assets
Direxion Daily Healthcare Bull 3X Shares | Direxion Daily Homebuilders & Supplies Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 276,621 | $ | 1,129,764 | $ | (699,935 | ) | $ | 141,542 | ||||||||||
Net realized gain (loss) | 17,497,653 | (537,225 | ) | 42,345,387 | 1,346,371 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (11,246,300 | ) | 13,575,904 | 168,220,967 | 36,020,645 | ||||||||||||||
Net increase in net assets resulting from operations | 6,527,974 | 14,168,443 | 209,866,419 | 37,508,558 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (298,454 | ) | (1,182,359 | ) | (11,980 | ) | (172,171 | ) | |||||||||||
Return of capital | — | — | — | (9,939 | ) | ||||||||||||||
Total distributions | (298,454 | ) | (1,182,359 | ) | (11,980 | ) | (182,110 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 27,088,798 | 56,502,013 | 378,383,998 | 36,465,521 | |||||||||||||||
Cost of shares redeemed | (69,843,618 | ) | (81,058,921 | ) | (295,057,375 | ) | (46,598,960 | ) | |||||||||||
Transaction fees (Note 4) | 13,968 | 17,241 | 90,838 | 9,759 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (42,740,852 | ) | (24,539,667 | ) | 83,417,461 | (10,123,680 | ) | ||||||||||||
Total increase (decrease) in net assets | (36,511,332 | ) | (11,553,583 | ) | 293,271,900 | 27,202,768 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 139,550,370 | 151,103,953 | 66,869,535 | 39,666,767 | |||||||||||||||
End of year | $ | 103,039,038 | $ | 139,550,370 | $ | 360,141,435 | $ | 66,869,535 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 2,400,008 | 2,850,008 | 950,000 | 1,400,000 | |||||||||||||||
Shares sold | 600,000 | 1,100,000 | 15,750,000 | 800,000 | |||||||||||||||
Shares repurchased | (1,150,000 | ) | (1,550,000 | ) | (7,600,000 | ) | (1,250,000 | ) | |||||||||||
Shares outstanding, end of year | 1,850,008 | 2,400,008 | 9,100,000 | 950,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
148
Statements of Changes in Net Assets
Direxion Daily Industrials Bull 3X Shares | Direxion Daily MSCI Real Estate Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 25,164 | $ | 58,619 | $ | 713,039 | $ | 1,004,357 | |||||||||||
Net realized gain (loss) | (1,581,152 | ) | (283,641 | ) | (19,761,768 | ) | 16,389,140 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 2,389,628 | 868,174 | (13,293,396 | ) | 4,132,195 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 833,640 | 643,152 | (32,342,125 | ) | 21,525,692 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (35,817 | ) | (63,654 | ) | (1,262,813 | ) | (880,150 | ) | |||||||||||
Return of capital | — | — | (63,897 | ) | — | ||||||||||||||
Total distributions | (35,817 | ) | (63,654 | ) | (1,326,710 | ) | (880,150 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 25,620,166 | 2,845,749 | 49,629,385 | 42,395,726 | |||||||||||||||
Cost of shares redeemed | (13,079,196 | ) | (4,069,083 | ) | (20,275,963 | ) | (49,249,614 | ) | |||||||||||
Transaction fees (Note 4) | 3,302 | 1,221 | 4,872 | 14,658 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 12,544,272 | (1,222,113 | ) | 29,358,294 | (6,839,230 | ) | |||||||||||||
Total increase (decrease) in net assets | 13,342,095 | (642,615 | ) | (4,310,541 | ) | 13,806,312 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 3,294,278 | 3,936,893 | 53,969,186 | 40,162,874 | |||||||||||||||
End of year | $ | 16,636,373 | $ | 3,294,278 | $ | 49,658,645 | $ | 53,969,186 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 100,001 | 150,001 | 1,750,000 | 2,050,000 | |||||||||||||||
Shares sold | 1,500,000 | 100,000 | 5,350,000 | 1,450,000 | |||||||||||||||
Shares repurchased | (700,000 | ) | (150,000 | ) | (1,600,000 | ) | (1,750,000 | ) | |||||||||||
Shares outstanding, end of year | 900,001 | 100,001 | 5,500,000 | 1,750,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
149
Statements of Changes in Net Assets
Direxion Daily MSCI Real Estate Bear 3X Shares | Direxion Daily Pharmaceutical & Medical Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (201,301 | ) | $ | 262,941 | $ | (45,182 | ) | $ | 56,519 | |||||||||
Net realized gain (loss) | (40,073,574 | ) | (10,911,893 | ) | 4,206,120 | (3,627,426 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,546,779 | (465,933 | ) | 1,543,976 | 2,243,918 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (34,728,096 | ) | (11,114,885 | ) | 5,704,914 | (1,326,989 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (36,204 | ) | (267,942 | ) | (198 | ) | (56,519 | ) | |||||||||||
Return of capital | (17,857 | ) | — | — | (2,255 | ) | |||||||||||||
Total distributions | (54,061 | ) | (267,942 | ) | (198 | ) | (58,774 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 89,055,106 | 19,532,486 | 9,630,340 | 25,022,957 | |||||||||||||||
Cost of shares redeemed | (24,491,912 | ) | (11,813,993 | ) | (12,919,954 | ) | (19,010,589 | ) | |||||||||||
Transaction fees (Note 4) | 7,348 | 3,542 | 2,983 | 5,393 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 64,570,542 | 7,722,035 | (3,286,631 | ) | 6,017,761 | ||||||||||||||
Total increase (decrease) in net assets | 29,788,385 | (3,660,792 | ) | 2,418,085 | 4,631,998 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 15,494,912 | 19,155,704 | 8,611,335 | 3,979,337 | |||||||||||||||
End of year | $ | 45,283,297 | $ | 15,494,912 | $ | 11,029,420 | $ | 8,611,335 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 601,444 | 381,662 | 550,001 | 150,001 | |||||||||||||||
Shares sold | 3,650,000 | 510,000 | 850,000 | 1,550,000 | |||||||||||||||
Shares repurchased | (1,300,000 | ) | (290,218 | ) | (700,000 | ) | (1,150,000 | ) | |||||||||||
Shares outstanding, end of year | 2,951,444 | 601,444 | 700,001 | 550,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
150
Statements of Changes in Net Assets
Direxion Daily Regional Banks Bull 3X Shares1 | Direxion Daily Retail Bull 3X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,068,012 | $ | 415,624 | $ | 24,285 | $ | 206,453 | |||||||||||
Net realized gain (loss) | (32,167,562 | ) | (4,416,737 | ) | 5,716,274 | (11,226,245 | ) | ||||||||||||
Change in net unrealized appreciation | 34,274,837 | 1,982,475 | 12,903,082 | 3,204,903 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,175,287 | (2,018,638 | ) | 18,643,641 | (7,814,889 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,009,690 | ) | (422,221 | ) | (31,760 | ) | (202,633 | ) | |||||||||||
Return of capital | — | — | (24,233 | ) | — | ||||||||||||||
Total distributions | (1,009,690 | ) | (422,221 | ) | (55,993 | ) | (202,633 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 296,931,791 | 48,793,631 | 17,600,378 | 18,734,063 | |||||||||||||||
Cost of shares redeemed | (208,522,752 | ) | (55,420,907 | ) | (26,680,488 | ) | (29,122,763 | ) | |||||||||||
Transaction fees (Note 4) | 42,015 | 13,232 | 10,187 | 7,008 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 88,451,054 | (6,614,044 | ) | (9,069,923 | ) | (10,381,692 | ) | ||||||||||||
Total increase (decrease) in net assets | 90,616,651 | (9,054,903 | ) | 9,517,725 | (18,399,214 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 20,779,897 | 29,834,800 | 12,967,442 | 31,366,656 | |||||||||||||||
End of year | $ | 111,396,548 | $ | 20,779,897 | $ | 22,485,167 | $ | 12,967,442 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 50,000 | 60,000 | 55,001 | 85,001 | |||||||||||||||
Shares sold | 5,165,000 | 115,000 | 185,000 | 75,000 | |||||||||||||||
Shares repurchased | (3,525,282 | ) | (125,000 | ) | (135,157 | ) | (105,000 | ) | |||||||||||
Shares outstanding, end of year | 1,689,718 | 50,000 | 104,844 | 55,001 |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
151
Statements of Changes in Net Assets
Direxion Daily S&P 500® High Beta Bull 3X Shares2 | Direxion Daily S&P 500® High Beta Bear 3X Shares | ||||||||||
For the Period November 7, 20191 through October 31, 2020 | For the Period November 7, 20191 through October 31, 2020 | ||||||||||
Operations: | |||||||||||
Net investment loss | $ | (4,695 | ) | $ | (198,649 | ) | |||||
Net realized loss | (3,840,905 | ) | (40,710,211 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 5,237,261 | (2,879,176 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 1,391,661 | (43,788,036 | ) | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (9,005 | ) | (4,287 | ) | |||||||
Return of capital | (21,225 | ) | (4,290 | ) | |||||||
Total distributions | (30,230 | ) | (8,577 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 62,678,961 | 137,751,939 | |||||||||
Cost of shares redeemed | (34,252,584 | ) | (41,186,240 | ) | |||||||
Transaction fees (Note 4) | 6,850 | 12,356 | |||||||||
Net increase in net assets resulting from capital transactions | 28,433,227 | 96,578,055 | |||||||||
Total increase in net assets | 29,794,658 | 52,781,442 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 29,794,658 | $ | 52,781,442 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 645,000 | 16,850,001 | |||||||||
Shares repurchased | (350,090 | ) | (6,400,000 | ) | |||||||
Shares outstanding, end of period | 294,910 | 10,450,001 |
1 Commencement of operations.
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 ANNUAL REPORT
152
Statements of Changes in Net Assets
Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (1,994,170 | ) | $ | 3,117,815 | $ | (75,911 | ) | $ | 1,260,444 | |||||||||
Net realized gain (loss) | 166,539,869 | (84,631,541 | ) | (79,575,607 | ) | (32,367,807 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 173,850,942 | 18,963,385 | (11,746,719 | ) | 5,894,740 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 338,396,641 | (62,550,341 | ) | (91,398,237 | ) | (25,212,623 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (45,139 | ) | (3,328,781 | ) | (210,227 | ) | (1,288,408 | ) | |||||||||||
Return of capital | (58 | ) | — | (166,472 | ) | — | |||||||||||||
Total distributions | (45,197 | ) | (3,328,781 | ) | (376,699 | ) | (1,288,408 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 904,790,973 | 1,251,672,218 | 570,085,114 | 630,655,426 | |||||||||||||||
Cost of shares redeemed | (1,438,720,457 | ) | (1,291,076,924 | ) | (497,277,519 | ) | (578,187,535 | ) | |||||||||||
Transaction fees (Note 4) | 423,965 | 263,748 | 191,512 | 173,783 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (533,505,519 | ) | (39,140,958 | ) | 72,999,107 | 52,641,674 | |||||||||||||
Total increase (decrease) in net assets | (195,154,075 | ) | (105,020,080 | ) | (18,775,829 | ) | 26,140,643 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 487,452,195 | 592,472,275 | 82,336,356 | 56,195,713 | |||||||||||||||
End of year | $ | 292,298,120 | $ | 487,452,195 | $ | 63,560,527 | $ | 82,336,356 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 13,111,600 | 12,011,600 | 201,727 | 71,727 | |||||||||||||||
Shares sold | 20,650,000 | 28,500,000 | 4,792,500 | 1,307,500 | |||||||||||||||
Shares repurchased | (28,300,000 | ) | (27,400,000 | ) | (3,828,203 | ) | (1,177,500 | ) | |||||||||||
Shares outstanding, end of year | 5,461,600 | 13,111,600 | 1,166,024 | 201,727 |
1 Effective August 28, 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 ANNUAL REPORT
153
Statements of Changes in Net Assets
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,481,034 | $ | 4,509,879 | $ | (28,822 | ) | $ | 2,256,044 | ||||||||||
Net realized gain (loss) | 476,516,849 | 206,906,652 | (332,521,165 | ) | (129,163,610 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 254,396,008 | 330,153,026 | 43,059,014 | (44,446,546 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 732,393,891 | 541,569,557 | (289,490,973 | ) | (171,354,112 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (2,162,182 | ) | (4,789,744 | ) | (670,581 | ) | (2,077,527 | ) | |||||||||||
Return of capital | — | — | (258,713 | ) | — | ||||||||||||||
Total distributions | (2,162,182 | ) | (4,789,744 | ) | (929,294 | ) | (2,077,527 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,184,104,805 | 852,170,230 | 687,308,307 | 732,163,564 | |||||||||||||||
Cost of shares redeemed | (2,230,101,221 | ) | (1,338,139,932 | ) | (540,681,918 | ) | (386,946,232 | ) | |||||||||||
Transaction fees (Note 4) | 528,716 | 272,057 | 209,841 | 116,076 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (45,467,700 | ) | (485,697,645 | ) | 146,836,230 | 345,333,408 | |||||||||||||
Total increase (decrease) in net assets | 684,764,009 | 51,082,168 | (143,584,037 | ) | 171,901,769 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 634,080,376 | 582,998,208 | 237,361,002 | 65,459,233 | |||||||||||||||
End of year | $ | 1,318,844,385 | $ | 634,080,376 | $ | 93,776,965 | $ | 237,361,002 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 3,200,004 | 5,800,004 | 644,623 | 40,915 | |||||||||||||||
Shares sold | 13,000,000 | 6,700,000 | 6,358,333 | 1,138,333 | |||||||||||||||
Shares repurchased | (10,900,000 | ) | (9,300,000 | ) | (4,501,885 | ) | (534,625 | ) | |||||||||||
Shares outstanding, end of year | 5,300,004 | 3,200,004 | 2,501,071 | 644,623 |
1 Effective August 28, 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 ANNUAL REPORT
154
Statements of Changes in Net Assets
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Net investment income (loss) | $ | (1,375,555 | ) | $ | 1,839,825 | $ | (100,132 | ) | $ | 657,704 | |||||||||
Net realized gain (loss) | 195,969,897 | 67,533,099 | (88,487,681 | ) | (29,956,689 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 303,122,477 | 214,542,734 | 4,785,963 | (10,035,980 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 497,716,819 | 283,915,658 | (83,801,850 | ) | (39,334,965 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,713,106 | ) | (2,488,495 | ) | (153,907 | ) | (638,259 | ) | |||||||||||
Return of capital | — | — | (89,972 | ) | — | ||||||||||||||
Total distributions | (1,713,106 | ) | (2,488,495 | ) | (243,879 | ) | (638,259 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,138,462,002 | 175,645,528 | 229,231,551 | 104,975,005 | |||||||||||||||
Cost of shares redeemed | (1,849,492,104 | ) | (353,667,987 | ) | (124,577,695 | ) | (39,022,492 | ) | |||||||||||
Transaction fees (Note 4) | 473,754 | 85,195 | 87,777 | 11,708 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 289,443,652 | (177,937,264 | ) | 104,741,633 | 65,964,221 | ||||||||||||||
Total increase in net assets | 785,447,365 | 103,489,899 | 20,695,904 | 25,990,997 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 774,640,684 | 671,150,785 | 59,339,939 | 33,348,942 | |||||||||||||||
End of year | $ | 1,560,088,049 | $ | 774,640,684 | $ | 80,035,843 | $ | 59,339,939 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 4,200,000 | 5,350,000 | 620,329 | 150,329 | |||||||||||||||
Shares sold | 8,550,000 | 1,350,000 | 10,200,000 | 715,000 | |||||||||||||||
Shares repurchased | (6,650,000 | ) | (2,500,000 | ) | (5,405,481 | ) | (245,000 | ) | |||||||||||
Shares outstanding, end of year | 6,100,000 | 4,200,000 | 5,414,848 | 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 ANNUAL REPORT
155
Statements of Changes in Net Assets
Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (20,363 | ) | $ | 58,369 | $ | 206,583 | $ | 119,821 | ||||||||||
Net realized gain (loss) | 2,721,366 | (41,948 | ) | (4,577,365 | ) | 1,225,302 | |||||||||||||
Net increase from payments by affiliates | — | — | — | 183,387 | |||||||||||||||
Change in net unrealized appreciation | 12,452,876 | 1,975,401 | 1,322,418 | 1,595,340 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 15,153,879 | 1,991,822 | (3,048,364 | ) | 3,123,850 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (28,274 | ) | (56,931 | ) | (610,125 | ) | (122,979 | ) | |||||||||||
Return of capital | — | — | (5,652 | ) | — | ||||||||||||||
Total distributions | (28,274 | ) | (56,931 | ) | (615,777 | ) | (122,979 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 51,723,647 | 17,240,530 | 13,719,566 | 19,227,816 | |||||||||||||||
Cost of shares redeemed | (31,727,536 | ) | (26,279,036 | ) | (11,371,614 | ) | (10,373,713 | ) | |||||||||||
Transaction fees (Note 4) | 6,345 | 5,256 | 2,274 | 2,752 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 20,002,456 | (9,033,250 | ) | 2,350,226 | 8,856,855 | ||||||||||||||
Total increase (decrease) in net assets | 35,128,061 | (7,098,359 | ) | (1,313,915 | ) | 11,857,726 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 3,751,119 | 10,849,478 | 16,029,296 | 4,171,570 | |||||||||||||||
End of year | $ | 38,879,180 | $ | 3,751,119 | $ | 14,715,381 | $ | 16,029,296 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 150,001 | 400,001 | 350,001 | 150,001 | |||||||||||||||
Shares sold | 4,300,000 | 750,000 | 600,000 | 450,000 | |||||||||||||||
Shares repurchased | (2,300,000 | ) | (1,000,000 | ) | (400,000 | ) | (250,000 | ) | |||||||||||
Shares outstanding, end of year | 2,150,001 | 150,001 | 550,001 | 350,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
156
Statements of Changes in Net Assets
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bear 3X Shares | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (19,515 | ) | $ | 151,087 | $ | (7,758 | ) | $ | 213,414 | |||||||||
Net realized gain (loss) | 2,991,684 | 812,009 | (3,720,905 | ) | (1,784,147 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 29,783 | 2,660,763 | 1,530,535 | (4,077,705 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,001,952 | 3,623,859 | (2,198,128 | ) | (5,648,438 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (53,451 | ) | (144,179 | ) | (32,183 | ) | (212,425 | ) | |||||||||||
Return of capital | — | — | (13,020 | ) | — | ||||||||||||||
Total distributions | (53,451 | ) | (144,179 | ) | (45,203 | ) | (212,425 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 13,510,156 | 19,768,033 | 2,122,397 | 1,740,934 | |||||||||||||||
Cost of shares redeemed | (18,530,135 | ) | (7,473,824 | ) | (4,125,300 | ) | (4,961,938 | ) | |||||||||||
Transaction fees (Note 4) | 5,559 | 2,242 | 19,800 | 1,488 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (5,014,420 | ) | 12,296,451 | (1,983,103 | ) | (3,219,516 | ) | ||||||||||||
Total increase (decrease) in net assets | (2,065,919 | ) | 15,776,131 | (4,226,434 | ) | (9,080,379 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 21,600,272 | 5,824,141 | 11,108,715 | 20,189,094 | |||||||||||||||
End of year | $ | 19,534,353 | $ | 21,600,272 | $ | 6,882,281 | $ | 11,108,715 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 400,000 | 150,000 | 1,050,000 | 1,300,000 | |||||||||||||||
Shares sold | 200,000 | 400,000 | 250,000 | 150,000 | |||||||||||||||
Shares repurchased | (300,000 | ) | (150,000 | ) | (450,000 | ) | (400,000 | ) | |||||||||||
Shares outstanding, end of year | 300,000 | 400,000 | 850,000 | 1,050,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
157
Statements of Changes in Net Assets
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares1 | ||||||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 559,131 | $ | 1,844,152 | $ | (89,109 | ) | $ | 2,755,727 | ||||||||||
Net realized gain (loss) | 81,986,838 | 24,430,398 | (96,025,160 | ) | (65,156,078 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (27,729,689 | ) | 50,452,493 | 25,819,147 | (92,949,283 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 54,816,280 | 76,727,043 | (70,295,122 | ) | (155,349,634 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (933,267 | ) | (1,822,129 | ) | (353,697 | ) | (2,833,079 | ) | |||||||||||
Return of capital | — | — | (169,036 | ) | — | ||||||||||||||
Total distributions | (933,267 | ) | (1,822,129 | ) | (522,733 | ) | (2,833,079 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 441,372,012 | 421,298,642 | 251,807,898 | 129,296,413 | |||||||||||||||
Cost of shares redeemed | (402,127,929 | ) | (407,652,237 | ) | (205,280,064 | ) | (193,033,207 | ) | |||||||||||
Transaction fees (Note 4) | 213,195 | 114,204 | 61,573 | 58,065 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 39,457,278 | 13,760,609 | 46,589,407 | (63,678,729 | ) | ||||||||||||||
Total increase (decrease) in net assets | 93,340,291 | 88,665,523 | (24,228,448 | ) | (221,861,442 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year | 189,538,567 | 100,873,044 | 123,238,671 | 345,100,113 | |||||||||||||||
End of year | $ | 282,878,858 | $ | 189,538,567 | $ | 99,010,223 | $ | 123,238,671 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year | 6,450,000 | 6,400,000 | 1,149,979 | 1,509,979 | |||||||||||||||
Shares sold | 11,850,000 | 15,250,000 | 3,700,000 | 870,000 | |||||||||||||||
Shares repurchased | (10,400,000 | ) | (15,200,000 | ) | (3,075,718 | ) | (1,230,000 | ) | |||||||||||
Shares outstanding, end of year | 7,900,000 | 6,450,000 | 1,774,261 | 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 ANNUAL REPORT
158
Financial Highlights
October 31, 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 Year Ended October 31, 2020 | $ | 42.25 | $ | 0.06 | $ | 0.08 | $ | (19.24 | ) | $ | (19.18 | ) | $ | (0.17 | ) | $ | — | $ | (0.01 | ) | $ | (0.18 | ) | $ | 22.89 | -45.61 | % | $ | 40,055 | 1.00 | % | 1.06 | % | 0.25 | % | 0.95 | % | 1.01 | % | 0.30 | % | 91 | % | ||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 55.25 | 0.16 | 0.20 | (7.02 | ) | (6.86 | ) | (0.31 | ) | — | — | (0.31 | ) | $ | 48.08 | -12.54 | % | $ | 1,331,734 | 1.03 | % | 1.04 | % | 0.34 | % | 0.95 | % | 0.96 | % | 0.42 | % | 223 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 16.06 | (0.04 | ) | (0.04 | ) | (9.86 | ) | (9.90 | ) | (0.04 | ) | — | (0.02 | ) | (0.06 | ) | $ | 6.10 | -61.87 | % | $ | 803,180 | 0.96 | % | 0.99 | % | (0.45 | )% | 0.95 | % | 0.98 | % | (0.44 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 59.64 | 0.02 | 0.05 | (27.47 | ) | (27.45 | ) | (0.12 | ) | — | (0.04 | ) | (0.16 | ) | $ | 32.03 | -46.16 | % | $ | 831,202 | 1.03 | % | 1.01 | % | 0.06 | % | 0.95 | % | 0.93 | % | 0.14 | % | 76 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 43.19 | (0.11 | ) | (0.11 | ) | (27.36 | ) | (27.47 | ) | (0.12 | ) | — | (0.05 | ) | (0.17 | ) | $ | 15.55 | -63.86 | % | $ | 545,802 | 0.97 | % | 0.97 | % | (0.46 | )% | 0.95 | % | 0.95 | % | (0.44 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 18.05 | 0.15 | 0.16 | (1.24 | ) | (1.09 | ) | (0.16 | ) | — | (0.02 | ) | (0.18 | ) | $ | 16.78 | -6.03 | % | $ | 260,909 | 0.99 | % | 1.01 | % | 0.96 | % | 0.95 | % | 0.97 | % | 1.00 | % | 264 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 49.94 | (0.05 | ) | (0.04 | ) | (28.78 | ) | (28.83 | ) | (0.11 | ) | — | (0.09 | ) | (0.20 | ) | $ | 20.91 | -57.94 | % | $ | 44,477 | 0.98 | % | 1.03 | % | (0.14 | )% | 0.95 | % | 1.00 | % | (0.11 | )% | 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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
159
Financial Highlights
October 31, 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 Europe Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 29.27 | $ | 0.09 | $ | 0.11 | $ | (14.74 | ) | $ | (14.65 | ) | $ | (0.14 | ) | $ | — | $ | — | $ | (0.14 | ) | $ | 14.48 | -50.09 | % | $ | 13,757 | 1.03 | % | 1.09 | % | 0.43 | % | 0.95 | % | 1.01 | % | 0.51 | % | 101 | % | |||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 73.05 | 0.27 | 0.31 | (13.07 | ) | (12.80 | ) | (0.43 | ) | — | — | (0.43 | ) | $ | 59.82 | -16.88 | % | $ | 136,479 | 1.02 | % | 1.04 | % | 0.46 | % | 0.95 | % | 0.97 | % | 0.53 | % | 192 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 42.02 | (0.04 | ) | (0.03 | ) | (24.56 | ) | (24.60 | ) | (0.11 | ) | — | (0.06 | ) | (0.17 | ) | $ | 17.25 | -58.79 | % | $ | 38,720 | 0.98 | % | 1.08 | % | (0.12 | )% | 0.95 | % | 1.05 | % | (0.09 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 130.32 | 0.08 | 0.12 | (97.90 | ) | (97.82 | ) | (0.42 | ) | — | (0.09 | ) | (0.51 | ) | $ | 31.99 | -75.36 | % | $ | 10,660 | 1.03 | % | 1.26 | % | 0.18 | % | 0.95 | % | 1.18 | % | 0.26 | % | 188 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 Year Ended October 31, 2020 | $ | 21.32 | (0.00 | )10 | 0.01 | (4.47 | ) | (4.47 | ) | (0.19 | ) | — | — | (0.19 | ) | $ | 16.66 | -21.27 | % | $ | 25,821 | 1.01 | % | 1.15 | % | (0.02 | )% | 0.95 | % | 1.09 | % | 0.04 | % | 327 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 55.54 | 0.01 | 0.01 | (46.58 | ) | (46.58 | ) | (0.06 | ) | — | (0.04 | ) | (0.10 | ) | $ | 8.87 | -83.86 | % | $ | 199,485 | 0.99 | % | 1.02 | % | 0.07 | % | 0.95 | % | 0.98 | % | 0.11 | % | 159 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 Consumer Discretionary Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 31.74 | (0.06 | ) | (0.05 | ) | 4.52 | 4.46 | (0.07 | ) | — | — | (0.07 | ) | $ | 36.13 | 14.26 | % | $ | 12,647 | 1.00 | % | 1.46 | % | (0.20 | )% | 0.95 | % | 1.41 | % | (0.15 | )% | 101 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 Dow Jones Internet Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 | $ | 25.00 | (0.25 | ) | (0.24 | ) | 20.74 | 20.49 | (0.02 | ) | — | — | (0.02 | ) | $ | 45.47 | 81.99 | % | $ | 34,100 | 0.97 | % | 1.14 | % | (0.66 | )% | 0.95 | % | 1.12 | % | (0.64 | )% | 123 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 | $ | 250.00 | (0.24 | ) | (0.23 | ) | (204.96 | ) | (205.20 | ) | (0.28 | ) | — | (0.29 | ) | (0.57 | ) | $ | 44.23 | -82.26 | % | $ | 5,305 | 0.96 | % | 2.14 | % | (0.30 | )% | 0.95 | % | 2.13 | % | (0.29 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
160
Financial Highlights
October 31, 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 Financial Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 80.94 | $ | 0.32 | $ | 0.36 | $ | (47.34 | ) | $ | (47.02 | ) | $ | (0.31 | ) | $ | — | $ | — | $ | (0.31 | ) | $ | 33.61 | -58.07 | % | $ | 1,347,638 | 1.03 | % | 1.03 | % | 0.73 | % | 0.94 | % | 0.94 | % | 0.82 | % | 247 | % | |||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 32.72 | (0.11 | ) | (0.10 | ) | (17.74 | ) | (17.85 | ) | (0.08 | ) | — | (0.04 | ) | (0.12 | ) | $ | 14.75 | -54.76 | % | $ | 271,668 | 0.96 | % | 0.98 | % | (0.48 | )% | 0.95 | % | 0.97 | % | (0.47 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 58.15 | 0.12 | 0.16 | (2.44 | ) | (2.32 | ) | (0.13 | ) | — | — | (0.13 | ) | $ | 55.70 | -3.85 | % | $ | 103,039 | 1.01 | % | 1.04 | % | 0.20 | % | 0.95 | % | 0.98 | % | 0.26 | % | 228 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 70.39 | (0.12 | ) | (0.10 | ) | (30.69 | ) | (30.81 | ) | (0.00 | )10 | — | — | (0.00 | )10 | $ | 39.58 | -43.74 | % | $ | 360,141 | 1.01 | % | 1.02 | % | (0.34 | )% | 0.95 | % | 0.96 | % | (0.28 | )% | 134 | % | |||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 32.94 | 0.05 | 0.06 | (14.36 | ) | (14.31 | ) | (0.15 | ) | — | — | (0.15 | ) | $ | 18.48 | -43.33 | % | $ | 16,636 | 0.97 | % | 1.44 | % | 0.27 | % | 0.95 | % | 1.42 | % | 0.29 | % | 103 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 Year Ended October 31, 2020 | $ | 30.84 | 0.19 | 0.19 | (21.40 | ) | (21.21 | ) | (0.17 | ) | (0.40 | ) | (0.03 | ) | (0.60 | ) | $ | 9.03 | -69.35 | % | $ | 49,659 | 1.01 | % | 1.08 | % | 1.40 | % | 0.95 | % | 1.02 | % | 1.46 | % | 123 | % | |||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 25.76 | (0.11 | ) | (0.11 | ) | (10.22 | ) | (10.33 | ) | (0.06 | ) | — | (0.03 | ) | (0.09 | ) | $ | 15.34 | -40.31 | % | $ | 45,283 | 0.96 | % | 1.14 | % | (0.60 | )% | 0.95 | % | 1.13 | % | (0.59 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 15.66 | (0.06 | ) | (0.04 | ) | 0.16 | 0.10 | (0.00 | )10 | — | — | (0.00 | )10 | $ | 15.76 | 0.64 | % | $ | 11,029 | 1.03 | % | 1.38 | % | (0.34 | )% | 0.95 | % | 1.30 | % | (0.26 | )% | 165 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 ANNUAL REPORT
161
Financial Highlights
October 31, 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 Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 415.60 | $ | 1.04 | $ | 1.05 | $ | (348.44 | ) | $ | (347.40 | ) | $ | (2.27 | ) | $ | — | $ | — | $ | (2.27 | ) | $ | 65.93 | -83.83 | % | $ | 111,397 | 0.97 | % | 1.00 | % | 1.64 | % | 0.95 | % | 0.98 | % | 1.66 | % | 331 | % | |||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 235.80 | 0.23 | 0.31 | (20.65 | ) | (20.42 | ) | (0.52 | ) | — | (0.40 | ) | (0.92 | ) | $ | 214.46 | -7.65 | % | $ | 22,485 | 0.99 | % | 1.17 | % | 0.12 | % | 0.95 | % | 1.13 | % | 0.16 | % | 171 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 | $ | 250.00 | (0.02 | ) | (0.01 | ) | (147.93 | ) | (147.95 | ) | (0.30 | ) | — | (0.72 | ) | (1.02 | ) | $ | 101.03 | -59.13 | % | $ | 29,795 | 0.97 | % | 1.16 | % | (0.03 | )% | 0.95 | % | 1.14 | % | (0.01 | )% | 245 | % | ||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 | $ | 25.00 | (0.05 | ) | (0.05 | ) | (19.86 | ) | (19.91 | ) | (0.02 | ) | — | (0.02 | ) | (0.04 | ) | $ | 5.05 | -79.76 | % | $ | 52,781 | 0.96 | % | 1.10 | % | (0.79 | )% | 0.95 | % | 1.09 | % | (0.78 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 37.18 | (0.23 | ) | (0.19 | ) | 16.58 | 16.35 | (0.01 | ) | — | (0.00 | )10 | (0.01 | ) | $ | 53.52 | 43.96 | % | $ | 292,298 | 1.04 | % | 1.05 | % | (0.48 | )% | 0.95 | % | 0.96 | % | (0.39 | )% | 137 | % | ||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares14 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 408.20 | (0.09 | ) | (0.04 | ) | (352.33 | ) | (352.42 | ) | (0.71 | ) | — | (0.56 | ) | (1.27 | ) | $ | 54.51 | -86.59 | % | $ | 63,561 | 0.99 | % | 1.03 | % | (0.07 | )% | 0.95 | % | 0.99 | % | (0.03 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 783.40 | 5.80 | 6.20 | (373.20 | ) | (367.40 | ) | (7.80 | ) | — | — | (7.80 | ) | $ | 408.20 | -47.16 | % | $ | 82,336 | 1.05 | % | 1.07 | % | 1.29 | % | 0.95 | % | 0.97 | % | 1.39 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 1,008.00 | 4.60 | 5.00 | (226.20 | ) | (221.60 | ) | (3.00 | ) | — | — | (3.00 | ) | $ | 783.40 | -21.81 | % | $ | 56,196 | 1.00 | % | 1.02 | % | 0.74 | % | 0.95 | % | 0.97 | % | 0.79 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 5,500.00 | (2.00 | ) | (2.00 | ) | (4,490.00 | ) | (4,492.00 | ) | — | — | — | — | $ | 1,008.00 | -81.67 | % | $ | 98,361 | 0.96 | % | 0.99 | % | (0.17 | )% | 0.95 | % | 0.98 | % | (0.16 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 8,216.00 | (48.00 | ) | (44.00 | ) | (2,668.00 | ) | (2,716.00 | ) | — | — | — | — | $ | 5,500.00 | -33.06 | % | $ | 82,490 | 1.01 | % | 1.08 | % | (0.82 | )% | 0.95 | % | 1.02 | % | (0.76 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 198.15 | 0.26 | 0.49 | 50.89 | 51.15 | (0.46 | ) | — | — | (0.46 | ) | $ | 248.84 | 25.88 | % | $ | 1,318,844 | 1.06 | % | 1.06 | % | 0.13 | % | 0.94 | % | 0.94 | % | 0.25 | % | 230 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 368.16 | (0.02 | ) | 0.01 | (329.24 | ) | (329.26 | ) | (1.02 | ) | — | (0.39 | ) | (1.41 | ) | $ | 37.49 | -89.76 | % | $ | 93,777 | 0.98 | % | 1.00 | % | (0.02 | )% | 0.95 | % | 0.97 | % | 0.01 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | $ | 1,599.60 | 9.24 | 9.60 | (1,228.56 | ) | (1,219.32 | ) | (12.12 | ) | — | — | (12.12 | ) | $ | 368.16 | -76.67 | % | $ | 237,361 | 1.02 | % | 1.01 | % | 1.45 | % | 0.95 | % | 0.94 | % | 1.52 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | $ | 1,950.00 | 9.60 | 10.80 | (355.20 | ) | (345.60 | ) | (4.80 | ) | — | — | (4.80 | ) | $ | 1,599.60 | -17.63 | % | $ | 65,459 | 0.97 | % | 0.98 | % | 0.73 | % | 0.95 | % | 0.96 | % | 0.75 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 | $ | 9,216.00 | (7.20 | ) | (7.20 | ) | (7,258.80 | ) | (7,266.00 | ) | — | — | — | — | $ | 1,950.00 | -78.84 | % | $ | 48,915 | 0.96 | % | 1.03 | % | (0.18 | )% | 0.95 | % | 1.02 | % | (0.17 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2016 | $ | 25,458.00 | (126.00 | ) | (120.00 | ) | (16,116.00 | ) | (16,242.00 | ) | — | — | — | — | $ | 9,216.00 | -63.80 | % | $ | 51,460 | 0.96 | % | 1.02 | % | (0.77 | )% | 0.95 | % | 1.01 | % | (0.76 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
162
Financial Highlights
October 31, 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 Technology Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 184.44 | $ | (0.24 | ) | $ | 0.01 | $ | 71.86 | $ | 71.62 | $ | (0.31 | ) | $ | — | $ | — | $ | (0.31 | ) | $ | 255.75 | 38.98 | % | $ | 1,560,088 | 1.06 | % | 1.06 | % | (0.11 | )% | 0.95 | % | 0.95 | % | 0.00 | % | 376 | % | ||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 95.70 | (0.05 | ) | (0.04 | ) | (80.50 | ) | (80.55 | ) | (0.23 | ) | — | (0.14 | ) | (0.37 | ) | $ | 14.78 | -84.47 | % | $ | 80,036 | 0.96 | % | 1.03 | % | (0.18 | )% | 0.95 | % | 1.02 | % | (0.17 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 25.01 | (0.02 | ) | (0.01 | ) | (6.85 | ) | (6.87 | ) | (0.06 | ) | — | — | (0.06 | ) | $ | 18.08 | -27.42 | % | $ | 38,879 | 0.96 | % | 1.13 | % | (0.10 | )% | 0.95 | % | 1.12 | % | (0.09 | )% | 128 | % | |||||||||||||||||||||||||||||||||||||||||||
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 Year Ended October 31, 2020 | $ | 45.80 | 0.40 | 0.42 | (17.58 | ) | (17.18 | ) | (0.50 | ) | (1.34 | ) | (0.02 | ) | (1.86 | ) | $ | 26.76 | -38.38 | % | $ | 14,715 | 1.01 | % | 1.28 | % | 1.44 | % | 0.95 | % | 1.22 | % | 1.50 | % | 80 | % | |||||||||||||||||||||||||||||||||||||||||||
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 | %16 | $ | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 54.00 | (0.06 | ) | (0.04 | ) | 11.35 | 11.29 | (0.18 | ) | — | — | (0.18 | ) | $ | 65.11 | 20.96 | % | $ | 19,534 | 0.99 | % | 1.15 | % | (0.10 | )% | 0.95 | % | 1.11 | % | (0.06 | )% | 76 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 10.58 | (0.01 | ) | (0.01 | ) | (2.43 | ) | (2.44 | ) | (0.03 | ) | — | (0.01 | ) | (0.04 | ) | $ | 8.10 | -23.08 | % | $ | 6,882 | 0.95 | % | 1.40 | % | (0.09 | )% | 0.95 | % | 1.40 | % | (0.09 | )% | 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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 29.39 | 0.08 | 0.10 | 6.49 | 6.57 | (0.15 | ) | — | — | (0.15 | ) | $ | 35.81 | 22.38 | % | $ | 282,879 | 0.98 | % | 0.98 | % | 0.22 | % | 0.93 | % | 0.93 | % | 0.27 | % | 67 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | 1.12 | % | 1.12 | % | 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 | % |
The accompanying notes are an integral part of these financial statements.
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Financial Highlights
October 31, 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 20+ Year Treasury Bear 3X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 107.20 | $ | (0.06 | ) | $ | (0.05 | ) | $ | (50.93 | ) | $ | (50.99 | ) | $ | (0.28 | ) | $ | — | $ | (0.13 | ) | $ | (0.41 | ) | $ | 55.80 | -47.66 | % | $ | 99,010 | 0.90 | % | 0.90 | % | (0.09 | )% | 0.89 | % | 0.89 | % | (0.08 | )% | 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 | % |
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.
9 Commencement of operations.
10 Between $(0.005) and $0.005.
11 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.
12 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.
13 Effective August 28, 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 Effective August 28, 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.
15 Effective August 28, 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.
16 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
October 31, 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 70 separate series (each, a "Fund" and together the "Funds"). 40 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 MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 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 Consumer Discretionary Bull 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 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.
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.
DIREXION ANNUAL REPORT
165
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 MSCI Emerging Markets Bull 3X Shares | 300 | % | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | MSCI Emerging Markets IndexSM | -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 Consumer Discretionary Bull 3X Shares | Consumer Discretionary 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 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 | % | ||||||||
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").
DIREXION ANNUAL REPORT
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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 October 31, 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 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
DIREXION ANNUAL REPORT
167
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.
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 October 31, 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 October 31, 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.
DIREXION ANNUAL REPORT
168
Description: Swap Contract
Counterparty: Bank of America Merrill Lynch
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | 1,121,452 | $ | — | $ | 1,121,4521 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 97,965,955 | — | 97,965,9551 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 71,183,069 | — | 71,183,0691 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 4,333,388 | — | 4,333,3881 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 4,000,658 | — | 2,990,000 | 1,010,658 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | 1,170,654 | — | 1,170,6541 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 5,280,642 | — | 5,280,6421 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | — | 116,977 | — | 116,9771 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | — | — | — | 87,287 | — | 87,2871 | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 2,890,080 | — | 2,890,0801 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | 195,708 | — | 195,7081 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 7,461,902 | — | 7,461,9021 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 6,301,190 | — | 6,301,1901 | — | — | — | — | — |
DIREXION ANNUAL REPORT
169
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 621,612 | $ | — | $ | 621,6121 | $ | — | |||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | — | — | 1,758,812 | — | 1,758,8121 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 772,129 | — | 350,000 | 422,129 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | — | — | — | 385,388 | — | 385,3881 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 1,875,638 | — | 1,875,6381 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 46,203,466 | — | 46,203,4661 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | 10,130,192 | — | 10,130,1921 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 108,730,280 | — | 108,730,2801 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 4,048,553 | — | 3,220,000 | 828,553 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 173,593,359 | — | 173,593,3591 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 1,241,216 | — | 1,241,2161 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 134,882 | — | 110,000 | 24,882 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | — | 963,714 | — | 963,7141 | — |
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 ANNUAL REPORT
170
Description: Swap Contract
Counterparty: BNP Paribas
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | 1,423,041 | $ | — | $ | 1,410,000 | $ | 13,041 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 51,984,145 | 5,518,473 | 46,465,6721 | — | 5,518,473 | 5,518,473 | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 29,629,171 | — | 29,629,1711 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 107,970,665 | — | 107,970,6651 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 126,766 | 126,766 | — | — | 38,129,363 | 126,766 | 38,002,5971 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 16,355,940 | — | 16,355,9401 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,681,042 | — | 1,680,000 | 1,042 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 25,765,268 | — | 25,765,2681 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 8,199,898 | — | 8,199,8981 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | — | — | — | 312,293 | — | 312,2931 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 876,823 | — | 876,8231 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 1,462,241 | 1,462,241 | — | — | 12,220,997 | 1,462,241 | 10,758,7561 | — |
DIREXION ANNUAL REPORT
171
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Bull 3X Shares | $ | 29,088,744 | $ | 1,652,590 | $ | 27,436,1541 | $ | — | $ | 1,652,590 | $ | 1,652,590 | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 97,894,739 | — | 97,894,7391 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 4,691,898 | — | 4,691,8981 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 42,876,897 | 3,533,613 | 39,343,2841 | — | 3,533,613 | 3,533,613 | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 774,100 | — | 774,1001 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 1,213,207 | 6,108 | 1,207,0991 | — | 6,108 | 6,108 | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 981,747 | — | 981,7471 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 11,344,406 | 873,712 | 10,470,6941 | — | 873,712 | 873,712 | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 1,576,138 | — | 1,576,1381 | — |
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 ANNUAL REPORT
172
Description: Swap Contract
Counterparty: Barclays
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Financial Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 5,259,439 | $ | — | $ | 5,259,4391 | $ | — | |||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | — | — | — | 2,171,171 | — | 2,171,1711 | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | — | — | — | 17,008 | — | 17,0081 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | — | 320,187 | — | 320,1871 | — |
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: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | 7,668,883 | $ | — | $ | 7,668,8831 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 2,823,936 | — | — | 2,823,936 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 127,530,951 | — | 127,530,9511 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 8,561,485 | — | 8,561,4851 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 13,533,812 | — | 13,533,8121 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 3,239,293 | — | 3,239,2931 | — |
DIREXION ANNUAL REPORT
173
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Aerospace & Defense Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 11,534,204 | $ | — | $ | 11,534,2041 | $ | — | |||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 1,242,213 | — | 1,242,2131 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | — | — | — | 243,923 | — | 634 | 243,289 | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 21,499,595 | — | 21,499,5951 | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 20,366,463 | — | 20,366,4631 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 907,473 | — | 764,000 | 143,473 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | — | — | — | 115,407 | — | 115,4071 | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | — | — | — | 150,570 | — | 150,5701 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 88,853 | — | 88,8531 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 837,080 | — | — | 837,080 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | — | — | — | 6,562,054 | — | 6,562,0541 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 120,686 | — | — | 120,686 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 39,224,859 | — | 39,224,8591 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 268,027 | — | 268,0271 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | — | 154,474 | — | 154,4741 | — |
DIREXION ANNUAL REPORT
174
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Utilities Bull 3X Shares | $ | 1,425,952 | $ | — | $ | 1,425,9521 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | — | 471,383 | — | 471,3831 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 2,253,874 | — | 1,576,000 | 677,874 | — | — | — | — |
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: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | — | $ | — | $ | — | $ | — | $ | 946,973 | $ | — | $ | 946,9731 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | — | — | 14,026,865 | — | 14,026,8651 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 10,276,091 | — | 8,420,000 | 1,856,091 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 85,571,931 | — | 85,571,9311 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 67,276,055 | — | 67,276,0551 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3 X Shares | 5,279,687 | — | 5,279,6871 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 1,069,243 | — | 1,069,2431 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 206,714 | — | 206,7141 | — | — | — | — | — |
DIREXION ANNUAL REPORT
175
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Bull 3X Shares | $ | 5,632,401 | $ | — | $ | 5,632,4011 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 731,030 | — | 731,0301 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | — | — | — | 240,101 | — | 240,1011 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 5,350,220 | — | 5,350,2201 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | — | — | — | 8,665,362 | — | 8,665,3621 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 2,737,198 | — | 2,737,1981 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 4,545,381 | — | 4,545,3811 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 160,068 | — | — | 160,068 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 792,920 | — | 792,9201 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 9,243,843 | — | 9,243,8431 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 88,472,593 | — | 88,472,5931 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 884,722 | — | 800,000 | 84,722 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | — | — | 3,033,591 | — | 3,033,5911 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 2,206,887 | — | 1,830,000 | 376,887 | — | — | — | — |
DIREXION ANNUAL REPORT
176
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Regional Banks Bull 3X Shares | $ | 11,642,833 | $ | — | $ | 9,740,000 | $ | 1,902,833 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 2,437,145 | — | 2,437,1451 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 6,730,879 | — | 6,630,000 | 100,879 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | — | — | 3,296,081 | — | 3,296,0811 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 32,745,412 | — | 32,745,4121 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 104,870,647 | — | 104,870,6471 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 1,320,276 | — | 1,320,2761 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 117,076,979 | — | 117,076,9791 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 297,694 | — | — | 297,694 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 2,962,681 | — | 2,962,6811 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,205,736 | — | 1,205,7361 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 57,310 | — | — | 57,310 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year T reasury Bear 3X Shares | 665,602 | — | — | 665,602 | — | — | — | — |
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 ANNUAL REPORT
177
Description: Swap Contract
Counterparty: J.P. Morgan
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | 5,955,112 | $ | — | $ | 5,955,1121 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | — | — | 2,120,729 | — | 2,120,7291 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 85,202 | — | — | 85,202 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 4,634,226 | — | 4,634,2261 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 435,051 | — | 435,0511 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | — | — | — | 357,596 | — | 357,5961 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | — | 802,870 | — | 802,8701 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 222,699 | — | — | 222,699 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 557,012 | — | 370,000 | 187,012 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 3,308,804 | — | 3,308,8041 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | — | — | — | 8,836,982 | — | 8,836,9821 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 872,140 | — | 872,1401 | — | — | — | — | — |
DIREXION ANNUAL REPORT
178
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Financial Bull 3X Shares | $ | 11,861,334 | $ | — | $ | 10,580,000 | $ | 1,281,334 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 22,209,525 | — | 22,209,5251 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 367,259 | — | 367,2591 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 43,496,967 | — | 43,496,9671 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | — | — | — | 274,210 | — | 274,2101 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 797,879 | — | 610,000 | 187,879 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 2,407,820 | — | 2,407,8201 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 205,480 | — | — | 205,480 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 7,270,971 | — | 7,270,9711 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | — | — | — | 687,658 | — | 687,6581 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | — | — | 872,081 | — | 872,0811 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 608,379 | — | 608,3791 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | 2,763,853 | — | 2,763,8531 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | — | — | — | 11,151,657 | — | 11,151,6571 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 1,876,648 | — | 1,876,6481 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | — | — | — | — | 11,902,182 | — | 11,902,1821 | — |
DIREXION ANNUAL REPORT
179
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 Technology Bear 3X Shares | $ | 480,477 | $ | — | $ | — | $ | 480,477 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 2,756,914 | — | 2,756,9141 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 178,297 | — | 178,2971 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | — | — | — | 6,560 | — | 6,5601 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 5,655 | — | — | 5,655 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | — | 68,350 | — | 68,3501 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 1,608,852 | — | 1,100,000 | 508,852 | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | — | $ | — | $ | — | $ | — | $ | 2,383,125 | $ | — | $ | 2,383,1251 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 11,118,927 | — | 4,860,000 | 6,258,927 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 98,633,473 | — | 98,633,4731 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 25,174,578 | — | 25,174,5781 | — |
DIREXION ANNUAL REPORT
180
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 718,981 | $ | — | $ | 718,9811 | $ | — | |||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 2,309,789 | — | 2,309,7891 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | — | — | — | 648,954 | — | 648,9541 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 13,968,242 | — | 13,968,2421 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 6,468,301 | — | 6,468,3011 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 608,606 | — | 530,000 | 78,606 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 9,556,654 | — | 9,556,6541 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | — | — | — | 13,326 | — | 13,3261 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 67,434,009 | — | 64,530,000 | 2,904,009 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 2,446,638 | — | 2,446,6381 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 1,362,892 | — | 1,362,8921 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 42,109,200 | — | 42,109,2001 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 1,078,151 | — | 1,020,000 | 58,151 | — | — | — | — |
DIREXION ANNUAL REPORT
181
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | 2,461,066 | $ | — | $ | 2,461,0661 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 21,061 | — | — | 21,061 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 913,903 | — | 913,9031 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 20,681,429 | — | 18,600,000 | 2,081,429 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 3,731,904 | — | 3,731,9041 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | — | — | 586,652 | — | 586,6521 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 2,284,621 | — | 2,284,6211 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 1,961,199 | — | 700,000 | 1,261,199 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 170,118,850 | — | 170,118,8501 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 6,907,705 | — | 6,907,7051 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 175,868,662 | — | 175,868,6621 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 3,599,476 | — | 3,599,4761 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 6,356,272 | — | 6,356,2721 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 39,998 | — | 10,000 | 29,998 | — | — | — | — |
DIREXION ANNUAL REPORT
182
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities | 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 | $ | — | $ | — | $ | — | $ | — | $ | 6,414,022 | $ | — | $ | 6,414,0221 | $ | — | |||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | 3,331,204 | — | 3,331,2041 | — |
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 contracts and short positions. The Funds were not invested in any type of futures contracts or options contracts during the period ended October 31, 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.
DIREXION ANNUAL REPORT
183
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 October 31, 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 October 31, 2020, the market value of 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 Consumer Discretionary Bull 3X Shares | $ | 5,588 | $ | — | $ | 5,411 | $ | 5,411 |
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. Certain Funds paid this excise tax during the period ended October 31, 2020, which is disclosed on the Statements of Operations.
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 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.
DIREXION ANNUAL REPORT
184
m) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended October 31, 2020 and October 31, 2019, are listed below.
The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.
Year/Period Ended October 31, 2020 | 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 | $ | 181,797 | $ | — | $ | 11,321 | $ | 494,580 | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 6,048,859 | — | — | 11,449,455 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 1,228,222 | — | 590,141 | 5,338,151 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,582,234 | — | 517,360 | 4,558,793 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 809,006 | — | 378,778 | 4,325,198 | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 3,169,542 | — | 301,335 | 3,949,648 | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 161,009 | — | 127,151 | 1,047,032 | — | — | |||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 130,258 | — | — | 514,390 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 1,269,642 | — | — | 2,694,656 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 149,374 | — | 80,075 | 955,647 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 45,272 | — | 9,723 | 188,557 | — | — | |||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 142,470 | — | — | 231,430 | — | — | |||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 155,985 | — | 116,045 | 392,972 | — | — | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 13,290 | — | — | 20,474 | — | 4,274 | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares1 | 2,646 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares1 | 4,123 | — | 4,413 | — | — | — | |||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 8,708,613 | — | — | 13,959,446 | — | 57,860 | |||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 427,657 | — | 186,053 | 2,271,607 | — | — | |||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 298,454 | — | — | 1,182,359 | — | — | |||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 11,980 | — | — | 172,171 | — | 9,939 | |||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 35,817 | — | — | 63,654 | — | — |
DIREXION ANNUAL REPORT
185
Year/Period Ended October 31, 2020 | 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 Real Estate Bull 3X Shares | $ | 1,262,813 | $ | — | $ | 63,897 | $ | 880,150 | $ | — | $ | — | |||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 36,204 | — | 17,857 | 267,942 | — | — | |||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 198 | — | — | 56,519 | — | 2,255 | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 1,009,690 | — | — | 422,221 | — | — | |||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 31,760 | — | 24,233 | 202,633 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares1 | 9,005 | — | 21,225 | — | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares1 | 4,287 | — | 4,290 | — | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 45,139 | — | 58 | 3,328,781 | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 210,227 | — | 166,472 | 1,288,408 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 2,162,182 | — | — | 4,789,744 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 670,581 | — | 258,713 | 2,077,527 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 1,713,106 | — | — | 2,488,945 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 153,907 | — | 89,972 | 638,259 | — | — | |||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 28,274 | — | — | 56,931 | — | — | |||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 610,125 | — | 5,652 | 122,979 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 53,451 | — | — | 144,179 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 32,183 | — | 13,020 | 212,425 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 933,267 | — | — | 1,822,129 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 353,697 | — | 169,036 | 2,833,079 | — | — |
1 Commenced operations on November 7, 2019.
At October 31, 2020, 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 | $ | (5,719,193 | ) | $ | — | $ | — | $ | (8,385,149 | ) | $ | (14,104,342 | ) | ||||||||||
Direxion Daily S&P 500® Bull 3X Shares | (47,247,161 | ) | — | — | (18,644 | ) | (47,265,805 | ) | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | (645,788,703 | ) | — | — | (1,528,384,577 | ) | (2,174,173,280 | ) | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 102,879,037 | — | — | (92,764,569 | ) | 10,114,468 | |||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | (646,012,087 | ) | — | — | (2,619,897,939 | ) | (3,265,910,026 | ) |
DIREXION ANNUAL REPORT
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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 FTSE China Bull 3X Shares | $ | (47,918,417 | ) | $ | — | $ | — | $ | (94,684,613 | ) | $ | (142,603,030 | ) | ||||||||||
Direxion Daily FTSE China Bear 3X Shares | (39,288,789 | ) | — | — | (66,047,371 | ) | (105,336,160 | ) | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | (5,390,375 | ) | 24,837 | — | (22,935,603 | ) | (28,301,141 | ) | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | (3,163,918 | ) | — | — | (200,765,299 | ) | (203,929,217 | ) | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | (31,994,527 | ) | — | — | (294,106,872 | ) | (326,101,399 | ) | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | (944,243 | ) | — | — | (6,680,093 | ) | (7,624,336 | ) | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | (1,989,448 | ) | — | — | (3,898,207 | ) | (5,887,655 | ) | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | (104,790,231 | ) | — | — | (3,405,690 | ) | (108,195,921 | ) | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 2,254,001 | — | — | — | 2,254,001 | ||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 7,847,704 | — | — | — | 7,847,704 | ||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | (2,871,384 | ) | — | — | (2,070,374 | ) | (4,941,758 | ) | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | (418,846,060 | ) | 656,540 | — | (2,665,762 | ) | (420,855,282 | ) | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | (272,134,061 | ) | — | — | (2,564,714,165 | ) | (2,836,848,226 | ) | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | (9,780,831 | ) | — | — | — | (9,780,831 | ) | ||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 137,219,710 | — | — | — | 137,219,710 | ||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | (178,433 | ) | 57,584 | — | — | (120,849 | ) | ||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | (18,580,968 | ) | — | — | (5,929,770 | ) | (24,510,738 | ) | |||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | (24,461,371 | ) | — | — | (80,853,889 | ) | (105,315,260 | ) | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 2,128,160 | — | — | — | 2,128,160 | ||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | (2,030,232 | ) | 77,539 | — | (8,197,313 | ) | (10,150,006 | ) | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 9,542,465 | — | — | (4,739,489 | ) | 4,802,976 | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 1,580,978 | — | — | (456,851 | ) | 1,124,127 | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | (37,073,160 | ) | — | — | (6,718,616 | ) | (43,791,776 | ) | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 20,324,513 | — | — | (6,901,278 | ) | 13,423,235 | |||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | (84,906,776 | ) | — | — | (158,025,600 | ) | (242,932,376 | ) | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 235,971,398 | — | — | — | 235,971,398 | ||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | (97,731,577 | ) | — | — | (536,615,465 | ) | (634,347,042 | ) | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 237,082,245 | 10,258,334 | — | — | 247,340,579 |
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187
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 Bear 3X Shares | $ | (50,049,096 | ) | $ | — | $ | — | $ | (177,603,978 | ) | $ | (227,653,074 | ) | ||||||||||
Direxion Daily Transportation Bull 3X Shares | 9,254,907 | — | — | — | 9,254,907 | ||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | (800,259 | ) | — | — | (1,053,435 | ) | (1,853,694 | ) | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 1,971,912 | 1,444,820 | — | — | 3,416,732 | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | (2,738,703 | ) | — | — | (60,479,164 | ) | (63,217,867 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | (8,293,240 | ) | 5,351,124 | — | — | (2,942,116 | ) | ||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | (64,762,748 | ) | — | — | (969,256,532 | ) | (1,034,019,280 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At October 31, 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 | $ | 47,872,405 | $ | 12,478,934 | $ | (18,198,127 | ) | $ | (5,719,193 | ) | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 1,392,502,509 | 191,876,208 | (239,123,369 | ) | (47,247,161 | ) | |||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 1,134,648,940 | 24,304,156 | (670,092,859 | ) | (645,788,703 | ) | |||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,068,143,467 | 420,122,917 | (317,243,880 | ) | 102,879,037 | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 969,269,344 | 4,127,424 | (650,139,511 | ) | (646,012,087 | ) | |||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 309,498,459 | 26,399,169 | (74,317,586 | ) | (47,918,417 | ) | |||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 68,313,466 | — | (39,288,789 | ) | (39,288,789 | ) | |||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 17,667,945 | 1,887,756 | (7,278,131 | ) | (5,390,375 | ) | |||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 166,591,433 | 59,084,041 | (62,247,959 | ) | (3,163,918 | ) | |||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 54,549,851 | 222,699 | (32,217,226 | ) | (31,994,527 | ) | |||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 10,772,360 | 1,653,978 | (2,598,221 | ) | (944,243 | ) | |||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 29,780,143 | 8,900,234 | (10,889,682 | ) | (1,989,448 | ) | |||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 305,772,482 | 12,672,601 | (117,462,832 | ) | (104,790,231 | ) | |||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 13,086,091 | 5,983,475 | (3,729,474 | ) | 2,254,001 | ||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 35,321,995 | 10,433,848 | (2,586,144 | ) | 7,847,704 | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 6,582,985 | 160,068 | (3,031,452 | ) | (2,871,384 | ) | |||||||||||||
Direxion Daily Financial Bull 3X Shares | 1,802,637,256 | 128,920,276 | (547,766,336 | ) | (418,846,060 | ) | |||||||||||||
Direxion Daily Financial Bear 3X Shares | 448,488,498 | 7,094,110 | (279,228,171 | ) | (272,134,061 | ) | |||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 103,057,420 | 14,968,117 | (24,748,948 | ) | (9,780,831 | ) | |||||||||||||
Direxion Daily Homebuilders & Supplies 3X Bull Shares | 428,209,536 | 204,762,676 | (67,542,966 | ) | 137,219,710 | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 19,259,477 | 3,417,150 | (3,595,583 | ) | (178,433 | ) | |||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 63,435,070 | 4,180,955 | (22,761,923 | ) | (18,580,968 | ) | |||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 55,332,318 | 3,797,956 | (28,259,327 | ) | (24,461,371 | ) | |||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 9,847,167 | 4,073,043 | (1,944,883 | ) | 2,128,160 | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 113,866,810 | 35,634,202 | (37,664,434 | ) | (2,030,232 | ) | |||||||||||||
Direxion Daily Retail Bull 3X Shares | 20,982,937 | 14,783,359 | (5,240,894 | ) | 9,542,465 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 24,631,373 | 6,871,402 | (5,290,424 | ) | 1,580,978 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 73,467,855 | 1,875,638 | (38,948,798 | ) | (37,073,160 | ) | |||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 344,226,008 | 114,329,127 | (94,004,614 | ) | 20,324,513 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 123,128,368 | 2,798,279 | (87,705,055 | ) | (84,906,776 | ) | |||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1,313,677,740 | 521,563,522 | (285,592,124 | ) | 235,971,398 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 162,263,423 | 4,169,239 | (101,900,816 | ) | (97,731,577 | ) | |||||||||||||
Direxion Daily Technology Bull 3X Shares | 1,713,248,428 | 644,509,173 | (407,426,928 | ) | 237,082,245 |
DIREXION ANNUAL REPORT
188
Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily Technology Bear 3X Shares | $ | 100,127,905 | $ | 778,171 | $ | (50,827,267 | ) | $ | (50,049,096 | ) | |||||||||
Direxion Daily Transportation Bull 3X Shares | 29,920,405 | 13,741,243 | (4,486,336 | ) | 9,254,907 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 14,282,102 | 3,233,335 | (4,033,594 | ) | (800,259 | ) | |||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 18,169,377 | 2,316,032 | (344,120 | ) | 1,971,912 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 6,556,948 | 62,965 | (2,801,668 | ) | (2,738,703 | ) | |||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 296,805,805 | 20,007,339 | (28,300,579 | ) | (8,293,240 | ) | |||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 121,815,391 | 4,528,328 | (69,291,076 | ) | (64,762,748 | ) |
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").
On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax differences between accounting for total distributable earnings and capital stock under GAAP and tax reporting:
Funds | Total Distributable Earnings (Loss) | Capital Stock | |||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | (278,958 | ) | $ | 278,958 | ||||||
Direxion Daily S&P 500® Bull 3X Shares | (419,446,845 | ) | 419,446,845 | ||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | |||||||||
Direxion Daily Small Cap Bull 3X Shares | (23,468,841 | ) | 23,468,841 | ||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | |||||||||
Direxion Daily FTSE China Bull 3X Shares | (9,164,069 | ) | 9,164,069 | ||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 333,486 | (333,486 | ) | ||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | (8,237,871 | ) | 8,237,871 | ||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 211,816 | (211,816 | ) | ||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | (1,302,285 | ) | 1,302,285 | ||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 830,675 | (830,675 | ) | ||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | (3,203,292 | ) | 3,203,292 | ||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | (4,871,627 | ) | 4,871,627 | ||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 792 | (792 | ) | ||||||||
Direxion Daily Financial Bull 3X Shares | 47,122,140 | (47,122,140 | ) | ||||||||
Direxion Daily Financial Bear 3X Shares | — | — | |||||||||
Direxion Daily Healthcare Bull 3X Shares | (15,511,096 | ) | 15,511,096 | ||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | (63,903,406 | ) | 63,903,406 | ||||||||
Direxion Daily Industrials Bull 3X Shares | (827,207 | ) | 827,207 | ||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | (1,642,836 | ) | 1,642,836 | ||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | |||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | (1,150,495 | ) | 1,150,495 | ||||||||
Direxion Daily Regional Banks Bull 3X Shares | (192,018 | ) | 192,018 | ||||||||
Direxion Daily Retail Bull 3X Shares | (2,173,661 | ) | 2,173,661 | ||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | (258,529 | ) | 258,529 | ||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 547 | (547 | ) | ||||||||
Direxion Daily S&P Biotech Bull 3X Shares | (26,196,245 | ) | 26,196,245 | ||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | |||||||||
Direxion Daily Semiconductor Bull 3X Shares | (624,836,558 | ) | 624,836,558 | ||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | |||||||||
Direxion Daily Technology Bull 3X Shares | (477,228,364 | ) | 477,228,364 | ||||||||
Direxion Daily Technology Bear 3X Shares | — | — | |||||||||
Direxion Daily Transportation Bull 3X Shares | (5,690,178 | ) | 5,690,178 | ||||||||
Direxion Daily Utilities Bull 3X Shares | (220,063 | ) | 220,063 | ||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | (1,392,508 | ) | 1,392,508 | ||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | |||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | (82,425,308 | ) | 82,425,308 | ||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — |
DIREXION ANNUAL REPORT
189
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, 2020, the permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses, and utilization of earnings and profits distributed to shareholders on redemption of shares.
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, 2020.
At October 31, 2020, the Funds deferred, on a tax basis, qualified late year losses of:
Ordinary Late Year Loss Deferral | |||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 4,792 | |||||
Direxion Daily S&P 500® Bull 3X Shares | — | ||||||
Direxion Daily S&P 500® Bear 3X Shares | 4,249,498 | ||||||
Direxion Daily Small Cap Bull 3X Shares | 421,583 | ||||||
Direxion Daily Small Cap Bear 3X Shares | 2,708,580 | ||||||
Direxion Daily FTSE China Bull 3X Shares | 348,441 | ||||||
Direxion Daily FTSE China Bear 3X Shares | 186,698 | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 508,131 | ||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 153,533 | ||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 18,951 | ||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 142,337 | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 59,383 | ||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | ||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | ||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 12,558 | ||||||
Direxion Daily Financial Bull 3X Shares | — | ||||||
Direxion Daily Financial Bear 3X Shares | 1,490,814 | ||||||
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 | 219,501 | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | ||||||
Direxion Daily Regional Banks Bull 3X Shares | — | ||||||
Direxion Daily Retail Bull 3X Shares | 3,655 | ||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 15,123 | ||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 202,389 | ||||||
Direxion Daily S&P Biotech Bull 3X Shares | 1,871,223 | ||||||
Direxion Daily S&P Biotech Bear 3X Shares | 239,163 | ||||||
Direxion Daily Semiconductor Bull 3X Shares | — | ||||||
Direxion Daily Semiconductor Bear 3X Shares | 428,844 | ||||||
Direxion Daily Technology Bull 3X Shares | — | ||||||
Direxion Daily Technology Bear 3X Shares | 194,019 | ||||||
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 | 24,921 | ||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | ||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 258,269 |
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Under current law, the Funds 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, 2020, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains through the year indicated:
Funds | Utilized in Current Year | Unlimited ST | Unlimited LT | ||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | — | $ | 6,789,959 | $ | 1,590,398 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 1,520,792,127 | 3,329,426 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | 74,440,582 | 17,896,691 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | 2,617,183,417 | — | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | 89,283,639 | 5,052,533 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 65,860,673 | — | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | 22,935,603 | — | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | 139,924,119 | 60,333,049 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 293,953,339 | — | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | 6,357,513 | 303,629 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | 3,260,370 | 495,499 | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 1,974,856 | 1,371,451 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 43,181 | — | — | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 2,057,816 | — | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 33,807,894 | — | 2,657,865 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | — | 2,563,214,372 | — | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 20,009,297 | — | — | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 312,634 | — | — | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | 5,929,770 | — | ||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | 80,634,388 | — | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 3,071,420 | — | — | ||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 7,641,632 | 555,681 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 3,309,622 | 3,641,500 | 1,094,334 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | 441,728 | — | ||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | 6,516,227 | — | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 104,017,456 | 5,030,055 | — | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 157,786,437 | — | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | 536,186,621 | — | ||||||||||||
Direxion Daily Technology Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Technology Bear 3X Shares | — | 177,409,496 | — | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 1,053,283 | 152 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 44,589 | — | — | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 60,454,243 | — | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 968,998,263 | — |
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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 October 30, 2020, open U.S. Federal and state income tax years include the tax years ended October 31, 2017 through October 31, 2020. The Funds have no examination in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended October 31, 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 | $ | 25,090,282 | $ | 45,376,579 | $ | 17,544,892 | $ | 1,322,753 | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 3,024,372,810 | 1,920,460,961 | 997,636,610 | 1,860,939,628 | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,601,078,925 | 299,128,039 | 479,655,923 | 1,763,959,511 | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 354,401,200 | 339,950,134 | 288,155,481 | 330,034,177 | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 8,581,393 | 10,856,109 | 11,001,060 | 12,486,515 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 101,087,600 | 102,571,500 | 91,591,616 | 114,055,218 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 7,226,198 | 8,382,026 | 18,294,906 | 13,553,143 | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 34,196,083 | 24,598,425 | 31,411,714 | 36,375,981 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 131,187,981 | 221,892,824 | 311,289,354 | 82,216,386 |
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Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | $ | 5,220,567 | $ | 5,555,986 | $ | 8,280,070 | $ | 7,558,815 | |||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares1 | 23,405,339 | 13,594,962 | 14,514,242 | 5,628,397 | |||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares1 | — | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 2,215,260,192 | 2,455,369,976 | 1,298,644,080 | 818,538,815 | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 204,435,117 | 176,271,801 | 26,811,098 | 69,334,359 | |||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 362,855,545 | 189,773,126 | 320,455,491 | 261,488,393 | |||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 6,510,094 | 6,134,955 | 14,783,154 | 6,394,917 | |||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 40,932,612 | 46,978,064 | 22,549,043 | 13,111,689 | |||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 12,807,242 | 15,063,214 | 9,524,305 | 8,762,979 | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 132,710,519 | 177,899,287 | 285,026,254 | 199,737,018 | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 21,045,902 | 20,760,808 | 17,067,654 | 22,631,907 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares1 | 17,323,829 | 16,597,266 | 38,689,377 | 34,082,575 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares1 | — | — | — | — | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 570,680,887 | 263,838,830 | 787,666,095 | 1,325,990,013 | |||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 2,097,464,977 | 1,442,502,875 | 1,850,668,715 | 2,079,120,608 | |||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 3,046,628,864 | 2,714,957,920 | 984,489,783 | 796,267,901 | |||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 14,506,702 | 13,110,563 | 45,555,994 | 31,781,834 | |||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 7,153,884 | 10,880,696 | 10,788,244 | 11,320,371 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 7,988,960 | 7,661,601 | 3,364,373 | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 125,339,020 | 109,391,622 | 134,905,904 | 95,847,781 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — |
1 Represents the period from November 7, 2019 (commencement of operations) to October 31, 2020.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended October 31, 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, 2022. 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% |
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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, 2022. 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.
Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2021 | October 31, 2022 | October 31, 2023 | Recoupment Amount | ||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 1,094 | $ | 27,314 | $ | 24,905 | $ | 21,479 | $ | 27,314 | $ | 73,698 | |||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 69,874 | 192,574 | — | — | 122,700 | 122,700 | |||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 59,529 | 304,783 | 302 | 18,596 | 304,783 | 323,681 | |||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 159,440 | 24,627 | 79,265 | 7,186 | 24,627 | 111,078 | |||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 49,850 | 53,089 | 87,614 | 4,794 | 53,089 | 145,497 | |||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 6,874 | 66,062 | 92,090 | 60,527 | 66,062 | 218,679 | |||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 1,378 | 34,795 | 32,855 | 29,738 | 34,795 | 97,388 | |||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 503 | 13,785 | 1,361 | 6,419 | 13,785 | 21,565 | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 6,473 | 40,267 | 33,843 | 38,284 | 40,267 | 112,394 | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 1,012 | 54,120 | 35,413 | 39,016 | 54,120 | 128,549 | |||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 51 | 22,485 | 18,115 | 17,392 | 22,485 | 57,992 | |||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 828 | 31,386 | 24,035 | 21,721 | 31,386 | 77,142 | |||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 9,966 | 50,828 | 16,113 | 21,606 | 50,828 | 88,547 | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 369 | 43,606 | — | 38,383 | 43,606 | 81,989 | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 228 | 31,127 | — | — | 30,899 | 30,899 | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 35,406 | — | — | 35,406 | 35,406 | |||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 4,909 | 4,909 | — | — | — | — | |||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 23,091 | 80,115 | 19,261 | 14,863 | 80,115 | 114,239 | |||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 3,252 | 41,898 | 23,120 | 20,615 | 41,898 | 85,633 | |||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 21,184 | 47,694 | 22,934 | 22,351 | 47,694 | 92,979 | |||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 43,942 | 37,228 | 38,210 | 43,942 | 119,380 | |||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 2,632 | 40,574 | 21,062 | 35,254 | 40,574 | 96,890 | |||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 3,060 | 62,433 | 59,917 | 57,022 | 62,433 | 179,372 | |||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 337 | 45,404 | 38,684 | 35,714 | 45,404 | 119,802 | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 13,979 | 36,561 | 12,446 | 19,819 | 36,561 | 68,826 | |||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 946 | 38,436 | 20,421 | 27,494 | 38,436 | 86,351 |
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2021 | October 31, 2022 | October 31, 2023 | Recoupment Amount | ||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | $ | 3,317 | $ | 41,102 | $ | — | $ | — | $ | 37,785 | $ | 37,785 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 2,138 | 37,761 | — | — | 35,623 | 35,623 | |||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 13,167 | 66,089 | 42,279 | 17,819 | 66,089 | 126,187 | |||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 4,662 | 39,815 | 27,354 | 20,899 | 39,815 | 88,068 | |||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 4,634 | 4,634 | — | — | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 16,377 | 42,808 | 12,266 | 720 | 42,808 | 55,794 | |||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 85,032 | 130,532 | — | — | 114,924 | 114,924 | |||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 1,146 | 37,209 | 21,855 | 22,689 | 37,209 | 81,753 | |||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 2,292 | 34,483 | 35,473 | 37,000 | 34,483 | 106,956 | |||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 385 | 38,650 | 36,930 | 36,502 | 38,650 | 112,082 | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 721 | 33,178 | 40,079 | 32,553 | 33,178 | 105,810 | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 176 | 38,575 | 27,551 | 31,607 | 38,575 | 97,733 | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 433 | 433 | — | — | — | — |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of October 31, 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 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.
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The following is a summary of the inputs used to value the Funds' net assets as of October 31, 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 | $ | 27,337,489 | $ | — | $ | 7,263,091 | $ | 6,959,111 | $ | 8,499,605 | $ | (946,973 | ) | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 947,039,995 | — | 264,645,562 | 114,062,261 | 157,618,983 | (24,049,192 | ) | ||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | 565,368,321 | 326,972,194 | 24,304,156 | (100,812,240 | ) | ||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 424,682,529 | — | 335,600,569 | 180,468,282 | 419,707,020 | (8,967,614 | ) | ||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | 458,706,365 | 230,838,166 | 4,127,424 | (139,576,532 | ) | ||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 132,900,907 | — | 108,933,144 | 40,046,137 | 21,635,627 | (1,889,635 | ) | ||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | 37,684,351 | 15,509,403 | — | (8,659,674 | ) | ||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 6,257,068 | — | 5,139,296 | 3,397,270 | 1,887,756 | (1,006,550 | ) | ||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 39,315,336 | — | 66,132,303 | 36,107,085 | 58,899,723 | (919,847 | ) | ||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | 40,971,147 | 16,201,534 | 222,699 | (18,638,522 | ) | ||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 4,724,430 | — | 4,178,170 | 1,400,424 | 1,165,618 | (240,101 | ) | ||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 8,986,054 | — | 10,457,910 | 7,957,800 | 8,659,024 | (312,293 | ) | ||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 148,819,515 | 71,642,630 | 8,246,307 | 9,556,654 | (29,036,548 | ) | ||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 5,978,544 | 3,720,461 | 1,904,014 | 5,728,374 | (87,287 | ) | ||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | 21,531,046 | 14,460,441 | 1,143,164 | 7,435,461 | (257,249 | ) | ||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | 3,747,241 | 1,581,531 | 160,068 | (195,708 | ) | ||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | 979,856,246 | 369,619,299 | 32,038,877 | 80,757,584 | (46,441,933 | ) | ||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | 193,916,490 | 105,888,184 | 7,094,110 | (24,656,163 | ) | ||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | 62,590,378 | 20,333,829 | 21,022,698 | 10,973,994 | (621,612 | ) | ||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | 313,717,307 | 59,437,887 | 4,062,398 | 194,445,223 | (2,171,171 | ) | ||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 11,211,035 | 5,016,671 | 395,634 | 2,870,346 | (17,008 | ) | ||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | — | 32,712,390 | 14,747,259 | 7,519,444 | 2,461,066 | (5,066,613 | ) | ||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | — | 27,072,991 | 17,226,463 | 3,797,956 | — | |||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 6,930,094 | 1,838,917 | 2,428,099 | 3,321,723 | (115,407 | ) | ||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 54,067,505 | 25,239,331 | 27,837,166 | 32,529,742 | — | |||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | 9,230,779 | 8,005,173 | 7,748,964 | 13,440,020 | (150,570 | ) |
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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 | $ | — | $ | 4,726,718 | $ | 15,827,800 | $ | 10,228,470 | $ | 6,730,879 | $ | (1,073,046 | ) | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | 39,273,871 | 18,969,542 | 1,875,638 | (4,754,814 | ) | ||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | 148,679,108 | 112,468,232 | 50,828,387 | 108,037,622 | (4,634,443 | ) | ||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | 48,317,358 | 31,575,823 | 2,798,279 | (12,894,045 | ) | ||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | 889,033,558 | 196,714,775 | 289,991,203 | 481,614,516 | (17,713,711 | ) | ||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | 75,159,134 | 23,650,360 | 4,169,239 | (14,796,527 | ) | ||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | — | 1,009,859,420 | 407,266,292 | 93,367,556 | 548,640,756 | (15,435,795 | ) | ||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | 55,183,456 | 28,853,044 | 778,171 | (5,882,818 | ) | ||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 20,608,669 | 6,965,437 | 12,431,434 | 12,075,867 | (474,661 | ) | ||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 6,668,478 | 3,963,382 | 4,460,749 | 2,849,983 | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 13,742,428 | — | 5,063,440 | 1,069,394 | 1,348,089 | (12,668 | ) | ||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | 4,737,027 | 3,076,562 | 62,965 | (981,747 | ) | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 189,353,602 | — | 96,605,738 | 7,348,972 | 11,344,406 | (8,791,181 | ) | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | 57,431,657 | 44,738,432 | 4,528,328 | (4,907,342 | ) |
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.
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 October 31, 2020, the Funds
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were invested in swap contracts. At October 31, 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 | $ | 8,499,605 | $ | — | $ | 8,499,605 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 157,618,983 | — | 157,618,983 | ||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 24,304,156 | — | 24,304,156 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 419,707,020 | — | 419,707,020 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 4,127,424 | — | 4,127,424 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 21,635,627 | — | 21,635,627 | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,887,756 | — | 1,887,756 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 58,899,723 | — | 58,899,723 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 222,699 | — | 222,699 | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 1,165,618 | — | 1,165,618 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 8,659,024 | — | 8,659,024 | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 9,556,654 | — | 9,556,654 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 5,728,374 | — | 5,728,374 | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 7,435,461 | — | 7,435,461 | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 160,068 | — | 160,068 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 80,757,584 | — | 80,757,584 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | 7,094,110 | — | 7,094,110 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 10,973,994 | — | 10,973,994 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 194,445,223 | — | 194,445,223 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 2,870,346 | — | 2,870,346 | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 2,461,066 | — | 2,461,066 | ||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 3,797,956 | — | 3,797,956 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 3,321,723 | — | 3,321,723 | ||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 32,529,742 | — | 32,529,742 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 13,440,020 | — | 13,440,020 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 6,730,879 | — | 6,730,879 | ||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 1,875,638 | — | 1,875,638 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 108,037,622 | — | 108,037,622 | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 2,798,279 | — | 2,798,279 | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 481,614,516 | — | 481,614,516 | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 4,169,239 | — | 4,169,239 | ||||||||||||
Direxion Daily Technology Bull 3X Shares | 548,640,756 | — | 548,640,756 | ||||||||||||
Direxion Daily Technology Bear 3X Shares | 778,171 | — | 778,171 | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | 12,075,867 | — | 12,075,867 | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | 2,849,983 | — | 2,849,983 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 1,348,089 | 1,348,089 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 62,965 | 62,965 | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 11,344,406 | 11,344,406 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 4,528,328 | 4,528,328 |
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 | $ | 946,973 | $ | — | $ | 946,973 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 24,049,192 | — | 24,049,192 | ||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 100,812,240 | — | 100,812,240 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 8,967,614 | — | 8,967,614 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 139,576,532 | — | 139,576,532 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 1,889,635 | — | 1,889,635 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 8,659,674 | — | 8,659,674 | ||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,006,550 | — | 1,006,550 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 919,847 | — | 919,847 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 18,638,522 | — | 18,638,522 | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 240,101 | — | 240,101 |
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Liability Derivatives2 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | $ | 312,293 | $ | — | $ | 312,293 | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 29,036,548 | — | 29,036,548 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 87,287 | — | 87,287 | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 257,249 | — | 257,249 | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 195,708 | — | 195,708 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 46,441,933 | — | 46,441,933 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | 24,656,163 | — | 24,656,163 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 621,612 | — | 621,612 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 2,171,171 | — | 2,171,171 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 17,008 | — | 17,008 | ||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 5,066,613 | — | 5,066,613 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 115,407 | — | 115,407 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 150,570 | — | 150,570 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 1,073,046 | — | 1,073,046 | ||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 4,754,814 | — | 4,754,814 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 4,634,443 | — | 4,634,443 | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 12,894,045 | — | 12,894,045 | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 17,713,711 | — | 17,713,711 | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 14,796,527 | — | 14,796,527 | ||||||||||||
Direxion Daily Technology Bull 3X Shares | 15,435,795 | — | 15,435,795 | ||||||||||||
Direxion Daily Technology Bear 3X Shares | 5,882,818 | — | 5,882,818 | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | 474,661 | — | 474,661 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 12,668 | 12,668 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 981,747 | 981,747 | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 8,791,181 | 8,791,181 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 4,907,342 | 4,907,342 |
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended October 31, 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 | $ | (11,405,074 | ) | $ | — | $ | 5,389,298 | $ | — | |||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | Swap Contracts | 236,929,293 | — | (64,481,437 | ) | — | |||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | Swap Contracts | (997,767,559 | ) | — | (18,278,355 | ) | — | ||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | Swap Contracts | (150,098,945 | ) | — | 308,675,357 | — | |||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | Swap Contracts | (452,997,640 | ) | — | (98,845,429 | ) | — | ||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | Swap Contracts | (30,252,141 | ) | — | 18,836,435 | — | |||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | Swap Contracts | (27,559,136 | ) | — | (6,991,731 | ) | — | ||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | Swap Contracts | (6,522,193 | ) | — | (4,100,554 | ) | — | ||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Swap Contracts | (72,255,999 | ) | — | 54,820,668 | — | |||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | Swap Contracts | (9,811,273 | ) | — | (12,937,320 | ) | — |
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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 Mexico Bull 3X Shares | Swap Contracts | $ | (4,306,451 | ) | $ | — | $ | (605,289 | ) | $ | — | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | Swap Contracts | 2,984,514 | — | 4,079,798 | — | ||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | Swap Contracts | (58,043,836 | ) | — | (32,146,200 | ) | — | ||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | Swap Contracts | (957,161 | ) | — | 5,095,882 | — | |||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | Swap Contracts | 2,588,348 | — | 7,178,212 | — | ||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | Swap Contracts | (4,893,560 | ) | — | (35,640 | ) | — | ||||||||||||||||
Direxion Daily Financial Bull 3X Shares | Swap Contracts | (233,625,728 | ) | — | (253,893,144 | ) | — | ||||||||||||||||
Direxion Daily Financial Bear 3X Shares | Swap Contracts | (240,656,648 | ) | — | 5,159,269 | — | |||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | Swap Contracts | 18,075,671 | — | (6,588,871 | ) | — | |||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Swap Contracts | (4,525,900 | ) | — | 175,213,405 | — | |||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | Swap Contracts | (1,958,531 | ) | — | 2,561,867 | — | |||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | Swap Contracts | (18,036,811 | ) | — | (7,880,532 | ) | — | ||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | Swap Contracts | (40,073,574 | ) | — | 5,546,779 | — | |||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Swap Contracts | 2,704,575 | — | 1,962,119 | — | ||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | Swap Contracts | (30,265,867 | ) | — | 31,068,323 | — | |||||||||||||||||
Direxion Daily Retail Bull 3X Shares | Swap Contracts | 2,629,787 | — | 12,014,269 | — | ||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | Swap Contracts | (3,644,859 | ) | — | 5,657,833 | — | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | Swap Contracts | (40,710,211 | ) | — | (2,879,176 | ) | — | ||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | Swap Contracts | 125,374,622 | — | 152,413,623 | — | ||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | Swap Contracts | (79,575,607 | ) | — | (11,746,719 | ) | — | ||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | Swap Contracts | 365,094,806 | — | 247,533,807 | — | ||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | Swap Contracts | (332,521,165 | ) | — | 43,059,014 | — | |||||||||||||||||
Direxion Daily Technology Bull 3X Shares | Swap Contracts | 171,413,995 | — | 318,213,617 | — | ||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | Swap Contracts | (88,487,681 | ) | — | 4,785,963 | — |
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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 Transportation Bull 3X Shares | Swap Contracts | $ | 756,511 | $ | — | $ | 11,564,308 | $ | — | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | Swap Contracts | (3,799,262 | ) | — | 1,454,686 | — | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Swap Contracts | — | 2,945,816 | — | (186,675 | ) | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Swap Contracts | — | (3,720,905 | ) | — | 1,530,535 | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | Swap Contracts | — | 66,426,268 | — | (27,199,060 | ) | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | Swap Contracts | — | (96,025,160 | ) | — | 25,819,147 |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the period ended October 31, 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 | $ | 91,654,559 | $ | — | |||||||
Direxion Daily S&P 500® Bull 3X Shares | 2,692,974,926 | — | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 2,211,069,851 | |||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,755,937,038 | — | |||||||||
Direxion Daily Small Cap Bear 3X Shares | — | 1,337,262,756 | |||||||||
Direxion Daily FTSE China Bull 3X Shares | 728,539,577 | — | |||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 257,063,537 | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 48,728,302 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 387,384,460 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 154,241,268 | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 25,751,298 | — | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 57,153,940 | — | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 283,635,457 | — | |||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 19,265,009 | — | |||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 37,469,583 | — | |||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 7,233,200 | |||||||||
Direxion Daily Financial Bull 3X Shares | 3,029,487,749 | — | |||||||||
Direxion Daily Financial Bear 3X Shares | — | 744,443,211 | |||||||||
Direxion Daily Healthcare Bull 3X Shares | 313,556,566 | — | |||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 388,959,486 | — | |||||||||
Direxion Daily Industrials Bull 3X Shares | 18,802,296 | — | |||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 118,299,632 | — | |||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | — | 98,523,227 | |||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 27,049,817 | — | |||||||||
Direxion Daily Regional Banks Bull 3X Shares | 144,029,135 | — | |||||||||
Direxion Daily Retail Bull 3X Shares | 35,693,155 | — | |||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 47,014,613 | — | |||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | 80,856,051 | |||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 938,981,754 | — | |||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 279,589,467 | |||||||||
Direxion Daily Semiconductor Bull 3X Shares | 2,304,090,250 | — | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | 496,496,377 | |||||||||
Direxion Daily Technology Bull 3X Shares | 2,811,160,859 | — | |||||||||
Direxion Daily Technology Bear 3X Shares | — | 162,939,080 |
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Quarterly Average Gross Notional Amounts | |||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | ||||||||||
Direxion Daily Transportation Bull 3X Shares | $ | 38,823,622 | $ | — | |||||||
Direxion Daily Utilities Bull 3X Shares | 33,897,572 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 50,300,916 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 24,626,197 | |||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 632,470,363 | — | |||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 279,168,745 |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of 300% or -300% daily performance of their respective indices.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index 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.
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In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and future agreements may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
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
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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, April 23, 2020, and August 28, 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 MSCI Mexico Bull 3X Shares | 3/27/20 | 1 | :12 | $ | 2.44 | $ | 29.28 | 1,600,001 | 133,333 | ||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 4/23/20 | 1 | :10 | 4.94 | 49.40 | 5,900,000 | 590,000 | ||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 4/23/20 | 1 | :10 | 7.36 | 73.60 | 1,050,012 | 105,001 | ||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 4/23/20 | 1 | :10 | 5.65 | 56.50 | 1,450,001 | 145,000 | ||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 4/23/20 | 1 | :10 | 3.90 | 39.00 | 13,653,291 | 1,365,329 | ||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 4/23/20 | 1 | :10 | 4.84 | 48.40 | 17,249,789 | 1,724,979 | ||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 8/28/20 | 1 | :10 | 4.23 | 42.30 | 700,001 | 70,000 | ||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 8/28/20 | 1 | :20 | 3.56 | 71.20 | 22,334,536 | 1,116,727 | ||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 8/28/20 | 1 | :12 | 3.63 | 43.56 | 29,435,481 | 2,452,957 |
11. 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 December 9, 2020, certain Funds declared capital gain distributions with an ex-date of December 10, 2020 and payable date of December 17, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Short Term Capital Gain Distribution | ||||||
Direxion Daily Industrials Bull 3X Shares | $ | 0.04430 | |||||
Direxion Daily Technology Bull 3X Shares | 1.89970 | ||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 5.73526 | ||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 0.68605 |
On December 21, 2020, certain Funds declared income distributions with an ex-date of December 22, 2020 and payable date of December 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 | $ | 0.01189 | |||||
Direxion Daily S&P 500® Bull 3X Shares | 0.11548 | ||||||
Direxion Daily Small Cap Bull 3X Shares | 0.01033 | ||||||
Direxion Daily FTSE China Bull 3X Shares | 0.09166 |
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Funds | Per Share Income Distribution | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | $ | 0.05098 | |||||
Direxion Daily MSCI Mexico Bull 3X Shares | 0.04723 | ||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 0.00312 | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 0.00120 | ||||||
Direxion Daily Financial Bull 3X Shares | 0.07920 | ||||||
Direxion Daily Healthcare Bull 3X Shares | 0.00609 | ||||||
Direxion Daily Industrials Bull 3X Shares | 0.01914 | ||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 0.03967 | ||||||
Direxion Daily Regional Banks Bull 3X Shares | 0.28010 | ||||||
Direxion Daily Semiconductor Bull 3X Shares | 0.05119 | ||||||
Direxion Daily Transportation Bull 3X Shares | 0.00898 | ||||||
Direxion Daily Utilities Bull 3X Shares | 0.09849 |
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Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of 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 MSCI Emerging Markets Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bear 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 Consumer Discretionary Bull 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 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 and the Board of Trustees of Direxion Shares ETF Trust.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of 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 MSCI Emerging Markets Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bear 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 Consumer Discretionary Bull 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 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 and Direxion Daily 20+ Year Treasury Bear 3X Shares (collectively referred to as the "Funds"), (40 of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2020, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (40 of the funds constituting Direxion Shares ETF Trust) at October 31, 2020, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
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Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
Individual fund constituting the Direxion Shares ETF Trust | Statement of Operations | Statements of Changes in Net Assets | Financial Highlights | ||||||||||||
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 MSCI Emerging Markets Bull 3X Shares Direxion Daily MSCI Emerging Markets Bear 3X Shares Direxion Daily MSCI South Korea Bull 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 MSCI Real Estate Bull 3X Shares Direxion Daily MSCI Real Estate Bear 3X Shares Direxion Daily Regional Banks Bull 3X Shares Direxion Daily Retail Bull 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 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 | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the five years in the period ended October 31, 2020 | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares Direxion Daily Aerospace & Defense Bull 3X Shares Direxion Daily Industrials Bull 3X Shares Direxion Daily Transportation Bull 3X Shares Direxion Daily Utilities Bull 3X Shares | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the three years in the period ended October 31, 2020 and the period from May 3, 2017 (commencement of operations) through October 31, 2017 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 and the period from November 15, 2017 (commencement of operations) through October 31, 2018 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | For the year ended October 31, 2020 | For the year ended October 31, 2020 and the period from November 29, 2018 (commencement of operations) through October 31, 2019 | |||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares Direxion Daily Dow Jones Internet Bear 3X Shares Direxion Daily S&P 500® High Beta Bull 3X Shares Direxion Daily S&P 500® High Beta Bear 3X Shares | For the period from November 7, 2019 (commencement of operations) through October 31, 2020 |
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Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
Basis for Opinion
These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on each of the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Direxion investment companies since 2001.
Minneapolis, Minnesota
December 22, 2020
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Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Federal Tax Status of Dividends Declared during the Tax Year
For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction ("DRD"), the individual qualified dividend rate ("QDI"), the qualified interest income rate ("QII"), and the qualified short-term gain rate ("QSTG") is presented below.
Funds | DRD | QDI | QII | QSTG | |||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 9.04 | % | 9.04 | % | 0.00 | % | 14.99 | % | |||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Small Cap Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Small Cap Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily FTSE China Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily FTSE China Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 91.17 | % | 91.17 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 93.17 | % | 93.17 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 98.61 | % | 98.61 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 1.97 | % | 1.97 | % | 0.00 | % | 100.00 | % | |||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 1.19 | % | 1.19 | % | 0.00 | % | 100.00 | % | |||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Financial Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Financial Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Healthcare Bull 3X Shares | 8.04 | % | 8.04 | % | 0.00 | % | 7.32 | % | |||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 8.10 | % | 8.10 | % | 0.00 | % | 100.00 | % | |||||||||||
Direxion Daily Industrials Bull 3X Shares | 23.51 | % | 23.51 | % | 0.00 | % | 26.98 | % | |||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares | 73.18 | % | 73.18 | % | 0.00 | % | 56.18 | % | |||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 12.46 | % | 12.46 | % | 0.00 | % | 100.00 | % | |||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Retail Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 15.67 | % | 15.67 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 1.92 | % | 1.92 | % | 0.00 | % | 31.50 | % | |||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Technology Bull 3X Shares | 2.07 | % | 2.07 | % | 0.00 | % | 100.00 | % | |||||||||||
Direxion Daily Technology Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily Transportation Bull 3X Shares | 7.28 | % | 7.28 | % | 0.00 | % | 94.91 | % | |||||||||||
Direxion Daily Utilities Bull 3X Shares | 41.53 | % | 41.53 | % | 0.00 | % | 66.14 | % | |||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 23.87 | % | 23.87 | % | 0.00 | % | 79.45 | % | |||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 12.96 | % | 12.96 | % | 0.00 | % | 19.91 | % | |||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ending October 31, 2020. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.
DIREXION ANNUAL REPORT
209
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION ANNUAL REPORT
210
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Consistent with the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") annually considers the renewal of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the 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 MSCI Emerging Markets Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bear 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 Consumer Discretionary Bull 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 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, and the Direxion Daily 20+ Year Treasury Bear 3X Shares, each a series of the ETF Trust. The Agreement is initially approved for a two-year period and must be renewed yearly thereafter to remain in effect. Each series of the ETF Trust is referred to herein as a "Fund" and collectively as the "Funds."
At an in-person meeting held on August 20, 2020, following such consideration, the Board, including the trustees who are not "interested persons" of the ETF Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement, on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 5, 2020 and August 20, 2020.
In considering whether to renew the Agreement, the Board requested, and the Adviser provided, information that the Board and Adviser believed to be reasonably necessary to evaluate the Agreement. Among other information, the Board obtained and reviewed the following:
• Detailed information regarding the advisory services provided by the Adviser to the Funds;
• The investment objectives of the Funds, which require daily rebalancing and the utilization of complex financial instruments that are not typical of traditional index tracking exchange-traded funds;
• The level of attention required by the Adviser due to the frequent and large trading activity in the Funds;
• The Adviser's Form ADV;
• Information about the professional qualifications of those employees primarily responsible for providing services to the Funds;
• Information regarding each component of the contractual advisory fee rates for the prior fiscal year;
• Information regarding advisory fees earned and waivers made by the Adviser in connection with providing services to the Funds for the prior fiscal year or since inception (if shorter);
• Information regarding fees paid to the Adviser under, and an evaluation of the services provided per, the Management Services Agreement for the prior fiscal year;
• Performance information;
• Comparative industry fee data, including peer group comparisons;
• Information regarding the consolidated financial condition of the Adviser and the profitability of the Adviser of each Fund; and
• Information regarding how the Adviser monitors the Funds' compliance with regulatory requirements and ETF Trust procedures.
The Board considered that, with respect to most Funds, they had also received information relevant to their annual review of the Agreement since the Fund's inception and, most recently, throughout the past year at regular Board meetings in connection with their oversight of the Funds, including information bearing on the Funds' service provider arrangements
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211
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
and performance results. In addition, the Board received a memorandum from counsel regarding its responsibilities with respect to the approval of the Agreement and participated in a question and answer session with representatives of the Adviser. The Board carefully evaluated the relevant information and the Independent Trustees were advised by legal counsel with respect to their deliberations.
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, experience, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services provided, and to be provided by the Adviser, under the Agreement and noted there would be no significant differences between the scope of services provided by the Adviser in the past year and those to be provided in the upcoming year. The Board also considered the Adviser's representation to the Board that it would continue to provide investment and related services that are of materially the same quality as the services that have been provided to the Funds in the past and whether those services remain appropriate in scope and extent in light of the Funds' operations, the competitive landscape of the investment company business and investor needs.
The Board focused on the quality of the Adviser's personnel and operations and the systems and processes required to manage the Funds effectively, and noted that such personnel, systems and processes may not be present at other investment advisers. The Board considered, as applicable: (1) the Adviser's success in achieving each Fund's daily leveraged investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) information regarding the Adviser's management of derivatives trading activities on behalf of the Funds, including the selection of swap counterparties and the negotiation of favorable derivatives contract terms; (4) the Adviser's ability to manage the Funds in a tax efficient manner, which is more challenging for leveraged than non-leveraged funds; and (5) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train, and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.
Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. In this regard, the Board also considered the ability of investors to achieve independently the investment objective of the Funds and the costs to investors of seeking to do so by utilizing a margin account or other means. The Board concluded that it would be difficult for an investor to implement independently any Fund's investment strategy and that attempting to do so would likely be cost-prohibitive. From this perspective, the Board noted the cost effectiveness for investors of employing the Funds to achieve certain investment objectives.
The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the relevant Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Funds. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, past and future management service fees, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in compiling the Peer Group because, by design, each Fund is unique and, therefore, few (if any) fund complexes have funds with substantially similar investment objectives and operations. They noted that an independent consultant in 2019 had reviewed the Peer Group selection methodology and the Peer Group for each Fund and that the methodology employed in 2020 was the same as that reviewed by the independent consultant.
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212
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
The Board noted that the comparison reports included the advisory fee and net and gross total expense ratios for each Fund and each Peer Group fund. The Board considered that the Adviser had agreed to limit the total expenses of the Funds (subject to certain exclusions) for the next year by contractually agreeing to pay certain expenses of the Funds under a separate Operating Expense Limitation Agreement.
Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return for the periods ending June 30, 2020 and June 30, 2019 or since inception if a Fund did not have two full years of operations. In this regard, the Board considered each Fund's daily returns versus model returns ("Tracking Difference"), the standard deviation of the Tracking Differences, and a tracking error analysis provided by the Adviser. The Board also reviewed the total return of each Fund for the one-year or, if shorter, since inception period ended June 30, 2020. The Board considered reports provided to it in anticipation of the meeting, as well as performance reports provided at regular Board meetings throughout the year. The Board noted that the correlation of returns for each Fund to its model performance was generally within reasonable ranges during the reviewed periods. The Board considered that, given the investment objectives of the Funds, the correlation of each such Fund's performance with the model performance and Tracking Error were more meaningful indicia of the quality of the Advisor's management than a Fund's total return.
Costs of Services Provided to the Funds and Profits Realized by the Adviser. The Board reviewed information regarding the profitability of the Adviser based on the fee rates payable under the Agreement. The Board considered the profitability of each Fund and the overall profitability of the Adviser, as reflected in the Adviser's profitability analysis, as well as information provided by the Adviser concerning the methodology used to allocate various expenses. The Board also considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, the dedication of personnel resources to daily portfolio management activities (including rebalancing of the Funds), regulatory compliance, and entrepreneurial risk. The Board further considered a report on other investment advisers' profitability, which was compiled using publicly available information. The Board recognized that it is difficult to compare profitability among investment advisory firms because certain information is not publicly available. Further, to the extent such information is available, it is affected by numerous factors, including the nature of a firm's fund shareholder base, the structure of the adviser and its tax status, the types of funds it manages, its business mix, assumptions regarding allocations and the reporting of operating profits and net income net (rather than gross) of distribution and marketing expenses.
Economies of Scale. The Board considered the current breakpoints included in the Agreement, which provide for reduced advisory fee rates for each Fund and the impact when the assets of each Fund reach certain levels. The Board also considered the Adviser's explanation as to why these breakpoints appropriately reflect the Funds' economies of scale.
Other Benefits. The Board considered indirect and "fall-out" benefits that the Adviser or its affiliates may derive from their relationship to the Funds. Such benefits include the Adviser's ability to leverage its investment management personnel or infrastructure to manage other accounts. In this regard, the Board noted that certain Funds pay a management services fee to the Adviser.
Conclusion. Based on, but not limited to, the above considerations and determinations, the Board, including the Independent Trustees, determined that the Agreement for the Funds was fair and reasonable in light of the nature, extent and quality of the services to be performed, the fee rates to be paid, the Adviser's expenses and such other matters as the Board considered relevant in the exercise of its business judgment. Accordingly, the Board concluded that the continuation of the Agreement was in the best interests of the shareholders of the Funds. On this basis, the Board unanimously voted in favor of the renewal of the Agreement.
DIREXION ANNUAL REPORT
213
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 24, 2020 to review the liquidity risk management program (the "Liquidity Program"). The Board 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 November 1, 2019 through October 31, 2020. 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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214
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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. | 110 | 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: 77 | 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. | 110 | None. | ||||||||||||||||||
David L. Driscoll Age: 51 | 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. | 110 | 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 70 of the 96 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.
DIREXION ANNUAL REPORT
215
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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. | 110 | 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. | 110 | None. | ||||||||||||||||||
Kathleen M. Berkery(3) Age: 53 | 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 | 110 | 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 70 of the 96 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.
DIREXION ANNUAL REPORT
216
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
Principal Officers of the Trust
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:
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: 47 | 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 70 of the 96 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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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 Annual Report.
DIREXION ANNUAL REPORT
DIREXION SHARES ETF TRUST
ANNUAL REPORT OCTOBER 31, 2020
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
STRATEGIC WEIGHT ETFS
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Direxion Connected Consumer ETF
Direxion Dynamic Hedge ETF
Direxion Fallen Knives ETF
Direxion Flight to Safety Strategy ETF (Consolidated)
Direxion High Growth ETF
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 Work From Home ETF
RELATIVE WEIGHT ETFS
Direxion Russell 1000® Growth Over Value ETF
Direxion Russell 1000® Value Over Growth 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 (Unaudited) | 4 | ||||||
Performance Summary (Unaudited) | 13 | ||||||
Expense Example (Unaudited) | 25 | ||||||
Allocation of Portfolio Holdings (Unaudited) | 27 | ||||||
Schedules of Investments | 28 | ||||||
Statements of Assets and Liabilities | 47 | ||||||
Statements of Operations | 50 | ||||||
Statements of Changes in Net Assets | 53 | ||||||
Financial Highlights | 59 | ||||||
Notes to the Financial Statements | 60 | ||||||
Report of Independent Registered Public Accounting Firm | 77 | ||||||
Supplemental Information (Unaudited) | 79 | ||||||
Board Review of Investment Advisory Agreement (Unaudited) | 80 | ||||||
Board Review of Liquidity Risk Management Program (Unaudited) | 84 | ||||||
Trustees and Officers (Unaudited) | 85 |
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Letter to Shareholders (Unaudited)
Dear Shareholders,
This Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2019 to October 31, 2020 (the "Annual Period").
Market Review:
The onset of the Annual Period saw U.S. equity markets beginning to emerge from a relatively sideways trend that had persisted since mid-summer 2019. Asian and emerging market equities benefitted from reduced geo-political tensions as a result of a potential U.S.-China trade deal. The formal announcement of a Phase One Trade Agreement in December served to further bolster gains, both at home and abroad, through year-end for 2019. 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 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 that what began as a localized epidemic in China could turn into a global pandemic producing economic shock around the world, and 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. March saw two rate cuts, and an announcement of quantitative easing from the Federal Reserve, in an effort to bolster the market as 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 due to the effects of the Coronavirus. Those efforts were enough to spur a bit of optimism, as U.S. equity indexes closed the month off the lows. In April, as "work from home," "social distancing" and online meetings became the norm, equities began to rebound on hopes of the economy reopening, with signs lockdowns would soon be ending in some parts of Europe, as well as some states in the U.S. May saw the S&P 500 Index recoup 3,000, a major psychological threshold, as markets responded to positive news that Coronavirus cases were stabilizing. Into June, the S&P 500 Index traded at levels nearing flat for the year, due to expectations the Federal Reserve would serve as a backstop while the economy attempts to recover. China helped drive gains for Emerging Markets in June, amid signs of post-shutdown economic growth. Equity markets continued to rally into early September on sanguine expectations for the reopening of the economy. Uncertainty in September surrounding the upcoming U.S. Presidential Elections, coupled with a selloff in mega-cap technology stocks, were enough to earn the S&P 500 Index its first negative monthly return since March. Worsening Coronavirus case counts in the U.S., along with a resurgence of the virus in Europe, bore fears of a second wave, all while hopes of a vaccine began to materialize. Equity markets ended down for October, reflecting these scenarios, while also digesting economic lockdowns, stimulus hopes and the U.S. Presidential Election.
The Annual Period 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 2020, 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 basis points, in preparation for the supply chain shocks overseas. The succeeding 100 basis point 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, investors saw a steepening of the two-to-10 year yield curve – an indication that short term yields had dropped more than long term yields. 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 in the spring of 2020. Accommodative policy from the Federal Reserve underscored a bullish risk-appetite for investors, as reopening economies and Covid-19 vaccine hopes began to creep into the narrative. The September Federal Reserve meeting saw rates unchanged and a pledge to keep interest rates near zero though 2023. Into the end of the Annual Period, a tick up in the 10 year treasury yield was induced by hopes of a post-U.S. Presidential Election
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stimulus package. With economic growth showing a strong rebound in October, Q3 2020 GDP rose to a rate of 33.1%, while housing made a strong showing amid record-low mortgage rates.
Factors Affecting the 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.
The ETFs Performance Review:
The following discussion relates to the performance of the ETFs for the Annual Period. The performance of the ETFs for the Annual Period is important primarily for understanding whether the ETFs meet their investment goals.
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 Annual Period, the Auspice Broad Commodity Index returned -1.53%, while the Direxion Auspice Broad Commodity Strategy ETF returned -1.31%.
To start the Annual Period, the Direxion Auspice Broad Commodity Strategy ETF was 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 grains, metals 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 Direxion Auspice Broad Commodity Strategy ETF 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 2020 saw the Fund long 9 of 12 possible contracts, the highest number of long positions it would see during the 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 Direxion Auspice Broad Commodity Strategy ETF had no exposure to energy, having sold out of crude and RBOB earlier in the month, and sold out of cotton on the final day of the month. As the broader equity market was selling off precipitously in March, relating to the advent of the Covid-19 pandemic, the Fund exited all exposures prior to month-end. The Direxion Auspice Broad Commodity Strategy ETF ended the 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. While commodities were broadly higher in May, the Fund maintained a cautious approach, with controlling the downside as a core tenet. Still, long only gold in June, gains in softs and copper, could be seen as signs of renewed economic activity globally. Mid-summer 2020 saw the Direxion Auspice Broad Commodity Strategy ETF enter positions in copper and silver, as metals saw notable gains during the month. As commodities largely rallied, the Fund generated gains from both existing and new positions. The Fund began to enter into new agricultural and energy positions increasing its exposure to 75%. Pockets of strength for commodities in September, amid a small correction in the equity market, saw the Direxion Auspice Broad Commodity Strategy ETF positive for the month, while now finding itself long 11 of 12 possible positions at month-end. Heading into the end of the Annual Period, the Fund saw another positive month, as equities continued to give back some gains. The Direxion Auspice Broad Commodity
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Strategy ETF was positioned long 10 of 12 components in October, prioritizing the diversity that commodity sub-sectors offered, while featuring the agility the long-only/reduced-risk approach the fund offers.
Non-Leveraged ETFs
The Direxion Connected Consumer ETF seeks investment results, before fees and expenses, that track the Solactive Connected Consumer Index. The Solactive Connected Consumer Index is comprised of U.S. listed securities and American Depository Receipts ("ADRs") of companies that provide products and services in at least one of the following business segments that facilitate consumers' ability to connect: home entertainment, online education, remote health and well-being, and virtual and digital social interaction ("Connected Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the four Connected Industries. The Index is equal weighted at each semi-annual reconstitution and rebalance date. Since the Fund's inception on August 25, 2020, the Solactive Connected Consumer Index returned 1.84%, while the Direxion Connected Consumer ETF returned 1.78%.
Since inception on August 25, 2020, the Direxion Connected Consumer ETF saw an encouraging start, as it outpaced the S&P 500 Index by 6.22% during the same time frame. The outperformance can be attributed to the fund's three largest holdings steadily outpacing the market – Snap Inc Class A (88.74%), BioTelemetry Inc (6.58%) and SmileDirectClub Inc Class A (18.51%). As a second wave of coronavirus looms, with more lockdown restrictions forthcoming, the Direxion Connected Consumer ETF will look to capitalize on its investment objective: home entertainment, online education, remote health and well-being, and virtual and digital social interaction.
The Direxion Dynamic Hedge ETF seeks investment results, before fees and expenses, that track the Salt truVolTM US Large Cap Dynamic Hedge Index. The Salt truVolTM US Large Cap Dynamic Hedge Index is designed to adjust net exposure to the S&P 500 Index in an attempt to capitalize on the inverse relationship between volatility and the returns of the S&P 500® Index. The Index utilizes a proprietary volatility model developed by Salt Financial Indices, LLC., to estimate future market volatility to determine the size of the Index's hedge (short position). The Index's hedge or short position is reviewed daily and may range from 0% to 100% of the long position in the S&P 500 Index. Since the Fund's inception on June 11, 2020, the Salt truVolTM US Large Cap Dynamic Hedge Index returned -1.06%, while the Direxion Dynamic Hedge ETF returned -1.19%.
Since inception on June 11, 2020, the Direxion Dynamic Hedge ETF underperformed the S&P 500 Index by 4.34% through Period-end. Although the Fund holds long exposure to the S&P 500 Index, the short component of the Fund contributed to more conservative returns when compared to the S&P 500 Index's strong rebound from its multi-year lows. The Direxion Dynamic Hedge ETF continues to be a responsive solution for investors looking to participate in the market, while mitigating against potential drawdowns.
The Direxion Fallen Knives ETF seeks investment results, before fees and expenses, that track the Indxx US Fallen Knives Index. The Indxx US Fallen Knives Index is designed by Indxx, LLC to consist of U.S equity securities that have experienced considerable share price declines over the prior year and have financial health, suggesting that the security has potential for share price recovery in the future. Since the Fund's inception on June 11, 2020, the Indxx US Fallen Knives Index returned 9.89%, while the Direxion Fallen Knives ETF returned 9.63%.
Since inception on June 11, 2020, the Direxion Fallen Knives ETF had an encouraging start, as it outpaced the S&P 500 Index by 6.48% through the end of the Annual Period. The outperformance was underscored by the fact that 8 out of the top 10 holdings all had notable outperformances. Names such as Novocure (79.84%) and Exact Sciences (33.51%) had significant gains. Furthermore, the Direxion Fallen Knives ETF's positive performance was observed despite the Fund's top two sectors (Financials and Health Care) making up roughly 58% of all basket returning losses. Although those two sectors were in a downward trend, the names in the basket of those two sectors showed strong growth. This shows the framework to capture the most attractive opportunities during a pandemic-induced uncertainty was beneficial for the Fund as the inherent risk premium was realized when the market rebounded, even for the names that saw its industry peers sell off.
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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 6.59%, while the Direxion Flight to Safety Strategy ETF returned 5.85%.
Since inception on February 5, 2020, the Direxion Flight to Safety Strategy ETF outperformed the broad the S&P 500 Index by 5.3% through Period-end, as the equity market remained flat after a remarkable rally from April through September. During this period, defensive investors contributed to a strong performance in both the gold bullion and the U.S. treasury bonds, as they looked to mitigate risk from Covid-19. However, the utility sector, which makes up roughly a quarter of the Fund's holdings, underperformed (-6.42%) as consumer spending vastly decreased due to economic uncertainty. One notable development during this period is that gold and the broad market's correlation remained positive at .191, when the two usually have a negative correlation. This can be partially explained by the phenomenon that investors sought both safety and the risk premium present in the post-pandemic equity market. Since the Direxion Flight to Safety Strategy ETF seeks to provide risk-mitigation, as well as a long-term appreciation potential, the uncertain nature of the overall market created an ideal scenario for the Fund to grow.
The Direxion High Growth ETF seeks investment results, before fees and expenses, that track the Russell 1000® Hyper Growth Index. The Russell 1000® Hyper Growth Index seeks to identify domestic "high" growth companies by scoring securities for Quality, Momentum, Value, and Volatility factors and for representing Value or Growth stocks. The Index identifies Growth companies as those that, historically, have had high sales and forecasted high earnings and high cash flow growth relative to increases in share value. Since the Fund's inception on June 11, 2020, the Russell 1000® Hyper Growth Index returned 2.82%, while the Direxion High Growth ETF returned 2.67%.
Since inception on June 11, 2020, the Direxion High Growth ETF slightly underperformed the S&P 500 Index by 0.48% through the Annual Period. The basket of growth stocks performed especially well in the information technology sector, as the industry as a whole gained 8.12% in the same period. During the pandemic, many companies around the nation increased their demand for disaster recovery services as work shifted from onsite to remote, and this move in digital technology boosted the performance of information technology names such as NVIDIA Corp (33.85%) and Advanced Micro Devices Inc. (31.07%). Moreover, strong growth was observed for the Fund's communication service names. The shelter-in-place environment of the pandemic allowed the FANG stocks to flourish.
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 8.81%, while the Direxion MSCI USA ESG – Leaders vs. Laggards ETF returned 8.66%.
Since inception on February 5, 2020, the Direxion MSCI USA ESG – Leaders vs. Laggards ETF outperformed the S&P 500 Index through Period-end. The COVID-19 pandemic created a paradigm shift, whereby companies transitioned to remote working environments for the foreseeable future, with some opting to do so on a permanent basis. As a result, the information technology sector saw extensive growth and outperformed the broad market. Conversely, the outbreak weakened demand for commodities, particularly oil, which in conjunction with increasing supply, resulted in oil prices
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plummeting during the Annual Period. While demand has rebounded and normalized since then, the energy sector, which the Fund underweights, underperformed the market as a whole during this time. As the world shifts towards green technology and sustainable business practices, ESG is gaining a more prominent role in the decision making of both companies and investors.
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 Annual Period, the NASDAQ-100® Equal Weighted Index returned 24.16%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned 23.69%.
The Direxion NASDAQ-100® Equal Weighted Index Shares underperformed the NASDAQ-100 Index for the Annual Period. The Fund's underperformance can be attributed to the stellar performances of AMZN (70.89%), MSFT (42.83%) and AAPL (76.78%), all of which have roughly a 1% weight in the fund, while accounting for over 33% of the NASDAQ-100 Index. The strongest returns for the Direxion NASDAQ-100® Equal Weighted Index Shares came at the end of the Annual Period. During the month of April 2020, the Fund gained 13.23%. These numbers were backed by increasingly positive economic sentiments, as fears from of the Coronavirus began to taper. However, the fears of a second wave came to fruition in early September, prompting fund performance to suffer in both September and October.
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 4.72%, while the Direxion S&P 500® High minus Low Quality ETF returned 4.46%.
Since inception on February 5, 2020, the Direxion S&P 500® High minus Low Quality ETF outperformed the S&P 500 Index through Period-end. The Fund's overweight exposure to the information technology sector aided in rebounding from its lows. Increased market interest and adoption for artificial intelligence, machine learning, wearables technologies, and cloud computing allowed top names such as AAPL, NVDA, MSFT and CSCO to outperform the broad market. By utilizing the three core metrics of return on equity, accruals and financial leverage, the Direxion S&P 500® High minus Low Quality ETF's 150/50 structure allows for investors to gain long exposure to high quality companies, and short exposure to low quality companies, across the U.S. large cap universe.
The Direxion Work From Home ETF seeks investment results, before fees and expenses, that track the Solactive Remote Work Index. The Solactive Remote Work Index is comprised of U.S. listed securities and American Depository Receipts ("ADRs") of companies that provide products and services in at least one of the following business segments that facilitate the ability of people to work from home: remote communications, cyber security, online project and document management, and cloud computing technologies ("WFH Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the four WFH Industries. The Index is equal weighted at each semi-annual reconstitution and rebalance date. Since the Fund's inception on June 25, 2020, the Solactive Remote Work Index returned 7.65%, while the Direxion Work From Home ETF returned 7.60%.
Since inception on June 25, 2020, the Direxion Work from Home ETF was launched amid the backdrop of and evolving remote work trend, a society dealing with the effects and practicalities induced by the advent of Covid-19, and a need for social distancing. The Fund offers exposure to both established and emerging pillars of technology such as Cloud Technology,
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Cybersecurity, Online Project and Document Management and Remote communications. Capitalizing on a timely launch, Direxion Work from Home ETF performance was strong out of the gate amid a mega cap, tech-led rally. While positive for the month of August, fund performance lagged somewhat, amid broader concerns relating to doubts over further fiscal stimulus, which weighed on technology stocks. September saw a pullback driven by not only mega-cap tech names, but also smaller names such as Nutanix Inc., FireEye Inc. and Slack Technologies Inc., as the broader equity market pulled back on concerns relating to US Presidential Election uncertainty. Into the end of the Annual Period, the Direxion Work from Home ETF was able to outperform the S&P 500 Index for the month of October, as the broader market continued to digest a troublesome plateful of investing scenarios relating to the Covid-19 pandemic, a potential vaccine, economic lockdowns and the upcoming U.S. Presidential Election.
Relative Weight ETFs
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 Annual Period, the Russell 1000® Growth/Value 150/50 Net Spread Index returned 51.22%, while the Direxion Russell 1000® Growth Over Value ETF returned 50.43%.
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 Annual Period, the Russell 1000® Value/Growth 150/50 Net Spread Index returned -22.67%, while the Direxion Russell 1000® Value Over Growth ETF returned -23.00%.
Index Volatility:
Entering the Annual Period the CBOE Volatility Index (VIX Index), which reflects a market estimate for future volatility, was trading near all-time highs. Chief drivers of volatility for the Annual Period were inclusive of, but not limited to: a protracted U.S.-China trade spat, Presidential Impeachment, Federal Reserve monetary policy, Covid-19 and fiscal stimulus programs from the U.S. Senate. Volatility saw a brief spike, as Speaker Nancy Pelosi announced in late September 2019 that she was launching a formal impeachment inquiry of President Trump. Equity markets rallied in mid-October on positive news relating to U.S.-China trade relations, and volatility levels slid accordingly. Amid a continued melt up supported by a dovish Federal Reserve, a healthy global economy and positive developments on the U.S.-China trade front, the VIX Index closed at a record low of 11.54 on November 26, 2019. A blip in volatility in early December was caused by U.S./China tariff headlines. January noted the further spread of Covid-19 throughout the world. The first confirmed case of coronavirus in the United States occurred on January 21, 2020. In short order, the W.H.O. declared a global health emergency, President Trump restricted travel from China, and the first coronavirus death was reported in the Philippines. It wasn't until the newly named Covid-19 virus began making its way through Europe that the VIX Index began to surge. With the President declaring a national emergency on March 13, 2020, and the United States becoming the global leader in new infections later that month, the VIX Index closed at a record high of 82.69 on March 16, 2020; the S&P 500 marked an YTD 2020 low on March 23. A $2 trillion stimulus bill helped stabilize the stock market after it was signed into law on March 27, 2020 in an attempt to address the economic crisis, along with the public health emergency. Equity markets rebounded as hope emerged that some of the lockdowns would begin coming to an end in parts of Europe and the U.S. Fears of a second wave of the
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virus were, and still are, very much in play; in fact, the VIX spiked to 40.28 just three days before Period-end – its highest level since mid-June.
Index | Return | Volatility | |||||||||
Auspice Broad Commodity Index | -1.53 | % | 8.06 | % | |||||||
Solactive Connected Consumer Index1 | 1.84 | % | 26.57 | % | |||||||
Salt truVolTM US Large Cap Dynamic Hedge Index2 | -1.06 | % | 10.54 | % | |||||||
Indxx US Fallen Knives Index2 | 9.89 | % | 20.94 | % | |||||||
Solactive Flight to Safety Index3 | 6.59 | % | 16.00 | % | |||||||
Russell 1000® Hyper Growth Index2 | 2.82 | % | 26.23 | % | |||||||
MSCI USA ESG Universal Top-Bottom 150/50 Return Spread Index3 | 8.81 | % | 39.93 | % | |||||||
NASDAQ-100® Equal Weighted Index | 24.16 | % | 34.64 | % | |||||||
S&P 500® 150/50 Quality 0.30% Decrement Index3 | 4.72 | % | 37.97 | % | |||||||
Solactive Remote Work Index4 | 7.65 | % | 27.99 | % | |||||||
Russell 1000® Growth/Value 150/50 Net Spread Index | 51.22 | % | 34.42 | % | |||||||
Russell 1000® Value/Growth 150/50 Net Spread Index | -22.67 | % | 39.26 | % |
1 August 25, 2020 through October 31, 2020
2 June 11, 2020 through October 31, 2020
3 February 5, 2020 through October 31, 2020
4 June 25, 2020 through October 31, 2020
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.
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
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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 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.
DIREXION ANNUAL REPORT
11
The views of this letter were those of the Adviser as of October 31, 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 ANNUAL REPORT
12
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Performance Summary (Unaudited)
March 30, 20171 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||
1 Year | 3 Year | Since Inception | |||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) (NAV) | (1.31 | )% | 0.24 | % | (1.14 | )% | |||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) (Market Price) | (1.35 | )% | 0.17 | % | (1.16 | )% | |||||||||
Auspice Broad Commodity Index | (1.53 | )% | (1.16 | )% | 2.65 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.70%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Auspice Broad Commodity Index is a tactical long strategy that focuses on Momentum and Term Structure to track either long or flat positions in a diversified portfolio of commodity futures which cover the energy, metal, and agricultural sectors. The index incorporates dynamic risk management and contract rolling methods. The index is available in total return (collateralized) and excess return (non-collateralized) versions. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
13
Direxion Connected Consumer ETF
Performance Summary (Unaudited)
August 25, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Connected Consumer ETF (NAV) | 1.78 | % | |||||
Direxion Connected Consumer ETF (Market Price) | 1.74 | % | |||||
Solactive Connected Consumer Index | 1.84 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Solactive Connected Consumer Index is comprised of companies that provide products and services in one of the following industries, which facilitate the ability of consumers to connect with each other and obtain desired services: home entertainment, online education, remote health and well-being, and virtual and digital social interaction ("Connected Industries"). Solactive (the "Index Provider") begins with a universe that includes companies that are primarily listed in the United States or listed as an American Depository Receipt in the United States and have an average daily trading volume of $5 million in the prior six months. Companies are selected for inclusion in the Index by ARTIS®, the Index Provider's proprietary natural language processing algorithm, which uses key words to evaluate large volumes of publicly available information, such as financial websites or search engines, published business descriptions, and financial news reports, which the Index Provider believes will identify and classify companies as Connected Industries and then ranks the companies within each Connected Industry based on the number of key word "hits" in the company's data. The ARTIS classification system is different than traditional classification systems because it utilizes natural language processing, such as key word searching, rather than backward looking metrics, such as a company's past profits or revenue, to determine the classification of a company. The Index's use of natural language processing may result in the Index including companies that broadly offer communication services, infrastructure and/or technology products and services which may not typically be classified as a company in a Connected Industry. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
14
Direxion Dynamic Hedge ETF
Performance Summary (Unaudited)
June 11, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Dynamic Hedge ETF (NAV) | (1.19 | )% | |||||
Direxion Dynamic Hedge ETF (Market Price) | (1.33 | )% | |||||
Salt truVolTM US Large Cap Dynamic Hedge Index | (1.06 | )% |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.57%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Salt truVolTM US Large Cap Dynamic Hedge Index is designed to adjust net exposure to the S&P 500® Index in an attempt to capitalize on the inverse relationship between volatility and the returns of the S&P 500® Index. The Index utilizes a proprietary volatility model developed by Salt Financial Indices, LLC to estimate future market volatility to determine the size of the Index's hedge (short position). When market volatility is predicted to be high, the Index will generally decrease its net exposure to the S&P 500® Index by increasing its short position in S&P 500® futures contracts. When market volatility is predicted to be low, the Index will generally increase its net exposure to the S&P 500® Index by reducing its short position in S&P 500® futures contracts. The Index's hedge or short position may range from 0% to 100% of the long position in the S&P 500® Index. The Index will review its hedge (short position) utilizing its proprietary model, on a daily basis and may change its hedge position as often as daily based on the volatility of the S&P 500® Index. If the proprietary model does not indicate a change to the hedge position based on the predicted volatility of the S&P 500® Index, the Index will not adjust its hedge position. The securities included in the S&P 500® Index will rebalance quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
15
Direxion Fallen Knives ETF
Performance Summary (Unaudited)
June 11, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Fallen Knives ETF (NAV) | 9.63 | % | |||||
Direxion Fallen Knives ETF (Market Price) | 9.34 | % | |||||
Indxx US Fallen Knives Index | 9.89 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.50%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Indxx US Fallen Knives Index is designed to consist of U.S equity securities that have experienced considerable share price declines over the prior year and have financial health, suggesting that the security has potential for share price recovery in the future. The Index Provider defines a considerable share price decline as a decline greater than 15% over the past year. Securities that are listed in the U.S., with a minimum total market capitalization of $500 million, and that have traded regularly in the prior 6 months are eligible for inclusion in the Index. The Index Provider calculates a composite financial health score for each security based on its current ratio (current assets divided by current liabilities), cash flow coverage ratio, and debt-to-equity ratio. The top 50 securities with the highest composite score are included in the Index. Securities included in the Index are weighted based on free-float adjusted market capitalization subject to a cap of 4.9% of the value of the Index. The Index is reconstituted annually and rebalanced semi-annually. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
16
Direxion Flight to Safety Strategy ETF (Consolidated)
Performance Summary (Unaudited)
February 5, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Flight to Safety Strategy ETF (Consolidated) (NAV) | 5.85 | % | |||||
Direxion Flight to Safety Strategy ETF (Consolidated) (Market Price) | 5.85 | % | |||||
Solactive Flight to Safety Index | 6.59 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.40%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
17
Direxion High Growth ETF
Performance Summary (Unaudited)
June 11, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion High Growth ETF (NAV) | 2.67 | % | |||||
Direxion High Growth ETF (Market Price) | 2.38 | % | |||||
Russell 1000® Hyper Growth Index | 2.82 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.40%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 1000® Hyper Growth Index seeks to identify domestic "high" growth companies by scoring securities for Quality, Momentum, Value, and Volatility factors and for representing Value or Growth stocks. The Index identifies Growth companies as those that, historically, have had high sales and forecasted high earnings and high cash flow growth relative to increases in share value. The Index identifies Value stocks, based on their market prices, as those trading at lower ratios to their fundamentals (e.g., price-to-book, price-to-equity, etc.). The Index excludes Value stocks and limits its constituents to large or medium capitalization Growth stocks. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
18
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Performance Summary (Unaudited)
February 5, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF (NAV) | 8.66 | % | |||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF (Market Price) | 6.95 | % | |||||
MSCI USA ESG Universal Top – Bottom 150/50 Return Spread Index | 8.81 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.42%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
MSCI USA ESG Universal Top – Bottom 150/50 Return Spread Index seeks to provide long exposure to companies with high environmental, social, and governance ("ESG") 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
19
Direxion NASDAQ-100® Equal Weighted Index Shares
Performance Summary (Unaudited)
March 21, 20121 - October 31, 2020
Average Annual Total Return2 | |||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares (NAV) | 23.69 | % | 15.43 | % | 15.01 | % | 630.18 | % | |||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares (Market Price) | 23.65 | % | 15.44 | % | 14.95 | % | 15.28 | % | |||||||||||
NASDAQ-100® Equal Weighted Index | 24.16 | % | 15.86 | % | 15.44 | % | 674.18 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.35%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The NASDAQ-100® Equal Weighted Index includes 100 of the largest non-financial securities listed on NASDAQ®, but instead of being weighted by market capitalization, each of the constituents is initially set at 1.00%. The Index is reviewed and adjusted annually in December, but replacements may be made any time throughout the year. The Index is rebalanced quarterly in March, June, September and December. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
20
Direxion S&P 500® High minus Low Quality ETF
Performance Summary (Unaudited)
February 5, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion S&P 500® High minus Low Quality ETF (NAV) | 4.46 | % | |||||
Direxion S&P 500® High minus Low Quality ETF (Market Price) | 3.89 | % | |||||
S&P 500® 150/50 Quality 0.30% Decrement Index | 4.72 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.37%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
21
Direxion Work From Home ETF
Performance Summary (Unaudited)
June 25, 20201 - October 31, 2020
Total Return2 | |||||||
Since Inception | |||||||
Direxion Work From Home ETF (NAV) | 7.60 | % | |||||
Direxion Work From Home ETF (Market Price) | 7.60 | % | |||||
Solactive Remote Work Index | 7.65 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Solactive Remote Work Index is comprised of 40 companies that provide products and services in one of the following industries that facilitate the ability of people to work from home: remote communications, cyber security, online project and document management, and cloud computing technologies ("WFH Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the four WFH Industries. If a company is ranked in more than one WFH Industry, it is included in the Index only once. The Index is equal weighted at each semi-annual reconstitution and rebalance date. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
22
Direxion Russell 1000® Growth Over Value ETF
Performance Summary (Unaudited)
January 16, 20191 - October 31, 2020
Average Annual Total Return2 | |||||||||||
1 Year | Since Inception | ||||||||||
Direxion Russell 1000® Growth Over Value ETF (NAV) | 50.43 | % | 41.29 | % | |||||||
Direxion Russell 1000® Growth Over Value ETF (Market Price) | 50.20 | % | 41.09 | % | |||||||
Russell 1000® Growth/Value 150/50 Net Spread Index | 51.22 | % | 41.95 | % |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.63%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
23
Direxion Russell 1000® Value Over Growth ETF
Performance Summary (Unaudited)
January 16, 20191 - October 31, 2020
Average Annual Total Return2 | |||||||||||
1 Year | Since Inception | ||||||||||
Direxion Russell 1000® Value Over Growth ETF (NAV) | (23.00 | )% | (8.36 | )% | |||||||
Direxion Russell 1000® Value Over Growth ETF (Market Price) | (23.29 | )% | (8.61 | )% | |||||||
Russell 1000® Value/Growth 150/50 Net Spread Index | (22.67 | )% | (7.98 | )% |
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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.64%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
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. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2020.
DIREXION ANNUAL REPORT
24
Expense Example (Unaudited)
October 31, 2020
As a shareholder of the 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 (May 1, 2020 to October 31, 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 May 1, 2020 to October 31, 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)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period May 1, 2020 to October 31, 2020* | ||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||
Based on actual fund return | 0.70 | % | $ | 1,000.00 | $ | 1,083.40 | $ | 3.67 | |||||||||||
Based on hypothetical 5% return | 0.70 | % | 1,000.00 | 1,021.62 | 3.56 | ||||||||||||||
Direxion Connected Consumer ETF3 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,017.80 | 0.84 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,008.45 | 0.84 | ||||||||||||||
Direxion Dynamic Hedge ETF1 | |||||||||||||||||||
Based on actual fund return | 0.55 | % | 1,000.00 | 988.10 | 2.14 | ||||||||||||||
Based on hypothetical 5% return | 0.55 | % | 1,000.00 | 1,017.39 | 2.17 | ||||||||||||||
Direxion Fallen Knives ETF1 | |||||||||||||||||||
Based on actual fund return | 0.50 | % | 1,000.00 | 1,096.30 | 2.05 | ||||||||||||||
Based on hypothetical 5% return | 0.50 | % | 1,000.00 | 1,017.58 | 1.97 |
DIREXION ANNUAL REPORT
25
Expense Example (Unaudited)
October 31, 2020
Annualized Expense Ratio | Beginning Account Value May 1, 2020 | Ending Account Value October 31, 2020 | Expenses Paid During Period May 1, 2020 to October 31, 2020* | ||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | |||||||||||||||||||
Based on actual fund return | 0.30 | % | $ | 1,000.00 | $ | 1,024.30 | $ | 1.53 | |||||||||||
Based on hypothetical 5% return | 0.30 | % | 1,000.00 | 1,023.63 | 1.53 | ||||||||||||||
Direxion High Growth ETF1 | |||||||||||||||||||
Based on actual fund return | 0.40 | % | 1,000.00 | 1,026.70 | 1.58 | ||||||||||||||
Based on hypothetical 5% return | 0.40 | % | 1,000.00 | 1,017.97 | 1.58 | ||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | |||||||||||||||||||
Based on actual fund return | 0.40 | % | 1,000.00 | 1,141.90 | 2.15 | ||||||||||||||
Based on hypothetical 5% return | 0.40 | % | 1,000.00 | 1,023.13 | 2.03 | ||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||
Based on actual fund return | 0.35 | % | 1,000.00 | 1,202.30 | 1.94 | ||||||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,023.38 | 1.78 | ||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | |||||||||||||||||||
Based on actual fund return | 0.35 | % | 1,000.00 | 1,098.60 | 1.85 | ||||||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,023.38 | 1.78 | ||||||||||||||
Direxion Work From Home ETF2 | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,076.00 | 1.65 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,016.04 | 1.60 | ||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,291.00 | 2.59 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.87 | 2.29 | ||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 997.80 | 2.26 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.87 | 2.29 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days (the number of days in the period of May 1, 2020 to October 31, 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 June 11, 2020 (commencement of operations) to October 31, 2020, multiplied by 143 days (the number of days since commencement of operations to October 3, 2020), then divided by 366.
2 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from June 25, 2020 (commencement of operations) to October 31, 2020, multiplied by 129 days (the number of days since commencement of operations to October 31, 2020), then divided by 366.
3 Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from August 25, 2020 (commencement of operations) to October 31, 2020, multiplied by 68 days (the number of days since commencement of operations to October 31, 2020), then divided by 366.
DIREXION ANNUAL REPORT
26
Allocation of Portfolio Holdings (Unaudited)
October 31, 2020
Cash* | Common Stocks | Investment Companies | Futures | Swaps | Total | ||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 99 | % | — | — | 1 | % | — | 100 | % | ||||||||||||||||||
Direxion Connected Consumer ETF | 0 | %** | 100 | % | — | — | — | 100 | % | ||||||||||||||||||
Direxion Dynamic Hedge ETF | 10 | % | — | 89 | % | 1 | % | 0 | %** | 100 | % | ||||||||||||||||
Direxion Fallen Knives ETF | — | 100 | % | — | — | — | 100 | % | |||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 6 | % | 27 | % | 67 | % | 0 | %** | — | 100 | % | ||||||||||||||||
Direxion High Growth ETF | — | 100 | % | — | — | — | 100 | % | |||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 1 | % | 96 | % | — | — | 3 | % | 100 | % | |||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | 100 | % | — | — | — | 100 | % | |||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 3 | % | 93 | % | — | — | 4 | % | 100 | % | |||||||||||||||||
Direxion Work From Home ETF | 0 | %** | 100 | % | — | — | — | 100 | % | ||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 0 | %** | — | 98 | % | — | 2 | % | 100 | % | |||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 15 | % | — | 93 | % | — | (8 | )% | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
** Percentage is less than 0.5%.
DIREXION ANNUAL REPORT
27
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Schedule of Investments
October 31, 2020
Fair Value | |||||||||||
No reportable investments. | |||||||||||
TOTAL INVESTMENTS (Cost $—) - 0.0% | $ | — | |||||||||
Other Assets in Excess of Liabilities - 100.0% (a) | 43,945,858 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 43,945,858 |
Percentages are stated as a percent of net assets.
(a) $2,502,408 of cash is pledged as collateral for futures contracts.
Long Futures Contracts
October 31, 2020
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable/ (Payable), net | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Copper | 3/29/2021 | 60 | $ | 4,578,750 | $ | (12,750 | ) | $ | 48,542 | ||||||||||||||
Corn | 7/14/2021 | 282 | 5,742,225 | 42,300 | 307,318 | ||||||||||||||||||
Cotton No. 2 | 12/8/2020 | 178 | 6,133,880 | (80,100 | ) | 475,687 | |||||||||||||||||
Gasoline RBOB | 11/30/2020 | 56 | 2,427,734 | 9,878 | (346,429 | ) | |||||||||||||||||
Gold | 12/29/2020 | 16 | 3,007,840 | 19,040 | (39,820 | ) | |||||||||||||||||
Natural Gas | 4/28/2021 | 64 | 1,904,000 | 30,720 | 138,010 | ||||||||||||||||||
Silver | 12/29/2020 | 12 | 1,418,760 | 17,160 | (204,745 | ) | |||||||||||||||||
Soybean | 11/12/2021 | 107 | 5,194,850 | 30,763 | (29,951 | ) | |||||||||||||||||
Sugar | 9/30/2021 | 283 | 4,019,053 | (15,848 | ) | 80,173 | |||||||||||||||||
Wheat | 7/14/2021 | 136 | 4,029,000 | (3,400 | ) | 172,040 | |||||||||||||||||
$ | 38,456,092 | $ | 37,763 | $ | 600,825 |
All futures contracts held by Direxion BCS Fund Ltd. See Note 1.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
28
Direxion Connected Consumer ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.9% | |||||||||||
Administrative and Support Services - 4.8% | |||||||||||
18,961 | Huami Corp. ADR (China) (a) | $ | 221,464 | ||||||||
1,058 | Teladoc Health, Inc. (a) | 207,855 | |||||||||
429,319 | |||||||||||
Ambulatory Health Care Services - 4.3% | |||||||||||
7,815 | 1Life Healthcare, Inc. (a) | 220,461 | |||||||||
12,627 | MEDNAX, Inc. (a) | 160,994 | |||||||||
381,455 | |||||||||||
Broadcasting (except Internet) - 2.5% | |||||||||||
5,230 | Comcast Corp. Class A | 220,915 | |||||||||
Computer and Electronic Product Manufacturing - 4.5% | |||||||||||
1,798 | Apple, Inc. | 195,730 | |||||||||
412 | NVIDIA Corp. | 206,561 | |||||||||
402,291 | |||||||||||
Educational Services - 13.0% | |||||||||||
2,417 | Grand Canyon Education, Inc. (a) | 189,420 | |||||||||
6,292 | K12, Inc. (a) | 150,190 | |||||||||
1,539 | New Oriental Education & Technology Group, Inc. ADR (China)(a) | 246,825 | |||||||||
16,304 | Perdoceo Education Corp. (a) | 184,072 | |||||||||
2,315 | Strategic Education, Inc. | 192,284 | |||||||||
2,959 | TAL Education Group ADR (China) (a) | 196,655 | |||||||||
1,159,446 | |||||||||||
Health and Personal Care Stores - 2.9% | |||||||||||
36,914 | Fitbit, Inc. (a) | 259,875 | |||||||||
Insurance Carriers and Related Activities - 2.6% | |||||||||||
3,495 | eHealth, Inc. (a) | 234,549 | |||||||||
Merchant Wholesalers, Durable Goods - 2.9% | |||||||||||
6,229 | Weibo Corp. ADR (China) (a) | 258,815 | |||||||||
Miscellaneous Manufacturing - 8.5% | |||||||||||
6,019 | BioTelemetry, Inc. (a) | 256,289 | |||||||||
2,594 | Peloton Interactive, Inc. (a) | 285,885 | |||||||||
24,107 | SmileDirectClub, Inc. (a) | 214,552 | |||||||||
756,726 | |||||||||||
Motion Picture and Sound Recording Industries - 6.8% | |||||||||||
427 | Netflix, Inc. (a) | 203,141 | |||||||||
1,368 | Take-Two Interactive Software, Inc. (a) | 211,931 | |||||||||
5,326 | World Wrestling Entertainment, Inc. | 193,653 | |||||||||
608,725 | |||||||||||
Nonstore Retailers - 2.3% | |||||||||||
68 | Amazon.com, Inc. (a) | 206,458 | |||||||||
Other Information Services - 7.5% | |||||||||||
138 | Alphabet, Inc. Class A (a) | 223,023 | |||||||||
3,029 | Chegg, Inc. (a) | 222,450 | |||||||||
5,410 | Twitter, Inc. (a) | 223,757 | |||||||||
669,230 |
Shares | Fair Value | ||||||||||
Performing Arts, Spectator Sports, and Related Industries - 4.7% | |||||||||||
2,831 | Activision Blizzard, Inc. | $ | 214,392 | ||||||||
1,693 | Electronic Arts, Inc. (a) | 202,872 | |||||||||
417,264 | |||||||||||
Professional, Scientific, and Technical Services - 4.6% | |||||||||||
5,423 | 2U, Inc. (a) | 199,838 | |||||||||
782 | Facebook, Inc. (a) | 205,752 | |||||||||
405,590 | |||||||||||
Publishing Industries (except Internet) - 14.3% | |||||||||||
2,837 | GSX Techedu, Inc. ADR (China) (a) | 188,433 | |||||||||
7,481 | John Wiley & Sons, Inc. Class A | 231,612 | |||||||||
2,420 | PTC, Inc. (a) | 202,990 | |||||||||
10,040 | Snap, Inc. (a) | 395,476 | |||||||||
894 | Twilio, Inc. (a) | 249,399 | |||||||||
1,267,910 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 3.0% | |||||||||||
10,636 | iQIYI, Inc. ADR (China) (a) | 262,709 | |||||||||
Specialty Trade Contractors - 2.3% | |||||||||||
2,392 | NetEase.com, Inc. ADR (China) | 207,602 | |||||||||
Telecommunications - 8.4% | |||||||||||
13,744 | 8x8, Inc. (a) | 237,496 | |||||||||
2,791 | JOYY, Inc. ADR (China) | 255,042 | |||||||||
558 | Zoom Video Communications, Inc. (a) | 257,188 | |||||||||
749,726 | |||||||||||
TOTAL COMMON STOCKS (Cost $8,956,324) | $ | 8,898,605 | |||||||||
TOTAL INVESTMENTS (Cost $8,956,324) - 99.9% | $ | 8,898,605 | |||||||||
Other Assets in Excess of Liabilities - 0.1% | 6,469 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,905,074 |
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.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
29
Direxion Dynamic Hedge ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 88.6% | |||||||||||
16,635 | iShares Core S&P 500 ETF (a) | $ | 5,449,959 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $5,325,030) | $ | 5,449,959 | |||||||||
TOTAL INVESTMENTS (Cost $5,325,030) - 88.6% (b) | $ | 5,449,959 | |||||||||
Other Assets in Excess of Liabilities - 11.4% | 704,330 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,154,289 |
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) $290,400 of cash is pledged as collateral for futures contracts.
Long Total Return Swap Contracts
October 31, 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® Index | 0.3479% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/11/2020 | 78 | $ | 259,152 | $ | (3,986 | ) |
Short Futures Contracts
October 31, 2020
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable/ (Payable), Net | Unrealized Appreciation | ||||||||||||||||||
Micro E-mini S&P 500 | 12/18/2020 | 22 | $ | 3,591,170 | $ | 41,360 | $ | 87,848 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
30
Direxion Fallen Knives ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.9% | |||||||||||
Administrative and Support Services - 0.5% | |||||||||||
194 | Revolve Group, Inc. (a) | $ | 3,507 | ||||||||
1,894 | TrueBlue Inc. (a) | 29,395 | |||||||||
32,902 | |||||||||||
Ambulatory Health Care Services - 7.2% | |||||||||||
4,060 | Novocure Ltd. (a) | 495,726 | |||||||||
Apparel Manufacturing - 3.2% | |||||||||||
10,443 | Gildan Activewear Inc. (a) | 216,901 | |||||||||
Beverage and Tobacco Product Manufacturing - 0.4% | |||||||||||
686 | MGP Ingredients, Inc. | 28,826 | |||||||||
Chemical Manufacturing - 9.5% | |||||||||||
3,535 | bluebird bio, Inc. (a) | 182,795 | |||||||||
576 | Eagle Pharmaceuticals, Inc. (a) | 26,795 | |||||||||
945 | Inter Parfums, Inc. | 38,802 | |||||||||
2,579 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 371,634 | |||||||||
2,840 | Vanda Pharmaceuticals, Inc. (a) | 30,360 | |||||||||
650,386 | |||||||||||
Computer and Electronic Product Manufacturing - 1.8% | |||||||||||
1,757 | Ambarella Inc. (a) | 96,055 | |||||||||
1,156 | Impinj, Inc. (a)(b) | 29,490 | |||||||||
125,545 | |||||||||||
Credit Intermediation and Related Activities - 17.0% | |||||||||||
726 | BancFirst Corp.(b) | 32,271 | |||||||||
16,314 | Fifth Third Bancorp | 378,811 | |||||||||
6,281 | Hope Bancorp, Inc. | 50,688 | |||||||||
35,027 | Huntington Bancshares, Inc. | 365,682 | |||||||||
6,155 | PacWest Bancorp | 118,422 | |||||||||
5,231 | Western Alliance Bancorp | 215,517 | |||||||||
1,161,391 | |||||||||||
Data Processing, Hosting and Related Services - 2.8% | |||||||||||
5,264 | Pagseguro Digital Ltd (a) | 192,715 | |||||||||
Educational Services - 5.0% | |||||||||||
2,504 | Grand Canyon Education Inc. (a) | 196,239 | |||||||||
3,679 | Perdoceo Education Corp. (a) | 41,536 | |||||||||
1,289 | Strategic Education Inc. | 107,064 | |||||||||
344,839 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.7% | |||||||||||
2,103 | Acuity Brands, Inc. | 187,462 | |||||||||
Electronics and Appliance Stores - 2.7% | |||||||||||
3,563 | Aaron's Holdings Co. Inc. | 186,202 | |||||||||
Fabricated Metal Product Manufacturing - 2.3% | |||||||||||
1,298 | RBC Bearings, Inc. (a) | 154,527 | |||||||||
Food Manufacturing - 1.6% | |||||||||||
808 | J & J Snack Foods Corp. | 109,541 | |||||||||
Insurance Carriers and Related Activities - 16.7% | |||||||||||
4,126 | Cincinnati Financial Corp. | 291,873 | |||||||||
1,519 | Employers Holdings, Inc. | 48,623 | |||||||||
5,885 | Essent Group Ltd. | 234,517 | |||||||||
1,423 | Mercury General Corp. | 57,930 | |||||||||
4,489 | NMI Holdings Inc. (a) | 96,469 |
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
3,531 | Reinsurance Group of America, Inc. | $ | 356,702 | ||||||||
768 | Safety Insurance Group, Inc. | 53,760 | |||||||||
1,139,874 | |||||||||||
Leather and Allied Product Manufacturing - 1.5% | |||||||||||
4,129 | Steven Madden Ltd. | 99,137 | |||||||||
Machinery Manufacturing - 2.9% | |||||||||||
1,855 | Dril-Quip, Inc. (a) | 48,044 | |||||||||
2,325 | Glaukos Corp. (a) | 130,014 | |||||||||
5,824 | NOW, Inc. (a) | 23,704 | |||||||||
201,762 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.9% | |||||||||||
2,372 | Core-Mark Holding Co., Inc. | 64,874 | |||||||||
Miscellaneous Manufacturing - 0.9% | |||||||||||
752 | Anika Therapeutics, Inc. (a) | 24,530 | |||||||||
1,169 | Inogen Inc. (a) | 34,147 | |||||||||
58,677 | |||||||||||
Oil and Gas Extraction - 0.1% | |||||||||||
1,009 | Brigham Minerals, Inc. | 8,899 | |||||||||
Other Information Services - 1.1% | |||||||||||
3,763 | Yelp, Inc. (a) | 74,018 | |||||||||
Primary Metal Manufacturing - 2.5% | |||||||||||
827 | Kaiser Aluminum Corp. | 52,043 | |||||||||
12,512 | Tenaris S.A. ADR (Luxembourg) | 119,615 | |||||||||
171,658 | |||||||||||
Professional, Scientific, and Technical Services - 8.8% | |||||||||||
3,980 | Exact Sciences Corp. (a) | 492,843 | |||||||||
7,079 | Momo, Inc. ADR (China) | 106,185 | |||||||||
599,028 | |||||||||||
Specialty Trade Contractors - 2.9% | |||||||||||
2,890 | EMCOR Group, Inc. | 197,069 | |||||||||
Support Activities for Mining - 1.4% | |||||||||||
5,586 | Helmerich & Payne, Inc. | 83,064 | |||||||||
3,735 | ProPetro Holding Corp. (a) | 14,753 | |||||||||
97,817 | |||||||||||
Transportation Equipment Manufacturing - 3.5% | |||||||||||
2,255 | HEICO Corp. Class A | 236,888 | |||||||||
TOTAL COMMON STOCKS (Cost $6,708,167) | $ | 6,836,664 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
15,825 | Dreyfus Government Cash Management Institutional Shares, 0.02% (c)(d) | $ | 15,825 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,825) | $ | 15,825 | |||||||||
TOTAL INVESTMENTS (Cost $6,723,992) - 100.1% | $ | 6,852,489 | |||||||||
Liabilities in Excess of Other Assets - (0.1)% | (6,021 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,846,468 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
31
Direxion Fallen Knives ETF
Schedule of Investments, continued
October 31, 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) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 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 ANNUAL REPORT
32
Direxion Flight to Safety Strategy ETF (Consolidated)
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 26.9% | |||||||||||
Utilities - 26.9% | |||||||||||
1,923 | Alliant Energy Corp. | $ | 106,303 | ||||||||
1,926 | Ameren Corp. | 156,237 | |||||||||
3,885 | American Electric Power Co., Inc. | 349,378 | |||||||||
1,419 | American Water Works Co., Inc. | 213,574 | |||||||||
950 | Atmos Energy Corp. | 87,087 | |||||||||
430 | Avangrid, Inc. | 21,216 | |||||||||
3,936 | CenterPoint Energy, Inc. | 83,168 | |||||||||
2,222 | CMS Energy Corp. | 140,719 | |||||||||
2,619 | Consolidated Edison, Inc. | 205,565 | |||||||||
6,564 | Dominion Energy, Inc. | 527,352 | |||||||||
1,499 | DTE Energy Co. | 185,007 | |||||||||
5,760 | Duke Energy Corp. | 530,554 | |||||||||
2,847 | Edison International | 159,546 | |||||||||
1,573 | Entergy Corp. | 159,219 | |||||||||
1,776 | Evergy, Inc. | 98,035 | |||||||||
2,587 | Eversource Energy | 225,768 | |||||||||
7,636 | Exelon Corp. | 304,600 | |||||||||
4,242 | FirstEnergy Corp. | 126,072 | |||||||||
15,344 | NextEra Energy, Inc. | 1,123,334 | |||||||||
2,990 | NiSource, Inc. | 68,680 | |||||||||
881 | Pinnacle West Capital Corp. | 71,863 | |||||||||
6,031 | PPL Corp. | 165,853 | |||||||||
3,960 | Public Service Enterprise Group, Inc. | 230,274 | |||||||||
2,293 | Sempra Energy | 287,450 | |||||||||
8,224 | Southern Co. | 472,469 |
Shares | Fair Value | ||||||||||
Utilities (continued) | |||||||||||
1,625 | UGI Corp. | $ | 52,553 | ||||||||
2,473 | WEC Energy Group, Inc. | 248,660 | |||||||||
4,113 | Xcel Energy, Inc. | 288,033 | |||||||||
TOTAL COMMON STOCKS (Cost $7,147,090) | $ | 6,688,569 | |||||||||
INVESTMENT COMPANIES - 67.1% | |||||||||||
80,052 | iShares 20+ Year Treasury Bond ETF (a) | $ | 12,613,794 | ||||||||
229,062 | iShares Gold Trust (a) | 4,097,919 | |||||||||
TOTAL INVESTMENT COMPANIES (Cost $15,290,781) | $ | 16,711,713 | |||||||||
TOTAL INVESTMENTS (Cost $22,437,871) - 94.0% | $ | 23,400,282 | |||||||||
Other Assets in Excess of Liabilities - 6.0% (b) | 1,506,165 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 24,906,447 |
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) $101,200 of cash is pledged as collateral for futures contracts.
Long Futures Contracts
October 31, 2020
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable/ (Payable), net | Unrealized Depreciation | ||||||||||||||||||
Gold | 12/29/2020 | 8 | $ | 1,503,920 | $ | 9,520 | $ | (60,430 | ) |
All futures contracts held by Direxion FTS Fund Ltd. See Note 1.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
33
Direxion High Growth ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 100.0% | |||||||||||
Administrative and Support Services - 4.1% | |||||||||||
148 | Accenture PLC Class A ADR (Ireland) | $ | 32,103 | ||||||||
6 | Booking Holdings, Inc. (a) | 9,735 | |||||||||
98 | Moody's Corp. | 25,764 | |||||||||
1,375 | Visa, Inc. Class A | 249,851 | |||||||||
317,453 | |||||||||||
Ambulatory Health Care Services - 0.1% | |||||||||||
118 | DaVita, Inc. (a) | 10,177 | |||||||||
Beverage and Tobacco Product Manufacturing - 0.2% | |||||||||||
113 | PepsiCo, Inc. | 15,062 | |||||||||
Broadcasting (except Internet) - 1.8% | |||||||||||
204 | Charter Communications, Inc. (a) | 123,179 | |||||||||
398 | Comcast Corp. Class A | 16,812 | |||||||||
139,991 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 0.6% | |||||||||||
97 | Lowe's Companies, Inc. | 15,335 | |||||||||
125 | The Home Depot, Inc. | 33,339 | |||||||||
48,674 | |||||||||||
Chemical Manufacturing - 12.0% | |||||||||||
112 | Abbott Laboratories | 11,772 | |||||||||
522 | AbbVie, Inc. | 44,422 | |||||||||
139 | Amgen, Inc. | 30,155 | |||||||||
197 | Biogen, Inc. (a) | 49,658 | |||||||||
919 | Eli Lilly and Company | 119,893 | |||||||||
462 | Johnson & Johnson | 63,345 | |||||||||
40 | Linde PLC | 8,814 | |||||||||
489 | Merck & Co., Inc. | 36,778 | |||||||||
240 | Pfizer, Inc. | 8,515 | |||||||||
169 | Procter & Gamble Co. | 23,170 | |||||||||
233 | Quidel Corp. (a) | 62,511 | |||||||||
126 | Regeneron Pharmaceuticals, Inc. (a) | 68,488 | |||||||||
1,885 | Vertex Pharmaceuticals, Inc. (a) | 392,759 | |||||||||
920,280 | |||||||||||
Computer and Electronic Product Manufacturing - 23.9% | |||||||||||
260 | Advanced Micro Devices, Inc. (a) | 19,575 | |||||||||
11,824 | Apple, Inc. | 1,287,161 | |||||||||
284 | Cisco Systems, Inc. | 10,196 | |||||||||
100 | Fortinet, Inc. (a) | 11,037 | |||||||||
996 | HP, Inc. | 17,888 | |||||||||
1,726 | Intel Corp. | 76,427 | |||||||||
454 | Jabil Circuit, Inc. | 15,046 | |||||||||
304 | Johnson Controls International PLC ADR (Ireland) | 12,832 | |||||||||
133 | Masimo Corp. (a) | 29,768 | |||||||||
28 | Northrop Grumman Corp. | 8,115 | |||||||||
657 | NVIDIA Corp. | 329,393 | |||||||||
65 | Texas Instruments, Inc. | 9,398 | |||||||||
26 | Thermo Fisher Scientific, Inc. | 12,301 | |||||||||
1,839,137 | |||||||||||
Credit Intermediation and Related Activities - 2.8% | |||||||||||
361 | Bank of America Corp. | 8,556 | |||||||||
100 | JPMorgan Chase & Co. | 9,804 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
655 | MasterCard, Inc. Class A | $ | 189,059 | ||||||||
412 | Synchrony Financial | 10,308 | |||||||||
217,727 | |||||||||||
Food and Beverage Stores - 0.3% | |||||||||||
780 | Kroger Co. | 25,124 | |||||||||
Food Services and Drinking Places - 0.3% | |||||||||||
295 | Starbucks Corp. | 25,653 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 0.3% | |||||||||||
131 | RenaissanceRe Holdings Ltd. | 21,185 | |||||||||
General Merchandise Stores - 1.7% | |||||||||||
150 | Costco Wholesale Corp. | 53,643 | |||||||||
191 | Target Corp. | 29,074 | |||||||||
348 | Wal-Mart Stores, Inc. | 48,285 | |||||||||
131,002 | |||||||||||
Health and Personal Care Stores - 2.5% | |||||||||||
2,674 | CVS Health Corp. | 149,984 | |||||||||
1,246 | Walgreens Boots Alliance, Inc. | 42,414 | |||||||||
192,398 | |||||||||||
Insurance Carriers and Related Activities - 10.5% | |||||||||||
229 | Allstate Corp. | 20,324 | |||||||||
78 | Anthem, Inc. | 21,278 | |||||||||
1,631 | Berkshire Hathaway, Inc. Class B (a) | 329,299 | |||||||||
544 | Centene Corp. (a) | 32,150 | |||||||||
1,582 | Cigna Corp. | 264,147 | |||||||||
100 | Humana, Inc. | 39,928 | |||||||||
340 | MetLife, Inc. | 12,869 | |||||||||
228 | Progressive Corp. | 20,953 | |||||||||
209 | UnitedHealth Group, Inc. | 63,774 | |||||||||
804,722 | |||||||||||
Leather and Allied Product Manufacturing - 0.3% | |||||||||||
202 | NIKE, Inc. Class B | 24,256 | |||||||||
Machinery Manufacturing - 0.3% | |||||||||||
149 | Applied Materials, Inc. | 8,825 | |||||||||
42 | Lam Research Corp. | 14,368 | |||||||||
23,193 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.3% | |||||||||||
179 | AmerisourceBergen Corp. | 17,197 | |||||||||
582 | Cardinal Health, Inc. | 26,650 | |||||||||
366 | McKesson Corp. | 53,981 | |||||||||
97,828 | |||||||||||
Mining (except Oil and Gas) - 0.2% | |||||||||||
203 | Newmont Mining Corp. | 12,757 | |||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
71 | Insulet Corp. (a) | 15,780 | |||||||||
Motion Picture and Sound Recording Industries - 0.4% | |||||||||||
55 | Netflix, Inc. (a) | 26,166 | |||||||||
Nonstore Retailers - 7.9% | |||||||||||
199 | Amazon.com, Inc. (a) | 604,194 | |||||||||
Other Information Services - 4.5% | |||||||||||
104 | Alphabet, Inc. Class A (a) | 168,076 | |||||||||
109 | Alphabet, Inc. Class C (a) | 176,690 | |||||||||
344,766 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
34
Direxion High Growth ETF
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.3% | |||||||||||
217 | Activision Blizzard, Inc. | $ | 16,433 | ||||||||
74 | Electronic Arts, Inc. (a) | 8,868 | |||||||||
25,301 | |||||||||||
Petroleum and Coal Products Manufacturing - 0.1% | |||||||||||
212 | Marathon Petroleum Corp. | 6,254 | |||||||||
Professional, Scientific, and Technical Services - 8.4% | |||||||||||
2,279 | Facebook, Inc. (a) | 599,627 | |||||||||
89 | ServiceNow, Inc. (a) | 44,284 | |||||||||
643,911 | |||||||||||
Publishing Industries (except Internet) - 7.3% | |||||||||||
404 | Adobe Systems, Inc. (a) | 180,628 | |||||||||
65 | DocuSign, Inc. (a) | 13,146 | |||||||||
34 | Intuit, Inc. | 10,699 | |||||||||
1,689 | Microsoft Corp. | 341,972 | |||||||||
242 | Oracle Corp. | 13,579 | |||||||||
560,024 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 2.4% | |||||||||||
103 | Goldman Sachs Group, Inc. | 19,471 | |||||||||
62 | MarketAxess Holdings, Inc. | 33,409 | |||||||||
118 | MSCI, Inc. Class A | 41,281 | |||||||||
200 | S&P Global, Inc. | 64,546 | |||||||||
221 | T. Rowe Price Group, Inc. | 27,992 | |||||||||
186,699 | |||||||||||
Telecommunications - 1.7% | |||||||||||
782 | AT&T, Inc. | 21,130 | |||||||||
459 | PayPal Holdings, Inc. (a) | 85,434 | |||||||||
461 | Verizon Communications, Inc. | 26,272 | |||||||||
132,836 | |||||||||||
Transportation Equipment Manufacturing - 3.6% | |||||||||||
360 | General Motors Co. | 12,431 | |||||||||
94 | Lockheed Martin Corp. | 32,912 | |||||||||
600 | Tesla Motors, Inc. (a) | 232,824 | |||||||||
278,167 | |||||||||||
TOTAL COMMON STOCKS (Cost $7,441,380) | $ | 7,690,717 | |||||||||
TOTAL INVESTMENTS (Cost $7,441,380) - 100.0% | $ | 7,690,717 | |||||||||
Other Assets in Excess of Liabilities - 0.0% | 3,056 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 7,693,773 |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
35
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 96.2% | |||||||||||
Accommodation - 0.4% | |||||||||||
163 | Vail Resorts, Inc. | $ | 37,824 | ||||||||
Administrative and Support Services - 3.3% | |||||||||||
760 | Accenture PLC Class A ADR (Ireland) | 164,852 | |||||||||
148 | FactSet Research System, Inc. | 45,362 | |||||||||
945 | IHS Markit Ltd. | 76,422 | |||||||||
598 | Iron Mountain, Inc. | 15,584 | |||||||||
286 | Robert Half International, Inc. | 14,497 | |||||||||
208 | Teladoc Health, Inc. (a) | 40,864 | |||||||||
357,581 | |||||||||||
Ambulatory Health Care Services - 0.4% | |||||||||||
393 | Quest Diagnostics, Inc. | 48,001 | |||||||||
Apparel Manufacturing - 0.8% | |||||||||||
1,335 | V F Corp. | 89,712 | |||||||||
Beverage and Tobacco Product Manufacturing - 3.5% | |||||||||||
3,902 | Coca-Cola Co. | 187,530 | |||||||||
182 | Molson Coors Brewing Co. Class B | 6,417 | |||||||||
1,327 | PepsiCo, Inc. | 176,876 | |||||||||
370,823 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 4.7% | |||||||||||
1,882 | The Home Depot, Inc. | 501,948 | |||||||||
Chemical Manufacturing - 14.3% | |||||||||||
1,729 | Amgen, Inc. | 375,089 | |||||||||
120 | Clorox Co. | 24,870 | |||||||||
778 | Colgate-Palmolive Co. | 61,377 | |||||||||
817 | Ecolab, Inc. | 149,993 | |||||||||
3,687 | Gilead Sciences, Inc. | 214,399 | |||||||||
274 | International Flavors & Fragrances, Inc. (b) | 28,129 | |||||||||
326 | Kimberly-Clark Corp. | 43,225 | |||||||||
756 | PPG Industries, Inc. | 98,068 | |||||||||
2,368 | Procter & Gamble Co. | 324,653 | |||||||||
762 | Vertex Pharmaceuticals, Inc. (a) | 158,770 | |||||||||
216 | West Pharmaceutical Services, Inc. | 58,767 | |||||||||
1,537,340 | |||||||||||
Clothing and Clothing Accessories Stores - 0.5% | |||||||||||
441 | Tiffany & Co. | 57,700 | |||||||||
Computer and Electronic Product Manufacturing - 11.6% | |||||||||||
910 | Agilent Technologies, Inc. | 92,902 | |||||||||
5,034 | Cisco Systems, Inc. | 180,721 | |||||||||
205 | Cognex Corp. | 13,509 | |||||||||
1,705 | HP, Inc. | 30,622 | |||||||||
250 | IDEXX Laboratories, Inc. (a) | 106,205 | |||||||||
1,059 | International Business Machines Corp. | 118,248 | |||||||||
1,856 | Johnson Controls International PLC ADR (Ireland) | 78,342 | |||||||||
222 | Keysight Technologies, Inc. (a) | 23,281 | |||||||||
733 | NVIDIA Corp. | 367,497 | |||||||||
1,094 | Texas Instruments, Inc. | 158,181 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
298 | Trimble, Inc. (a) | $ | 14,343 | ||||||||
182 | Waters Corp. (a) | 40,553 | |||||||||
63 | Zebra Technologies Corp. Class A (a) | 17,869 | |||||||||
1,242,273 | |||||||||||
Credit Intermediation and Related Activities - 4.6% | |||||||||||
2,681 | American Express Co. | 244,615 | |||||||||
3,123 | Bank of New York Mellon Corp. | 107,306 | |||||||||
774 | Northern Trust Corp. | 60,581 | |||||||||
1,379 | State Street Corp. | 81,223 | |||||||||
493,725 | |||||||||||
Data Processing, Hosting and Related Services - 0.1% | |||||||||||
1,528 | Hewlett Packard Enterprise Co. | 13,202 | |||||||||
Electronics and Appliance Stores - 1.0% | |||||||||||
939 | Best Buy Co., Inc. | 104,745 | |||||||||
Food Manufacturing - 0.6% | |||||||||||
136 | Bunge Ltd. | 7,715 | |||||||||
173 | Campbell Soup Co. | 8,074 | |||||||||
580 | General Mills, Inc. | 34,290 | |||||||||
246 | Kellogg Co. | 15,471 | |||||||||
65,550 | |||||||||||
Hospitals - 0.9% | |||||||||||
794 | HCA Healthcare, Inc. | 98,408 | |||||||||
Insurance Carriers and Related Activities - 3.6% | |||||||||||
1,085 | Cigna Corp. | 181,162 | |||||||||
1,999 | Marsh & McLennan Companies, Inc. | 206,817 | |||||||||
387,979 | |||||||||||
Machinery Manufacturing - 4.1% | |||||||||||
1,093 | Applied Materials, Inc. | 64,738 | |||||||||
3,048 | Baker Hughes, a GE Co. | 45,019 | |||||||||
368 | Cummins, Inc. | 80,919 | |||||||||
173 | Lam Research Corp. | 59,180 | |||||||||
70 | Mettler-Toledo International, Inc. (a) | 69,854 | |||||||||
597 | Trane Technologies PLC (Ireland) | 79,252 | |||||||||
449 | Xylem, Inc. | 39,126 | |||||||||
438,088 | |||||||||||
Merchant Wholesalers, Durable Goods - 5.6% | |||||||||||
1,435 | 3M Co. | 229,543 | |||||||||
1,429 | Fastenal Co. | 61,776 | |||||||||
420 | Henry Schein, Inc. (a) | 26,703 | |||||||||
1,751 | Honeywell International, Inc. | 288,827 | |||||||||
606,849 | |||||||||||
Miscellaneous Manufacturing - 2.9% | |||||||||||
5,045 | Amcor PLC (United Kingdom) | 52,619 | |||||||||
1,821 | Edwards Lifesciences Corp. (a) | 130,547 | |||||||||
526 | Hasbro, Inc. | 43,511 | |||||||||
425 | ResMed, Inc. | 81,575 | |||||||||
308,252 | |||||||||||
Nonmetallic Mineral Product Manufacturing - 0.2% | |||||||||||
269 | Owens Corning | 17,611 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
36
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Nonstore Retailers - 0.4% | |||||||||||
113 | W.W. Grainger, Inc. | $ | 39,552 | ||||||||
Other Information Services - 5.2% | |||||||||||
171 | Alphabet, Inc. Class A (a) | 276,355 | |||||||||
173 | Alphabet, Inc. Class C (a) | 280,435 | |||||||||
556,790 | |||||||||||
Petroleum and Coal Products Manufacturing - 1.3% | |||||||||||
4,991 | ConocoPhillips | 142,842 | |||||||||
Professional, Scientific, and Technical Services - 1.0% | |||||||||||
895 | Cerner Corp. | 62,731 | |||||||||
138 | Okta, Inc. (a) | 28,956 | |||||||||
100 | VMware, Inc. (a)(b) | 12,873 | |||||||||
104,560 | |||||||||||
Publishing Industries (except Internet) - 11.3% | |||||||||||
574 | Adobe Systems, Inc. (a) | 256,635 | |||||||||
261 | Autodesk, Inc. (a) | 61,476 | |||||||||
333 | Cadence Design Systems, Inc. (a) | 36,420 | |||||||||
311 | Intuit, Inc. | 97,866 | |||||||||
2,538 | Microsoft Corp. | 513,869 | |||||||||
1,072 | Salesforce.com, Inc. (a) | 248,993 | |||||||||
1,215,259 | |||||||||||
Rail Transportation - 0.4% | |||||||||||
237 | Kansas City Southern Railway Co. | 41,745 | |||||||||
Real Estate - 2.0% | |||||||||||
696 | CBRE Group, Inc. Class A (a) | 35,078 | |||||||||
1,117 | Healthpeak Properties, Inc. | 30,126 | |||||||||
1,533 | Prologis, Inc. | 152,074 | |||||||||
217,278 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.6% | |||||||||||
230 | Allegion PLC ADR (Ireland) | 22,655 | |||||||||
597 | BlackRock, Inc. | 357,728 | |||||||||
892 | T. Rowe Price Group, Inc. | 112,981 | |||||||||
493,364 | |||||||||||
Support Activities for Mining - 0.4% | |||||||||||
1,286 | Hess Corp. | 47,865 | |||||||||
Support Activities for Transportation - 0.3% | |||||||||||
415 | Expeditors International of Washington, Inc. | 36,674 | |||||||||
Telecommunications - 1.3% | |||||||||||
184 | Equinix, Inc. | 134,548 | |||||||||
Transportation Equipment Manufacturing - 1.0% | |||||||||||
1,083 | Aptiv PLC ADR (Ireland) | 104,499 | |||||||||
Utilities - 3.9% | |||||||||||
695 | AES Corp. | 13,553 | |||||||||
299 | CMS Energy Corp. | 18,936 | |||||||||
349 | Consolidated Edison, Inc. | 27,393 | |||||||||
352 | Eversource Energy | 30,719 | |||||||||
1,019 | Exelon Corp. | 40,648 | |||||||||
2,048 | NextEra Energy, Inc. | 149,934 | |||||||||
529 | Public Service Enterprise Group, Inc. | 30,761 | |||||||||
1,104 | Southern Co. | 63,425 |
Shares | Fair Value | ||||||||||
Utilities (continued) | |||||||||||
549 | Xcel Energy, Inc. | $ | 38,446 | ||||||||
413,815 | |||||||||||
TOTAL COMMON STOCKS (Cost $10,222,059) | $ | 10,326,402 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
23,695 | Dreyfus Government Cash Management Institutional Shares, 0.02% (c)(d) | $ | 23,695 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $23,695) | $ | 23,695 | |||||||||
TOTAL INVESTMENTS (Cost $10,245,754) - 96.4% (e) | $ | 10,350,097 | |||||||||
Other Assets in Excess of Liabilities - 3.6% | 389,440 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,739,537 |
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 October 31, 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 $5,278,101.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
37
Direxion MSCI USA ESG – Leaders vs. Laggards ETF
Long Total Return Swap Contracts
October 31, 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 USA ESG Select ETF | 0.4479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2020 | 2,428 | $ | 5,832,808 | $ | 160,385 |
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.1979% representing 1 month LIBOR rate + spread | Total return of iShares MSCI USA ESG Select ETF | Credit Suisse Capital LLC | 12/15/2020 | 2,989 | $ | 5,693,281 | $ | 195,287 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
38
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.9% | |||||||||||
Accommodation - 0.9% | |||||||||||
27,204 | Marriott International, Inc. Class A | $ | 2,526,707 | ||||||||
Administrative and Support Services - 2.1% | |||||||||||
20,115 | Automatic Data Processing, Inc. | 3,177,365 | |||||||||
1,569 | Booking Holdings, Inc. (a) | 2,545,703 | |||||||||
5,723,068 | |||||||||||
Apparel Manufacturing - 1.1% | |||||||||||
9,218 | Lululemon Athletica, Inc. (a) | 2,943,215 | |||||||||
Beverage and Tobacco Product Manufacturing - 2.9% | |||||||||||
93,092 | Keurig Dr Pepper, Inc. | 2,504,175 | |||||||||
34,398 | Monster Beverage Corp. (a) | 2,633,855 | |||||||||
20,667 | PepsiCo, Inc. | 2,754,704 | |||||||||
7,892,734 | |||||||||||
Broadcasting (except Internet) - 3.9% | |||||||||||
4,346 | Charter Communications, Inc. (a) | 2,624,202 | |||||||||
60,034 | Comcast Corp. Class A | 2,535,836 | |||||||||
48,590 | FOX Corp. Class A | 1,288,607 | |||||||||
48,521 | FOX Corp. Class B | 1,268,339 | |||||||||
526,585 | Sirius XM Holdings, Inc. | 3,017,332 | |||||||||
10,734,316 | |||||||||||
Chemical Manufacturing - 9.2% | |||||||||||
23,893 | Alexion Pharmaceuticals, Inc. (a) | 2,751,040 | |||||||||
10,969 | Amgen, Inc. | 2,379,615 | |||||||||
9,899 | Biogen, Inc. (a) | 2,495,241 | |||||||||
34,230 | BioMarin Pharmaceutical, Inc. (a) | 2,547,739 | |||||||||
41,770 | Gilead Sciences, Inc. | 2,428,925 | |||||||||
9,195 | Illumina, Inc. (a) | 2,691,376 | |||||||||
31,308 | Incyte Corp. (a) | 2,712,525 | |||||||||
4,894 | Regeneron Pharmaceuticals, Inc. (a) | 2,660,183 | |||||||||
15,017 | Seagen Inc. (a) | 2,504,836 | |||||||||
10,238 | Vertex Pharmaceuticals, Inc. (a) | 2,133,190 | |||||||||
25,304,670 | |||||||||||
Clothing and Clothing Accessories Stores - 0.9% | |||||||||||
29,448 | Ross Stores, Inc. | 2,508,086 | |||||||||
Computer and Electronic Product Manufacturing - 16.4% | |||||||||||
36,263 | Advanced Micro Devices, Inc. (a) | 2,730,241 | |||||||||
23,646 | Analog Devices, Inc. | 2,802,760 | |||||||||
25,431 | Apple, Inc. | 2,768,419 | |||||||||
7,553 | Broadcom, Inc. | 2,640,756 | |||||||||
68,254 | Cisco Systems, Inc. | 2,450,319 | |||||||||
7,659 | IDEXX Laboratories, Inc. (a) | 3,253,696 | |||||||||
54,463 | Intel Corp. | 2,411,622 | |||||||||
41,081 | Maxim Integrated Products, Inc. | 2,861,292 | |||||||||
26,797 | Microchip Technology, Inc. | 2,815,829 | |||||||||
53,551 | Micron Technology, Inc. (a) | 2,695,757 | |||||||||
5,573 | NVIDIA Corp. | 2,794,079 | |||||||||
21,549 | NXP Semiconductors NV | 2,911,701 | |||||||||
24,548 | Qualcomm, Inc. | 3,028,241 | |||||||||
19,977 | Skyworks Solutions, Inc. | 2,822,550 | |||||||||
19,597 | Texas Instruments, Inc. | 2,833,530 | |||||||||
26,978 | Xilinx, Inc. | 3,202,019 | |||||||||
45,022,811 |
Shares | Fair Value | ||||||||||
Data Processing, Hosting and Related Services - 0.9% | |||||||||||
26,253 | Fiserv, Inc. (a) | $ | 2,506,374 | ||||||||
Food Manufacturing - 1.9% | |||||||||||
48,075 | Mondelez International, Inc. | 2,553,744 | |||||||||
91,365 | The Kraft Heinz Co. | 2,794,855 | |||||||||
5,348,599 | |||||||||||
Food Services and Drinking Places - 1.0% | |||||||||||
31,986 | Starbucks Corp. | 2,781,503 | |||||||||
General Merchandise Stores - 2.1% | |||||||||||
8,088 | Costco Wholesale Corp. | 2,892,431 | |||||||||
30,870 | Dollar Tree, Inc. (a) | 2,788,178 | |||||||||
5,680,609 | |||||||||||
Health and Personal Care Stores - 1.8% | |||||||||||
11,725 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 2,424,378 | |||||||||
73,577 | Walgreens Boots Alliance, Inc. | 2,504,561 | |||||||||
4,928,939 | |||||||||||
Machinery Manufacturing - 3.1% | |||||||||||
48,391 | Applied Materials, Inc. | 2,866,199 | |||||||||
7,418 | ASML Holding NV ADR (Netherlands) | 2,679,456 | |||||||||
8,844 | Lam Research Corp. | 3,025,355 | |||||||||
8,571,010 | |||||||||||
Management of Companies and Enterprises - 1.0% | |||||||||||
92,327 | Trip.com Group Ltd. ADR (China) (a) | 2,655,324 | |||||||||
Merchant Wholesalers, Durable Goods - 3.1% | |||||||||||
26,212 | Copart, Inc. (a) | 2,892,756 | |||||||||
61,698 | Fastenal Co. | 2,667,205 | |||||||||
15,182 | KLA-Tencor Corp. | 2,993,587 | |||||||||
8,553,548 | |||||||||||
Miscellaneous Manufacturing - 3.1% | |||||||||||
8,466 | Align Technology, Inc. (a) | 3,607,193 | |||||||||
6,980 | DexCom, Inc. (a) | 2,230,668 | |||||||||
4,144 | Intuitive Surgical, Inc. (a) | 2,764,380 | |||||||||
8,602,241 | |||||||||||
Motion Picture and Sound Recording Industries - 2.0% | |||||||||||
5,781 | Netflix, Inc. (a) | 2,750,253 | |||||||||
17,145 | Take-Two Interactive Software, Inc. (a) | 2,656,103 | |||||||||
5,406,356 | |||||||||||
Motor Vehicle and Parts Dealers - 0.9% | |||||||||||
5,858 | O'Reilly Automotive, Inc. (a) | 2,557,603 | |||||||||
Nonstore Retailers - 5.4% | |||||||||||
919 | Amazon.com, Inc. (a) | 2,790,222 | |||||||||
55,898 | eBay, Inc. | 2,662,422 | |||||||||
36,471 | JD.com, Inc. ADR (China) (a) | 2,973,116 | |||||||||
2,723 | MercadoLibre, Inc. (a) | 3,305,858 | |||||||||
34,045 | Pinduoduo Inc. ADR (China) (a) | 3,063,369 | |||||||||
14,794,987 | |||||||||||
Other Information Services - 3.0% | |||||||||||
936 | Alphabet, Inc. Class A (a) | 1,512,679 | |||||||||
930 | Alphabet, Inc. Class C (a) | 1,507,539 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
39
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Other Information Services (continued) | |||||||||||
21,796 | Baidu, Inc. ADR China (a) | $ | 2,899,958 | ||||||||
63,248 | Liberty Global PLC Class A (United Kingdom) (a) | 1,200,447 | |||||||||
64,881 | Liberty Global PLC Class C (United Kingdom) (a) | 1,210,680 | |||||||||
8,331,303 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 1.9% | |||||||||||
33,927 | Activision Blizzard, Inc. | 2,569,292 | |||||||||
21,583 | Electronic Arts, Inc. (a) | 2,586,291 | |||||||||
5,155,583 | |||||||||||
Personal and Laundry Services - 1.0% | |||||||||||
8,538 | Cintas Corp. | 2,685,628 | |||||||||
Professional, Scientific, and Technical Services - 8.0% | |||||||||||
24,084 | CDW Corp. | 2,952,698 | |||||||||
38,899 | Cerner Corp. | 2,726,431 | |||||||||
39,459 | Cognizant Technology Solutions Corp. Class A | 2,818,162 | |||||||||
10,759 | Facebook, Inc. (a) | 2,830,800 | |||||||||
38,890 | Moderna, Inc. (a) | 2,623,908 | |||||||||
34,574 | Paychex, Inc. | 2,843,712 | |||||||||
13,275 | VeriSign, Inc. (a) | 2,531,543 | |||||||||
14,964 | Verisk Analytics, Inc. Class A | 2,663,143 | |||||||||
21,990,397 | |||||||||||
Publishing Industries (except Internet) - 12.2% | |||||||||||
5,811 | Adobe Systems, Inc. (a) | 2,598,098 | |||||||||
8,907 | ANSYS, Inc. (a) | 2,711,024 | |||||||||
12,069 | Autodesk, Inc. (a) | 2,842,732 | |||||||||
27,238 | Cadence Design Systems, Inc. (a) | 2,979,020 | |||||||||
23,027 | Check Point Software Technologies Ltd. (a) | 2,614,946 | |||||||||
20,280 | Citrix Systems, Inc. | 2,297,116 | |||||||||
13,945 | DocuSign, Inc. (a) | 2,820,376 | |||||||||
9,054 | Intuit, Inc. | 2,849,113 | |||||||||
13,559 | Microsoft Corp. | 2,745,291 | |||||||||
15,536 | Splunk, Inc. (a) | 3,076,749 | |||||||||
13,728 | Synopsys, Inc. (a) | 2,935,870 | |||||||||
13,555 | Workday, Inc. (a) | 2,848,177 | |||||||||
33,318,512 | |||||||||||
Rail Transportation - 1.0% | |||||||||||
34,036 | CSX Corp. | 2,686,802 | |||||||||
Specialty Trade Contractors - 0.9% | |||||||||||
29,150 | NetEase.com, Inc. ADR (China) | 2,529,928 | |||||||||
Support Activities for Transportation - 1.0% | |||||||||||
28,968 | Expedia, Inc. | 2,727,337 | |||||||||
Telecommunications - 3.1% | |||||||||||
15,431 | PayPal Holdings, Inc. (a) | 2,872,172 | |||||||||
24,542 | T-Mobile US, Inc. (a) | 2,689,067 | |||||||||
6,194 | Zoom Video Communications, Inc. (a) | 2,854,876 | |||||||||
8,416,115 | |||||||||||
Transportation Equipment Manufacturing - 1.9% | |||||||||||
32,255 | Paccar, Inc. | 2,753,932 | |||||||||
6,145 | Tesla Motors, Inc. (a) | 2,384,506 | |||||||||
5,138,438 |
Shares | Fair Value | ||||||||||
Utilities - 2.2% | |||||||||||
77,479 | Exelon Corp. | $ | 3,090,637 | ||||||||
40,616 | Xcel Energy, Inc. | 2,844,339 | |||||||||
5,934,976 | |||||||||||
TOTAL COMMON STOCKS (Cost $225,910,849) | $ | 273,957,719 | |||||||||
TOTAL INVESTMENTS (Cost $225,910,849) - 99.9% | $ | 273,957,719 | |||||||||
Other Assets in Excess of Liabilities - 0.1% | 241,526 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 274,199,245 |
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.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
40
Direxion S&P 500® High minus Low Quality ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 92.9% | |||||||||||
Administrative and Support Services - 6.7% | |||||||||||
526 | Automatic Data Processing, Inc. | $ | 83,087 | ||||||||
85 | Booking Holdings, Inc. (a) | 137,913 | |||||||||
552 | IHS Markit Ltd. | 44,640 | |||||||||
2,338 | Visa, Inc. Class A | 424,838 | |||||||||
690,478 | |||||||||||
Air Transportation - 0.3% | |||||||||||
684 | Southwest Airlines Co. | 27,039 | |||||||||
Beverage and Tobacco Product Manufacturing - 0.4% | |||||||||||
595 | Monster Beverage Corp. (a) | 45,559 | |||||||||
Chemical Manufacturing - 21.9% | |||||||||||
2,643 | Abbott Laboratories | 277,806 | |||||||||
331 | Air Products & Chemicals, Inc. | 91,435 | |||||||||
356 | Alexion Pharmaceuticals, Inc. (a) | 40,990 | |||||||||
913 | Amgen, Inc. | 198,066 | |||||||||
338 | Biogen, Inc. (a) | 85,200 | |||||||||
1,360 | DuPont de Nemours, Inc. | 77,357 | |||||||||
248 | Illumina, Inc. (a) | 72,589 | |||||||||
3,171 | Johnson & Johnson | 434,776 | |||||||||
789 | Linde PLC | 173,848 | |||||||||
3,929 | Merck & Co., Inc. | 295,500 | |||||||||
3,737 | Procter & Gamble Co. | 512,343 | |||||||||
2,259,910 | |||||||||||
Computer and Electronic Product Manufacturing - 22.9% | |||||||||||
445 | Analog Devices, Inc. | 52,746 | |||||||||
5,312 | Apple, Inc. | 578,264 | |||||||||
7,662 | Cisco Systems, Inc. | 275,066 | |||||||||
939 | Danaher Corp. | 215,538 | |||||||||
5,920 | Intel Corp. | 262,138 | |||||||||
1,412 | Johnson Controls International PLC ADR (Ireland) | 59,600 | |||||||||
277 | Keysight Technologies, Inc. (a) | 29,049 | |||||||||
537 | Maxim Integrated Products, Inc. | 37,402 | |||||||||
320 | NetApp, Inc. | 14,045 | |||||||||
1,100 | NVIDIA Corp. | 551,496 | |||||||||
368 | Seagate Technology PLC (Ireland) | 17,598 | |||||||||
232 | Skyworks Solutions, Inc. | 32,779 | |||||||||
1,273 | Texas Instruments, Inc. | 184,063 | |||||||||
457 | Xilinx, Inc. | 54,241 | |||||||||
2,364,025 | |||||||||||
Construction of Buildings - 0.4% | |||||||||||
6 | NVR, Inc. (a) | 23,718 | |||||||||
339 | PulteGroup, Inc. | 13,818 | |||||||||
37,536 | |||||||||||
Credit Intermediation and Related Activities - 0.9% | |||||||||||
212 | M&T Bank Corp. | 21,959 | |||||||||
1,259 | Regions Financial Corp. | 16,744 | |||||||||
101 | SVB Financial Group (a) | 29,361 | |||||||||
790 | Synchrony Financial | 19,766 | |||||||||
233 | Zions Bancorp | 7,519 | |||||||||
95,349 |
Shares | Fair Value | ||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.2% | |||||||||||
223 | A.O. Smith Corp. | $ | 11,527 | ||||||||
534 | Eaton Corp PLC ADR (Ireland) | 55,424 | |||||||||
836 | Emerson Electric Co. | 54,164 | |||||||||
45 | IPG Photonics Corp. (a) | 8,368 | |||||||||
229 | Rockwell Automation, Inc. | 54,301 | |||||||||
427 | TE Connectivity Ltd. (Switzerland) | 41,368 | |||||||||
225,152 | |||||||||||
Food Manufacturing - 0.6% | |||||||||||
272 | Campbell Soup Co. | 12,694 | |||||||||
474 | Hormel Foods Corp. | 23,079 | |||||||||
833 | The Kraft Heinz Co. | 25,482 | |||||||||
61,255 | |||||||||||
General Merchandise Stores - 2.2% | |||||||||||
636 | Costco Wholesale Corp. | 227,446 | |||||||||
Insurance Carriers and Related Activities - 0.8% | |||||||||||
205 | Humana, Inc. | 81,852 | |||||||||
Leather and Allied Product Manufacturing - 2.7% | |||||||||||
2,309 | NIKE, Inc. Class B | 277,265 | |||||||||
Machinery Manufacturing - 0.9% | |||||||||||
220 | Cummins, Inc. | 48,376 | |||||||||
108 | IDEX Corp. | 18,402 | |||||||||
438 | Ingersoll Rand, Inc. (a) | 15,304 | |||||||||
71 | Snap-on, Inc. | 11,184 | |||||||||
93,266 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.6% | |||||||||||
300 | Copart, Inc. (a) | 33,108 | |||||||||
814 | Fastenal Co. | 35,189 | |||||||||
276 | Henry Schein, Inc. (a) | 17,548 | |||||||||
1,009 | Honeywell International, Inc. | 166,435 | |||||||||
76 | �� | Mohawk Industries, Inc. (a) | 7,842 | ||||||||
263 | Xerox Corp. | 4,571 | |||||||||
264,693 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.6% | |||||||||||
277 | AmerisourceBergen Corp. | 26,611 | |||||||||
263 | Brown Forman Corp. Class B | 18,334 | |||||||||
446 | Illinois Tool Works, Inc. | 87,362 | |||||||||
250 | McKesson Corp. | 36,873 | |||||||||
169,180 | |||||||||||
Miscellaneous Manufacturing - 4.5% | |||||||||||
61 | Abiomed, Inc. (a) | 15,365 | |||||||||
102 | Align Technology, Inc. (a) | 43,460 | |||||||||
330 | Dentsply Sirona, Inc. | 15,573 | |||||||||
906 | Edwards Lifesciences Corp. (a) | 64,951 | |||||||||
343 | Estee Lauder Companies, Inc. Class A | 75,343 | |||||||||
2,035 | Medtronic PLC ADR (Ireland) | 204,660 | |||||||||
131 | STERIS PLC (Ireland) | 23,212 | |||||||||
76 | The Cooper Companies, Inc. | 24,248 | |||||||||
466,812 | |||||||||||
Nonstore Retailers - 0.6% | |||||||||||
1,289 | eBay, Inc. | 61,395 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
41
Direxion S&P 500® High minus Low Quality ETF
Schedule of Investments, continued
October 31, 2020
Shares | Fair Value | ||||||||||
Oil and Gas Extraction - 0.4% | |||||||||||
633 | Cabot Oil & Gas Corp. | $ | 11,261 | ||||||||
761 | EOG Resources, Inc. | 26,057 | |||||||||
37,318 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.8% | |||||||||||
1,153 | Activision Blizzard, Inc. | 87,317 | |||||||||
Petroleum and Coal Products Manufacturing - 1.9% | |||||||||||
2,778 | Chevron Corp. | 193,071 | |||||||||
Professional, Scientific, and Technical Services - 1.2% | |||||||||||
476 | Cerner Corp. | 33,363 | |||||||||
765 | Cognizant Technology Solutions Corp. Class A | 54,636 | |||||||||
110 | Jack Henry & Associates, Inc. | 16,308 | |||||||||
219 | Jacobs Engineering Group, Inc. | 20,805 | |||||||||
125,112 | |||||||||||
Publishing Industries (except Internet) - 10.9% | |||||||||||
670 | Adobe Systems, Inc. (a) | 299,557 | |||||||||
339 | Intuit, Inc. | 106,676 | |||||||||
2,381 | Microsoft Corp. | 482,081 | |||||||||
817 | NortonLifeLock, Inc. | 16,806 | |||||||||
3,275 | Oracle Corp. | 183,760 | |||||||||
186 | Synopsys, Inc. (a) | 39,778 | |||||||||
1,128,658 | |||||||||||
Real Estate - 0.6% | |||||||||||
230 | Public Storage | 52,686 | |||||||||
217 | Vornado Realty Trust | 6,669 | |||||||||
59,355 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 2.9% | |||||||||||
203 | Ameriprise Financial, Inc. | 32,648 | |||||||||
185 | CBOE Holdings, Inc. | 15,039 | |||||||||
535 | CME Group, Inc. | 80,635 | |||||||||
1,037 | Dow, Inc. | 47,173 | |||||||||
803 | IntercontinentalExchange, Inc. | 75,803 | |||||||||
175 | Raymond James Financial, Inc. | 13,377 | |||||||||
319 | T. Rowe Price Group, Inc. | 40,405 | |||||||||
305,080 |
Shares | Fair Value | ||||||||||
Support Activities for Agriculture and Forestry - 0.4% | |||||||||||
1,413 | Corteva, Inc. | $ | 46,601 | ||||||||
Transportation Equipment Manufacturing - 1.3% | |||||||||||
270 | BorgWarner, Inc. | 9,445 | |||||||||
372 | Lockheed Martin Corp. | 130,248 | |||||||||
139,693 | |||||||||||
Truck Transportation - 0.3% | |||||||||||
151 | Old Dominion Freight Line, Inc. | 28,746 | |||||||||
TOTAL COMMON STOCKS (Cost $9,112,807) | $ | 9,599,163 | |||||||||
SHORT TERM INVESTMENTS - 5.5% | |||||||||||
Money Market Funds - 5.5% | |||||||||||
567,098 | Dreyfus Government Cash Management Institutional Shares, 0.02% (b) | $ | 567,098 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $567,098) | $ | 567,098 | |||||||||
TOTAL INVESTMENTS (Cost $9,679,905) - 98.4% (c) | $ | 10,166,261 | |||||||||
Other Assets in Excess of Liabilities - 1.6% | 160,996 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 10,327,257 |
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 October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,750,085.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
42
Direxion S&P 500® High minus Low Quality ETF
Long Total Return Swap Contracts
October 31, 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® Quality Index | 0.4479% representing 1 month LIBOR rate + spread | UBS Securities LLC | 12/18/2020 | 3,981 | $ | 5,556,680 | $ | 372,331 |
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.1991% representing 1 month LIBOR rate + spread | Total return of S&P 500® Quality - Lowest Quintile Index | Credit Suisse Capital LLC | 12/11/2020 | 12,054 | $ | 5,225,369 | $ | 59,738 |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
43
Direxion Work From Home ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.8% | |||||||||||
Administrative and Support Services - 2.7% | |||||||||||
18,775 | Atlassian Corp. PLC (United Kingdom) (a) | $ | 3,597,665 | ||||||||
Computer and Electronic Product Manufacturing - 19.1% | |||||||||||
219,203 | Avaya Holdings Corp. (a) | 3,770,292 | |||||||||
9,610 | Broadcom, Inc. | 3,359,944 | |||||||||
85,006 | Cisco Systems, Inc. | 3,051,715 | |||||||||
27,192 | Fortinet, Inc. (a) | 3,001,181 | |||||||||
28,134 | International Business Machines Corp. | 3,141,443 | |||||||||
74,891 | NetApp, Inc. | 3,286,966 | |||||||||
293,639 | Plantronics, Inc | 5,731,833 | |||||||||
25,343,374 | |||||||||||
Data Processing, Hosting and Related Services - 2.4% | |||||||||||
366,823 | Hewlett Packard Enterprise Co. | 3,169,351 | |||||||||
Merchant Wholesalers, Durable Goods - 2.5% | |||||||||||
192,417 | Xerox Corp. | 3,344,207 | |||||||||
Nonstore Retailers - 2.3% | |||||||||||
1,015 | Amazon.com, Inc. (a) | 3,081,692 | |||||||||
Other Information Services - 5.3% | |||||||||||
12,175 | Alibaba Group Holding Ltd. ADR (a) | 3,709,601 | |||||||||
2,096 | Alphabet, Inc. Class A (a) | 3,387,366 | |||||||||
7,096,967 | |||||||||||
Professional, Scientific, and Technical Services - 14.4% | |||||||||||
33,895 | Elastic NV (Netherlands) (a) | 3,437,292 | |||||||||
11,928 | Facebook, Inc. (a) | 3,138,376 | |||||||||
131,314 | Nutanix, Inc. (a) | 3,196,183 | |||||||||
15,634 | Okta, Inc. (a) | 3,280,482 | |||||||||
30,769 | Proofpoint, Inc. (a) | 2,945,824 | |||||||||
24,523 | VMware, Inc. (a)(b) | 3,156,846 | |||||||||
19,155,003 | |||||||||||
Publishing Industries (except Internet) - 35.3% | |||||||||||
6,749 | Adobe Systems, Inc. (a) | 3,017,478 | |||||||||
175,641 | Box, Inc. (a) | 2,722,435 | |||||||||
25,385 | CrowdStrike Holdings, Inc. (a) | 3,143,678 | |||||||||
13,606 | DocuSign, Inc. (a) | 2,751,814 | |||||||||
236,688 | FireEye, Inc. (a) | 3,275,762 | |||||||||
308,726 | Inseego Corp. (a)(b) | 2,685,916 | |||||||||
15,560 | Microsoft Corp. | 3,150,433 | |||||||||
61,086 | Oracle Corp. | 3,427,535 | |||||||||
14,011 | Palto Alto Networks, Inc. (a) | 3,099,093 | |||||||||
100,027 | Ping Identity Holding Corp. (a) | 2,769,748 | |||||||||
93,926 | Progress Software Corp. | 3,416,089 | |||||||||
107,160 | Slack Technologies, Inc. (a) | 2,741,153 | |||||||||
13,647 | Twilio, Inc. (a) | 3,807,104 | |||||||||
89,675 | Upland Software, Inc. (a) | 3,741,241 | |||||||||
15,440 | Workday, Inc. (a) | 3,244,253 | |||||||||
46,993,732 |
Shares | Fair Value | ||||||||||
Telecommunications - 15.8% | |||||||||||
209,764 | 8x8, Inc. (a) | $ | 3,624,722 | ||||||||
293,879 | America Movil SAB de CV Series L (Mexico) ADR | 3,503,038 | |||||||||
238,639 | Cincinnati Bell Inc. (a) | 3,591,517 | |||||||||
11,965 | RingCentral, Inc. (a) | 3,091,038 | |||||||||
307,017 | Vonage Holdings Corp. (a) | 3,248,240 | |||||||||
8,511 | Zoom Video Communications, Inc. (a) | 3,922,805 | |||||||||
20,981,360 | |||||||||||
TOTAL COMMON STOCKS (Cost $132,176,345) | $ | 132,763,351 | |||||||||
SHORT TERM INVESTMENTS - 2.4% | |||||||||||
Money Market Funds - 2.4% | |||||||||||
3,213,732 | Dreyfus Government Cash Management Institutional Shares, 0.02% (c)(d) | $ | 3,213,732 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,213,732) | $ | 3,213,732 | |||||||||
TOTAL INVESTMENTS (Cost $135,390,077) - 102.2% | $ | 135,977,083 | |||||||||
Liabilities in Excess of Other Assets - (2.2)% | (2,899,293 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 133,077,790 |
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 October 31, 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 ANNUAL REPORT
44
Direxion Russell 1000® Growth Over Value ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 97.5% | |||||||||||
139,417 | iShares Russell 1000 Growth ETF (a) | $ | 29,219,015 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $26,596,957) | $ | 29,219,015 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
61,851 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | $ | 61,851 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $61,851) | $ | 61,851 | |||||||||
TOTAL INVESTMENTS (Cost $26,658,808) - 97.7% (c) | $ | 29,280,866 | |||||||||
Other Assets in Excess of Liabilities - 2.3% | 678,581 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 29,959,447 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,919,938.
Long Total Return Swap Contracts
October 31, 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 1000® Growth Index | 0.5379% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/9/2020 | 7,454 | $ | 14,431,980 | $ | 1,301,735 |
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.2679 representing 1 month LIBOR rate + spread% | Total return of Russell 1000® Value Index | Credit Suisse Capital LLC | 12/9/2020 | 13,021 | $ | 14,411,847 | $ | (681,696 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
45
Direxion Russell 1000® Value Over Growth ETF
Schedule of Investments
October 31, 2020
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 93.1% | |||||||||||
157,595 | iShares Russell 1000 Value ETF (a) | $ | 18,396,064 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $18,787,873) | $ | 18,396,064 | |||||||||
SHORT TERM INVESTMENTS - 9.7% | |||||||||||
Money Market Funds - 9.7% | |||||||||||
1,910,798 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.00% (b)(††) | $ | 1,910,798 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,910,798) | $ | 1,910,798 | |||||||||
TOTAL INVESTMENTS (Cost $20,698,671) - 102.8% (c) | $ | 20,306,862 | |||||||||
Liabilities in Excess of Other Assets - (2.8)% | (544,622 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 19,762,240 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(††) Less than 0.005%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2020.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,324,891.
Long Total Return Swap Contracts
October 31, 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 | 0.4979% representing 1 month LIBOR rate + spread | Credit Suisse Capital LLC | 12/9/2020 | 9,777 | $ | 11,442,032 | $ | (108,520 | ) |
Short Total Return Swap Contracts
October 31, 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 | |||||||||||||||||||||
0.2979 representing 1 month LIBOR rate + spread% | Total return of Russell 1000® Growth Index | Credit Suisse Capital LLC | 12/17/2020 | 4,686 | $ | 8,496,987 | $ | (1,402,063 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
46
Statements of Assets and Liabilities
October 31, 2020
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Connected Consumer ETF | Direxion Dynamic Hedge ETF | Direxion Fallen Knives ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | — | $ | 8,898,605 | $ | 5,449,959 | $ | 6,852,489 | |||||||||||
Cash equivalents | 41,197,105 | 9,562 | 437,937 | 11,033 | |||||||||||||||
Due from broker for futures contracts | 232,095 | — | — | — | |||||||||||||||
Deposit at broker for futures contracts | 2,502,408 | — | 290,400 | — | |||||||||||||||
Dividend and interest receivable | 1,772 | — | 12 | 1,708 | |||||||||||||||
Variation margin receivable, net | 37,763 | — | 41,360 | — | |||||||||||||||
Total Assets | 43,971,143 | 8,908,167 | 6,219,668 | 6,865,230 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 15,825 | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | 3,986 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 17,726 | 2,749 | 2,674 | 2,643 | |||||||||||||||
Due to broker for futures contracts | — | — | 58,451 | — | |||||||||||||||
Accrued operating services fees (Note 6) | 7,559 | 344 | 268 | 294 | |||||||||||||||
Total Liabilities | 25,285 | 3,093 | 65,379 | 18,762 | |||||||||||||||
Net Assets | $ | 43,945,858 | $ | 8,905,074 | $ | 6,154,289 | $ | 6,846,468 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 43,454,304 | $ | 8,854,570 | $ | 6,250,050 | $ | 6,250,050 | |||||||||||
Total distributable earnings (loss) | 491,554 | 50,504 | (95,761 | ) | 596,418 | ||||||||||||||
Net Assets | $ | 43,945,858 | $ | 8,905,074 | $ | 6,154,289 | $ | 6,846,468 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 43,945,858 | $ | 8,905,074 | $ | 6,154,289 | $ | 6,846,468 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,900,001 | 175,001 | 125,001 | 125,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 23.13 | $ | 50.89 | $ | 49.23 | $ | 54.77 | |||||||||||
Cost of Investments | $ | — | $ | 8,956,324 | $ | 5,325,030 | $ | 6,723,992 |
* Securities loaned with values of $–,$–,$– and $14,649, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
47
Statements of Assets and Liabilities
October 31, 2020
Direxion Flight to Safety Strategy ETF (Consolidated) | Direxion High Growth ETF | Direxion MSCI USA ESG – Leaders vs. Laggards ETF | Direxion NASDAQ-100® Equal Weighted Index Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 23,400,282 | $ | 7,690,717 | $ | 10,350,097 | $ | 273,957,719 | |||||||||||
Cash equivalents | 1,393,603 | 2,203 | 183,449 | 260,459 | |||||||||||||||
Due from broker for futures contracts | 4,270 | — | — | — | |||||||||||||||
Deposit at broker for futures contracts | 101,200 | — | — | — | |||||||||||||||
Dividend and interest receivable | 3,995 | 3,625 | 10,630 | 62,532 | |||||||||||||||
Variation margin receivable, net | 9,520 | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | 355,672 | — | |||||||||||||||
Total Assets | 24,912,870 | 7,696,545 | 10,899,848 | 274,280,710 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | 6,493 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 5,352 | 2,425 | 3,341 | 69,232 | |||||||||||||||
Due to broker for swap contracts | — | — | 150,000 | — | |||||||||||||||
Accrued operating services fees (Note 6) | 1,071 | 347 | 477 | 12,233 | |||||||||||||||
Total Liabilities | 6,423 | 2,772 | 160,311 | 81,465 | |||||||||||||||
Net Assets | $ | 24,906,447 | $ | 7,693,773 | $ | 10,739,537 | $ | 274,199,245 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 23,808,276 | $ | 7,651,332 | $ | 9,951,927 | $ | 228,731,393 | |||||||||||
Total distributable earnings | 1,098,171 | 42,441 | 787,610 | 45,467,852 | |||||||||||||||
Net Assets | $ | 24,906,447 | $ | 7,693,773 | $ | 10,739,537 | $ | 274,199,245 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 24,906,447 | $ | 7,693,773 | $ | 10,739,537 | $ | 274,199,245 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 475,001 | 150,001 | 200,001 | 4,350,002 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 52.43 | $ | 51.29 | $ | 53.70 | $ | 63.03 | |||||||||||
Cost of Investments | $ | 22,437,871 | $ | 7,441,380 | $ | 10,245,754 | $ | 225,910,849 |
* Securities loaned with values of $–,$–,$15,958 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
48
Statements of Assets and Liabilities
October 31, 2020
Direxion S&P 500® High minus Low Quality ETF | Direxion Work From Home ETF | Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 10,166,261 | $ | 135,977,083 | $ | 29,280,866 | $ | 20,306,862 | |||||||||||
Cash equivalents | 333,178 | 275,771 | 1,162,423 | 973,670 | |||||||||||||||
Receivable for investments sold | 354,920 | — | — | — | |||||||||||||||
Dividend and interest receivable | 7,104 | 88,830 | 43 | 51 | |||||||||||||||
Due from broker for swap contracts | 12,890 | — | 73,223 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 432,069 | — | 1,301,735 | — | |||||||||||||||
Total Assets | 11,306,422 | 136,341,684 | 31,818,290 | 21,280,583 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 3,213,732 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | 681,696 | 1,510,583 | |||||||||||||||
Due to Adviser, net (Note 6) | 2,774 | 44,588 | 10,798 | 6,898 | |||||||||||||||
Due to broker for swap contracts | 975,929 | — | 1,164,928 | — | |||||||||||||||
Accrued operating services fees (Note 6) | 462 | 5,574 | 1,421 | 862 | |||||||||||||||
Total Liabilities | 979,165 | 3,263,894 | 1,858,843 | 1,518,343 | |||||||||||||||
Net Assets | $ | 10,327,257 | $ | 133,077,790 | $ | 29,959,447 | $ | 19,762,240 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 9,687,726 | $ | 132,062,898 | $ | 27,446,400 | $ | 24,191,703 | |||||||||||
Total distributable earnings (loss) | 639,531 | 1,014,892 | 2,513,047 | (4,429,463 | ) | ||||||||||||||
Net Assets | $ | 10,327,257 | $ | 133,077,790 | $ | 29,959,447 | $ | 19,762,240 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 10,327,257 | $ | 133,077,790 | $ | 29,959,447 | $ | 19,762,240 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 200,001 | 2,475,001 | 325,001 | 475,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 51.64 | $ | 53.77 | $ | 92.18 | $ | 41.60 | |||||||||||
Cost of Investments | $ | 9,679,905 | $ | 135,390,077 | $ | 26,658,808 | $ | 20,698,671 |
* Securities loaned with values of $–, $5,487,485, $–, $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
49
Statements of Operations
For the Year Ended October 31, 2020
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Connected Consumer ETF1 | Direxion Dynamic Hedge ETF2 | Direxion Fallen Knives ETF2 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 5,294 | $ | 47,378 | $ | 20,475 | |||||||||||
Interest income | 220,629 | 14 | 102 | 20 | |||||||||||||||
Securities lending income | — | — | — | 613 | |||||||||||||||
Total investment income | 220,629 | 5,308 | 47,480 | 21,108 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 184,071 | 5,329 | 12,134 | 11,605 | |||||||||||||||
Operating services fees (Note 6) | 73,629 | 666 | 1,213 | 1,289 | |||||||||||||||
Total Expenses | 257,700 | 5,995 | 13,347 | 12,894 | |||||||||||||||
Net investment income (loss) | (37,071 | ) | (687 | ) | 34,133 | 8,214 | |||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | — | 108,910 | (17,350 | ) | 464,668 | ||||||||||||||
Swap contracts | — | — | 55,961 | — | |||||||||||||||
Futures contracts | (652,619 | ) | — | (355,925 | ) | — | |||||||||||||
Net realized gain (loss) | (652,619 | ) | 108,910 | (317,314 | ) | 464,668 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | — | (57,719 | ) | 124,929 | 128,497 | ||||||||||||||
Swap contracts | — | — | (3,986 | ) | — | ||||||||||||||
Futures contracts | 260,270 | — | 87,848 | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 260,270 | (57,719 | ) | 208,791 | 128,497 | ||||||||||||||
Net realized and unrealized gain (loss) | (392,349 | ) | 51,191 | (108,523 | ) | 593,165 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (429,420 | ) | $ | 50,504 | $ | (74,390 | ) | $ | 601,379 |
1 Represents the period from August 25, 2020 (commencement of operations) to October 31, 2020.
2 Represents the period from June 11, 2020 (commencement of operations) to October 31, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
50
Statements of Operations
For the Year Ended October 31, 2020
Direxion Flight to Safety Strategy ETF (Consolidated)1 | Direxion High Growth ETF2 | Direxion MSCI USA ESG – Leaders vs. Laggards ETF1 | Direxion NASDAQ-100® Equal Weighted Index Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $93, $—, and $7,948, respectively) | $ | 329,750 | $ | 18,363 | $ | 172,126 | $ | 2,558,939 | |||||||||||
Interest income | 3,704 | 41 | 2,134 | 1,894 | |||||||||||||||
Securities lending income | 335 | — | 80 | 7,750 | |||||||||||||||
Total investment income | 333,789 | 18,404 | 174,340 | 2,568,583 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 49,913 | 9,858 | 30,030 | 758,895 | |||||||||||||||
Operating services fees (Note 6) | 9,983 | 1,408 | 4,290 | 126,482 | |||||||||||||||
Total Expenses | 59,896 | 11,266 | 34,320 | 885,377 | |||||||||||||||
Net investment income | 273,893 | 7,138 | 140,020 | 1,683,206 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (53,730 | ) | (207,660 | ) | 104,386 | 5,571,020 | |||||||||||||
In-kind redemptions | 419,200 | — | — | 23,339,384 | |||||||||||||||
Swap contracts | — | — | 343,677 | — | |||||||||||||||
Futures contracts | 283,630 | — | — | — | |||||||||||||||
Net realized gain (loss) | 649,100 | (207,660 | ) | 448,063 | 28,910,404 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 962,411 | 249,337 | 104,343 | 24,416,899 | |||||||||||||||
Swap contracts | — | — | 355,672 | — | |||||||||||||||
Futures contracts | (60,430 | ) | — | — | — | ||||||||||||||
Change in net unrealized appreciation | 901,981 | 249,337 | 460,015 | 24,416,899 | |||||||||||||||
Net realized and unrealized gain | 1,551,081 | 41,677 | 908,078 | 53,327,303 | |||||||||||||||
Net increase in net assets resulting from operations | $ | 1,824,974 | $ | 48,815 | $ | 1,048,098 | $ | 55,010,509 |
1 Represents the period from February 5, 2020 (commencement of operations) to October 31, 2020.
2 Represents the period from June 11, 2020 (commencement of operations) to October 31, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
51
Statements of Operations
For the Year Ended October 31, 2020
Direxion S&P 500® High minus Low Quality ETF1 | Direxion Work From Home ETF2 | Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $5,101, $—, and $—, respectively) | $ | 158,208 | $ | 251,128 | $ | 204,262 | $ | 562,693 | |||||||||||
Interest income | 2,068 | 87 | 9,798 | 13,147 | |||||||||||||||
Securities lending income | — | 152,841 | 2,273 | 1,342 | |||||||||||||||
Total investment income | 160,276 | 404,056 | 216,333 | 577,182 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 25,034 | 128,346 | 94,459 | 85,409 | |||||||||||||||
Operating services fees (Note 6) | 4,172 | 16,044 | 11,807 | 10,676 | |||||||||||||||
Interest expense | — | — | 3,642 | 2,601 | |||||||||||||||
Total Expenses | 29,206 | 144,390 | 109,908 | 98,686 | |||||||||||||||
Net investment income | 131,070 | 259,666 | 106,425 | 478,496 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investment securities | (104,848 | ) | 224,572 | 402,619 | (299,343 | ) | |||||||||||||
In-kind redemptions | (299,795 | ) | 348,853 | 5,484,065 | 1,600,313 | ||||||||||||||
Swap contracts | (184,300 | ) | — | 4,344,894 | (931,703 | ) | |||||||||||||
Net realized gain (loss) | (588,943 | ) | 573,425 | 10,231,578 | 369,267 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investment securities | 486,356 | 587,006 | (680,851 | ) | (2,441,403 | ) | |||||||||||||
Swap contracts | 432,069 | — | (907,133 | ) | (2,475,991 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 918,425 | 587,006 | (1,587,984 | ) | (4,917,394 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 329,482 | 1,160,431 | 8,643,594 | (4,548,127 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 460,552 | $ | 1,420,097 | $ | 8,750,019 | $ | (4,069,631 | ) |
1 Represents the period from February 5, 2020 (commencement of operations) to October 31, 2020.
2 Represents the period from June 25, 2020 (commencement of operations) to October 31, 2020.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
52
Statements of Changes in Net Assets
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Connected Consumer ETF | ||||||||||||||
Year Ended October 31, 2020 | Year Ended October 31, 2019 | For the Period August 25, 20201 through October 31, 2020 | |||||||||||||
Operations: | |||||||||||||||
Net investment income (loss) | $ | (37,071 | ) | $ | 638,694 | $ | (687 | ) | |||||||
Net realized gain (loss) | (652,619 | ) | (2,125,481 | ) | 108,910 | ||||||||||
Change in net unrealized appreciation (depreciation) | 260,270 | 702,785 | (57,719 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | (429,420 | ) | (784,002 | ) | 50,504 | ||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (74,461 | ) | (1,191,152 | ) | — | ||||||||||
Return of capital | (46,911 | ) | — | — | |||||||||||
Total distributions | (121,372 | ) | (1,191,152 | ) | — | ||||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | 19,405,545 | 3,549,956 | 8,853,945 | ||||||||||||
Cost of shares redeemed | (17,274,061 | ) | (12,065,167 | ) | — | ||||||||||
Transaction fees (Note 4) | 5,395 | 2,768 | 625 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 2,136,879 | (8,512,443 | ) | 8,854,570 | |||||||||||
Total increase (decrease) in net assets | 1,586,087 | (10,487,597 | ) | 8,905,074 | |||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | 42,359,771 | 52,847,368 | — | ||||||||||||
End of year/period | $ | 43,945,858 | $ | 42,359,771 | $ | 8,905,074 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | 1,800,001 | 2,150,001 | — | ||||||||||||
Shares sold | 850,000 | 150,000 | 175,001 | ||||||||||||
Shares repurchased | (750,000 | ) | (500,000 | ) | — | ||||||||||
Shares outstanding, end of year/period | 1,900,001 | 1,800,001 | 175,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
53
Statements of Changes in Net Assets
Direxion Dynamic Hedge ETF | Direxion Fallen Knives ETF | ||||||||||
For the Period June 11, 20201 through October 31, 2020 | For the Period June 11, 20201 through October 31, 2020 | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 34,133 | $ | 8,214 | |||||||
Net realized gain (loss) | (317,314 | ) | 464,668 | ||||||||
Change in net unrealized appreciation | 208,791 | 128,497 | |||||||||
Net increase (decrease) in net assets resulting from operations | (74,390 | ) | 601,379 | ||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (21,371 | ) | (4,961 | ) | |||||||
Total distributions | (21,371 | ) | (4,961 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 6,250,050 | 6,250,050 | |||||||||
Cost of shares redeemed | — | — | |||||||||
Net increase in net assets resulting from capital transactions | 6,250,050 | 6,250,050 | |||||||||
Total increase in net assets | 6,154,289 | 6,846,468 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 6,154,289 | $ | 6,846,468 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 125,001 | 125,001 | |||||||||
Shares repurchased | — | — | |||||||||
Shares outstanding, end of period | 125,001 | 125,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
54
Statements of Changes in Net Assets
Direxion Flight to Safety Strategy ETF (Consolidated) | Direxion High Growth ETF | ||||||||||
For the Period February 5, 20201 through October 31, 2020 | For the Period June 11, 20201 through October 31, 2020 | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 273,893 | $ | 7,138 | |||||||
Net realized gain (loss) | 649,100 | (207,660 | ) | ||||||||
Change in net unrealized appreciation | 901,981 | 249,337 | |||||||||
Net increase in net assets resulting from operations | 1,824,974 | 48,815 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (261,007 | ) | (6,374 | ) | |||||||
Total distributions | (261,007 | ) | (6,374 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 36,165,142 | 7,651,332 | |||||||||
Cost of shares redeemed | (12,828,778 | ) | — | ||||||||
Transaction fees (Note 4) | 6,116 | — | |||||||||
Net increase in net assets resulting from capital transactions | 23,342,480 | 7,651,332 | |||||||||
Total increase in net assets | 24,906,447 | 7,693,773 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 24,906,447 | $ | 7,693,773 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 725,001 | 150,001 | |||||||||
Shares repurchased | (250,000 | ) | — | ||||||||
Shares outstanding, end of period | 475,001 | 150,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
55
Statements of Changes in Net Assets
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | Direxion NASDAQ-100® Equal Weighted Index Shares | ||||||||||||||
For the Period through October 31, 2020 | February 5, 20201 Year Ended October 31, 2020 | Year Ended October 31, 2019 | |||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 140,020 | $ | 1,683,206 | $ | 1,672,513 | |||||||||
Net realized gain | 448,063 | 28,910,404 | 15,546,552 | ||||||||||||
Capital gain distributions from regulated investment companies | — | — | — | ||||||||||||
Change in net unrealized appreciation | 460,015 | 24,416,899 | 13,472,644 | ||||||||||||
Net increase in net assets resulting from operations | 1,048,098 | 55,010,509 | 30,691,709 | ||||||||||||
Distributions to shareholders: | |||||||||||||||
Net distributions to shareholders | (130,204 | ) | (1,713,664 | ) | (1,593,524 | ) | |||||||||
Total distributions | (130,204 | ) | (1,713,664 | ) | (1,593,524 | ) | |||||||||
Capital share transactions: | |||||||||||||||
Proceeds from shares sold | 12,500,050 | 81,330,505 | 94,484,334 | ||||||||||||
Cost of shares redeemed | (2,679,747 | ) | (75,990,671 | ) | (87,594,219 | ) | |||||||||
Transaction fees (Note 4) | 1,340 | — | — | ||||||||||||
Net increase in net assets resulting from capital transactions | 9,821,643 | 5,339,834 | 6,890,115 | ||||||||||||
Total increase in net assets | 10,739,537 | 58,636,679 | 35,988,300 | ||||||||||||
Net assets: | |||||||||||||||
Beginning of year/period | — | 215,562,566 | 179,574,266 | ||||||||||||
End of year/period | $ | 10,739,537 | $ | 274,199,245 | $ | 215,562,566 | |||||||||
Changes in shares outstanding | |||||||||||||||
Shares outstanding, beginning of year/period | — | 4,200,002 | 4,150,002 | ||||||||||||
Shares sold | 250,001 | 1,500,000 | 2,000,000 | ||||||||||||
Shares repurchased | (50,000 | ) | (1,350,000 | ) | (1,950,000 | ) | |||||||||
Shares outstanding, end of year/period | 200,001 | 4,350,002 | 4,200,002 |
1 Commencement of Operations
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
56
Statements of Changes in Net Assets
Direxion S&P 500® High minus Low Quality ETF | Direxion Work From Home ETF | ||||||||||
For the Period February 5, 20201 through October 31, 2020 | For the Period June 25, 20201 through October 31, 2020 | ||||||||||
Operations: | |||||||||||
Net investment income | $ | 131,070 | $ | 259,666 | |||||||
Net realized gain (loss) | (588,943 | ) | 573,425 | ||||||||
Change in net unrealized appreciation | 918,425 | 587,006 | |||||||||
Net increase in net assets resulting from operations | 460,552 | 1,420,097 | |||||||||
Distributions to shareholders: | |||||||||||
Net distributions to shareholders | (120,816 | ) | (68,991 | ) | |||||||
Total distributions | (120,816 | ) | (68,991 | ) | |||||||
Capital share transactions: | |||||||||||
Proceeds from shares sold | 16,071,394 | 134,511,642 | |||||||||
Cost of shares redeemed | (6,087,141 | ) | (2,784,958 | ) | |||||||
Transaction fees (Note 4) | 3,268 | — | |||||||||
Net increase in net assets resulting from capital transactions | 9,987,521 | 131,726,684 | |||||||||
Total increase in net assets | 10,327,257 | 133,077,790 | |||||||||
Net assets: | |||||||||||
Beginning of period | — | — | |||||||||
End of period | $ | 10,327,257 | $ | 133,077,790 | |||||||
Changes in shares outstanding | |||||||||||
Shares outstanding, beginning of period | — | — | |||||||||
Shares sold | 325,001 | 2,525,001 | |||||||||
Shares repurchased | (125,000 | ) | (50,000 | ) | |||||||
Shares outstanding, end of period | 200,001 | 2,475,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
57
Statements of Changes in Net Assets
Direxion Russell 1000® Growth Over Value ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||||||||||||||
Year Ended October 31, 2020 | For the Period January 16, 20191 through October 31, 2019 | Year Ended October 31, 2020 | For the Period January 16, 20191 through October 31, 2019 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 106,425 | $ | 111,932 | $ | 478,496 | $ | 318,932 | |||||||||||
Net realized gain (loss) | 10,231,578 | (341,496 | ) | 369,267 | (1,139,385 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (1,587,984 | ) | 4,830,081 | (4,917,394 | ) | 3,015,002 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 8,750,019 | 4,600,517 | (4,069,631 | ) | 2,194,549 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (115,792 | ) | (84,942 | ) | (535,375 | ) | (184,680 | ) | |||||||||||
Total distributions | (115,792 | ) | (84,942 | ) | (535,375 | ) | (184,680 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 22,362,724 | 31,872,358 | 9,376,580 | 34,942,770 | |||||||||||||||
Cost of shares redeemed | (30,283,476 | ) | (7,159,961 | ) | (16,702,106 | ) | (5,273,047 | ) | |||||||||||
Transaction fees (Note 4) | 9,515 | 8,485 | 5,904 | 7,276 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (7,911,237 | ) | 24,720,882 | (7,319,622 | ) | 29,676,999 | |||||||||||||
Total increase (decrease) in net assets | 722,990 | 29,236,457 | (11,924,628 | ) | 31,686,868 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 29,236,457 | — | 31,686,868 | — | |||||||||||||||
End of year/period | $ | 29,959,447 | $ | 29,236,457 | $ | 19,762,240 | $ | 31,686,868 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 475,001 | — | 575,001 | — | |||||||||||||||
Shares sold | 275,000 | 600,001 | 225,000 | 675,001 | |||||||||||||||
Shares repurchased | (425,000 | ) | (125,000 | ) | (325,000 | ) | (100,000 | ) | |||||||||||
Shares outstanding, end of year/period | 325,001 | 475,001 | 475,001 | 575,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION ANNUAL REPORT
58
Financial Highlights
October 31, 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 Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 23.53 | $ | (0.02 | ) | $ | (0.02 | ) | $ | (0.29 | ) | $ | (0.31 | ) | $ | (0.06 | ) | $ | — | $ | (0.03 | ) | $ | (0.09 | ) | $ | 23.13 | -1.31 | % | $ | 43,946 | 0.70 | % | 0.70 | % | (0.10 | )% | 0.70 | % | 0.70 | % | (0.10 | )% | 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, 20178 through October 31, 2017 | $ | 25.00 | 0.01 | 0.01 | (1.19 | ) | (1.18 | ) | — | — | — | — | $ | 23.82 | -4.72 | % | $ | 11,911 | 0.70 | % | 1.35 | % | 0.07 | % | 0.70 | % | 1.35 | % | 0.07 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Connected Consumer ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period August 25, 20208 through October 31, 2020 | $ | 50.00 | 0.0010 | 0.0010 | 0.89 | 0.89 | — | — | — | — | $ | 50.89 | 1.78 | % | $ | 8,905 | 0.45 | % | 0.45 | % | (0.05 | )% | 0.45 | % | 0.45 | % | (0.05 | )% | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Dynamic Hedge ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 11, 20208 through October 31, 2020 | $ | 50.00 | 0.27 | 0.27 | (0.87 | ) | (0.60 | ) | (0.17 | ) | — | — | (0.17 | ) | $ | 49.23 | -1.19 | % | $ | 6,154 | 0.55 | % | 0.55 | % | 1.41 | % | 0.55 | % | 0.55 | % | 1.41 | % | 12 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Fallen Knives ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 11, 20208 through October 31, 2020 | $ | 50.00 | 0.07 | 0.07 | 4.74 | 4.81 | (0.04 | ) | — | — | (0.04 | ) | $ | 54.77 | 9.63 | % | $ | 6,846 | 0.50 | % | 0.50 | % | 0.32 | % | 0.50 | % | 0.50 | % | 0.32 | % | 115 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 5, 20208 through October 31, 2020 | $ | 50.00 | 0.53 | 0.53 | 2.38 | 2.91 | (0.48 | ) | — | — | (0.48 | ) | $ | 52.43 | 5.85 | % | $ | 24,906 | 0.30 | % | 0.30 | % | 1.37 | % | 0.30 | % | 0.30 | % | 1.37 | % | 33 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion High Growth ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 11, 20208 through October 31, 2020 | $ | 50.00 | 0.05 | 0.05 | 1.28 | 1.33 | (0.04 | ) | — | — | (0.04 | ) | $ | 51.29 | 2.67 | % | $ | 7,694 | 0.40 | % | 0.40 | % | 0.25 | % | 0.40 | % | 0.40 | % | 0.25 | % | 40 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion MSCI USA ESG — Leaders vs. Laggards ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 5, 20208 through October 31, 2020 | $ | 50.00 | 0.61 | 0.61 | 3.66 | 4.27 | (0.57 | ) | — | — | (0.57 | ) | $ | 53.70 | 8.66 | % | $ | 10,740 | 0.40 | % | 0.40 | % | 1.63 | % | 0.40 | % | 0.40 | % | 1.63 | % | 66 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 51.32 | 0.38 | 0.38 | 11.72 | 12.10 | (0.39 | ) | — | — | (0.39 | ) | $ | 63.03 | 23.69 | % | $ | 274,199 | 0.35 | % | 0.35 | % | 0.67 | % | 0.35 | % | 0.35 | % | 0.67 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period February 5, 20208 through October 31, 2020 | $ | 50.00 | 0.57 | 0.57 | 1.60 | 2.17 | (0.53 | ) | — | — | (0.53 | ) | $ | 51.64 | 4.46 | % | $ | 10,327 | 0.35 | % | 0.35 | % | 1.57 | % | 0.35 | % | 0.35 | % | 1.57 | % | 106 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Work From Home ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 25, 20208 through October 31, 2020 | $ | 50.00 | 0.15 | 0.15 | 3.65 | 3.80 | (0.03 | ) | — | — | (0.03 | ) | $ | 53.77 | 7.60 | % | $ | 133,078 | 0.45 | % | 0.45 | % | 0.81 | % | 0.45 | % | 0.45 | % | 0.81 | % | 32 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | $ | 61.55 | 0.35 | 0.36 | 30.60 | 30.95 | (0.32 | ) | — | — | (0.32 | ) | $ | 92.18 | 50.43 | % | $ | 29,959 | 0.47 | % | 0.47 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.47 | % | 12 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 Year Ended October 31, 2020 | $ | 55.11 | 1.05 | 1.06 | (13.54 | ) | (12.49 | ) | (1.02 | ) | — | — | (1.02 | ) | $ | 41.60 | -23.00 | % | $ | 19,762 | 0.46 | % | 0.46 | % | 2.24 | % | 0.45 | % | 0.45 | % | 2.25 | % | 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 | % |
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. For the years ended October 31, 2016 through October 31, 2019, the total return would have been lower if certain expenses had not been reimbursed/waived by the investment advisor.
5 For periods less than a year, these ratios are annualized.
6 For the years ended October 31, 2016 through October 31, 2019, net expenses include affects 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 366 days are also excluded from portfolio turnover calculation.
8 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
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Direxion Shares ETF Trust
Notes to the Financial Statements
October 31, 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 70 separate series (each, a "Fund" and together the "Funds"). 12 of these Funds are included in this report:
Strategic Weight ETFs | Relative Weight ETFs | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Russell 1000® Growth Over Value ETF | ||||||
Direxion Connected Consumer ETF | Direxion Russell 1000® Value Over Growth ETF | ||||||
Direxion Dynamic Hedge ETF | |||||||
Direxion Fallen Knives ETF | |||||||
Direxion Flight to Safety ETF (Consolidated) | |||||||
Direxion High Growth ETF | |||||||
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 Work From Home ETF |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.
Rafferty Asset Management, LLC ("Rafferty") serves as investment adviser to the Funds. Rafferty has registered as a commodity pool operator ("CPO") and the Funds, with the exception of Direxion Connected Consumer ETF, Direxion Fallen Knives ETF, Direxion High Growth ETF, Direxion NASDAQ-100® Equal Weighted Index Shares and Direxion Work From Home ETF, are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, Rafferty 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.
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.
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60
Each Fund seeks investment results, before fees and expenses, that track the performance of the underlying index as listed below:
Funds | Index or Benchmark | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Auspice Broad Commodity Index | ||||||
Direxion Connected Consumer ETF | Solactive Connected Consumer Index | ||||||
Direxion Dynamic Hedge ETF | Salt truVolTM US Large Cap Dynamic Hedge Index | ||||||
Direxion Fallen Knives ETF | Indxx US Fallen Knives Index | ||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | Solactive Flight to Safety Index | ||||||
Direxion High Growth ETF | Russell 1000® Hyper Growth 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 Work From Home ETF | Solactive Remote Work 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 |
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 October 31, 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
DIREXION ANNUAL REPORT
61
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.
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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 October 31, 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 October 31, 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 Dynamic Hedge ETF | $ | — | $ | — | $ | — | $ | — | $ | 3,986 | $ | — | $ | — | $ | 3,986 | |||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 195,287 | — | — | 195,287 | — | — | — | — | |||||||||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 59,738 | — | — | 59,738 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 1,301,735 | 681,696 | 620,0391 | — | 681,696 | — | 681,6961 | — | |||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | — | — | — | 1,510,583 | — | 1,510,5831 | — |
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 | $ | 160,385 | $ | — | $ | 150,000 | $ | 10,385 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 372,331 | — | — | 372,331 | — | — | — | — |
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), Direxion Dynamic Hedge ETF and Direxion Flight to Safety Strategy ETF (Consolidated) were invested in futures contracts as of the period ended October 31, 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 October 31,2020.
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) 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
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64
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 October 31, 2020, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $43,945,858 of which $10,485,710, or approximately 23.9%, 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 October 31, 2020, the net assets of the Direxion Flight to Safety Strategy ETF were $24,906,447 of which $5,560,461, or approximately 22.3%, 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 October 31, 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 33?% 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 October 31, 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.
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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 October 31, 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 Fallen Knives ETF | $ | 14,649 | $ | 15,825 | $ | — | $ | 15,825 | |||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 15,958 | 6,493 | 9,869 | 16,361 | |||||||||||||||
Direxion Work From Home ETF | 5,487,485 | 3,213,732 | 2,567,179 | 5,780,911 |
k) 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 period ended October 31, 2020.
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.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees. 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 October 31, 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.
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Year/Period Ended October 31, 2020 | 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 Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 74,461 | $ | — | $ | 46,911 | $ | 1,191,152 | $ | — | $ | — | |||||||||||||||
Direxion Connected Consumer ETF4 | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Dynamic Hedge ETF2 | 21,371 | — | — | — | — | — | |||||||||||||||||||||
Direxion Fallen Knives ETF2 | 4,961 | — | — | — | — | ||||||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated)1 | 261,007 | — | — | — | — | ||||||||||||||||||||||
Direxion High Growth ETF2 | 6,374 | — | — | — | — | — | |||||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF1 | 130,204 | — | — | — | — | — | |||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 1,713,664 | — | — | 1,593,524 | — | — | |||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF1 | 120,816 | — | — | — | — | — | |||||||||||||||||||||
Direxion Work From Home ETF3 | 68,991 | — | — | — | — | — | |||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 115,792 | — | — | 84,942 | — | — | |||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 535,375 | — | — | 184,680 | — | — |
1 Commenced operations on February 5, 2020.
2 Commenced operations on June 11, 2020.
3 Commenced operations on June 25, 2020.
4 Commenced operations on August 25, 2020.
At October 31, 2020, 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 Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 600,825 | $ | — | $ | — | $ | (109,271 | ) | $ | 491,554 | ||||||||||||
Direxion Connected Consumer ETF | (83,738 | ) | 134,242 | — | — | 50,504 | |||||||||||||||||
Direxion Dynamic Hedge ETF | 120,943 | 12,762 | — | (229,466 | ) | (95,761 | ) | ||||||||||||||||
Direxion Fallen Knives ETF | 128,497 | 467,921 | — | — | 596,418 | ||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 853,878 | 521,492 | — | (277,199 | ) | 1,098,171 | |||||||||||||||||
Direxion High Growth ETF | 248,593 | 764 | — | (206,916 | ) | 42,441 | |||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 459,307 | 328,303 | — | — | 787,610 | ||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 45,244,220 | 223,632 | — | — | 45,467,852 | ||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 665,498 | 10,209 | — | (36,176 | ) | 639,531 | |||||||||||||||||
Direxion Work From Home ETF | (204,373 | ) | 1,219,265 | — | — | 1,014,892 | |||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 2,493,474 | 19,573 | — | — | 2,513,047 | ||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | (3,108,091 | ) | 79,323 | — | (1,400,695 | ) | (4,429,463 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
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At October 31, 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 Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | 600,825 | $ | — | $ | 600,825 | |||||||||||
Direxion Connected Consumer ETF | 8,982,343 | 541,935 | (625,673 | ) | (83,738 | ) | |||||||||||||
Direxion Dynamic Hedge ETF | 5,325,030 | 212,777 | (91,834 | ) | 120,943 | ||||||||||||||
Direxion Fallen Knives ETF | 6,723,992 | 617,751 | (489,254 | ) | 128,497 | ||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 22,485,974 | 1,757,082 | (903,204 | ) | 853,878 | ||||||||||||||
Direxion High Growth ETF | 7,442,124 | 675,371 | (426,778 | ) | 248,593 | ||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 10,246,462 | 1,160,553 | (701,246 | ) | 459,307 | ||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 228,713,499 | 61,108,248 | (15,864,028 | ) | 45,244,220 | ||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 9,932,832 | 1,433,314 | (767,816 | ) | 665,498 | ||||||||||||||
Direxion Work From Home ETF | 136,181,456 | 8,028,831 | (8,233,204 | ) | (204,373 | ) | |||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 27,407,431 | 4,437,905 | (1,944,431 | ) | 2,493,474 | ||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 21,904,370 | 148,093 | (3,256,184 | ) | (3,108,091 | ) |
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").
On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax differences between accounting for total distributable earnings and capital stock under GAAP and tax reporting:
Funds | Total Distributable Earnings (Loss) | Capital Stock | |||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 626,140 | $ | (626,140 | ) | ||||||
Direxion Connected Consumer ETF | — | — | |||||||||
Direxion Dynamic Hedge ETF | — | — | |||||||||
Direxion Fallen Knives ETF | — | — | |||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | (465,796 | ) | 465,796 | ||||||||
Direxion High Growth ETF | — | — | |||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | (130,284 | ) | 130,284 | ||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | (25,531,470 | ) | 25,531,470 | ||||||||
Direxion S&P 500® High minus Low Quality ETF | 299,795 | (299,795 | ) | ||||||||
Direxion Work From Home ETF | (336,214 | ) | 336,214 | ||||||||
Direxion Russell 1000® Growth Over Value ETF | (10,264,783 | ) | 10,264,783 | ||||||||
Direxion Russell 1000® Value Over Growth ETF | (1,517,668 | ) | 1,517,668 |
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, 2020, the permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses and the utilization of earnings and profits distributed to shareholders on redemption of shares.
In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2020.
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At October 31, 2020, these Funds deferred, on a tax basis, qualified late year losses of:
Funds | Ordinary Late Year Loss Deferral | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 105,063 | |||||
Direxion Connected Consumer ETF | — | ||||||
Direxion Dynamic Hedge ETF | — | ||||||
Direxion Fallen Knives ETF | — | ||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | — | ||||||
Direxion High Growth ETF | — | ||||||
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 Work From Home ETF | — | ||||||
Direxion Russell 1000® Growth Over Value ETF | — | ||||||
Direxion Russell 1000® Value Over Growth ETF | — |
Under current law, each Fund 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, 2020, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Utilized in Current Year | Unlimited ST | Unlimited LT | ||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | — | |||||||||
Direxion Connected Consumer ETF | — | — | — | ||||||||||||
Direxion Dynamic Hedge ETF | — | 68,620 | 160,846 | ||||||||||||
Direxion Fallen Knives ETF | — | — | — | ||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | — | 277,199 | — | ||||||||||||
Direxion High Growth ETF | — | 206,916 | — | ||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | — | — | — | ||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 3,119,349 | — | — | ||||||||||||
Direxion S&P 500® High minus Low Quality ETF | — | 36,176 | — | ||||||||||||
Direxion Work From Home ETF | — | — | — | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 715,417 | — | — | ||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 57,298 | 1,400,695 | — |
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 October 31, 2020, open U.S. Federal and state income tax years include the tax years ended October 31, 2017 through October 31, 2020. 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 for a Strategic Weight 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
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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 October 31, 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 Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Direxion Connected Consumer ETF4 | 7,233,310 | 993,623 | 2,607,727 | — | |||||||||||||||
Direxion Dynamic Hedge ETF2 | 5,912,432 | 570,052 | — | — | |||||||||||||||
Direxion Fallen Knives ETF2 | 12,584,117 | 6,340,618 | — | — | |||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated)1 | 35,888,268 | 9,051,159 | 1,004,354 | 5,769,062 | |||||||||||||||
Direxion High Growth ETF2 | 8,708,743 | 2,459,482 | 1,399,779 | — | |||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF1 | 16,536,182 | 6,418,498 | — | — | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 87,957,778 | 88,002,401 | 81,304,182 | 75,964,754 | |||||||||||||||
Direxion S&P 500® High minus Low Quality ETF1 | 17,176,984 | 10,137,197 | 3,399,756 | 922,047 | |||||||||||||||
Direxion Work From Home ETF3 | 44,115,897 | 23,799,246 | 115,716,678 | 2,781,604 | |||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 3,020,242 | 2,825,382 | 21,244,724 | 25,402,588 | |||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | — | 7,560,732 | 7,882,633 | 11,092,494 |
1 Represents the period from February 5, 2020 (commencement of operations) to October 31, 2020.
2 Represents the period from June 11, 2020 (commencement of operations) to October 31, 2020.
3 Represents the period from June 25, 2020 (commencement of operations) to October 31, 2020.
4 Represents the period from August 25, 2020 (commencement of operations) to October 31, 2020.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended October 31, 2020.
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 Connected Consumer ETF | 0.40 | % | |||||
Direxion Dynamic Hedge ETF | 0.50 | % | |||||
Direxion Fallen Knives ETF | 0.45 | % | |||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 0.25 | % | |||||
Direxion High Growth ETF | 0.35 | % |
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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 Work From Home ETF | 0.40 | % | |||||
Direxion Russell 1000® Growth Over Value ETF | 0.40 | % | |||||
Direxion Russell 1000® Value Over Growth ETF | 0.40 | % |
Additionally, the Trust has entered into a Management Services Agreement with Rafferty. Under the Management Services Agreement, the Trust pays Rafferty management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates Rafferty for performing certain management, administration and compliance functions related to the Trust.
The Funds have entered into an Operating Services Agreement. Under the Operating Services Agreement, Rafferty will pay all the expenses (with certain exceptions such as management fees, Rule 12b-1 fees and swap financing and related costs) 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 Auspice Broad Commodity Strategy ETF (Consolidated) | 0.20 | % | |||||
Direxion Connected Consumer ETF | 0.05 | % | |||||
Direxion Dynamic Hedge ETF | 0.05 | % | |||||
Direxion Fallen Knives ETF | 0.05 | % | |||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 0.05 | % | |||||
Direxion High Growth ETF | 0.05 | % | |||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 0.05 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.05 | % | |||||
Direxion S&P 500® High minus Low Quality ETF | 0.05 | % | |||||
Direxion Work From Home ETF | 0.05 | % | |||||
Direxion Russell 1000® Growth Over Value ETF | 0.05 | % | |||||
Direxion Russell 1000® Value Over Growth ETF | 0.05 | % |
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.
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The following is a summary of the inputs used to value the Funds' investments at October 31, 2020:
Asset Class | Liability Class | ||||||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 1 | Level 2 | ||||||||||||||||||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Master Limited Partnerships | Short Term Investments | Cash Equivalents | Futures Contracts* | Total Return Swap Contracts* | Futures Contracts* | Total Return Swap Contracts* | ||||||||||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | — | $ | — | $ | 41,197,105 | $ | 600,825 | $ | — | $ | — | $ | — | |||||||||||||||||||||
Direxion Connected Consumer ETF | — | 8,898,605 | — | — | 9,562 | — | — | — | — | ||||||||||||||||||||||||||||||
Direxion Dynamic Hedge ETF | 5,449,959 | — | — | — | 437,937 | 87,848 | — | — | (3,986 | ) | |||||||||||||||||||||||||||||
Direxion Fallen Knives ETF | — | 6,836,664 | — | 15,825 | 11,033 | — | — | — | — | ||||||||||||||||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 16,711,713 | 6,688,569 | — | — | 1,393,603 | — | — | (60,430 | ) | — | |||||||||||||||||||||||||||||
Direxion High Growth ETF | — | 7,690,717 | — | — | 2,203 | — | — | — | — | ||||||||||||||||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | — | 10,326,402 | — | 23,695 | 183,449 | — | 355,672 | — | — | ||||||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | 273,957,719 | — | — | 260,459 | — | — | — | — | ||||||||||||||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | — | 9,599,163 | — | 567,098 | 333,178 | — | 432,069 | — | — | ||||||||||||||||||||||||||||||
Direxion Work From Home ETF | — | 132,763,351 | — | 3,213,732 | 275,771 | — | — | — | — | ||||||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 29,219,015 | — | — | 61,851 | 1,162,423 | — | 1,301,735 | — | (681,696 | ) | |||||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 18,396,064 | — | — | 1,910,798 | 973,670 | — | — | — | (1,510,583 | ) |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Futures contracts and total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
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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 October 31, 2020, certain Funds were invested in swap contracts. At October 31, 2020, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||
Swap Contracts Fund | Equity Risk | Total | |||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | $ | 355,672 | $ | 355,672 | |||||||
Direxion S&P 500® High minus Low Quality ETF | 432,069 | 432,069 | |||||||||
Direxion Russell 1000® Growth Over Value ETF | 1,301,735 | 1,301,735 |
Futures Contracts* Fund | Equity Risk | Commodity Risk | Total | ||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | 600,825 | $ | 600,825 | |||||||||
Direxion Dynamic Hedge ETF | 87,848 | — | 87,848 |
Liability Derivatives2 | |||||||||||
Swap Contracts Fund | Equity Risk | Total | |||||||||
Direxion Dynamic Hedge ETF | $ | 3,986 | $ | 3,986 | |||||||
Direxion Russell 1000® Growth Over Value ETF | 681,696 | 681,696 | |||||||||
Direxion Russell 1000® Value Over Growth ETF | 1,510,583 | 1,510,583 |
Futures Contracts* Fund | Equity Risk | Commodity Risk | Total | ||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | $ | — | $ | 60,430 | $ | 60,430 |
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.
Transactions in derivative instruments during the period ended October 31, 2020, by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Commodity Risk | Equity Risk | Commodity Risk | |||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Futures Contracts | $ | — | $ | (652,619 | ) | $ | — | $ | 260,270 | |||||||||||||
Direxion Dynamic Hedge ETF | Swap Contracts | 55,961 | — | (3,986 | ) | — | |||||||||||||||||
Direxion Dynamic Hedge ETF | Futures Contracts | (355,925 | ) | — | 87,848 | — | |||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | Futures Contracts | 283,630 | — | (60,430 | ) | — | |||||||||||||||||
Direxion MSCI USA ESG — Leaders vs. Laggards ETF | Swap Contracts | 343,677 | — | 355,672 | — |
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Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||||||
Fund | Equity Risk | Commodity Risk | Equity Risk | Commodity Risk | |||||||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | Swap Contracts | $ | (184,300 | ) | $ | — | $ | 432,069 | $ | — | |||||||||||||
Direxion Russell 1000® Growth Over Value ETF | Swap Contracts | 4,344,894 | — | (907,133 | ) | — | |||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | Swap Contracts | (931,703 | ) | — | (2,475,991 | ) | — |
1 Statements of Operations location: Net realized gain (loss) on swap and futures contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap and futures contracts.
For the period ended October 31, 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 | Short Futures Contracts | ||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | — | $ | 18,983,946 | $ | — | |||||||||||
Direxion Connected Consumer ETF | — | — | — | ||||||||||||||||
Direxion Dynamic Hedge ETF | 191,299 | — | — | 1,697,460 | |||||||||||||||
Direxion Fallen Knives ETF | — | — | — | ||||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | — | — | 1,112,000 | ||||||||||||||||
Direxion High Growth ETF | — | — | — | ||||||||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 4,558,637 | 4,258,493 | — | ||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | — | — | — | |||||||||||||||
Direxion S&P 500® High minus Low Quality ETF | 4,236,833 | 3,585,081 | — | ||||||||||||||||
Direxion Work From Home ETF | — | — | — | ||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF | 11,874,651 | 11,283,684 | — | ||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF | 11,926,160 | 9,846,222 | — |
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
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74
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.
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. 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 December 9, 2020, certain Funds declared capital gain distributions with an ex-date of December 10, 2020 and payable date of December 17, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Short Term Capital Gain Distribution | ||||||
Direxion Connected Consumer ETF | $ | 0.71930 | |||||
Direxion Fallen Knives ETF | 3.71732 | ||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 1.59902 | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.03496 | ||||||
Direxion Work From Home ETF | 0.41560 |
On December 21, 2020, certain Funds declared income distributions with an ex-date of December 22, 2020 and payable date of December 30, 2020. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion Connected Consumer ETF | $ | 0.04780 | |||||
Direxion Dynamic Hedge ETF | 0.26697 | ||||||
Direxion Fallen Knives ETF | 0.17408 | ||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 1.23245 | ||||||
Direxion High Growth ETF | 0.04806 | ||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 0.18434 | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.11319 | ||||||
Direxion S&P 500® High minus Low Quality ETF | 0.21173 | ||||||
Direxion Work From Home ETF | 0.13670 | ||||||
Direxion Russell 1000® Growth Over Value ETF | 0.15802 | ||||||
Direxion Russell 1000® Value Over Growth ETF | 0.27339 |
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76
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Connected Consumer ETF, Direxion Dynamic Hedge ETF, Direxion Fallen Knives ETF, Direxion Flight to Safety Strategy ETF (Consolidated), Direxion High Growth ETF, 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 Work From Home ETF, Direxion Russell 1000® Growth Over Value ETF, Direxion Russell 1000® Value Over Growth ETF and the Board of Trustees of Direxion Shares ETF Trust.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Connected Consumer ETF, Direxion Dynamic Hedge ETF, Direxion Fallen Knives ETF, Direxion Flight to Safety Strategy ETF (Consolidated), Direxion High Growth ETF, 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 Work From Home ETF, Direxion Russell 1000® Growth Over Value ETF and Direxion Russell 1000® Value Over Growth ETF (collectively referred to as the "Funds"), (12 of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2020, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (12 of the funds constituting Direxion Shares ETF Trust) at October 31, 2020, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual fund constituting the Direxion Shares ETF Trust | Statement of operations | Statements of changes in net assets | Financial highlights | ||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the five years in the period ended October 31, 2020 | ||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | For the year ended October 31, 2020 | For each of the two years in the period ended October 31, 2020 | For each of the three years in the period ended October 31, 2020 and the period from March 30, 2017 (commencement of operations) through October 31, 2017 | ||||||||||||
Direxion Russell 1000® Growth Over Value ETF Direxion Russell 1000® Value Over Growth ETF | For the year ended October 31, 2020 | For the year ended October 31, 2020 and the period from January 16, 2019 (commencement of operations) through October 31, 2019 | |||||||||||||
Direxion Connected Consumer ETF | For the period from August 25, 2020 (commencement of operations) through October 31, 2020 | ||||||||||||||
Direxion Dynamic Hedge ETF Direxion Fallen Knives ETF Direxion High Growth ETF | For the period from June 11, 2020 (commencement of operations) through October 31, 2020 | ||||||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) Direxion MSCI USA ESG – Leaders vs. Laggards ETF Direxion S&P 500® High minus Low Quality ETF | For the period from February 5, 2020 (commencement of operations) through October 31, 2020 | ||||||||||||||
Direxion Work From Home ETF | For the period from June 25, 2020 (commencement of operations) through October 31, 2020 |
Basis for Opinion
These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on each of the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over
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77
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Direxion investment companies since 2001.
Minneapolis, Minnesota
December 22, 2020
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Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Federal Tax Status of Dividends Declared during the Tax Year
For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction ("DRD"), the individual qualified dividend rate ("QDI"), the qualified interest income rate ("QII"), and the qualified short-term gain rate ("QSTG") is presented below.
DRD | QDI | QII | QSTG | ||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Connected Consumer ETF | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Dynamic Hedge ETF | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxon Fallen Knives ETF | 4.20 | % | 4.20 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Flight to Safety Strategy ETF (Consolidated) | 42.14 | % | 42.14 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion High Growth ETF | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion MSCI USA ESG – Leaders vs. Laggards ETF | 27.56 | % | 27.56 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 54.12 | % | 54.12 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion S&P 500® High minus Low Quality ETF | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Work From Home ETF | 15.56 | % | 15.56 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Russell 1000® Growth Over Value ETF | 28.13 | % | 28.13 | % | 0.00 | % | 0.00 | % | |||||||||||
Direxion Russell 1000® Value Over Growth ETF | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % |
The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended October 31, 2020. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.
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
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 (the "Adviser") and the Trust, on behalf of the Direxion Dynamic Hedge ETF, Direxion Fallen Knives ETF, and the Direxion High Growth ETF at the February 13, 2020 meeting, the Direxion Work From Home ETF at the May 19, 2020 meeting and the Direxion Connected Consumer ETF at the August 20, 2020 meeting, each a series of the Trust. Each series of the Trust listed above is referred to herein as a "Fund" and collectively as the "Funds." The Board, including the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 Act, as amended (the "Independent Trustees"), unanimously approved the Agreement on behalf of the Funds. The Board, including the Independent Trustees, determined that the terms of the Agreement for the Funds were fair and reasonable and in the best interests of shareholders.
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund. The Board recognized that the evaluation process with respect to the Adviser was an ongoing one and, in this regard, the Board considered information provided by the Adviser 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 the Adviser. Based on written materials received, a presentation from senior representatives of the Adviser and a discussion with the Adviser about its personnel, operations and financial condition, the Board considered the quality of the services provided by the Adviser 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 the Adviser with principal responsibility for the Funds, as well as the capacity and integrity of the Adviser's senior management and staff. The Board noted that the Adviser 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. The Board considered the Adviser'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 the Adviser will oversee all aspects of the operation of the Funds, including oversight of the Funds' service providers, and 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 the Adviser by the Funds, including in light of the investment advisory services to be provided by the Adviser. The Board considered the fees to be paid to the Adviser on an annual basis, including as limited by the Operating Services Agreement. 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 to those of similar series of the Trust.
The Board further considered the overall profitability of the Adviser's investment business and, because the Funds had not commenced operations and the Adviser had no prior profit data related to the Funds, the Board considered the break-even analysis provided by the Adviser for each Fund. The Board considered the significant drivers of cost for the Adviser 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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80
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Other Benefits. The Board considered the Adviser's representation that its relationship with the Funds may enable it to attract business to the other funds. The Board also considered that the Adviser's overall business with brokerage firms may allow it to negotiate lower commission rates and get better execution for all of its portfolio trades.
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 the Adviser, 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.
Consistent with the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") annually considers the renewal of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion Auspice Broad Commodity Strategy ETF, along with its wholly owned subsidiary, the Direxion BCS Fund, Ltd., Direxion NASDAQ-100® Equal Weighted Index Shares, Direxion Russell 1000® Growth Over Value ETF, and the Direxion Russell 1000® Value Over Growth ETF, each a series of the ETF Trust. The Agreement is initially approved for a two-year period and must be renewed yearly thereafter to remain in effect. Each series of the ETF Trust is referred to herein as a "Fund" and collectively as the "Funds."
At an in-person meeting held on August 20, 2020, following such consideration, the Board, including the trustees who are not "interested persons" of the Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 5, 2020 and August 20, 2020. The Board, including the Independent Trustees, determined that the terms of the Agreement for the Funds was fair and reasonable and in the best interests of shareholders.
In considering whether to renew the Agreement, the Board requested, and the Adviser provided, information that the Board and Adviser believed to be reasonably necessary to evaluate the Agreement. Among other information, the Board obtained and reviewed the following:
• Detailed information regarding the advisory services provided by the Adviser to the Funds;
• The Adviser's Form ADV;
• Information about the professional qualifications of those employees primarily responsible for providing services to the Funds;
• Information regarding each component of the contractual advisory fee rates for the prior fiscal year;
• Information regarding advisory fees earned and waivers made by the Adviser in connection with providing services to the Funds for the prior fiscal year or since inception, if shorter;
• Information regarding fees paid to the Adviser under, and an evaluation of the services provided per, the Management Services Agreement for the prior fiscal year;
• Performance information;
• Comparative industry fee data, including peer group comparisons;
• Information regarding the consolidated financial condition of the Adviser and the profitability to the Adviser of each Fund;
• Information regarding how the Adviser monitors the Funds' compliance with regulatory requirements and ETF Trust procedures.
The Board considered that, with respect to most Funds, they had also received information relevant to their consideration since the Fund's inception and, most recently, throughout the past year at regular Board meetings in connection with their oversight of the Funds, including information bearing on the Funds' service provider arrangements and performance results. In addition, the Board received a memorandum from counsel regarding its responsibilities with respect to the approval of the Agreement and participated in a question and answer session with representatives of the Adviser. The Board carefully
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81
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
evaluated the relevant information and the Independent Trustees were advised by legal counsel with respect to their deliberations.
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, experience, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services provided, and to be provided by the Adviser under the Agreement and noted there would be no significant differences between the scope of services provided by the Adviser in the past year and those to be provided in the upcoming year. The Board also considered the Adviser's representation to the Board that it would continue to provide investment and related services that are of materially the same quality as the services that have been provided to the Funds in the past and whether those services remain appropriate in scope and extent in light of the Funds' operations, the competitive landscape of the investment company business and investor needs.
The Board focused on the quality of the Adviser's personnel and operations and the systems and processes required to manage the Funds effectively, and noted that these systems and processes may not be present at other investment advisers. In particular the Board considered, as applicable: (1) the Adviser's success in achieving each Fund's investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) the Adviser's ability to manage the Funds in a tax efficient manner; and (4) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the relevant Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.
Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Funds. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, past and future management service fees, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in compiling the Peer Group because, by design, each Fund is unique and, therefore, few (if any) fund complexes have funds with substantially similar investment objectives and operations. They noted that an independent consultant in 2019 had reviewed the Peer Group selection methodology and the Peer Group for each Fund and that the methodology employed in 2020 was the same as that reviewed by the independent consultant.
The Board noted that the comparison reports included the contractual advisory fee and net and gross total expense ratios for each Fund and each Peer Group fund. The Board considered that the Adviser had agreed to limit the total expenses of the Funds (subject to certain exclusions) for the next year by contractually agreeing to pay certain expenses of the Funds under a separate Operating Services Agreement.
Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return or the returns of the index it tracks, for the periods ending June 30, 2020 and June 30, 2019 or since inception if a Fund did not have two full years of operations. In this regard, the Board considered each Fund's return against its index' return ("Tracking Difference"), the standard deviation of the Tracking Differences, and a tracking error analysis provided by the
DIREXION ANNUAL REPORT
82
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Adviser. The Board also reviewed the total return of each Fund for the one-year or, if shorter, since inception period ended June 30, 2020. The Board considered reports provided to it in anticipation of the meeting, as well as performance reports provided at regular Board meetings throughout the year. The Board noted that the correlation of returns for each Fund to its model or index performance was generally within reasonable ranges during the reviewed periods.
Costs of Services Provided to the Funds and Profits Realized by the Adviser. The Board reviewed information regarding the profitability of the Adviser based on the fee rates payable under the Agreement. The Board considered the profitability of each Fund and the overall profitability of the Adviser, as reflected in the Adviser's profitability analysis, as well as information provided by the Adviser concerning the methodology used to allocate various expenses. The Board also considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, the dedication of personnel resources to portfolio management activities, regulatory compliance, and entrepreneurial risk. The Board further considered a report on other investment advisers' profitability, which was compiled using publicly available information. The Board recognized that it is difficult to compare profitability among investment advisory firms because certain information is not publicly available. Further, to the extent such information is available, it is affected by numerous factors, including the nature of a firm's fund shareholder base, the structure of the adviser and its tax status, the types of funds it manages, its business mix, assumptions regarding allocations and the reporting of operating profits and net income net (rather than gross) of distribution and marketing expenses.
Economies of Scale. The Board considered the asset levels of the Funds and the fact that the size of the Funds is relatively low and assets may fluctuate significantly, and that these facts make economies of scale elusive.
Other Benefits. The Board considered indirect and "fall-out" benefits that the Adviser or its affiliates may derive from their relationship to the Funds. Such benefits include the Adviser's ability to leverage its investment management personnel or infrastructure to manage other accounts. In this regard, the Board noted that the Funds pay a management services fee to the Adviser.
Conclusion. Based on, but not limited to, the above considerations and determinations, the Board, including the Independent Trustees, determined that the Agreement for the Funds is fair and reasonable in light of the nature, extent and quality of the services to be performed, the fee rates to be paid, the Adviser's expenses and such other matters as the Board considered relevant in the exercise of its business judgment. Accordingly, the Board concluded that the continuation of the Agreement was in the best interests of the shareholders of the Funds. On this basis, the Board unanimously voted in favor of the renewal of the Agreement.
DIREXION ANNUAL REPORT
83
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 24, 2020 to review the liquidity risk management program (the "Liquidity Program"). The Board 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 November 1, 2019 through October 31, 2020. 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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84
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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. | 110 | 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: 77 | 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. | 110 | None. | ||||||||||||||||||
David L. Driscoll Age: 51 | 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. | 110 | 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. | 110 | 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 70 of the 96 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.
DIREXION ANNUAL REPORT
85
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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. | 110 | None. | ||||||||||||||||||
Kathleen M. Berkery(3) Age: 53 | 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 | 110 | 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 70 of the 96 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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86
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
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: 47 | 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 70 of the 96 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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87
ANNUAL REPORT OCTOBER 31, 2020
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.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.
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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 Annual Report.
DIREXION ANNUAL REPORT
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report. A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Gerald E. Shanley III is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past fiscal year. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal year. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning, including assessment of FIN 48 for the Funds and additional tax research. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last fiscal year for audit fees, audit-related fees, tax fees and other fees by the principal accountant. The table presents aggregate fees billed to the registrant and reflected in the financial statements of the report to shareholders.
FYE 10/31/2020 | FYE 10/31/2019 | |||||||
Audit Fees | $ | 1,227,556 | $ | 1,556,322 | ||||
Audit-Related Fees | - | - | ||||||
Tax Fees | 660,503 | 614,979 | ||||||
All Other Fees | - | - |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentages of fees billed by Ernst & Young LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
FYE 10/31/2020 | FYE 10/31/2019 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. (If more than 50 percent of the accountant’s hours were spent to audit the registrant's financial statements for the fiscal year, state how many hours were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.)
The following table indicates the non-audit fees, other than the tax services as noted above, billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last year. The audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
Non-Audit Related Fees | FYE 10/31/2020 | FYE 10/31/2019 | ||||||
Registrant | None | None | ||||||
Registrant’s Investment Adviser | None | None |
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
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 President and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Direxion Shares ETF Trust |
By (Signature and Title) | /s/ Patrick J. Rudnick | ||
Patrick J. Rudnick, Principal Executive Officer |
Date | 1/4/2021 |
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 | 1/4/2021 |
By (Signature and Title) | /s/ Patrick J. Rudnick | ||
Patrick J. Rudnick, Principal Financial Officer |
Date | 1/4/2021 |