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, 2023
Date of reporting period: April 30, 2023
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.
(a)
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2023
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxion.com
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Direxion Hydrogen ETF
Direxion Moonshot Innovators ETF
Direxion mRNA ETF
Direxion NASDAQ-100® Equal Weighted Index Shares
Direxion Work From Home 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.
Table of Contents
Letter to Shareholders | 4 | ||||||
Expense Example | 8 | ||||||
Allocation of Portfolio Holdings | 10 | ||||||
Schedules of Investments | 11 | ||||||
Statements of Assets and Liabilities | 19 | ||||||
Statements of Operations | 21 | ||||||
Statements of Changes in Net Assets | 23 | ||||||
Financial Highlights | 26 | ||||||
Notes to the Financial Statements | 28 | ||||||
Supplemental Information | 39 | ||||||
Trustees and Officers | 40 |
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Letter to Shareholders (Unaudited)
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2022 to April 30, 2023 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period was filled with volatility in the equity markets as inflation, the Russia-Ukraine war, China's zero-Covid policy and the banking crisis were top of mind for many investors. In the fourth quarter of 2022, the S&P 500® Index was down nearly 20%, although earnings grew. 2023 started out on a stronger note as equity markets rallied in January, but market sentiment in February was much more bearish on the heels of a higher-than expected Consumer Price Index (CPI) reading, confirming inflation is stickier than once anticipated. Through the end of 2022, tech was out of favor, while the energy sector provided a beacon of light. However, in 2023, that trend reversed, and tech outperformed energy, as well as the rest of the market, for most of the first part of this year. China effectively ended their zero-Covid policy in December, causing Chinese and Chinese-adjacent equities to rally. The Russia-Ukraine war waged on, but January through April saw global supply chain improvement. Domestically, despite high inflation and a weak dollar, the labor market remained tight throughout the Semi-Annual Period. In early March, three regional banks collapsed one after another, beginning with Silicon Valley Bank, causing the financials segment of the S&P 500® Index to fall nearly 10% in March. Some fears around the banking sector, specifically smaller banks, bled into April. In summary, the Semi-Annual Period began, and ended, with recessionary fears, inflation and uncertainty surrounding the market environment.
All eyes were on the Federal Reserve during the Semi-Annual Period as it attempted to combat inflation and market volatility. As the Federal Reserve conducted a series of rate hikes, Treasury yields peaked in November, and started to go down in the latter half of November and December. Generally, short-term yields tended to be higher than long-term yields, and high yield modestly outperformed investment grade. In fact, bonds outperformed stocks in 2022, which is extremely rare, although both ended 2022 in the red. Inflation started to come down in January, and the Federal Reserve reduced rate hikes from 50 bps to 25 bps on February 1. Similar to equities, the fixed income market rallied in January as headline CPI ticked down. However, the February CPI reading was higher-than-expected, prompting markets to anticipate further hawkish monetary policy. The banking collapse also influenced the fixed income market, causing interest rate expectations to decrease and lending standards to tighten. Although the yield curve remains inverted, it is much less inverted than it was at the beginning of the Semi-Annual Period. U.S. high yield and U.S. corporate bonds provided the best returns in the first quarter of 2023, but the bond market remained at historically high volatility levels.
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 period 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 Semi-Annual Period. The performance of the ETFs for the Semi-Annual Period is important primarily for understanding whether the ETFs meet their investment goals. All ETF returns are NAV (net asset value) returns.
DIREXION SEMI-ANNUAL REPORT
4
Non-Leveraged ETFs
The Direxion Auspice Broad Commodity Strategy ETF seeks investment results, before fees and expenses, that track the Auspice Broad Commodity Index over a complete market cycle. The Auspice Broad Commodity Index seeks to capture the majority of the commodity upside returns, while seeking to mitigate downside risk. The Auspice Broad Commodity Index will use a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 different commodity futures contracts, or "components", which cover the energy, metal, and agricultural sectors. It attempts to incorporate dynamic risk management and contract rolling methods. For the Semi-Annual Period, the Auspice Broad Commodity Index returned 6.11%, while the Direxion Auspice Broad Commodity Strategy ETF returned 7.92%.
The metals portion of the Direxion Auspice Broad Commodity Strategy ETF had a particularly strong showing this Semi-Annual Period, allowing the fund to post positive returns despite negative returns in agriculture and energy (with the exception of sugar and cotton). In terms of top and bottom performers, sugar active contract futures returned 56.75%, while natural gas active contract futures lost -45.63% over the course of the Semi-Annual Period.
The Direxion Hydrogen ETF seeks investment results, before fees and expenses, that track the Indxx Hydrogen Economy Index. The Indxx Hydrogen Economy Index tracks the performance of companies that provide goods and/or services related to the Hydrogen Industry, including hydrogen generation and storage, transportation and supply of hydrogen, fuel cells, and hydrogen fueling stations. The Index includes domestic securities as well as securities listed on various foreign markets, including among others, Japan and South Korea. The Index is reconstituted annually and rebalanced quarterly. For the Semi-Annual Period, the Indxx Hydrogen Economy Index returned 4.66%, while the Direxion Hydrogen ETF returned 4.63%.
Hydrogen continues to gain momentum in discussions and policy surrounding the future of the energy sector, especially after the passage of the Inflation Reduction Act, which includes tax exemption provisions for hydrogen. Chung-Hsin Electric & Machinery Manufacturing (1513 TT) and Hyster-Yale Materials Handling (HY) were the top performers during the Semi-Annual Period for the Direxion Hydrogen ETF, while more well-known names in the industry such as Plug Power (PLUG) and FuelCell Energy (FCEL) experienced significant losses.
The Direxion Moonshot Innovators ETF seeks investment results, before fees and expenses, that track the S&P Kensho Moonshots Index. The S&P Kensho Moonshots Index is comprised of 50 U.S. companies that pursue innovative technologies that have the potential to disrupt existing technologies and/or industries (i.e., moonshot innovators) and are considered to have the highest "early-stage composite innovation scores" which is determined based off a natural language processing review of the constituent company's latest annual regulatory filing for the use of words and phrases that are related to innovation. The Index is modified equal-weighted, reconstituted annually, and rebalanced semi-annually. For the Semi-Annual Period, the S&P Kensho Moonshots Index returned -22.01%, while the Direxion Moonshot Innovators ETF returned -21.84%.
International names with ADRs such as Bilibili (BILI) and EHang Holdings (EH) were the top performers for the Direxion Moonshot Innovators ETF, whereas names like Meta Materials (MMAT) and View Inc (VIEW) struggled, although they make up very little of the portfolio by weight. Mega-tech names have come back into favor during this Semi-Annual Period, which has made it more difficult for smaller companies, such as those contained in Direxion Moonshot Innovators ETF, to garner interest. The Direxion Moonshot Innovators ETF is made up of nearly 50% tech names, followed by healthcare, which has also had a difficult few months.
The Direxion NASDAQ-100® Equal Weighted Index Shares seeks investment results, before fees and expenses, that track the NASDAQ-100® Equal Weighted Index. The NASDAQ-100® Equal Weighted Index is the equal weighted version of the NASDAQ-100 Index® which includes approximately 100 of the largest domestic and international non-financial companies listed on the NASDAQ® Stock Market based on market capitalization selected by NASDAQ, Inc., the index provider. Equal weighting is a method of weighting index stocks whereby the same exposure is provided to both the smallest and largest companies included in the Index. The Index is rebalanced quarterly and reconstituted annually. For the Semi-Annual Period, the NASDAQ-100® Equal Weighted Index returned 11.79%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned 11.61%.
DIREXION SEMI-ANNUAL REPORT
5
The top performers were Meta Platforms, Inc. (META) and NVIDIA Corporation (NVDA), both returning over 100%. Rivian Automotive Inc brought up the rear (RIVN). Tech came back into favor during the course of this Semi-Annual Period, which helped drive positive returns. However, it is important to note that while the Direxion NASDAQ-100® Equal Weighted Index Shares leans towards tech names, the portfolio is diversified across sectors, with consumer discretionary and healthcare following IT in terms of weight.
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 approximately 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. For the Semi-Annual Period, the Solactive Remote Work Index returned -2.62%, while the Direxion Work From Home ETF returned -2.73%.
By now, it is clear that working from home in a significant capacity is a permanent fixture in the corporate world. Meta Platforms, Inc. (META) had outstanding performance, returning over 150% during the Semi-Annual Period, whereas lesser known holdings such as Exela Technologies Inc (XELA) and Rackspace Technology, Inc. (RXT) struggled, both of which are in the cloud space.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
Patrick Rudnick | Corey Noltner | ||||||
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 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.
DIREXION SEMI-ANNUAL REPORT
6
SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. 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 – 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 underlying 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. A 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 a 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 a Fund. There may be an imperfect correlation between the changes in market value of the securities held by a 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"), a Fund and its 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 the Funds and Subsidiaries in accordance with CFTC rules, as well as the rules that apply to registered investment companies, which includes registering both each Fund and its 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 each Fund or its Subsidiary. Additionally, a Subsidiary's positions in futures contracts may have to be liquidated at disadvantageous times or prices to prevent a Fund from exceeding any applicable position limits established by the CFTC. Such actions may subject the Fund to substantial losses.
Direxion Shares ETF Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are subject to certain risks, including imperfect index correlation and market price variance, that may decrease performance. As non-diversified funds, the ETFs may invest in a relatively small number of issuers and, as a result, be subject to greater risk of loss with respect to its portfolio securities. An ETF may concentrate its investments in certain industries or sectors, which can increase volatility. The ETFs may experience greater fluctuation in its net asset value as compared to other investments. These ETFs may be appropriate for investors with a long-term investment time horizon, who primarily seek capital growth, and who are able to tolerate periods of prolonged price declines. Please read each ETF's prospectus for a more complete description of the investment risks. There is no guarantee that an ETF will achieve its investment objective.
The views of this letter were those of the Adviser as of April 30, 2023 and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION SEMI-ANNUAL REPORT
7
Expense Example (Unaudited)
April 30, 2023
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 (November 1, 2022 to April 30, 2023).
Actual expenses
The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2022 to April 30, 2023" 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.
DIREXION SEMI-ANNUAL REPORT
8
Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period November 1, 2022 to April 30, 2023* | ||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||||||||||||||||||
Based on actual fund return | 0.70 | % | $ | 1,000.00 | $ | 1,079.20 | $ | 3.61 | |||||||||||
Based on hypothetical 5% return | 0.70 | % | 1,000.00 | 1,021.32 | 3.51 | ||||||||||||||
Direxion Hydrogen ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 1,046.30 | 2.28 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.56 | 2.26 | ||||||||||||||
Direxion Moonshot Innovators ETF | |||||||||||||||||||
Based on actual fund return | 0.65 | % | 1,000.00 | 781.60 | 2.87 | ||||||||||||||
Based on hypothetical 5% return | 0.65 | % | 1,000.00 | 1,021.57 | 3.26 | ||||||||||||||
Direxion mRNA ETF | |||||||||||||||||||
Based on actual fund return | 0.65 | % | 1,000.00 | 953.00 | 3.15 | ||||||||||||||
Based on hypothetical 5% return | 0.65 | % | 1,000.00 | 1,021.57 | 3.26 | ||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||
Based on actual fund return | 0.35 | % | 1,000.00 | 1,116.10 | 1.84 | ||||||||||||||
Based on hypothetical 5% return | 0.35 | % | 1,000.00 | 1,023.06 | 1.76 | ||||||||||||||
Direxion Work From Home ETF | |||||||||||||||||||
Based on actual fund return | 0.45 | % | 1,000.00 | 972.70 | 2.20 | ||||||||||||||
Based on hypothetical 5% return | 0.45 | % | 1,000.00 | 1,022.56 | 2.26 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2022 to April 30, 2023), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
9
Allocation of Portfolio Holdings (Unaudited)
April 30, 2023
Cash* | Common Stocks | Futures | Total | ||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 100 | % | — | 0 | %** | 100 | % | ||||||||||||
Direxion Hydrogen ETF | 1 | % | 99 | % | — | 100 | % | ||||||||||||
Direxion Moonshot Innovators ETF | 1 | % | 99 | % | — | 100 | % | ||||||||||||
Direxion mRNA ETF | — | 100 | % | — | 100 | % | |||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0 | %** | 100 | % | — | 100 | % | ||||||||||||
Direxion Work From Home ETF | 0 | %** | 100 | % | — | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
** Percentage is less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
10
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 96.4% | |||||||||||
Money Market Funds - 96.4% | |||||||||||
294,644,639 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 294,644,639 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $294,644,639) | $ | 294,644,639 | |||||||||
TOTAL INVESTMENTS (Cost $294,644,639) - 96.4% | $ | 294,644,639 | |||||||||
Other Assets in Excess of Liabilities - 4.1% (b) | 10,852,896 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 305,497,535 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) $9,558,547 of cash is pledged as collateral for futures contracts.
Long Futures Contracts (Unaudited)
April 30, 2023
Reference Entity | Expiration Date | Number of Contracts | Notional Amount | Variation Margin Receivable, net | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Copper | 7/27/2023 | 245 | $ | 23,829,313 | $ | 39,813 | $ | (596,779 | ) | ||||||||||||||
Gold | 6/28/2023 | 208 | 41,581,280 | 2,080 | (45,030 | ) | |||||||||||||||||
Silver | 7/27/2023 | 186 | 23,460,180 | 15,810 | (48,768 | ) | |||||||||||||||||
Soybean | 11/14/2023 | 634 | 40,052,950 | 253,600 | (3,624,453 | ) | |||||||||||||||||
Sugar #11 | 6/30/2023 | 1,502 | 44,327,024 | — | 4,935,337 | ||||||||||||||||||
$ | 173,250,747 | $ | 311,303 | $ | 620,307 |
All futures contracts held by Direxion BCS Fund Ltd. See Note 1.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
11
Direxion Hydrogen ETF
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.3% | |||||||||||
Chemical Manufacturing - 41.2% | |||||||||||
14,314 | Air Liquide S.A. (France) | $ | 2,578,669 | ||||||||
4,905 | Air Products & Chemicals, Inc. | 1,443,836 | |||||||||
57,340 | Doosan Fuel Cell Co., Ltd (South Korea) (a) | 1,280,982 | |||||||||
990,700 | ITM Power (United Kingdom) (a)(b) | 973,504 | |||||||||
3,905 | Linde PLC (Ireland) ADR | 1,442,702 | |||||||||
51,632 | McPhy Energy SAS (France) (a)(b) | 701,119 | |||||||||
2,043,050 | Nel ASA (Norway) (a)(b) | 2,790,989 | |||||||||
55,098 | Nippon Sanso Holdings Corp. (Japan) | 987,325 | |||||||||
791,506 | PTT Global Chemical PCL (Thailand) | 961,930 | |||||||||
13,161,056 | |||||||||||
Computer and Electronic Product Manufacturing - 7.3% | |||||||||||
140,599 | Bloom Energy Corp. (a) | 2,340,973 | |||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 13.2% | |||||||||||
46,253 | Chung-Hsin Electric & Machinery Manufacturing Corp. (Taiwan) | 152,710 | |||||||||
2,782 | Hyosung Heavy Industries (South Korea) (a) | 163,170 | |||||||||
288,188 | Plug Power, Inc. (a)(b) | 2,602,338 | |||||||||
116,689 | PowerCell Sweden AB (Sweden) (a) | 987,003 | |||||||||
6,769 | SFC Energy AG (Germany) (a)(b) | 161,042 | |||||||||
5,905 | VARTA AG (Germany) (b) | 152,873 | |||||||||
4,219,136 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.5% | |||||||||||
3,037 | Hyster-Yale Materials Handling, Inc. | 159,928 | |||||||||
Miscellaneous Manufacturing - 0.5% | |||||||||||
74,252 | Hexagon Purus Holding AS (Norway) (a)(b) | 156,267 | |||||||||
Oil and Gas Extraction - 21.1% | |||||||||||
35,992 | BP Plc (United Kingdom) ADR | 1,449,758 | |||||||||
170,265 | CIMC Enric Holdings Limited (Hong Kong) | 156,386 | |||||||||
405,781 | ENEOS Holdings, Inc. (Japan) | 1,436,393 | |||||||||
67,624 | Idemitsu Kosan Co., Ltd (Japan) | 1,431,296 | |||||||||
36,199 | Shell Plc (United Kingdom) ADR | 2,243,614 | |||||||||
6,717,447 | |||||||||||
Primary Metal Manufacturing - 0.5% | |||||||||||
23,237 | Kaori Heat Treatment Co., Ltd. (Taiwan) | 150,038 | |||||||||
Transportation Equipment Manufacturing - 4.3% | |||||||||||
307,862 | Ballard Power Systems, Inc. (Canada) ADR (a)(b) | 1,360,750 |
Shares | Fair Value | ||||||||||
Utilities - 10.7% | |||||||||||
1,846,779 | AFC Energy Plc (United Kingdom) (a)(b) | $ | 447,529 | ||||||||
276,525 | Ceres Power Holdings Plc (United Kingdom) (a)(b) | 1,214,387 | |||||||||
693,062 | FuelCell Energy, Inc. (a) | 1,302,956 | |||||||||
7,572 | Korea Gas Corp. (South Korea) (a) | 151,621 | |||||||||
19,436 | S-Fuelcell Co., Ltd (South Korea) | 293,341 | |||||||||
3,409,834 | |||||||||||
TOTAL COMMON STOCKS (Cost $43,607,533) | $ | 31,675,429 | |||||||||
SHORT TERM INVESTMENTS - 19.6% | |||||||||||
Money Market Funds - 19.6% | |||||||||||
6,261,450 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 6,261,450 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,261,450) | $ | 6,261,450 | |||||||||
TOTAL INVESTMENTS (Cost $49,868,983) - 118.9% (e) | $ | 37,936,879 | |||||||||
Liabilities in Excess of Other Assets - (18.9%) | (6,035,028 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 31,901,851 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
12
Direxion Moonshot Innovators ETF
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.4% | |||||||||||
Administrative and Support Services - 7.7% | |||||||||||
31,508 | Bilibili, Inc. ADR (a) | $ | 641,503 | ||||||||
22,240 | Roblox Corp. (a) | 791,744 | |||||||||
48,985 | SentinelOne, Inc. (a) | 787,189 | |||||||||
2,220,436 | |||||||||||
Ambulatory Health Care Services - 1.3% | |||||||||||
279,324 | Invitae Corp. (a)(b) | 379,881 | |||||||||
Chemical Manufacturing - 11.0% | |||||||||||
38,383 | Arcturus Therapeutics Holdings, Inc. (a) | 1,021,755 | |||||||||
86,189 | bluebird bio, Inc. (a) | 374,922 | |||||||||
73,982 | BridgeBio Pharma, Inc. (a) | 1,074,219 | |||||||||
17,986 | Intellia Therapeutics, Inc. (a) | 678,972 | |||||||||
3,149,868 | |||||||||||
Computer and Electronic Product Manufacturing - 10.8% | |||||||||||
8,969 | Ambarella Inc. ADR (a) | 555,898 | |||||||||
93,619 | Indie Semiconductor, Inc. (a) | 708,696 | |||||||||
235,980 | MicroVision, Inc. (a)(b) | 471,960 | |||||||||
315,368 | Nano Dimension Ltd. ADR (Israel) (a)(b) | 778,959 | |||||||||
151,335 | Vuzix Corp. (a)(b) | 608,367 | |||||||||
3,123,880 | |||||||||||
Food Services and Drinking Places - 2.5% | |||||||||||
23,937 | Yelp, Inc. (a) | 716,195 | |||||||||
Management of Companies and Enterprises - 3.1% | |||||||||||
59,356 | CureVac N.V. ADR (Netherlands) (a) | 437,454 | |||||||||
41,483 | EHang Holdings Ltd. ADR (a)(b) | 460,876 | |||||||||
898,330 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.4% | |||||||||||
146,856 | Atara Biotherapeutics, Inc. (a) | 397,980 | |||||||||
Miscellaneous Manufacturing - 1.0% | |||||||||||
373,980 | Inovio Pharmaceuticals, Inc. (a) | 288,900 | |||||||||
Nonmetallic Mineral Product Manufacturing - 0.3% | |||||||||||
216,641 | View, Inc. (a) | 74,091 | |||||||||
Nonstore Retailers - 1.7% | |||||||||||
171,947 | Jumia Technologies AG ADR (Germany) (a)(b) | 484,891 | |||||||||
Oil and Gas Extraction - 0.2% | |||||||||||
333,849 | Meta Materials, Inc. (a) | 61,495 | |||||||||
Printing and Related Support Activities - 2.1% | |||||||||||
94,392 | Fisker, Inc. (a)(b) | 607,884 | |||||||||
Professional, Scientific, and Technical Services - 16.4% | |||||||||||
50,993 | Asana, Inc. (a) | 825,067 | |||||||||
65,552 | Avidity Biosciences, Inc. (a) | 812,845 | |||||||||
73,351 | Recursion Pharmaceuticals, Inc. (a) | 349,884 | |||||||||
34,651 | Squarespace, Inc. (a) | 1,077,646 | |||||||||
400,199 | TuSimple Holdings, Inc. (a) | 484,241 | |||||||||
20,265 | Unity Software, Inc. (a) | 546,547 | |||||||||
185,461 | Vimeo, Inc. (a) | 610,166 | |||||||||
4,706,396 |
Shares | Fair Value | ||||||||||
Publishing Industries (except Internet) - 10.0% | |||||||||||
57,122 | C3.ai, Inc. (a)(b) | $ | 1,017,914 | ||||||||
71,362 | Fastly, Inc. (a) | 1,054,731 | |||||||||
15,107 | Twilio, Inc. (a) | 794,779 | |||||||||
2,867,424 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 24.6% | |||||||||||
384,715 | Aeva Technologies, Inc. (a) | 381,599 | |||||||||
547,477 | Aurora Innovation, Inc. (a) | 782,892 | |||||||||
113,677 | Benson Hill, Inc. (a) | 120,498 | |||||||||
244,416 | Butterfly Network, Inc. (a)(b) | 527,938 | |||||||||
386,634 | Desktop Metal, Inc. (a)(b) | 850,595 | |||||||||
391,053 | Ginkgo Bioworks Holdings, Inc. Class A (a)(b) | 477,085 | |||||||||
221,104 | Hyliion Holdings Corp. (a) | 302,912 | |||||||||
260,079 | Hyzon Motors, Inc. (a)(b) | 216,282 | |||||||||
138,812 | Inoviz Technologies Ltd. ADR (Israel) (a)(b) | 347,030 | |||||||||
242,389 | Latch, Inc. (a) | 191,439 | |||||||||
71,714 | Ouster, Inc. (a)(b) | 253,867 | |||||||||
128,640 | Planet Labs PBC (a) | 524,851 | |||||||||
173,692 | Rocket Lab USA, Inc. (a) | 680,873 | |||||||||
103,687 | Roivant Sciences Ltd. ADR (a) | 886,524 | |||||||||
149,421 | Virgin Galactic Holdings, Inc. (a)(b) | 543,892 | |||||||||
7,088,277 | |||||||||||
Software - 5.3% | |||||||||||
11,099 | Okta, Inc. (a) | 760,614 | |||||||||
54,487 | UiPath, Inc. (a) | 767,177 | |||||||||
1,527,791 | |||||||||||
TOTAL COMMON STOCKS (Cost $58,929,753) | $ | 28,593,719 | |||||||||
SHORT TERM INVESTMENTS - 23.6% | |||||||||||
Money Market Funds - 23.6% | |||||||||||
6,774,121 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 6,774,121 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,774,121) | $ | 6,774,121 | |||||||||
TOTAL INVESTMENTS (Cost $65,703,874) - 123.0% | $ | 35,367,840 | |||||||||
Liabilities in Excess of Other Assets - (23.0)% | (6,615,322 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 28,752,518 |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
13
Direxion Moonshot Innovators ETF
Schedule of Investments, continued (Unaudited)
April 30, 2023
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
14
Direxion mRNA ETF
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 100.0% | |||||||||||
Chemical Manufacturing - 100.0% | |||||||||||
17,433 | Scilex Holding Co. (a) | $ | 126,215 | ||||||||
TOTAL COMMON STOCKS (Cost $88,037) | $ | 126,215 | |||||||||
TOTAL INVESTMENTS (Cost $88,037) - 100.0% | $ | 126,215 | |||||||||
Other Assets in Excess of Liabilities - 0.0% | — | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 126,215 |
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 SEMI-ANNUAL REPORT
15
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.8% | |||||||||||
Accommodation - 2.0% | |||||||||||
50,209 | Airbnb, Inc. (a) | $ | 6,008,511 | ||||||||
37,351 | Marriott International, Inc. Class A | 6,325,018 | |||||||||
12,333,529 | |||||||||||
Administrative and Support Services - 3.7% | |||||||||||
27,817 | Automatic Data Processing, Inc. | 6,119,740 | |||||||||
2,428 | Booking Holdings, Inc. (a) | 6,522,361 | |||||||||
152,739 | JD.com, Inc. ADR (China) | 5,455,837 | |||||||||
64,499 | Pinduoduo, Inc. ADR (China) (a) | 4,395,607 | |||||||||
22,493,545 | |||||||||||
Apparel Manufacturing - 1.3% | |||||||||||
20,113 | Lululemon Athletica, Inc. (a) | 7,641,532 | |||||||||
Beverage and Tobacco Product Manufacturing - 3.0% | |||||||||||
170,144 | Keurig Dr Pepper, Inc. | 5,563,709 | |||||||||
115,184 | Monster Beverage Corp. (a) | 6,450,304 | |||||||||
33,866 | PepsiCo, Inc. | 6,464,681 | |||||||||
18,478,694 | |||||||||||
Broadcasting and Content Providers - 4.1% | |||||||||||
16,944 | Charter Communications, Inc. (a) | 6,247,253 | |||||||||
164,619 | Comcast Corp. Class A | 6,810,288 | |||||||||
1,629,455 | Sirius XM Holdings, Inc. (b) | 6,191,929 | |||||||||
413,607 | Warner Bros Discovery, Inc. (a) | 5,629,191 | |||||||||
24,878,661 | |||||||||||
Chemical Manufacturing - 7.4% | |||||||||||
25,802 | Amgen, Inc. | 6,185,771 | |||||||||
90,394 | AstraZeneca PLC ADR (United Kingdom) | 6,618,649 | |||||||||
22,528 | Biogen, Inc. (a) | 6,853,693 | |||||||||
76,717 | Gilead Sciences, Inc. | 6,306,905 | |||||||||
7,935 | Regeneron Pharmaceuticals, Inc. (a) | 6,362,204 | |||||||||
29,602 | Seagen, Inc. (a) | 5,920,400 | |||||||||
20,051 | Vertex Pharmaceuticals, Inc. (a) | 6,831,977 | |||||||||
45,079,599 | |||||||||||
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 1.0% | |||||||||||
58,105 | Ross Stores, Inc. | 6,201,547 | |||||||||
Computer and Electronic Product Manufacturing - 18.1% | |||||||||||
60,623 | Advanced Micro Devices, Inc. (a) | 5,417,878 | |||||||||
29,184 | Alphabet, Inc. Class A (a) | 3,132,611 | |||||||||
28,954 | Alphabet, Inc. Class C (a) | 3,133,402 | |||||||||
31,919 | Analog Devices, Inc. | 5,741,590 | |||||||||
38,276 | Apple, Inc. | 6,494,672 | |||||||||
9,391 | Broadcom, Inc. | 5,883,461 | |||||||||
118,172 | Cisco Systems, Inc. | 5,583,627 | |||||||||
32,299 | Enphase Energy, Inc. (a) | 5,303,496 | |||||||||
96,886 | Fortinet, Inc. (a) | 6,108,662 | |||||||||
89,253 | GlobalFoundries, Inc. ADR (a)(b) | 5,248,076 | |||||||||
12,587 | IDEXX Laboratories, Inc. (a) | 6,194,818 | |||||||||
26,416 | Illumina, Inc. (a) | 5,430,073 | |||||||||
198,971 | Intel Corp. | 6,180,039 | |||||||||
148,390 | Marvell Technology, Inc. | 5,858,437 | |||||||||
73,476 | Microchip Technology, Inc. | 5,363,013 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
104,681 | Micron Technology, Inc. | $ | 6,737,269 | ||||||||
23,046 | NVIDIA Corp. | 6,395,035 | |||||||||
33,462 | NXP Semiconductors NV ADR (Netherlands) | 5,479,068 | |||||||||
49,119 | Qualcomm, Inc. | 5,737,099 | |||||||||
33,747 | Texas Instruments, Inc. | 5,642,498 | |||||||||
111,064,824 | |||||||||||
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 1.1% | |||||||||||
54,823 | Fiserv, Inc. (a) | 6,694,985 | |||||||||
Food Manufacturing - 2.1% | |||||||||||
89,323 | Mondelez International, Inc. | 6,852,861 | |||||||||
157,613 | The Kraft Heinz Co. | 6,189,462 | |||||||||
13,042,323 | |||||||||||
Food Services and Drinking Places - 1.1% | |||||||||||
60,096 | Starbucks Corp. | 6,868,372 | |||||||||
General Merchandise Retailers - 5.2% | |||||||||||
59,941 | Amazon.com, Inc. (a) | 6,320,778 | |||||||||
12,167 | Costco Wholesale Corp. | 6,122,678 | |||||||||
43,238 | Dollar Tree, Inc. (a) | 6,646,113 | |||||||||
141,011 | eBay, Inc. | 6,547,141 | |||||||||
4,947 | MercadoLibre, Inc. (a) | 6,319,743 | |||||||||
31,956,453 | |||||||||||
Health and Personal Care Retailers - 1.0% | |||||||||||
180,219 | Walgreens Boots Alliance, Inc. | 6,352,720 | |||||||||
Machinery Manufacturing - 3.9% | |||||||||||
48,377 | Applied Materials, Inc. | 5,468,053 | |||||||||
9,356 | ASML Holding NV ADR (Netherlands) | 5,958,462 | |||||||||
220,326 | Baker Hughes Co. | 6,442,332 | |||||||||
11,677 | Lam Research Corp. | 6,119,682 | |||||||||
23,988,529 | |||||||||||
Merchant Wholesalers, Durable Goods - 4.1% | |||||||||||
13,699 | Cintas Corp. | 6,243,593 | |||||||||
85,065 | Copart, Inc. (a) | 6,724,388 | |||||||||
113,766 | Fastenal Co. | 6,125,162 | |||||||||
15,306 | KLA-Tencor Corp. | 5,916,381 | |||||||||
25,009,524 | |||||||||||
Miscellaneous Manufacturing - 3.2% | |||||||||||
18,485 | Align Technology, Inc. (a) | 6,013,170 | |||||||||
52,052 | DexCom, Inc. (a) | 6,315,990 | |||||||||
24,933 | Intuitive Surgical, Inc. (a) | 7,510,318 | |||||||||
19,839,478 | |||||||||||
Motion Picture and Sound Recording Industries - 1.1% | |||||||||||
19,540 | Netflix, Inc. (a) | 6,446,832 | |||||||||
Motor Vehicle and Parts Dealers - 1.1% | |||||||||||
7,433 | O'Reilly Automotive, Inc. (a) | 6,818,365 | |||||||||
Performing Arts, Spectator Sports, and Related Industries - 2.0% | |||||||||||
75,095 | Activision Blizzard, Inc. (a) | 5,835,632 | |||||||||
52,328 | Electronic Arts, Inc. | 6,660,308 | |||||||||
12,495,940 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
16
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services - 7.8% | |||||||||||
102,630 | Cognizant Technology Solutions Corp. Class A | $ | 6,128,037 | ||||||||
30,332 | Meta Platforms, Inc. (a) | 7,289,386 | |||||||||
39,539 | Moderna, Inc. (a) | 5,254,338 | |||||||||
31,372 | Palto Alto Networks, Inc. (a) | 5,724,135 | |||||||||
55,152 | Paychex, Inc. | 6,058,999 | |||||||||
32,945 | Verisk Analytics, Inc. Class A | 6,394,954 | |||||||||
31,423 | Workday, Inc. (a) | 5,849,077 | |||||||||
56,215 | Zscaler, Inc. (a) | 5,064,972 | |||||||||
47,763,898 | |||||||||||
Publishing Industries - 9.7% | |||||||||||
16,564 | Adobe Systems, Inc. (a) | 6,253,904 | |||||||||
19,058 | ANSYS, Inc. (a) | 5,982,687 | |||||||||
37,481 | Atlassian Corp. (a) | 5,534,444 | |||||||||
29,779 | Autodesk, Inc. (a) | 5,800,651 | |||||||||
28,670 | Cadence Design Systems, Inc. (a) | 6,004,932 | |||||||||
44,557 | CrowdStrike Holdings, Inc. (a) | 5,349,068 | |||||||||
86,428 | Datadog, Inc. (a) | 5,823,518 | |||||||||
14,337 | Intuit, Inc. | 6,364,911 | |||||||||
21,229 | Microsoft Corp. | 6,522,823 | |||||||||
15,918 | Synopsys, Inc. (a) | 5,910,672 | |||||||||
59,547,610 | |||||||||||
Rail Transportation - 1.0% | |||||||||||
205,168 | CSX Corp. | 6,286,348 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.0% | |||||||||||
771,292 | Lucid Group, Inc. (a)(b) | 6,124,058 | |||||||||
Support Activities for Mining - 1.1% | |||||||||||
48,177 | Diamondback Energy, Inc. | 6,850,769 | |||||||||
Telecommunications - 2.8% | |||||||||||
81,248 | PayPal Holdings, Inc. (a) | 6,174,848 | |||||||||
41,636 | T-Mobile US, Inc. (a) | 5,991,420 | |||||||||
85,718 | Zoom Video Communications, Inc. (a) | 5,265,657 | |||||||||
17,431,925 | |||||||||||
Transportation Equipment Manufacturing - 3.9% | |||||||||||
32,124 | Honeywell International, Inc. | 6,419,660 | |||||||||
86,350 | Paccar, Inc. | 6,449,482 | |||||||||
455,895 | Rivian Automotive, Inc. (a) | 5,844,574 | |||||||||
32,936 | Tesla Motors, Inc. (a) | 5,411,714 | |||||||||
24,125,430 | |||||||||||
Truck Transportation - 0.9% | |||||||||||
17,899 | Old Dominion Freight Line, Inc. | 5,734,661 | |||||||||
Utilities - 4.0% | |||||||||||
65,403 | American Electric Power Co., Inc. | 6,044,545 | |||||||||
77,254 | Constellation Energy Corp. | 5,979,460 | |||||||||
140,754 | Exelon Corp. | 5,973,600 | |||||||||
88,673 | Xcel Energy, Inc. | 6,199,129 | |||||||||
24,196,734 | |||||||||||
Web Search Portals, Libraries, Archives, and Other Information Services - 1.1% | |||||||||||
88,618 | CoStar Group, Inc. (a) | 6,819,155 | |||||||||
TOTAL COMMON STOCKS (Cost $650,348,613) | $ | 612,566,040 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 3.1% | |||||||||||
Money Market Funds - 3.1% | |||||||||||
18,753,381 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 18,753,381 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,753,381) | $ | 18,753,381 | |||||||||
TOTAL INVESTMENTS (Cost $669,101,994) - 102.9% | $ | 631,319,421 | |||||||||
Liabilities in Excess of Other Assets - (2.9)% | (17,660,913 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 613,658,508 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Work From Home ETF
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 99.8% | |||||||||||
Administrative and Support Services - 4.7% | |||||||||||
12,529 | Cloudflare, Inc. (a) | $ | 589,489 | ||||||||
47,850 | SentinelOne, Inc. (a) | 768,950 | |||||||||
1,358,439 | |||||||||||
Broadcasting and Content Providers - 2.1% | |||||||||||
174,121 | Altice USA, Inc. (a) | 609,424 | |||||||||
Computer and Electronic Product Manufacturing - 18.2% | |||||||||||
8,113 | Alphabet, Inc. Class A (a) | 870,849 | |||||||||
1,235 | Broadcom, Inc. | 773,727 | |||||||||
15,164 | Cisco Systems, Inc. | 716,499 | |||||||||
12,543 | Fortinet, Inc. (a) | 790,836 | |||||||||
5,719 | International Business Machines Corp. | 722,939 | |||||||||
16,160 | Marvell Technology, Inc. | 637,997 | |||||||||
11,348 | NetApp, Inc. | 713,676 | |||||||||
5,226,523 | |||||||||||
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 7.6% | |||||||||||
15,925 | Pegasystems, Inc. | 726,498 | |||||||||
22,186 | RingCentral, Inc. (a) | 611,446 | |||||||||
6,659 | VMware, Inc. (a) | 832,575 | |||||||||
2,170,519 | |||||||||||
General Merchandise Retailers - 2.9% | |||||||||||
7,953 | Amazon.com, Inc. (a) | 838,644 | |||||||||
Management of Companies and Enterprises - 5.0% | |||||||||||
8,149 | Alibaba Group Holding Ltd. ADR (a) | 690,139 | |||||||||
34,876 | America Movil SAB de CV ADR (Mexico) | 749,485 | |||||||||
1,439,624 | |||||||||||
Professional, Scientific, and Technical Services - 20.1% | |||||||||||
4,226 | Meta Platforms, Inc. (a) | 1,015,592 | |||||||||
3,921 | Palto Alto Networks, Inc. (a) | 715,426 | |||||||||
321,515 | Rackspace Technology, Inc. (a) | 469,412 | |||||||||
1,710 | ServiceNow, Inc. (a) | 785,608 | |||||||||
68,317 | Sprinklr, Inc. (a) | 817,071 | |||||||||
19,512 | Verint Systems, Inc. (a) | 711,993 | |||||||||
3,982 | Workday, Inc. (a) | 741,209 | |||||||||
5,707 | Zscaler, Inc. (a) | 514,201 | |||||||||
5,770,512 | |||||||||||
Publishing Industries - 34.4% | |||||||||||
2,267 | Adobe Systems, Inc. (a) | 855,928 | |||||||||
4,519 | Atlassian Corp. (a) | 667,276 | |||||||||
21,830 | Box, Inc. (a) | 577,622 | |||||||||
6,099 | CrowdStrike Holdings, Inc. (a) | 732,185 | |||||||||
5,057 | CyberArk Software Ltd. ADR (Israel) (a) | 630,102 | |||||||||
12,426 | DocuSign, Inc. (a) | 614,341 | |||||||||
15,114,518 | Exela Technologies, Inc. (a) | 513,894 | |||||||||
2,978 | Microsoft Corp. | 915,020 | |||||||||
10,261 | Okta, Inc. (a) | 703,186 | |||||||||
8,491 | Oracle Corp. | 804,268 | |||||||||
12,742 | Progress Software Corp. | 699,281 |
Shares | Fair Value | ||||||||||
Publishing Industries (continued) | |||||||||||
4,380 | Salesforce.com, Inc. (a) | $ | 868,861 | ||||||||
16,904 | Smartsheet, Inc. (a) | 690,867 | |||||||||
11,150 | Twilio, Inc. (a) | 586,601 | |||||||||
9,859,432 | |||||||||||
Telecommunications - 4.8% | |||||||||||
19,141 | Verizon Communications, Inc. | 743,245 | |||||||||
10,529 | Zoom Video Communications, Inc. (a) | 646,797 | |||||||||
1,390,042 | |||||||||||
TOTAL COMMON STOCKS (Cost $41,726,943) | $ | 28,663,159 | |||||||||
SHORT TERM INVESTMENTS - 0.2% | |||||||||||
Money Market Funds - 0.2% | |||||||||||
56,051 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 56,051 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $56,051) | $ | 56,051 | |||||||||
TOTAL INVESTMENTS (Cost $41,782,994) - 100.0% | $ | 28,719,210 | |||||||||
Other Assets in Excess of Liabilities - 0.0% (†) | 5,500 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 28,724,710 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Hydrogen ETF | Direxion Moonshot Innovators ETF | |||||||||||||
Assets: | |||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 294,644,639 | $ | 37,936,879 | $ | 35,367,840 | |||||||||
Cash held in foreign currency, at value | — | 505 | — | ||||||||||||
Receivable for investments sold | — | 3,058,351 | — | ||||||||||||
Due from broker for futures contracts | 66 | — | — | ||||||||||||
Deposit at broker for futures contracts | 9,558,547 | — | — | ||||||||||||
Variation margin receivable, net | 311,303 | — | — | ||||||||||||
Dividend and interest receivable | 1,110,552 | 87,702 | 14,636 | ||||||||||||
Tax reclaim receivable | — | 7,807 | — | ||||||||||||
Total Assets | 305,625,107 | 41,091,244 | 35,382,476 | ||||||||||||
Liabilities: | |||||||||||||||
Collateral for securities loaned (Note 2) | — | 6,104,038 | 6,619,361 | ||||||||||||
Payable for investments purchased | — | 3,077,331 | — | ||||||||||||
Due to Adviser, net (Note 6) | 78,644 | 6,691 | 9,351 | ||||||||||||
Accrued operating services fees (Note 6) | 48,928 | 1,333 | 1,246 | ||||||||||||
Total Liabilities | 127,572 | 9,189,393 | 6,629,958 | ||||||||||||
Net Assets | $ | 305,497,535 | $ | 31,901,851 | $ | 28,752,518 | |||||||||
Net Assets Consist of: | |||||||||||||||
Capital stock | $ | 284,740,521 | $ | 50,926,962 | $ | 169,471,258 | |||||||||
Total distributable earnings (loss) | 20,757,014 | (19,025,111 | ) | (140,718,740 | ) | ||||||||||
Net Assets | $ | 305,497,535 | $ | 31,901,851 | $ | 28,752,518 | |||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||
Net assets | $ | 305,497,535 | $ | 31,901,851 | $ | 28,752,518 | |||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 9,750,001 | 2,350,002 | 2,800,001 | ||||||||||||
Net assets value, redemption price and offering price per share | $ | 31.33 | $ | 13.58 | $ | 10.27 | |||||||||
Cost of Investments | $ | 294,644,639 | $ | 49,868,983 | $ | 65,703,874 |
* Securities loaned with values of $–, $7,437,000 and $6,336,161, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion mRNA ETF1 | Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion Work From Home ETF | |||||||||||||
Assets: | |||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 126,215 | $ | 631,319,421 | $ | 28,719,210 | |||||||||
Cash | 162 | — | — | ||||||||||||
Receivable for Fund shares sold | — | 1,039 | — | ||||||||||||
Dividend and interest receivable | 8 | 177,050 | 13,154 | ||||||||||||
Tax reclaim receivable | 440 | — | — | ||||||||||||
Total Assets | 126,825 | 631,497,510 | 28,732,364 | ||||||||||||
Liabilities: | |||||||||||||||
Collateral for securities loaned (Note 2) | — | 17,719,242 | — | ||||||||||||
Due to Adviser, net (Note 6) | 521 | 95,088 | 6,385 | ||||||||||||
Accrued operating services fees (Note 6) | 89 | 24,672 | 1,269 | ||||||||||||
Total Liabilities | 610 | 17,839,002 | 7,654 | ||||||||||||
Net Assets | $ | 126,215 | $ | 613,658,508 | $ | 28,724,710 | |||||||||
Net Assets Consist of: | |||||||||||||||
Capital stock | $ | 1,999,724 | $ | 666,286,992 | $ | 55,041,788 | |||||||||
Total distributable loss | (1,873,509 | ) | (52,628,484 | ) | (26,317,078 | ) | |||||||||
Net Assets | $ | 126,215 | $ | 613,658,508 | $ | 28,724,710 | |||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||
Net assets | $ | 126,215 | $ | 613,658,508 | $ | 28,724,710 | |||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 225,001 | 8,650,002 | 675,001 | ||||||||||||
Net assets value, redemption price and offering price per share | $ | 0.56 | $ | 70.94 | $ | 42.56 | |||||||||
Cost of Investments | $ | 88,037 | $ | 669,101,994 | $ | 41,782,994 |
1 The Fund ceased trading at the close of trading on April 21, 2023 and subsequently commenced liquidation procedures. See Note 1 in the accompanying Notes to the Financial Statements.
* Securities loaned with values of $–, $17,058,451 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Hydrogen ETF | Direxion Moonshot Innovators ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividend income (net of foreign withholding tax of $—, $8,618 and $—, respectively) | $ | — | $ | 162,890 | $ | 3,052 | |||||||||
Interest income | 5,780,952 | 3,380 | 3,211 | ||||||||||||
Securities lending income | — | 67,659 | 137,301 | ||||||||||||
Total investment income | 5,780,952 | 233,929 | 143,564 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 703,000 | 58,442 | 102,472 | ||||||||||||
Operating services fees (Note 6) | 281,200 | 7,305 | 8,539 | ||||||||||||
Total Expenses | 984,200 | 65,747 | 111,011 | ||||||||||||
Net investment income | 4,796,752 | 168,182 | 32,553 | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investment securities | — | (1,702,168 | ) | (6,958,686 | ) | ||||||||||
Foreign currency translation | — | (16,721 | ) | — | |||||||||||
In-kind redemptions | — | — | 207,927 | ||||||||||||
Futures contracts | 16,420,352 | — | — | ||||||||||||
Net realized gain (loss) | 16,420,352 | (1,718,889 | ) | (6,750,759 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||
Investment securities | — | 1,886,673 | (1,902,961 | ) | |||||||||||
Foreign currency translation | — | 1,610 | — | ||||||||||||
Futures contracts | 620,307 | — | — | ||||||||||||
Change in net unrealized appreciation (depreciation) | 620,307 | 1,888,283 | (1,902,961 | ) | |||||||||||
Net realized and unrealized gain (loss) | 17,040,659 | 169,394 | (8,653,720 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 21,837,411 | $ | 337,576 | $ | (8,621,167 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion mRNA ETF1 | Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion Work From Home ETF | |||||||||||||
Investment Income: | |||||||||||||||
Dividend income (net of foreign withholding tax of $—, $12,371 and $4,386, respectively) | $ | 88,042 | $ | 3,163,653 | $ | 81,195 | |||||||||
Interest income | 94 | 17,802 | 896 | ||||||||||||
Securities lending income | 314 | 394,626 | 2,368 | ||||||||||||
Total investment income | 88,450 | 3,576,081 | 84,459 | ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 9,891 | 823,594 | 65,654 | ||||||||||||
Operating services fees (Note 6) | 824 | 137,266 | 8,207 | ||||||||||||
Total Expenses | 10,715 | 960,860 | 73,861 | ||||||||||||
Net investment income | 77,735 | 2,615,221 | 10,598 | ||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investment securities | (939,218 | ) | (32,133,921 | ) | (8,212,660 | ) | |||||||||
In-kind redemptions | 387,605 | 35,031,444 | (329,978 | ) | |||||||||||
Net realized gain (loss) | (551,613 | ) | 2,897,523 | (8,542,638 | ) | ||||||||||
Change in net unrealized appreciation on: | |||||||||||||||
Investment securities | 544,864 | 69,891,710 | 7,532,901 | ||||||||||||
Change in net unrealized appreciation | 544,864 | 69,891,710 | 7,532,901 | ||||||||||||
Net realized and unrealized gain (loss) | (6,749 | ) | 72,789,233 | (1,009,737 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 70,986 | $ | 75,404,454 | $ | (999,139 | ) |
1 The Fund ceased trading at the close of trading on April 21, 2023 and subsequently commenced liquidation procedures. See Note 1 in the accompanying Notes to the Financial Statements.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Statements of Changes in Net Assets
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Direxion Hydrogen ETF | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 4,796,752 | $ | 111,261 | $ | 168,182 | $ | 381,449 | |||||||||||
Net realized gain (loss) | 16,420,352 | 27,202,526 | (1,718,889 | ) | (5,481,013 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 620,307 | (15,322,256 | ) | 1,888,283 | (15,187,528 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 21,837,411 | 11,991,531 | 337,576 | (20,287,092 | ) | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (8,091,521 | ) | (45,900,192 | ) | (92,198 | ) | (399,661 | ) | |||||||||||
Return of capital | — | — | — | (15,230 | ) | ||||||||||||||
Total distributions | (8,091,521 | ) | (45,900,192 | ) | (92,198 | ) | (414,891 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 25,822,393 | 189,709,720 | 9,519,314 | 14,001,030 | |||||||||||||||
Cost of shares redeemed | (31,278,686 | ) | (112,074,283 | ) | (1,516 | ) | (12,374,593 | ) | |||||||||||
Transaction fees (Note 4) | (79,868 | ) | 130,092 | — | — | ||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (5,536,161 | ) | 77,765,529 | 9,517,798 | 1,626,437 | ||||||||||||||
Total increase (decrease) in net assets | 8,209,729 | 43,856,868 | 9,763,176 | (19,075,546 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 297,287,806 | 253,430,938 | 22,138,675 | 41,214,221 | |||||||||||||||
End of year/period | $ | 305,497,535 | $ | 297,287,806 | $ | 31,901,851 | $ | 22,138,675 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 9,950,001 | 7,750,001 | 1,700,002 | 1,700,002 | |||||||||||||||
Shares sold | 850,000 | 5,850,000 | 650,000 | 650,000 | |||||||||||||||
Shares repurchased | (1,050,000 | ) | (3,650,000 | ) | — | (650,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 9,750,001 | 9,950,001 | 2,350,002 | 1,700,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Statements of Changes in Net Assets
Direxion Moonshot Innovators ETF | Direxion mRNA ETF1 | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period December 9, 20212 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 32,553 | $ | 438,546 | $ | 77,735 | $ | (4,789 | ) | ||||||||||
Net realized loss | (6,750,759 | ) | (83,908,667 | ) | (551,613 | ) | (1,358,364 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (1,902,961 | ) | 7,934,248 | 544,864 | (506,686 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (8,621,167 | ) | (75,535,873 | ) | 70,986 | (1,869,839 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | — | (953,134 | ) | (75,821 | ) | — | |||||||||||||
Return of capital | — | (193,011 | ) | — | — | ||||||||||||||
Total distributions | — | (1,146,145 | ) | (75,821 | ) | — | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 9,527,350 | 17,599,599 | 1,803,876 | 5,419,623 | |||||||||||||||
Cost of shares redeemed | (9,925,464 | ) | (54,961,093 | ) | (5,223,110 | ) | — | ||||||||||||
Transaction fees (Note 4) | — | — | — | 500 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (398,114 | ) | (37,361,494 | ) | (3,419,234 | ) | 5,420,123 | ||||||||||||
Total increase (decrease) in net assets | (9,019,281 | ) | (114,043,512 | ) | (3,424,069 | ) | 3,550,284 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 37,771,799 | 151,815,311 | 3,550,284 | — | |||||||||||||||
End of year/period | $ | 28,752,518 | $ | 37,771,799 | $ | 126,215 | $ | 3,550,284 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,875,001 | 4,500,001 | 250,001 | — | |||||||||||||||
Shares sold | 750,000 | 900,000 | 125,000 | 250,001 | |||||||||||||||
Shares repurchased | (825,000 | ) | (2,525,000 | ) | (150,000 | ) | — | ||||||||||||
Shares outstanding, end of year/period | 2,800,001 | 2,875,001 | 225,001 | 250,001 |
1 The Fund ceased trading at the close of trading on April 21, 2023 and subsequently commenced liquidation procedures. See Note 1 in the accompanying Notes to the Financial Statements.
2 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Statements of Changes in Net Assets
Direxion NASDAQ-100® Equal Weighted Index Shares | Direxion Work From Home ETF | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 2,615,221 | $ | 4,541,561 | $ | 10,598 | $ | 713,092 | |||||||||||
Net realized gain (loss) | 2,897,523 | 83,777,094 | (8,542,638 | ) | (1,926,715 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 69,891,710 | (227,222,717 | ) | 7,532,901 | (37,909,503 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 75,404,454 | (138,904,062 | ) | (999,139 | ) | (39,123,126 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (2,411,462 | ) | (18,877,170 | ) | (73,408 | ) | (723,713 | ) | |||||||||||
Total distributions | (2,411,462 | ) | (18,877,170 | ) | (73,408 | ) | (723,713 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 415,566,339 | 995,342,941 | 1,108,042 | 1,987,577 | |||||||||||||||
Cost of shares redeemed | (574,576,841 | ) | (570,149,865 | ) | (9,681,583 | ) | (34,259,716 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (159,010,502 | ) | 425,193,076 | (8,573,541 | ) | (32,272,139 | ) | ||||||||||||
Total increase (decrease) in net assets | (86,017,510 | ) | 267,411,844 | (9,646,088 | ) | (72,118,978 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 699,676,018 | 432,264,174 | 38,370,798 | 110,489,776 | |||||||||||||||
End of year/period | $ | 613,658,508 | $ | 699,676,018 | $ | 28,724,710 | $ | 38,370,798 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 10,950,002 | 4,950,002 | 875,001 | 1,425,001 | |||||||||||||||
Shares sold | 6,100,000 | 14,200,000 | 25,000 | 25,000 | |||||||||||||||
Shares repurchased | (8,400,000 | ) | (8,200,000 | ) | (225,000 | ) | (575,000 | ) | |||||||||||
Shares outstanding, end of year/period | 8,650,002 | 10,950,002 | 675,001 | 875,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Financial Highlights
April 30, 2023
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, Prior to Liquidation | Effect of Liquidation | 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 Six Months Ended April 30, 2023 (Unaudited) | $ | 29.88 | $ | 0.51 | $ | 0.51 | $ | 1.80 | $ | 2.31 | $ | (0.86 | ) | $ | — | $ | — | $ | (0.86 | ) | $ | 31.33 | $ | — | $ | 31.33 | 7.92 | % | $ | 305,498 | 0.70 | % | 0.70 | % | 3.41 | % | 0.70 | % | 0.70 | % | 3.41 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 32.70 | 0.01 | 0.06 | 1.85 | 1.86 | (4.68 | ) | — | — | (4.68 | ) | 29.88 | — | 29.88 | 6.21 | % | 297,288 | 0.87 | % | 0.87 | % | 0.03 | % | 0.70 | % | 0.70 | % | 0.20 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 23.13 | (0.20 | ) | (0.20 | ) | 9.77 | 9.57 | — | — | — | — | 32.70 | — | 32.70 | 41.37 | % | 253,431 | 0.70 | % | 0.70 | % | (0.67 | )% | 0.70 | % | 0.70 | % | (0.67 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | — | 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 | — | 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 | — | 24.58 | 3.84 | % | 52,847 | 0.70 | % | 0.84 | % | 0.80 | % | 0.70 | % | 0.84 | % | 0.80 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Hydrogen ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 13.02 | 0.08 | 0.08 | 0.52 | 0.60 | (0.04 | ) | — | — | (0.04 | ) | 13.58 | — | 13.58 | 4.63 | % | 31,902 | 0.45 | % | 0.45 | % | 1.15 | % | 0.45 | % | 0.45 | % | 1.15 | % | 20 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 24.24 | 0.21 | 0.21 | (11.21 | ) | (11.00 | ) | (0.21 | ) | — | (0.01 | ) | (0.22 | ) | 13.02 | — | 13.02 | -45.57 | % | 22,139 | 0.45 | % | 0.45 | % | 1.18 | % | 0.45 | % | 0.45 | % | 1.18 | % | 37 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period March 25, 20218 through October 31, 2021 | 25.00 | 0.16 | 0.16 | 0.16 | 0.32 | (0.08 | ) | — | — | (0.08 | ) | 24.24 | — | 24.24 | 1.37 | % | 41,214 | 0.45 | % | 0.45 | % | 1.21 | % | 0.45 | % | 0.45 | % | 1.21 | % | 55 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Moonshot Innovators ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 13.14 | 0.01 | 0.01 | (2.88 | ) | (2.87 | ) | — | — | — | — | 10.27 | — | 10.27 | -21.84 | % | 28,753 | 0.65 | % | 0.65 | % | 0.19 | % | 0.65 | % | 0.65 | % | 0.19 | % | 19 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 33.74 | 0.13 | 0.13 | (20.43 | ) | (20.30 | ) | (0.25 | ) | — | (0.05 | ) | (0.30 | ) | 13.14 | — | 13.14 | -60.64 | % | 37,772 | 0.65 | % | 0.65 | % | 0.64 | % | 0.65 | % | 0.65 | % | 0.64 | % | 120 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 12, 20208 through October 31, 2021 | 25.00 | 0.27 | 0.27 | 8.61 | 8.88 | (0.14 | ) | — | — | (0.14 | ) | 33.74 | — | 33.74 | 35.54 | % | 151,815 | 0.65 | % | 0.65 | % | 0.76 | % | 0.65 | % | 0.65 | % | 0.76 | % | 87 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion mRNA ETF9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 14.20 | 0.32 | 0.32 | (0.98 | ) | (0.66 | ) | (0.34 | ) | — | — | (0.34 | ) | 13.20 | (12.64 | ) | 0.56 | -4.70 | % | 126 | 0.65 | % | 0.65 | % | 4.72 | % | 0.65 | % | 0.65 | % | 4.72 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period December 9, 20218 through October 31, 2022 | 25.00 | (0.02 | ) | (0.02 | ) | (10.78 | ) | (10.80 | ) | — | — | — | — | 14.20 | — | 14.20 | -43.20 | % | 3,550 | 0.65 | % | 0.65 | % | (0.15 | )% | 0.65 | % | 0.65 | % | (0.15 | )% | 85 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 63.90 | 0.32 | 0.32 | 7.07 | 7.39 | (0.35 | ) | — | — | (0.35 | ) | 70.94 | — | 70.94 | 11.61 | % | 613,659 | 0.35 | % | 0.35 | % | 0.95 | % | 0.35 | % | 0.35 | % | 0.95 | % | 16 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 87.33 | 0.53 | 0.53 | (20.59 | ) | (20.06 | ) | (0.50 | ) | (2.87 | ) | — | (3.37 | ) | 63.90 | — | 63.90 | -23.78 | % | 699,676 | 0.35 | % | 0.35 | % | 0.75 | % | 0.35 | % | 0.35 | % | 0.75 | % | 34 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 63.03 | 0.39 | 0.39 | 24.33 | 24.72 | (0.39 | ) | (0.03 | ) | — | (0.42 | ) | 87.33 | — | 87.33 | 39.30 | % | 432,264 | 0.35 | % | 0.35 | % | 0.49 | % | 0.35 | % | 0.35 | % | 0.49 | % | 30 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 51.32 | 0.38 | 0.38 | 11.72 | 12.10 | (0.39 | ) | — | — | (0.39 | ) | 63.03 | — | 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 | — | 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 | — | 43.27 | 3.98 | % | 179,574 | 0.35 | % | 0.49 | % | 0.68 | % | 0.35 | % | 0.49 | % | 0.68 | % | 27 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Work From Home ETF | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 43.85 | 0.01 | 0.01 | (1.21 | ) | (1.20 | ) | (0.09 | ) | — | — | (0.09 | ) | 42.56 | — | 42.56 | -2.73 | % | 28,725 | 0.45 | % | 0.45 | % | 0.06 | % | 0.45 | % | 0.45 | % | 0.06 | % | 19 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 77.54 | 0.63 | 0.63 | (33.78 | ) | (33.15 | ) | (0.54 | ) | — | — | (0.54 | ) | 43.85 | — | 43.85 | -43.00 | % | 38,371 | 0.45 | % | 0.45 | % | 1.04 | % | 0.45 | % | �� | 0.45 | % | 1.04 | % | 45 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 53.77 | 0.22 | 0.22 | 24.24 | 24.46 | (0.27 | ) | (0.42 | ) | — | (0.69 | ) | 77.54 | — | 77.54 | 45.69 | % | 110,490 | 0.45 | % | 0.45 | % | 0.31 | % | 0.45 | % | 0.45 | % | 0.31 | % | 35 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | — | 53.77 | 7.60 | % | 133,078 | 0.45 | % | 0.45 | % | 0.81 | % | 0.45 | % | 0.45 | % | 0.81 | % | 32 | % |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Financial Highlights
April 30, 2023
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 October 31, 2018 through October 31, 2019 the total return would have been lower if certain expenses had not been reimbursed/waived by the investment advisor. The total return for Direxion mRNA ETF represents the total return prior to liquidation.
5 For periods less than a year, these ratios are annualized.
6 For the years ended October 31, 2018 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 365 days are also excluded from portfolio turnover calculation.
8 Commencement of operations.
9 The Fund ceased trading at the close of trading on April 21, 2023 and subsequently commenced liquidation procedures. See Note 1 in the accompanying Notes to the Financial Statements.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2023
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 76 separate series (each, a "Fund" and together the "Funds"). 6 of these Funds are included in this report:
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | |||
Direxion Hydrogen ETF | |||
Direxion Moonshot Innovators ETF | |||
Direxion mRNA ETF | |||
Direxion NASDAQ-100® Equal Weighted Index Shares | |||
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 Direxion Auspice Broad Commodity Strategy ETF (Consolidated) and Direxion Breakfast Commodities Strategy ETF (Consolidated) 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.
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 Hydrogen ETF | Indxx Hydrogen Economy Index | ||||||
Direxion Moonshot Innovators ETF | S&P Kensho Moonshots Index | ||||||
Direxion mRNA ETF | BITA Messenger RNA Technology Index | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | NASDAQ-100® Equal Weighted Index | ||||||
Direxion Work From Home ETF | Solactive Remote Work Index |
The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) 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.
On April 3, 2023, the Trust filed an amendment to the registration statement notifying shareholders that the Direxion mRNA ETF would cease trading on the New York Stock Exchange Arca, Inc. ("NYSE Arca") on April 21, 2023. Subsequent to this date, the Direxion mRNA ETF stopped accepting creations of their shares, ceased pursuing their stated investment objectives, and on April 27, 2023 began liquidating their net assets and distributed cash pro rata to all shareholders who had not previously redeemed or sold their shares. A second distribution of cash was necessary due to restrictions on selling one of the Direxion mRNA ETF's portfolio securities. On May 24, 2023, the Direxion mRNA ETF engaged in a selling agreement to sell this restricted security and distribute cash pro rata on May 31, 2023 to all shareholders of record from the liquidation date of April 27, 2023.
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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) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the NYSE Arca (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.
b) 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) was invested in futures contracts as of the period ended April 30, 2023.
c) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended April 30, 2023.
d) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
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e) Foreign Currency Translation – The accounting records of the Funds are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the Funds after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The Funds do not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
f) Basis for Consolidation – The Direxion Auspice Broad Commodity Strategy ETF may invest up to 25% of its total assets in the Direxion BCS Fund Ltd. ("BCS Fund"). The BCS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Auspice Broad Commodity Strategy ETF. The BCS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Auspice Broad Commodity Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of April 30, 2023, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $305,497,535 of which $57,240,715, or approximately 18.7%, 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.
g) Risks of Investing Commodity-Linked Derivatives – The Direxion Auspice Broad Commodity Strategy ETF, through its investment in its respective 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. The Direxion Auspice Broad Commodity Strategy ETF held commodity-linked derivatives during the period ended April 30, 2023.
h) 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.
i) Securities Lending – Each Fund may lend up to 331/3% of the value of the securities in their portfolios to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, cash equivalents, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. Government securities held as collateral, net of fee rebates paid to borrower and net of fees paid to the lending agent. The amount of fees depends on a number of factors including the security type and the length of the loan. In addition, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. No more than 99% of the value of any security may be on loan at any time.
DIREXION SEMI-ANNUAL REPORT
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As of April 30, 2023, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.
As of April 30, 2023, 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 Hydrogen ETF | $ | 7,437,000 | $ | 6,104,038 | $ | 1,688,328 | $ | 7,792,366 | |||||||||||
Direxion Moonshot Innovators ETF | 6,336,161 | 6,619,361 | — | 6,619,361 | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 17,058,451 | 17,719,242 | 43,630 | 17,762,872 |
j) 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 April 30, 2023.
k) 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.
l) 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.
m) 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.
n) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
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3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2023 and October 31, 2022 are presented in the following table. The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.
Period Ended April 30, 2023 (Unaudited) | Year/Period Ended October 31, 2022 | ||||||||||||||||||||||||||
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) | $ | 8,091,521 | $ | — | $ | — | $ | 45,900,192 | $ | — | $ | — | |||||||||||||||
Direxion Hydrogen ETF | 92,198 | — | — | 399,661 | — | 15,230 | |||||||||||||||||||||
Direxion Moonshot Innovators ETF | — | — | — | 953,134 | — | 193,011 | |||||||||||||||||||||
Direxion mRNA ETF1 | 75,821 | — | — | — | — | — | |||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 2,411,462 | — | — | 17,776,653 | 1,100,517 | — | |||||||||||||||||||||
Direxion Work From Home ETF | 73,408 | — | — | 723,713 | — | — |
1 Commenced operations December 9, 2021.
At October 31, 2022, 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) | $ | — | $ | 7,014,632 | $ | — | $ | (3,508 | ) | $ | 7,011,124 | ||||||||||||
Direxion Hydrogen ETF | (15,237,274 | ) | — | — | (4,033,215 | ) | (19,270,489 | ) | |||||||||||||||
Direxion Moonshot Innovators ETF | (28,680,156 | ) | — | — | (103,417,417 | ) | (132,097,573 | ) | |||||||||||||||
Direxion mRNA ETF | (1,068,488 | ) | — | — | (800,186 | ) | (1,868,674 | ) | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | (125,840,211 | ) | 218,735 | — | — | (125,621,476 | ) | ||||||||||||||||
Direxion Work From Home ETF | (21,138,172 | ) | 46,336 | — | (4,152,695 | ) | (25,244,531 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At April 30, 2023, 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) | $ | 294,644,639 | $ | — | $ | — | $ | — | |||||||||||
Direxion Hydrogen ETF | 49,868,983 | 1,706,240 | (13,638,344 | ) | (11,932,104 | ) | |||||||||||||
Direxion Moonshot Innovators ETF | 65,703,874 | 1,204,861 | (31,540,895 | ) | (30,336,034 | ) | |||||||||||||
Direxion mRNA ETF | 88,037 | 38,178 | — | 38,178 | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 669,101,994 | 25,428,702 | (63,211,275 | ) | (37,782,573 | ) | |||||||||||||
Direxion Work From Home ETF | 41,782,994 | 2,932,657 | (15,996,441 | ) | (13,063,784 | ) |
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
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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, 2022.
At October 31, 2022, these Funds deferred, on a tax basis, qualified late year losses of:
Funds | Ordinary Late Year Loss Deferral | ||||||
Direxion Moonshot Innovators ETF | $ | 48,023 | |||||
Direxion mRNA ETF | 3,624 |
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, 2022, 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 Hydrogen ETF | — | 3,853,746 | 179,469 | ||||||||||||
Direxion Moonshot Innovators ETF | — | 54,710,113 | 48,659,281 | ||||||||||||
Direxion mRNA ETF | — | 796,562 | — | ||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | — | — | — | ||||||||||||
Direxion Work From Home ETF | — | 2,614,600 | 1,538,095 |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of April 30, 2023, open U.S. Federal and state income tax years include the tax years ended October 31, 2020 through October 31, 2022. 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." The number of shares in a Creation Unit for each respective Fund is as follows:
Fund | Number of shares | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 50,000 shares | ||||||
Direxion Hydrogen ETF | 50,000 shares | ||||||
Direxion Moonshot Innovators ETF | 25,000 shares | ||||||
Direxion mRNA ETF | 25,000 shares | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 50,000 shares | ||||||
Direxion Work From Home ETF | 25,000 shares |
Creation Units of the Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
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Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2023. 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 Hydrogen ETF | 6,597,171 | 5,713,505 | 8,682,422 | — | |||||||||||||||
Direxion Moonshot Innovators ETF | 6,462,104 | 6,398,605 | 9,529,476 | 9,926,845 | |||||||||||||||
Direxion mRNA ETF | 1,077,282 | 4,068,177 | 1,786,856 | 2,207,515 | |||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 93,850,841 | 94,054,715 | 415,548,491 | 574,405,355 | |||||||||||||||
Direxion Work From Home ETF | 6,343,246 | 6,360,721 | 1,107,044 | 9,682,046 |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2023.
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 Hydrogen ETF | 0.40 | % | |||||
Direxion Moonshot Innovators ETF | 0.60 | % | |||||
Direxion mRNA ETF | 0.60 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.30 | % | |||||
Direxion Work From Home 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.
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Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | 0.20 | % | |||||
Direxion Hydrogen ETF | 0.05 | % | |||||
Direxion Moonshot Innovators ETF | 0.05 | % | |||||
Direxion mRNA ETF | 0.05 | % | |||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.05 | % | |||||
Direxion Work From Home 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.
The following is a summary of the inputs used to value the Funds' investments at April 30, 2023:
Asset Class | |||||||||||||||
Level 1 | |||||||||||||||
Funds | Common Stocks | Short Term Investments | Futures Contracts* | ||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | — | $ | 294,644,639 | $ | 620,307 | �� | ||||||||
Direxion Hydrogen ETF | 31,675,429 | 6,261,450 | — | ||||||||||||
Direxion Moonshot Innovators ETF | 28,593,719 | 6,774,121 | — | ||||||||||||
Direxion mRNA ETF | 126,215 | — | — | ||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 612,566,040 | 18,753,381 | — | ||||||||||||
Direxion Work From Home ETF | 28,663,159 | 56,051 | — |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Futures 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.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced
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disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of April 30, 2023, certain Funds were invested in futures contracts. At April 30, 2023, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||
Futures Contracts* Fund | Commodity Risk | Total | |||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 620,307 | $ | 620,307 |
* 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 April 30, 2023, by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation (Depreciation)2 | ||||||||||||||
Fund | Commodity Risk | Commodity Risk | |||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | Futures Contracts | $ | 16,420,352 | $ | 620,307 |
1 Statements of Operations location: Net realized gain (loss) on futures contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on futures contracts.
For the period ended April 30, 2023, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts | |||||||
Long Futures Contracts | |||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 116,154,313 |
The Funds utilize this volume of derivatives 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.
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
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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:
• 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.
Currency Exchange Rate Risk – Changes in foreign currency exchange rates will affect the value of the Fund's investments in securities denominated in a country's currency. Generally, when the U.S. Dollar rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. Dollars. Devaluation of a currency by a country's government or banking authority also will have a significant impact on the value of any investments denominated in that currency. If the Fund is exposed to a limited number of currencies, any change in the value of these currencies could have a material impact on the Fund's net asset value.
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.
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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 May 31, 2023, the Direxion mRNA ETF sold its remaining portfolio securities and distributed cash pro rata to all shareholders of record from the liquidation date of April 27, 2023.
On June 20, 2023, certain Funds declared income distributions with an ex-date of June 21, 2023 and payable date of June 28, 2023. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) | $ | 0.54710 | |||||
Direxion Hydrogen ETF | 0.07332 | ||||||
Direxion Moonshot Innovators ETF | 0.01499 | ||||||
Direxion NASDAQ-100® Equal Weighted Index Shares | 0.15895 |
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Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
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Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested 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(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Daniel D. O'Neill(1) Age: 55 | Chairman of the Board of Trustees | Lifetime of Trust until removal or resignation; Since 2008 | Chief Executive Officer, Rafferty Asset Management, LLC, April 2021 – September 2022; Managing Director, Rafferty Asset Management, LLC, January 1999 – January 2019. | 118 | None. | ||||||||||||||||||
Angela Brickl(2) Age: 47 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Chief Executive Officer, Rafferty Asset Management, LLC since September 2022; Chief Operating Officer, Rafferty Asset Management, LLC May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, September 2012 – March 2023. | 118 | None. |
(1) Mr. O'Neill is affiliated with Rafferty because he owns a beneficial interest in Rafferty.
(2) Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
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(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
David L. Driscoll Age: 53 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Board Member, Algorithmic Research and Trading, since 2022; Board Advisor, University Common Real Estate, since 2012; Member, Kendrick LLC, since 2006; Partner, King Associates, LLP, since 2004; Principal, Grey Oaks LLP, since 2003. | 118 | None. | ||||||||||||||||||
Kathleen M. Berkery Age: 55 | Trustee | Lifetime of Trust until removal or resignation; Since 2019 | Chief Financial Officer, Metro Physical Therapy, LLC, since 2023; Chief Financial Officer, Student Sponsor Partners, 2021 – 2023; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, 2018 – 2021. | 118 | None. | ||||||||||||||||||
Carlyle Peake Age: 51 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011. | 118 | None. | ||||||||||||||||||
Mary Jo Collins Age: 66 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Managing Director, B. Riley Financial, March – December 2022; Managing Director, Imperial Capital LLC, from 2020 – 2022; Director, Royal Bank of Canada, 2014 – 2020. | 118 | None. |
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and Age | Position(s) Held with Fund | Term of Office(2) and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Angela Brickl(1) Age: 47 | Chief Executive Officer | Since 2022 | Chief Executive Officer, Rafferty Asset Management, LLC, from September 2022; Chief Operating Officer, Rafferty Asset Management, LLC, May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, September 2012 – March 2023. | N/A | N/A | ||||||||||||||||||
Todd Sherman Age: 42 | Chief Compliance Officer | Since 2023 | Chief Risk Officer, Rafferty Asset Management, LLC, since 2018; SVP Head of Risk, 2012 – 2018. | N/A | N/A | ||||||||||||||||||
Patrick J. Rudnick Age: 49 | Principal Executive Officer | Since 2018 | Senior Vice President, Rafferty Asset Management, LLC, since March 2013. | N/A | N/A | ||||||||||||||||||
Corey Noltner Age: 34 | Principal Financial Officer | Since 2021 | Senior Business Analyst, Rafferty Asset Management, LLC, Since October 2015. | N/A | N/A |
(1) Ms. Brickl serves on the Board of Trustees of the Direxion Funds and Direxion Shares ETF Trust.
(2) Pursuant to the Trust's By-laws, each officer shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, removal or resignation. Officers serve at the pleasure of the Board of Trustees and may be removed at any time with or without cause.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age | Position(s) Held with Fund | Term of Office(2) and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Alyssa Sherman Age: 34 | Secretary | Since 2022 | Assistant General Counsel, Rafferty Asset Management, LLC, since April 2021; Associate, K&L Gates LLP, September 2015 – March 2021. | N/A | N/A |
(2) Pursuant to the Trust's By-laws, each officer shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, removal or resignation. Officers serve at the pleasure of the Board of Trustees and may be removed at any time with or without cause.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
DIREXION SEMI-ANNUAL REPORT
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SEMI–ANNUAL REPORT APRIL 30, 2023
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxion.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
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2023
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxion.com
1X BEAR FUNDS
Direxion Daily S&P 500® Bear 1X Shares
Direxion Daily AAPL Bear 1X Shares
Direxion Daily AMZN Bear 1X Shares
Direxion Daily GOOGL Bear 1X Shares
Direxion Daily MSFT Bear 1X Shares
Direxion Daily TSLA Bear 1X Shares
1.5X BULL FUNDS
Direxion Daily AAPL Bull 1.5X Shares
Direxion Daily AMZN Bull 1.5X Shares
Direxion Daily GOOGL Bull 1.5X Shares
Direxion Daily MSFT Bull 1.5X Shares
Direxion Daily TSLA Bull 1.5X 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 MSCI Brazil Bull 2X Shares | |||||||
Direxion Daily MSCI India Bull 2X Shares | |||||||
Direxion Daily Cloud Computing Bull 2X Shares | |||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | |||||||
Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | ||||||
Direxion Daily Global Clean Energy Bull 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 NYSE FANG+ Bull 2X Shares | |||||||
(formerly Direxion Daily Select Large Caps & FANGs Bull 2X Shares) | |||||||
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 | ||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
Table of Contents
Letter to Shareholders | 4 | ||||||
Expense Example | 17 | ||||||
Allocation of Portfolio Holdings | 20 | ||||||
Schedules of Investments | 21 | ||||||
Statements of Assets and Liabilities | 62 | ||||||
Statements of Operations | 70 | ||||||
Statements of Changes in Net Assets | 78 | ||||||
Financial Highlights | 93 | ||||||
Notes to the Financial Statements | 98 | ||||||
Supplemental Information | 129 | ||||||
Trustees and Officers | 130 |
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Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange-traded funds (the "ETFs") covers the period from November 1, 2022 to April 30, 2023 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period was filled with volatility in the equity markets as inflation, the Russia-Ukraine war, China's zero-Covid policy and the banking crisis were top of mind for many investors. In the fourth quarter of 2022, the S&P 500® Index was down nearly 20%, although earnings grew. 2023 started out on a stronger note as equity markets rallied in January, but market sentiment in February was much more bearish on the heels of a higher-than expected Consumer Price Index (CPI) reading, confirming inflation is stickier than once anticipated. Through the end of 2022, tech was out of favor, while the energy sector provided a beacon of light. However, in 2023, that trend reversed, and tech outperformed energy, as well as the rest of the market, for most of the first part of this year. China effectively ended their zero-Covid policy in December, causing Chinese and Chinese-adjacent equities to rally. The Russia-Ukraine war waged on, but January through April saw global supply chain improvement. Domestically, despite high inflation and a weak dollar, the labor market remained tight throughout the Semi-Annual Period. In early March, three regional banks collapsed one after another, beginning with Silicon Valley Bank, causing the financials segment of the S&P 500® Index to fall nearly 10% in March. Some fears around the banking sector, specifically smaller banks, bled into April. In summary, the Semi-Annual Period began, and ended, with recessionary fears, inflation and uncertainty surrounding the market environment.
All eyes were on the Federal Reserve during the Semi-Annual Period as it attempted to combat inflation and market volatility. As the Federal Reserve conducted a series of rate hikes, Treasury yields peaked in November, and started to go down in the latter half of November and December. Generally, short-term yields tended to be higher than long-term yields, and high yield modestly outperformed investment grade. In fact, bonds outperformed stocks in 2022, which is extremely rare, although both ended 2022 in the red. Inflation started to come down in January, and the Federal Reserve reduced rate hikes from 50 bps to 25 bps on February 1. Similar to equities, the fixed income market rallied in January as headline CPI ticked down. However, the February CPI reading was higher-than-expected, prompting markets to anticipate further hawkish monetary policy. The banking collapse also influenced the fixed income market, causing interest rate expectations to decrease and lending standards to tighten. Although the yield curve remains inverted, it is much less inverted than it was at the beginning of the Semi-Annual Period. U.S. high yield and U.S. corporate bonds provided the best returns in the first quarter of 2023, but the bond market remained at historically high volatility levels.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 200%, -100% or -200% of the performance of a particular benchmark. All ETF returns are NAV (net asset value) returns.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods 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 200%, before fees and expenses, of the daily performance of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
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4
The Funds with the word "Bear" in their name (the "Bear ETFs"), attempt to provide investment results that correlate to -100% or -200%, before fees and expenses, of the daily performance 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. 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.
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 200% or -200% ETF seeks daily investment results (before fees and expenses) of either 200% (for the Bull ETFs) or -200% (for the Bear ETFs) of the daily 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 SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies
DIREXION SEMI-ANNUAL REPORT
5
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 S&P 500® Bear 1X Shares seeks to provide -100% of the daily return of the S&P 500® Index. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted, market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned 8.63%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily S&P 500® Bear 1X Shares -5.73%, while the model indicated an expected return of -9.50%.
The Direxion Daily CSI 300 China A Share Bull 2X Shares seeks to provide 200% of the daily return of the CSI 300 Index. The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. For the Semi-Annual Period, the CSI 300 Index returned 21.86%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily CSI 300 China A Share Bull 2X Shares returned 43.26%, while the model indicated an expected return 44.35%.
The Direxion Daily CSI China Internet Index Bull 2X Shares seeks to provide 200% of the daily return of the CSI Overseas China Internet Index. The CSI Overseas China Internet Index is provided by China Securities Index Co., LTD. The index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the internet and internet-related sectors, as defined by the index sponsor, China Securities Index Co., Ltd. A China-based company is a company that meets at least one of the following criteria: 1) the company is incorporated in mainland China; 2) its headquarters are in mainland China; or 3) at least 50% of the revenue from goods produced or sold, or services performed in mainland China. The index provider then removes securities that during the past year had a daily average trading value of less than $500,000 or a daily average market capitalization of less than $500 million. For the Semi-Annual Period, the CSI Overseas China Internet Index returned 45.63%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily CSI China Internet Index Bull 2X Shares returned 81.57%, while the model indicated an expected return of 87.49%.
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The Direxion Daily S&P 500® Bull 2X Shares seek to provide 200% of the daily return of the S&P 500® Index. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned 8.63%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily S&P 500® Bull 2X Shares returned 12.93%, while the model indicated an expected return of 16.06%.
The Direxion Daily MSCI Brazil Bull 2X Shares seeks 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 Semi-Annual Period, the MSCI Brazil 25/50 Index returned -6.87%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily MSCI Brazil Bull 2X Shares returned -20.06%, while the model indicated an expected return of -17.83%.
The Direxion Daily MSCI India Bull 2X Shares seeks 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 Semi-Annual Period, the MSCI India Index returned -2.56%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily MSCI India Bull 2X Shares returned -8.95%, while the model indicated an expected return of -5.96%.
The Direxion Daily Cloud Computing Bull 2X Shares seeks to provide 200% of the daily return of the Indxx USA Cloud Computing Index. The Indxx USA Cloud Computing Index is provided by Indxx, LLC. and includes domestic companies that deliver cloud computing infrastructure, platforms, or services. The companies included in the Index are involved in the delivery of computing services – servers, storage, databases, networking, software, analytics, and more, over the internet, which is often referred to as the "Cloud." The Index Provider has defined cloud computing to include three themes: Infrastructure as a service; Platform as a service; and Software as a service. For the Semi-Annual Period, the Indxx USA Cloud Computing Index returned -1.21%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Cloud Computing Bull 2X Shares returned -9.79%, while the model indicated an expected return of -7.36%.
The Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares seeks to provide 200% of the daily return of the Indxx US Electric and Autonomous Vehicles Index. The Indxx US Electric and Autonomous Vehicles Index is designed to track the performance of electric and autonomous vehicles companies. The Index Provider defines electric and autonomous vehicles companies as those companies that derive at least 50% of their revenues from the following activities (or "sub-themes"): Manufacturers – companies that manufacture and sell electric or autonomous vehicles; Enablers – companies that build infrastructure or create technology for electric or autonomous vehicles, such as charging docks and batteries; and Software and Technology Services – companies that engage in the development of software and technology for electric or autonomous vehicles. For the Semi-Annual Period, the Indxx US Electric and Autonomous Vehicles Index returned -22.21%. Given the daily investment objectives of the ETF 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 ETF. Since inception, the Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares returned -49.13%, while the model indicated an expected return of -47.84%.
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 Semi-Annual Period, the Energy Select Sector Index returned -3.36%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the
DIREXION SEMI-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 Energy Bull 2X Shares returned -12.79%, while the model indicated an expected return of -10.11%. The Direxion Daily Energy Bear 2X Shares returned 1.41%, while the model indicated an expected return of -4.41%.
The Direxion Daily Global Clean Energy Bull 2X Shares seeks to provide 200% of the daily return of the S&P Global Clean Energy Index. The S&P Global Clean Energy Index is designed to track the performance of companies from developed markets whose economic fortunes are tied to the global clean energy business. The Index has a target constituent count of 100 and is limited to those stocks traded on a developed market exchange that meet or exceed, at the time of inclusion, $300 million in total market capitalization, $100 million in float adjusted market capitalization, and $3 million average daily value traded over a six month period. The Index is rebalanced semiannually. For the Semi-Annual Period, the S&P Global Clean Energy Index returned -0.62%. Given the daily investment objectives of the ETF 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 ETF. Since inception, the Direxion Daily Global Clean Energy Bull 2X Shares returned -7.35%, while the model indicated an expected return of -6.18%.
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 Semi-Annual Period, the NYSE Arca Gold Miners Index returned 41.38%. 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 80.43%, while the model indicated an expected return of 86.33%. The Direxion Daily Gold Miners Index Bear 2X Shares returned -57.53%, while the model indicated an expected return of -60.05%.
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 Semi-Annual Period, the MVIS Global Junior Gold Miners Index returned 35.47%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Junior Gold Miners Index Bull 2X Shares returned 62.99%, while the model indicated an expected return of 68.32%. The Direxion Daily Junior Gold Miners Index Bear 2X Shares returned -56.00%, while the model indicated an expected return of -58.59%.
The Direxion Daily NYSE FANG+ Bull 2X Shares (the "FANG ETF") seeks to provide 200% of the daily return of the NYSE FANG+ Index. The NYSE FANG+ Index is an equal-dollar weighted Index designed to track the performance of 10 highly-traded growth stocks of technology and tech-enabled companies. The Index is comprised of the securities of U.S.-listed companies that ICE Data Indices, LLC (the "Index Provider") has identified as FANG+ companies, which are comprised of the six FAANMG companies and four non-FAANMG companies. The Index Provider defines the FAANMG as Meta Platforms Inc. (META), Apple Inc. (AAPL), Amazon.com Inc. (AMZN), Netflix Inc. (NFLX), Microsoft Corp. (MSFT), and Alphabet Inc. Class A (GOOGL). The Index is reconstituted quarterly. From March 1, 2023 through April 30, 2023, the NYSE FANG+ Index returned 11.70%. Given the daily investment objectives of the ETF 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 ETF. The FANG ETF returned 21.81%, while the model indicated an expected return of 23.24%.
DIREXION SEMI-ANNUAL REPORT
8
From November 1, 2022 through February 28, 2023, the FANG ETF sought to provide 200% of the daily return of the ICE FANG 20 Index. The ICE FANG 20 Index is an equal weighted index designed to include Facebook, Apple, Amazon, Netflix and (Alphabet's) Google (i.e., the FANGs) and similar highly-traded growth stocks of technology and tech-enabled companies, such as Microsoft, from the information technology, communication services and consumer discretionary sectors. The Index consists of 20 stocks or depository receipts that are listed on a U.S. Exchange that have a minimum of a $5 billion market capitalization and a 6-month average daily trading value of at least $50 million. The Index selects companies whose economic fortunes are tied to technologies such as social networking, autonomous driving, electric vehicles, smartphones, mobile payments, e-commerce, online games, streaming media, online entertainment, cryptocurrencies, blockchain, big data, artificial intelligence, machine learning, digital advertising, cloud services and other innovative technologies. The Index is reconstituted and rebalanced quarterly. From November 1, 2022 through February 28, 2023, the ICE FANG 20 Index returned 0.21%. Given the daily investment objectives of the ETF 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 ETF. The FANG ETF returned -6.94%, while the model indicated an expected return of -5.12%.
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 Semi-Annual Period, the Indxx Global Robotics & Artificial Intelligence Thematic Index returned 26.96%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares returned 50.59%, while the model indicated an expected return of 55.37%.
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 Semi-Annual Period, the S&P Oil & Gas Exploration & Production Select Industry Index returned -14.60%. 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 -34.00%, while the model indicated an expected return of -31.90%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares returned 18.82%, while the model indicated an expected return of 12.11%.
The Direxion Daily Travel & Vacation Bull 2X Shares seeks to provide 200% of the daily return of the BlueStar® Travel and Vacation Index. The BlueStar® Travel and Vacation Index is provided by MV Index Solutions GmbH and is comprised of US listed stocks, including depository receipts, of companies that are "Travel and Vacation" companies, as defined by the Index Provider. To be eligible for inclusion in the Index, a company must either (a) derive 25% or more of its revenue from, or devote 25% or more of its annual budget to, operating theme parks and/or hotels or (b) derive 50% or more of its revenue from, or devote 50% or more of its annual budget to the following activities: 1. Hotel accommodations; 2. Commercial airlines; 3. Casino resorts; 4. Hotel time shares; 5. Ski resorts; 6. Cruises; 7. Hotel real estate investment trusts; 8. Performing arts centers; 9. Online travel and event booking; 10. Specialty travel and experiences (such as outer space passenger travel), and 11. Operation of theme parks. For the Semi-Annual Period, the BlueStar® Travel and Vacation Index returned 12.60%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Travel & Vacation Bull 2X Shares returned 19.31%, while the model indicated an expected return of 22.89%.
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As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
Patrick Rudnick | Corey Noltner | ||||||
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.
SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Futures Contract: an agreement traded on an organized exchange to buy or sell assets, especially commodities or shares, at a fixed price but to be delivered and paid for later.
Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration risk that results from the ETFs' investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts, forward contracts, options and swaps are subject to market risks that may cause their price to fluctuate over time. The ETFs do not attempt to, and should not be expected to; provide returns which are a multiple of the return of their respective underlying index for periods other than a single day. For other risks including
DIREXION SEMI-ANNUAL REPORT
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correlation, leverage, compounding, market volatility and specific risks regarding each sector, please read each ETF's prospectus.
The views of this letter were those of the Adviser as of April 30, 2023 and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION SEMI-ANNUAL REPORT
11
Letter to Single Stock Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2022 to April 30, 2023 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period was filled with volatility in the equity markets as inflation, the Russia-Ukraine war, China's zero-Covid policy and the banking crisis were top of mind for many investors. In the fourth quarter of 2022, the S&P 500® Index was down nearly 20%, although earnings grew. 2023 started out on a stronger note as equity markets rallied in January, but market sentiment in February was much more bearish on the heels of a higher-than expected Consumer Price Index (CPI) reading, confirming inflation is stickier than once anticipated. Through the end of 2022, tech was out of favor, while the energy sector provided a beacon of light. However, in 2023, that trend reversed, and tech outperformed energy, as well as the rest of the market, for most of the first part of this year. China effectively ended their zero-Covid policy in December, causing Chinese and Chinese-adjacent equities to rally. The Russia-Ukraine war waged on, but January through April saw global supply chain improvement. Domestically, despite high inflation and a weak dollar, the labor market remained tight throughout the Semi-Annual Period. In early March, three regional banks collapsed one after another, beginning with Silicon Valley Bank, causing the financials segment of the S&P 500® Index to fall nearly 10% in March. Some fears around the banking sector, specifically smaller banks, bled into April. In Summary, the Semi-Annual Period began, and ended, with recessionary fears, inflation and uncertainty surrounding the market environment.
All eyes were on the Federal Reserve during the Semi-Annual Period as it attempted to combat inflation and market volatility. As the Federal Reserve conducted a series of rate hikes, Treasury yields peaked in November, and started to go down in the latter half of November and December. Generally, short-term yields tended to be higher than long-term yields, and high yield modestly outperformed investment grade. In fact, bonds outperformed stocks in 2022, which is extremely rare, although both ended 2022 in the red. Inflation started to come down in January, and the Federal Reserve reduced rate hikes from 50 bps to 25 bps on February 1. Similar to equities, the fixed income market rallied in January as headline CPI ticked down. However, the February CPI reading was higher-than-expected, prompting markets to anticipate further hawkish monetary policy. The banking collapse also influenced the fixed income market, causing interest rate expectations to decrease and lending standards to tighten. Although the yield curve remains inverted, it is much less inverted than it was at the beginning of the Semi-Annual Period. U.S. high yield and U.S. corporate bonds provided the best returns in the first quarter of 2023, but the bond market remained at historically high volatility levels.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged or inverse and seek daily investment results, before fees and expenses, of 150% or -100% (opposite or inverse) of the performance of a particular security. All ETF returns are NAV (net asset value) returns.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective underlying security for periods of longer than one day, and the performance of the ETFs over longer periods may not correlate to their underlying security's 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 150%, before fees and expenses, of the daily performance of an underlying security, meaning the Bull Funds attempt to move in the same direction as their respective target underlying security.
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The Funds with the word "Bear" in their name (the "Bear ETFs"), attempt to provide investment results that correlate to -100%, before fees and expenses, of the daily performance of an underlying security, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target underlying security.
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 underlying security 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 a particular underlying security, a comparison of the return of the ETF to the relevant common shares 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 respective underlying security. 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. 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.
Factors Affecting the ETFs Performance:
Benchmark Performance – The daily performance of each ETF's underlying security, and the factors and market conditions implicitly affecting that underlying security, are the primary factors driving ETF performance. Given the daily goals, the series of daily underlying security returns are most important. The market conditions that affected the underlying security during the past year are described below.
Leverage – Each Bull ETF seeks daily investment results (before fees and expenses) of 150% of the performance of its respective underlying security. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of a particular underlying security. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the particular underlying security. 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 SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies
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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 underlying security.
Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its particular underlying security. 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 particular underlying security in the short-term.
Equity Dividends and Bond Interest – Equity Bull ETFs are positively impacted by equity and common shares dividends as the ETFs receive those payments. Equity Bear ETFs are negatively impacted 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 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 AAPL Bull 1.5X Shares and the Direxion Daily AAPL Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Apple Inc. (NASDAQ: AAPL). Apple Inc. designs, manufactures, and markets smartphones, personal computers, tablets, wearables, and accessories worldwide. It also sells various related services. For the Semi-Annual Period, the common shares of Apple Inc. returned 11.01%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily AAPL Bull 1.5X Shares returned 11.87%, while the model indicated an expected return of 15.10%. The Direxion Daily AAPL Bear 1X Shares returned -11.04%, while the model indicated an expected return of -13.76%.
The Direxion Daily AMZN Bull 1.5X Shares and the Direxion Daily AMZN Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Amazon.com, Inc. (NASDAQ: AMZN). Amazon.com, Inc. engages in the retail sale of consumer products and subscriptions in North America and internationally. The company operates through three segments: North America, International, and Amazon Web Services. For the Semi-Annual Period, the common shares of Amazon.com, Inc. returned 2.94%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily AMZN Bull 1.5X Shares returned -1.98%, while the model indicated an expected return of 1.14%. The Direxion Daily AMZN Bear 1X Shares returned -8.22%, while the model indicated an expected return of -11.04.
The Direxion Daily GOOGL Bull 1.5X Shares and the Direxion Daily GOOGL Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the class A shares of Alphabet Inc. (NASDAQ: GOOGL). Alphabet Inc. provides online advertising services in the United States, Europe, the Middle East, Africa, the Asia-Pacific, Canada, and Latin America. For the Semi-Annual Period, the common shares of Alphabet Inc. returned 13.58%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily GOOGL Bull 1.5X Shares returned 14.53% while the model indicated an expected return of 17.98%. The Direxion Daily GOOGL Bear 1X Shares returned -15.22%, while the model indicated an expected return of -17.85%.
The Direxion Daily MSFT Bull 1.5X Shares and the Direxion Daily MSFT Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Microsoft Corporation (NASDAQ: MSFT). Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide. For the Semi-Annual Period, the common shares of Microsoft Corporation returned 33.07%. Given the daily investment objectives of the ETFs and the path
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dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSFT Bull 1.5X Shares returned 46.14%, while the model indicated an expected return of 50.52%. The Direxion Daily MSFT Bear 1X Shares returned -26.60%, while the model indicated an expected return of -28.85%.
The Direxion Daily TSLA Bull 1.5X Shares and the Direxion Daily TSLA Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Tesla, Inc. (NASDAQ: TSLA). Tesla, Inc. designs, manufactures and sells electric vehicles and electric vehicle powertrain components. For the Semi-Annual Period, the common shares of Tesla, Inc. returned -27.79%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily TSLA Bull 1.5X Shares returned -45.86%, while the model indicated an expected return of -43.86%. The Direxion Daily TSLA Bear 1X Shares returned 13.07%, while the model indicated an expected return of 9.72%.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
Patrick Rudnick | Corey Noltner | ||||||
Principal Executive Officer | Principal Financial Officer |
Investing in the funds involves a high degree of risk. Unlike traditional ETFs, or even other leveraged and/or inverse ETFs, these leveraged and/or inverse single-stock ETFs track the price of a single stock rather than an index, eliminating the benefits of diversification. Leveraged and inverse ETFs pursue daily leveraged investment objectives, which means they are riskier than alternatives which do not use leverage. They seek daily goals and should not be expected to track the underlying stock's performance over periods longer than one day. They are not suitable for all investors and should be utilized only by investors who understand leverage risk and who actively manage their investments. The Funds will lose money if the underlying stock's performance is flat, and it is possible that the Bull Fund will lose money even if the underlying stock's performance increases, and the Bear Fund will lose money even if the underlying stock's performance decreases, over a period longer than a single day. An investor could lose the full principal value of his or her investment in a single day.
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 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.
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Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense reimbursements or recoupments and fee waivers in effect during certain periods shown. Absent these reimbursements or recoupments and fee waivers, results would have been less favorable.
Direxion Shares ETF 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 company, 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 underlying security for periods other than a single day. For other risks including leverage, correlation, daily compounding, market volatility and risks specific to an industry, sector, or company, please read each ETF's prospectus.
The views of this letter were those of the Adviser as of April 30, 2023 and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
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Expense Example (Unaudited)
April 30, 2023
As a shareholder of the Direxion Shares ETF Trust, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2022 to April 30, 2023).
Actual Expenses
The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2022 to April 30, 2023" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period November 1, 2022 to April 30, 2023* | ||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 0.49 | % | $ | 1,000.00 | $ | 942.70 | $ | 2.36 | |||||||||||
Based on hypothetical 5% return | 0.49 | % | 1,000.00 | 1,022.37 | 2.46 | ||||||||||||||
Direxion Daily AAPL Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 889.60 | 5.11 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.39 | 5.46 | ||||||||||||||
Direxion Daily AMZN Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 917.80 | 4.99 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 1.10 | % | 1,000.00 | 847.80 | 5.04 | ||||||||||||||
Based on hypothetical 5% return | 1.10 | % | 1,000.00 | 1,019.34 | 5.51 |
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Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period November 1, 2022 to April 30, 2023* | ||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | $ | 1,000.00 | $ | 734.00 | $ | 4.43 | |||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.69 | 5.16 | ||||||||||||||
Direxion Daily TSLA Bear 1X Shares | |||||||||||||||||||
Based on actual fund return | 1.17 | % | 1,000.00 | 1,130.70 | 6.18 | ||||||||||||||
Based on hypothetical 5% return | 1.17 | % | 1,000.00 | 1,018.99 | 5.86 | ||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | |||||||||||||||||||
Based on actual fund return | 1.11 | % | 1,000.00 | 1,118.70 | 5.83 | ||||||||||||||
Based on hypothetical 5% return | 1.11 | % | 1,000.00 | 1,019.29 | 5.56 | ||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | 1,000.00 | 980.20 | 5.06 | ||||||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.69 | 5.16 | ||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 1,145.30 | 5.59 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | |||||||||||||||||||
Based on actual fund return | 1.06 | % | 1,000.00 | 1,461.40 | 6.47 | ||||||||||||||
Based on hypothetical 5% return | 1.06 | % | 1,000.00 | 1,019.54 | 5.31 | ||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | |||||||||||||||||||
Based on actual fund return | 1.07 | % | 1,000.00 | 541.40 | 4.09 | ||||||||||||||
Based on hypothetical 5% return | 1.07 | % | 1,000.00 | 1,019.49 | 5.36 | ||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.09 | % | 1,000.00 | 1,432.60 | 6.57 | ||||||||||||||
Based on hypothetical 5% return | 1.09 | % | 1,000.00 | 1,019.39 | 5.46 | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.17 | % | 1,000.00 | 1,815.70 | 8.17 | ||||||||||||||
Based on hypothetical 5% return | 1.17 | % | 1,000.00 | 1,018.99 | 5.86 | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.63 | % | 1,000.00 | 1,129.30 | 3.33 | ||||||||||||||
Based on hypothetical 5% return | 0.63 | % | 1,000.00 | 1,021.67 | 3.16 | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.18 | % | 1,000.00 | 799.40 | 5.26 | ||||||||||||||
Based on hypothetical 5% return | 1.18 | % | 1,000.00 | 1,018.94 | 5.91 | ||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.98 | % | 1,000.00 | 910.50 | 4.64 | ||||||||||||||
Based on hypothetical 5% return | 0.98 | % | 1,000.00 | 1,019.94 | 4.91 | ||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | 1,000.00 | 902.10 | 4.86 | ||||||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.69 | 5.16 | ||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.03 | % | 1,000.00 | 508.70 | 3.85 | ||||||||||||||
Based on hypothetical 5% return | 1.03 | % | 1,000.00 | 1,019.69 | 5.16 | ||||||||||||||
Direxion Daily Energy Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.28 | % | 1,000.00 | 872.10 | 5.94 | ||||||||||||||
Based on hypothetical 5% return | 1.28 | % | 1,000.00 | 1,018.45 | 6.41 | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.06 | % | 1,000.00 | 1,014.10 | 5.29 | ||||||||||||||
Based on hypothetical 5% return | 1.06 | % | 1,000.00 | 1,019.54 | 5.31 | ||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 926.50 | 4.73 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.89 | 4.96 |
DIREXION SEMI-ANNUAL REPORT
18
Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period November 1, 2022 to April 30, 2023* | ||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.08 | % | $ | 1,000.00 | $ | 1,804.30 | $ | 7.51 | |||||||||||
Based on hypothetical 5% return | 1.08 | % | 1,000.00 | 1,019.44 | 5.41 | ||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.26 | % | 1,000.00 | 424.70 | 4.45 | ||||||||||||||
Based on hypothetical 5% return | 1.26 | % | 1,000.00 | 1,018.55 | 6.31 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.16 | % | 1,000.00 | 1,629.90 | 7.56 | ||||||||||||||
Based on hypothetical 5% return | 1.16 | % | 1,000.00 | 1,019.04 | 5.81 | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.13 | % | 1,000.00 | 440.00 | 4.03 | ||||||||||||||
Based on hypothetical 5% return | 1.13 | % | 1,000.00 | 1,019.19 | 5.66 | ||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.10 | % | 1,000.00 | 1,133.30 | 5.82 | ||||||||||||||
Based on hypothetical 5% return | 1.10 | % | 1,000.00 | 1,019.34 | 5.51 | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation | |||||||||||||||||||
Based on actual fund return | 1.18 | % | 1,000.00 | 1,505.90 | 7.33 | ||||||||||||||
Based on hypothetical 5% return | 1.18 | % | 1,000.00 | 1,018.94 | 5.91 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.51 | % | 1,000.00 | 660.00 | 6.21 | ||||||||||||||
Based on hypothetical 5% return | 1.51 | % | 1,000.00 | 1,017.31 | 7.55 | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.17 | % | 1,000.00 | 1,188.20 | 6.35 | ||||||||||||||
Based on hypothetical 5% return | 1.17 | % | 1,000.00 | 1,018.99 | 5.86 | ||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | |||||||||||||||||||
Based on actual fund return | 1.21 | % | 1,000.00 | 1,193.10 | 6.58 | ||||||||||||||
Based on hypothetical 5% return | 1.21 | % | 1,000.00 | 1,018.79 | 6.06 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2022 to April 30, 2023), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
19
Allocation of Portfolio Holdings (Unaudited)
April 30, 2023
Cash* | Common Stocks | Investment Companies | Swaps | Total | |||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | 103 | % | — | — | (3 | %) | 100 | % | |||||||||||||||
Direxion Daily AAPL Bear 1X Shares | 109 | % | — | — | (9 | %) | 100 | % | |||||||||||||||
Direxion Daily AMZN Bear 1X Shares | 104 | % | — | — | (4 | %) | 100 | % | |||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | 108 | % | — | — | (8 | %) | 100 | % | |||||||||||||||
Direxion Daily MSFT Bear 1X Shares | 107 | % | — | — | (7 | %) | 100 | % | |||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 90 | % | — | — | 10 | % | 100 | % | |||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 65 | % | 18 | % | — | 17 | % | 100 | % | ||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | 75 | % | 22 | % | — | 3 | % | 100 | % | ||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 68 | % | 18 | % | — | 14 | % | 100 | % | ||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | 70 | % | 19 | % | — | 11 | % | 100 | % | ||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | 95 | % | 24 | % | — | (19 | %) | 100 | % | ||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 53 | % | — | 48 | % | (1 | %) | 100 | % | ||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 66 | % | — | 48 | % | (14 | %) | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 7 | % | 89 | % | — | 4 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 58 | % | — | 41 | % | 1 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 60 | % | — | 46 | % | (6 | %) | 100 | % | ||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 15 | % | 85 | % | — | 0 | %** | 100 | % | ||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 24 | % | 88 | % | — | (12 | %) | 100 | % | ||||||||||||||
Direxion Daily Energy Bull 2X Shares | 28 | % | 71 | % | — | 1 | % | 100 | % | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | 99 | % | — | — | 1 | % | 100 | % | |||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 28 | % | — | 81 | % | (9 | %) | 100 | % | ||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 32 | % | — | 50 | % | 18 | % | 100 | % | ||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 106 | % | — | — | (6 | %) | 100 | % | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 42 | % | — | 41 | % | 17 | % | 100 | % | ||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 104 | % | — | — | (4 | %) | 100 | % | |||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 50 | % | 35 | % | — | 15 | % | 100 | % | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 33 | % | — | 55 | % | 12 | % | 100 | % | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 50 | % | 56 | % | — | (6 | %) | 100 | % | ||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 88 | % | — | — | 12 | % | 100 | % | |||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 21 | % | 75 | % | — | 4 | % | 100 | % |
* Cash, cash equivalents and other assets less liabilities.
** Percentage is less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily S&P 500® Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 99.4% | |||||||||||
Money Market Funds - 99.4% | |||||||||||
339,068,673 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 339,068,673 | ||||||||
101,560,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 101,560,000 | |||||||||
801,363 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 801,363 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $441,430,036) (b) | $ | 441,430,036 | |||||||||
TOTAL INVESTMENTS (Cost $441,430,036) - 99.4% | $ | 441,430,036 | |||||||||
Other Assets in Excess of Liabilities - 0.6% | 2,645,419 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 444,075,455 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $103,270,344.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | UBS Securities LLC | 12/13/2023 | 1,053 | $ | 4,229,866 | $ | (130,296 | ) | ||||||||||||||||||
5.1300% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | Barclays | 12/20/2023 | 105,454 | 423,404,664 | (13,193,732 | ) | ||||||||||||||||||||
$ | 427,634,530 | $ | (13,324,028 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily AAPL Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 109.3% | |||||||||||
Money Market Funds - 109.3% | |||||||||||
19,565,948 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 19,565,948 | ||||||||
3,535,110 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 3,535,110 | |||||||||
6,475,753 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 6,475,753 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,576,811) (b) | $ | 29,576,811 | |||||||||
TOTAL INVESTMENTS (Cost $29,576,811) - 109.3% | $ | 29,576,811 | |||||||||
Liabilities in Excess of Other Assets - (9.3)% | (2,507,099 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 27,069,712 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,713,102.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Apple, Inc. | BNP Paribas | 12/5/2023 | 6,800 | $ | 928,200 | $ | (216,623 | ) | ||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of common shares of Apple, Inc. | Goldman Sachs | 12/7/2023 | 57,442 | 8,501,731 | (1,155,654 | ) | ||||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Apple, Inc. | Bank of America Merrill Lynch | 12/8/2023 | 55,365 | 9,029,716 | (343,342 | ) | ||||||||||||||||||||
2.8000% representing 1 month SOFR rate + spread | Total return of common shares of Apple, Inc. | Citibank N.A. | 12/19/2023 | 39,927 | 5,902,134 | (837,582 | ) | ||||||||||||||||||||
$ | 24,361,781 | $ | (2,553,201 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily AMZN Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 69.5% | |||||||||||
Money Market Funds - 69.5% | |||||||||||
2,875,037 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 2,875,037 | ||||||||
615,005 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 615,005 | |||||||||
2,953,826 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 2,953,826 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,443,868) (b) | $ | 6,443,868 | |||||||||
TOTAL INVESTMENTS (Cost $6,443,868) - 69.5% | $ | 6,443,868 | |||||||||
Other Assets in Excess of Liabilities - 30.5% | 2,828,543 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,272,411 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,568,832.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of common shares of Amazon.com, Inc. | Goldman Sachs | 12/7/2023 | 21,267 | $ | 2,201,564 | $ | (27,538 | ) | ||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Amazon.com, Inc. | Bank of America Merrill Lynch | 12/8/2023 | 22,318 | 2,040,454 | (292,769 | ) | ||||||||||||||||||||
2.8000% representing 1 month SOFR rate + spread | Total return of common shares of Amazon.com, Inc. | Citibank N.A. | 12/19/2023 | 44,346 | 4,618,947 | (49,204 | ) | ||||||||||||||||||||
$ | 8,860,965 | $ | (369,511 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily GOOGL Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 107.7% | |||||||||||
Money Market Funds - 107.7% | |||||||||||
3,460,405 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 3,460,405 | ||||||||
759,685 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 759,685 | |||||||||
773,589 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 773,589 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,993,679) (b) | $ | 4,993,679 | |||||||||
TOTAL INVESTMENTS (Cost $4,993,679) - 107.7% | $ | 4,993,679 | |||||||||
Liabilities in Excess of Other Assets - (7.7)% | (355,610 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,638,069 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,533,274.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of common shares of Alphabet, Inc. | Goldman Sachs | 12/7/2023 | 23,902 | $ | 2,244,734 | $ | (288,735 | ) | ||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Alphabet, Inc. | Bank of America Merrill Lynch | 12/8/2023 | 10,731 | 1,139,032 | (9,414 | ) | ||||||||||||||||||||
2.8000% representing 1 month SOFR rate + spread | Total return of common shares of Alphabet, Inc. | Citibank N.A. | 12/19/2023 | 8,576 | 846,985 | (69,570 | ) | ||||||||||||||||||||
$ | 4,230,751 | $ | (367,719 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily MSFT Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 64.9% | |||||||||||
Money Market Funds - 64.9% | |||||||||||
3,422,452 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 3,422,452 | ||||||||
1,259,614 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 1,259,614 | |||||||||
2,860,420 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 2,860,420 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,542,486) (b) | $ | 7,542,486 | |||||||||
TOTAL INVESTMENTS (Cost $7,542,486) - 64.9% | $ | 7,542,486 | |||||||||
Other Assets in Excess of Liabilities - 35.1% | 4,078,653 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 11,621,139 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,120,034.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of common shares of Microsoft Corp. | Goldman Sachs | 12/7/2023 | 12,840 | $ | 3,642,509 | $ | (289,231 | ) | ||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Microsoft Corp. | Bank of America Merrill Lynch | 12/8/2023 | 12,726 | 3,673,778 | (229,978 | ) | ||||||||||||||||||||
2.8000% representing 1 month SOFR rate + spread | Total return of common shares of Microsoft Corp. | Citibank N.A. | 12/19/2023 | 12,255 | 3,463,215 | (294,531 | ) | ||||||||||||||||||||
$ | 10,779,502 | $ | (813,740 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily TSLA Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 106.3% | |||||||||||
Money Market Funds - 106.3% | |||||||||||
30,064,192 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 30,064,192 | ||||||||
6,816,488 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 6,816,488 | |||||||||
7,815,789 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 7,815,789 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $44,696,469) (b) | $ | 44,696,469 | |||||||||
TOTAL INVESTMENTS (Cost $44,696,469) - 106.3% | $ | 44,696,469 | |||||||||
Liabilities in Excess of Other Assets - (6.3)% | (2,661,952 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 42,034,517 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $19,026,417.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Tesla, Inc. | BNP Paribas | 12/5/2023 | 54,892 | $ | 9,160,572 | $ | 230,139 | |||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of common shares of Tesla, Inc. | Goldman Sachs | 12/7/2023 | 98,104 | 17,042,069 | 970,282 | |||||||||||||||||||||
3.3000% representing 1 month SOFR rate + spread | Total return of common shares of Tesla, Inc. | Bank of America Merrill Lynch | 12/8/2023 | 83,496 | 16,105,148 | 2,468,758 | |||||||||||||||||||||
2.8000% representing 1 month SOFR rate + spread | Total return of common shares of Tesla, Inc. | Citibank N.A. | 12/19/2023 | 19,331 | 3,689,614 | 543,303 | |||||||||||||||||||||
$ | 45,997,403 | $ | 4,212,482 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily AAPL Bull 1.5X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 17.7% | |||||||||||
Computer and Electronic Product Manufacturing - 17.7% | |||||||||||
20,210 | Apple, Inc. | $ | 3,429,233 | ||||||||
TOTAL COMMON STOCKS (Cost $3,065,974) | $ | 3,429,233 | |||||||||
SHORT TERM INVESTMENTS - 78.6% | |||||||||||
Money Market Funds - 78.6% | |||||||||||
8,130,093 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 8,130,093 | ||||||||
2,134,657 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 2,134,657 | |||||||||
4,950,427 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 4,950,427 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,215,177) | $ | 15,215,177 | |||||||||
TOTAL INVESTMENTS (Cost $18,281,151) - 96.3% (b) | $ | 18,644,410 | |||||||||
Other Assets in Excess of Liabilities - 3.7% | 720,609 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 19,365,019 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $7,618,034.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Apple, Inc. | 6.8000% representing 1 month SOFR rate + spread | BNP Paribas | 12/05/2023 | 7,400 | $ | 1,010,100 | $ | 222,381 | |||||||||||||||||||
Total return of Apple, Inc. | 5.8000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 50,094 | 7,072,108 | 1,324,950 | |||||||||||||||||||||
Total return of Apple, Inc. | 7.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 50,698 | 7,787,906 | 694,627 | |||||||||||||||||||||
Total return of Apple, Inc. | 7.3000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 42,788 | 6,006,133 | 1,126,929 | |||||||||||||||||||||
$ | 21,876,247 | $ | 3,368,887 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily AMZN Bull 1.5X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 21.8% | |||||||||||
General Merchandise Retailers - 21.8% | |||||||||||
43,178 | Amazon.com, Inc. (a) | $ | 4,553,120 | ||||||||
TOTAL COMMON STOCKS (Cost $4,205,772) | $ | 4,553,120 | |||||||||
SHORT TERM INVESTMENTS - 78.4% | |||||||||||
Money Market Funds - 78.4% | |||||||||||
8,495,226 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 8,495,226 | ||||||||
3,119,044 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 3,119,044 | |||||||||
4,739,630 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 4,739,630 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $16,353,900) | $ | 16,353,900 | |||||||||
TOTAL INVESTMENTS (Cost $20,559,672) - 100.2% (c) | $ | 20,907,020 | |||||||||
Liabilities in Excess of Other Assets - (0.2)% | (50,705 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,856,315 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $7,858,673.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 common shares of Amazon.com, Inc. | 6.0500% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 108,451 | $ | 10,772,689 | $ | 540,965 | |||||||||||||||||||
Total return of common shares of Amazon.com, Inc. | 7.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 66,869 | 6,951,702 | (22,773 | ) | ||||||||||||||||||||
Total return of common shares of Amazon.com, Inc. | 7.8000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 78,179 | 7,914,626 | 191,010 | |||||||||||||||||||||
$ | 25,639,017 | $ | 709,202 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily GOOGL Bull 1.5X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 18.0% | |||||||||||
Web Search Portals, Libraries, Archives, and Other Information Services - 18.0% | |||||||||||
28,207 | Alphabet, Inc. (a) | $ | 3,027,739 | ||||||||
TOTAL COMMON STOCKS (Cost $2,772,247) | $ | 3,027,739 | |||||||||
SHORT TERM INVESTMENTS - 77.8% | |||||||||||
Money Market Funds - 77.8% | |||||||||||
6,057,584 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 6,057,584 | ||||||||
2,355,184 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 2,355,184 | |||||||||
4,668,876 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 4,668,876 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $13,081,644) | $ | 13,081,644 | |||||||||
TOTAL INVESTMENTS (Cost $15,853,891) - 95.8% (c) | $ | 16,109,383 | |||||||||
Other Assets in Excess of Liabilities - 4.2% | 700,834 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 16,810,217 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $7,024,061.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 common shares of Alphabet, Inc. | 6.0500% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 75,231 | $ | 7,040,076 | $ | 910,957 | |||||||||||||||||||
Total return of common shares of Alphabet, Inc. | 7.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 58,893 | 5,715,962 | 511,794 | |||||||||||||||||||||
Total return of common shares of Alphabet, Inc. | 7.3000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 72,580 | 6,760,584 | 899,422 | |||||||||||||||||||||
$ | 19,516,622 | $ | 2,322,173 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily MSFT Bull 1.5X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 18.6% | |||||||||||
Publishing Industries - 18.6% | |||||||||||
11,350 | Microsoft Corp. | $ | 3,487,401 | ||||||||
TOTAL COMMON STOCKS (Cost $3,022,894) | $ | 3,487,401 | |||||||||
SHORT TERM INVESTMENTS - 78.1% | |||||||||||
Money Market Funds - 78.1% | |||||||||||
7,007,766 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 7,007,766 | ||||||||
2,234,168 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 2,234,168 | |||||||||
5,381,288 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 5,381,288 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,623,222) | $ | 14,623,222 | |||||||||
TOTAL INVESTMENTS (Cost $17,646,116) - 96.7% (b) | $ | 18,110,623 | |||||||||
Other Assets in Excess of Liabilities - 3.3% | 613,738 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,724,361 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $7,615,457.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 common shares of Microsoft Corp. | 6.0500% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 24,735 | $ | 7,540,736 | $ | 55,588 | |||||||||||||||||||
Total return of common shares of Microsoft Corp. | 7.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 30,155 | 8,230,572 | 947,157 | |||||||||||||||||||||
Total return of common shares of Microsoft Corp. | 7.3000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 25,169 | 6,536,975 | 1,110,464 | |||||||||||||||||||||
$ | 22,308,283 | $ | 2,113,209 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily TSLA Bull 1.5X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 24.3% | |||||||||||
Transportation Equipment Manufacturing - 24.3% | |||||||||||
638,514 | Tesla, Inc. (a) | $ | 104,914,235 | ||||||||
TOTAL COMMON STOCKS (Cost $113,551,364) | $ | 104,914,235 | |||||||||
SHORT TERM INVESTMENTS - 95.6% | |||||||||||
Money Market Funds - 95.6% | |||||||||||
175,755,971 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 175,755,971 | ||||||||
96,954,799 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 96,954,799 | |||||||||
139,460,347 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 139,460,347 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $412,171,117) | $ | 412,171,117 | |||||||||
TOTAL INVESTMENTS (Cost $525,722,481) - 119.9% (c) | $ | 517,085,352 | |||||||||
Liabilities in Excess of Other Assets - (19.9)% | (85,912,541 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 431,172,811 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $350,181,878.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 common shares of Tesla, Inc. | 6.8000% representing 1 month SOFR rate + spread | BNP Paribas | 12/05/2023 | 512,147 | $ | 89,429,854 | $ | (6,619,738 | ) | ||||||||||||||||||
Total return of common shares of Tesla, Inc. | 8.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 1,092,009 | 204,303,886 | (26,855,225 | ) | ||||||||||||||||||||
Total return of common shares of Tesla, Inc. | 7.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 893,394 | 159,785,771 | (15,546,524 | ) | ||||||||||||||||||||
Total return of common shares of Tesla, Inc. | 7.8000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 800,137 | 161,453,694 | (32,022,427 | ) | ||||||||||||||||||||
$ | 614,973,205 | $ | (81,043,914 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily CSI 300 China A Share Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 47.5% | |||||||||||
1,148,779 | Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF (a) | $ | 33,532,859 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $33,647,832) | $ | 33,532,859 | |||||||||
SHORT TERM INVESTMENTS - 52.5% | |||||||||||
Money Market Funds - 52.5% | |||||||||||
18,527,522 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 18,527,522 | ||||||||
18,450,598 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 18,450,598 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $36,978,120) | $ | 36,978,120 | |||||||||
TOTAL INVESTMENTS (Cost $70,625,952) - 100.0% (c) | $ | 70,510,979 | |||||||||
Liabilities in Excess of Other Assets - (0.0)% (†) | (17,151 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 70,493,828 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $21,572,727.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.8000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 1,656,729 | $ | 48,436,000 | $ | (140,421 | ) | ||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 5.0500% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 714,994 | 20,466,097 | 199,778 | |||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF | 2.3000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 1,309,504 | 38,732,768 | (474,196 | ) | ||||||||||||||||||||
$ | 107,634,865 | $ | (414,839 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion Daily CSI China Internet Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 48.0% | |||||||||||
5,005,977 | KraneShares CSI China Internet ETF (a) | $ | 139,967,117 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $145,552,677) | $ | 139,967,117 | |||||||||
SHORT TERM INVESTMENTS - 63.0% | |||||||||||
Money Market Funds - 63.0% | |||||||||||
110,125,413 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 110,125,413 | ||||||||
28,383,127 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 28,383,127 | |||||||||
45,310,144 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 45,310,144 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $183,818,684) | $ | 183,818,684 | |||||||||
TOTAL INVESTMENTS (Cost $329,371,361) - 111.0% (c) | $ | 323,785,801 | |||||||||
Liabilities in Excess of Other Assets - (11.0)% | (32,089,917 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 291,695,884 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $220,376,862.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 KraneShares CSI China Internet ETF | 5.1900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 2,881,945 | $ | 86,314,253 | $ | (7,333,826 | ) | ||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 5.3500% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 2,942,389 | 90,541,125 | (9,491,187 | ) | ||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 5.3500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 3,227,202 | 93,921,476 | (4,255,374 | ) | ||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 5.5400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 3,416,746 | 105,478,876 | (11,966,725 | ) | ||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF | 5.4000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 3,391,041 | 101,273,622 | (7,981,881 | ) | ||||||||||||||||||||
$ | 477,529,352 | $ | (41,028,993 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 88.9% | |||||||||||
Accommodation - 0.4% | |||||||||||
1,299 | Caesars Entertainment Inc. (a) | $ | 58,832 | ||||||||
1,613 | Hilton Worldwide Holdings, Inc. | 232,304 | |||||||||
4,319 | Host Hotels & Resorts, Inc. | 69,838 | |||||||||
1,986 | Las Vegas Sands Corp. (a) | 126,806 | |||||||||
1,624 | Marriott International, Inc. Class A | 275,008 | |||||||||
1,903 | MGM Resorts International | 85,483 | |||||||||
848,271 | |||||||||||
Administrative and Support Services - 2.2% | |||||||||||
529 | Allegion PLC ADR (Ireland) | 58,444 | |||||||||
8,981 | Amcor PLC ADR (United Kingdom) | 98,522 | |||||||||
2,505 | Automatic Data Processing, Inc. | 551,100 | |||||||||
230 | Booking Holdings, Inc. (a) | 617,851 | |||||||||
715 | Broadridge Financial Solutions, Inc. | 103,968 | |||||||||
739 | Equifax, Inc. | 153,993 | |||||||||
227 | FactSet Research System, Inc. | 93,454 | |||||||||
446 | FleetCor Technologies, Inc. (a) | 95,408 | |||||||||
476 | Gartner, Inc. (a) | 143,971 | |||||||||
1,756 | Iron Mountain, Inc. | 97,001 | |||||||||
862 | Live Nation Entertainment, Inc. (a) | 58,426 | |||||||||
950 | Moody's Corp. | 297,464 | |||||||||
645 | Robert Half International, Inc. | 47,085 | |||||||||
1,402 | Rollins, Inc. | 59,235 | |||||||||
9,822 | Visa, Inc. Class A | 2,285,874 | |||||||||
2,245 | Waste Management, Inc. | 372,782 | |||||||||
5,134,578 | |||||||||||
Air Transportation - 0.2% | |||||||||||
773 | Alaska Air Group, Inc. (a) | 33,595 | |||||||||
3,935 | American Airlines Group, Inc. (a) | 53,673 | |||||||||
3,879 | Delta Air Lines, Inc. (a) | 133,088 | |||||||||
3,589 | Southwest Airlines Co. | 108,711 | |||||||||
1,977 | United Continental Holdings, Inc. (a) | 86,593 | |||||||||
415,660 | |||||||||||
Ambulatory Health Care Services - 0.2% | |||||||||||
329 | DaVita, Inc. (a) | 29,729 | |||||||||
533 | Laboratory Corp. of America Holdings | 120,836 | |||||||||
355 | Molina Healthcare, Inc. (a) | 105,751 | |||||||||
673 | Quest Diagnostics, Inc. | 93,419 | |||||||||
7,326 | Viatris, Inc. | 68,352 | |||||||||
418,087 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.6% | |||||||||||
1,591 | Global Payments, Inc. | 179,322 | |||||||||
11,043 | The Walt Disney Co. (a) | 1,131,907 | |||||||||
624 | Wynn Resorts Ltd. (a) | 71,311 | |||||||||
1,382,540 |
Shares | Fair Value | ||||||||||
Apparel Manufacturing - 0.0% (†) | |||||||||||
251 | Ralph Lauren Corp. | $ | 28,812 | ||||||||
1,994 | VF Corp. | 46,879 | |||||||||
75,691 | |||||||||||
Beverage and Tobacco Product Manufacturing - 2.2% | |||||||||||
10,792 | Altria Group, Inc. | 512,728 | |||||||||
23,526 | Coca-Cola Co. | 1,509,193 | |||||||||
984 | Constellation Brands, Inc. Class A | 225,798 | |||||||||
5,138 | Keurig Dr Pepper, Inc. | 168,012 | |||||||||
1,139 | Molson Coors Brewing Co. Class B | 67,748 | |||||||||
4,608 | Monster Beverage Corp. (a) | 258,048 | |||||||||
8,321 | PepsiCo, Inc. | 1,588,396 | |||||||||
9,366 | Philip Morris International, Inc. | 936,319 | |||||||||
5,266,242 | |||||||||||
Broadcasting (except Internet) - 0.1% | |||||||||||
1,796 | FOX Corp. Class A | 59,735 | |||||||||
834 | FOX Corp. Class B | 25,470 | |||||||||
3,054 | ViacomCBS, Inc. Class B | 71,250 | |||||||||
156,455 | |||||||||||
Broadcasting and Content Providers - 0.6% | |||||||||||
635 | Charter Communications, Inc. (a) | 234,124 | |||||||||
25,429 | Comcast Corp. Class A | 1,051,998 | |||||||||
1,518 | Dish Network Corp. (a) | 11,400 | |||||||||
13,355 | Warner Bros Discovery, Inc. (a) | 181,762 | |||||||||
1,479,284 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 1.1% | |||||||||||
3,655 | Lowe's Companies, Inc. | 759,619 | |||||||||
320 | Snap-on, Inc. | 83,011 | |||||||||
6,161 | The Home Depot, Inc. | 1,851,627 | |||||||||
2,694,257 | |||||||||||
Chemical Manufacturing - 7.3% | |||||||||||
10,688 | AbbVie, Inc. | 1,615,170 | |||||||||
1,346 | Air Products & Chemicals, Inc. | 396,208 | |||||||||
708 | Albemarle Corp. | 131,306 | |||||||||
3,224 | Amgen, Inc. | 772,922 | |||||||||
874 | Biogen, Inc. (a) | 265,897 | |||||||||
949 | Bio-Techne Corp. | 75,806 | |||||||||
12,852 | Bristol-Myers Squibb Co. | 858,128 | |||||||||
1,090 | Catalent, Inc. (a) | 54,631 | |||||||||
603 | Celanese Corp. | 64,063 | |||||||||
1,189 | CF Industries Holdings, Inc. | 85,109 | |||||||||
1,471 | Church & Dwight Co., Inc. | 142,863 | |||||||||
744 | Clorox Co. | 123,221 | |||||||||
5,047 | Colgate-Palmolive Co. | 402,751 | |||||||||
2,769 | DuPont de Nemours, Inc. | 193,055 | |||||||||
721 | Eastman Chemical Co. | 60,759 | |||||||||
1,496 | Ecolab, Inc. | 251,089 | |||||||||
4,769 | Eli Lilly and Company | 1,887,856 | |||||||||
761 | FMC Corp. | 94,044 | |||||||||
7,534 | Gilead Sciences, Inc. | 619,370 | |||||||||
1,120 | Incyte Corp. (a) | 83,339 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
1,541 | International Flavors & Fragrances, Inc. | $ | 149,415 | ||||||||
2,039 | Kimberly-Clark Corp. | 295,431 | |||||||||
2,977 | Linde PLC ADR (Ireland) | 1,099,853 | |||||||||
1,537 | LyondellBasell Industries N.V. Class A ADR (Netherlands) | 145,416 | |||||||||
15,326 | Merck & Co., Inc. | 1,769,693 | |||||||||
2,059 | Mosaic Co. | 88,228 | |||||||||
1,538 | Organon & Co. | 37,881 | |||||||||
33,929 | Pfizer, Inc. | 1,319,499 | |||||||||
1,418 | PPG Industries, Inc. | 198,889 | |||||||||
14,260 | Procter & Gamble Co. | 2,229,979 | |||||||||
645 | Regeneron Pharmaceuticals, Inc. (a) | 517,154 | |||||||||
877 | Sealed Air Corp. | 42,087 | |||||||||
1,557 | Vertex Pharmaceuticals, Inc. (a) | 530,517 | |||||||||
452 | West Pharmaceutical Services, Inc. | 163,280 | |||||||||
2,817 | Zoetis, Inc. | 495,172 | |||||||||
17,260,081 | |||||||||||
Clothing and Clothing Accessories Stores - 0.2% | |||||||||||
6,988 | TJX Companies, Inc. | 550,794 | |||||||||
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 0.1% | |||||||||||
1,382 | Bath & Body Works, Inc. | 48,508 | |||||||||
2,082 | Ross Stores, Inc. | 222,212 | |||||||||
270,720 | |||||||||||
Computer and Electronic Product Manufacturing - 18.3% | |||||||||||
9,745 | Advanced Micro Devices, Inc. (a) | 870,911 | |||||||||
1,785 | Agilent Technologies, Inc. | 241,742 | |||||||||
35,998 | Alphabet, Inc. Class A (a) | 3,864,025 | |||||||||
31,386 | Alphabet, Inc. Class C (a) | 3,396,593 | |||||||||
1,388 | AMETEK, Inc. | 191,447 | |||||||||
3,591 | Amphenol Corp. Class A | 271,013 | |||||||||
3,062 | Analog Devices, Inc. | 550,792 | |||||||||
89,896 | Apple, Inc. | 15,253,553 | |||||||||
1,495 | Arista Networks, Inc. (a) | 239,439 | |||||||||
125 | Bio-Rad Laboratories, Inc. (a) | 56,349 | |||||||||
2,528 | Broadcom, Inc. | 1,583,792 | |||||||||
24,827 | Cisco Systems, Inc. | 1,173,076 | |||||||||
3,958 | Danaher Corp. | 937,690 | |||||||||
824 | Enphase Energy, Inc. (a) | 135,301 | |||||||||
3,925 | Fortinet, Inc. (a) | 247,471 | |||||||||
2,134 | Fortive Corp. | 134,634 | |||||||||
2,194 | GE HealthCare Technologies, Inc. (a) | 178,460 | |||||||||
1,490 | Hologic, Inc. (a) | 128,155 | |||||||||
5,224 | HP, Inc. | 155,205 | |||||||||
505 | IDEXX Laboratories, Inc. (a) | 248,541 | |||||||||
949 | Illumina, Inc. (a) | 195,076 | |||||||||
25,009 | Intel Corp. | 776,779 | |||||||||
5,464 | International Business Machines Corp. | 690,704 | |||||||||
1,082 | Keysight Technologies, Inc. (a) | 156,500 | |||||||||
1,151 | L3 Harris Technologies, Inc. | 224,618 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
3,312 | Microchip Technology, Inc. | $ | 241,743 | ||||||||
6,593 | Micron Technology, Inc. | 424,325 | |||||||||
269 | Monolithic Power Systems, Inc. | 124,270 | |||||||||
1,006 | Motorola Solutions, Inc. | 293,148 | |||||||||
1,304 | NetApp, Inc. | 82,009 | |||||||||
873 | Northrop Grumman Corp. | 402,689 | |||||||||
14,867 | NVIDIA Corp. | 4,125,444 | |||||||||
1,566 | NXP Semiconductors NV ADR (Netherlands) | 256,417 | |||||||||
2,611 | ON Semiconductor Corp. (a) | 187,888 | |||||||||
2,507 | Otis Worldwide Corp. | 213,847 | |||||||||
767 | PerkinElmer, Inc. | 100,086 | |||||||||
603 | Qorvo, Inc. (a) | 55,524 | |||||||||
6,740 | Qualcomm, Inc. | 787,232 | |||||||||
8,855 | Raytheon Technologies Corp. | 884,614 | |||||||||
638 | Roper Technologies, Inc. | 290,150 | |||||||||
1,158 | Seagate Technology Holdings PLC ADR (Ireland) | 68,056 | |||||||||
956 | Skyworks Solutions, Inc. | 101,240 | |||||||||
333 | SolarEdge Technologies, Inc. (a) | 95,115 | |||||||||
941 | Teradyne, Inc. | 85,989 | |||||||||
5,473 | Texas Instruments, Inc. | 915,086 | |||||||||
2,372 | Thermo Fisher Scientific, Inc. | 1,316,223 | |||||||||
1,491 | Trimble, Inc. (a) | 70,226 | |||||||||
360 | Waters Corp. (a) | 108,130 | |||||||||
1,930 | Western Digital Corp. (a) | 66,469 | |||||||||
312 | Zebra Technologies Corp. Class A (a) | 89,865 | |||||||||
43,287,651 | |||||||||||
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 0.2% | |||||||||||
3,838 | Fiserv, Inc. (a) | 468,697 | |||||||||
Construction of Buildings - 0.2% | |||||||||||
1,887 | D.R. Horton, Inc. | 207,230 | |||||||||
1,528 | Lennar Corp. Class A | 172,374 | |||||||||
15 | NVR, Inc. (a) | 87,600 | |||||||||
1,362 | PulteGroup, Inc. | 91,458 | |||||||||
558,662 | |||||||||||
Couriers and Messengers - 0.5% | |||||||||||
1,405 | FedEx Corp. | 320,031 | |||||||||
4,412 | United Parcel Service, Inc. Class B | 793,322 | |||||||||
1,113,353 | |||||||||||
Credit Intermediation and Related Activities - 4.4% | |||||||||||
3,594 | American Express Co. | 579,856 | |||||||||
42,190 | Bank of America Corp. | 1,235,323 | |||||||||
4,450 | Bank of New York Mellon Corp. | 189,526 | |||||||||
2,303 | Capital One Financial Corp. | 224,082 | |||||||||
11,711 | Citigroup, Inc. | 551,237 | |||||||||
2,977 | Citizens Financial Group, Inc. | 92,108 | |||||||||
790 | Comerica, Inc. | 34,262 | |||||||||
1,615 | Discover Financial Services | 167,104 | |||||||||
3,585 | Fidelity National Information Services, Inc. | 210,511 | |||||||||
4,135 | Fifth Third Bancorp | 108,337 | |||||||||
1,123 | First Republic Bank (b) | 3,942 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
8,722 | Huntington Bancshares, Inc. | $ | 97,686 | ||||||||
17,725 | JPMorgan Chase & Co. | 2,450,304 | |||||||||
5,642 | KeyCorp | 63,529 | |||||||||
1,023 | M&T Bank Corp. | 128,693 | |||||||||
5,099 | MasterCard, Inc. Class A | 1,937,773 | |||||||||
1,258 | Northern Trust Corp. | 98,325 | |||||||||
2,425 | PNC Financial Services Group, Inc. | 315,856 | |||||||||
5,645 | Regions Financial Corp. | 103,078 | |||||||||
2,111 | State Street Corp. | 152,541 | |||||||||
2,641 | Synchrony Financial | 77,936 | |||||||||
8,025 | Truist Financial Corp. | 261,455 | |||||||||
8,419 | U.S. Bancorp | 288,603 | |||||||||
23,033 | Wells Fargo & Co. | 915,562 | |||||||||
900 | Zions Bancorp | 25,074 | |||||||||
10,312,703 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.4% | |||||||||||
770 | A.O. Smith Corp. | 52,583 | |||||||||
3,458 | Emerson Electric Co. | 287,913 | |||||||||
380 | Generac Holdings, Inc. (a) | 38,844 | |||||||||
691 | Rockwell Automation, Inc. | 195,836 | |||||||||
1,912 | TE Connectivity Ltd. ADR (Switzerland) | 233,972 | |||||||||
326 | Whirlpool Corp. | 45,506 | |||||||||
854,654 | |||||||||||
Electronics and Appliance Stores - 0.0% (†) | |||||||||||
1,193 | Best Buy Co., Inc. | 88,902 | |||||||||
Fabricated Metal Product Manufacturing - 0.2% | |||||||||||
1,900 | Ball Corp. | 101,042 | |||||||||
1,526 | Nucor Corp. | 226,123 | |||||||||
994 | Pentair PLC ADR (Ireland) | 57,731 | |||||||||
893 | Stanley Black & Decker, Inc. | 77,102 | |||||||||
461,998 | |||||||||||
Food and Beverage Stores - 0.1% | |||||||||||
3,938 | Kroger Co. | 191,505 | |||||||||
Food Manufacturing - 1.0% | |||||||||||
3,309 | Archer-Daniels-Midland Co. | 258,367 | |||||||||
901 | Bunge Ltd. | 84,334 | |||||||||
1,210 | Campbell Soup Co. | 65,703 | |||||||||
3,567 | General Mills, Inc. | 316,143 | |||||||||
1,751 | Hormel Foods Corp. | 70,811 | |||||||||
1,546 | Kellogg Co. | 107,864 | |||||||||
873 | Lamb Weston Holdings, Inc. | 97,610 | |||||||||
1,515 | McCormick & Co, Inc. | 133,093 | |||||||||
8,243 | Mondelez International, Inc. | 632,403 | |||||||||
888 | The Hershey Co. | 242,477 | |||||||||
641 | The J.M. Smucker Co. | 98,977 | |||||||||
4,816 | The Kraft Heinz Co. | 189,124 | |||||||||
1,725 | Tyson Foods, Inc. Class A | 107,795 | |||||||||
2,404,701 | |||||||||||
Food Services and Drinking Places - 1.2% | |||||||||||
165 | Chipotle Mexican Grill, Inc. (a) | 341,157 | |||||||||
735 | Darden Restaurants, Inc. | 111,669 | |||||||||
213 | Domino's Pizza, Inc. | 67,621 |
Shares | Fair Value | ||||||||||
Food Services and Drinking Places (continued) | |||||||||||
4,424 | McDonald's Corp. | $ | 1,308,398 | ||||||||
6,947 | Starbucks Corp. | 793,973 | |||||||||
1,694 | Yum! Brands, Inc. | 238,142 | |||||||||
2,860,960 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
930 | Garmin Ltd. ADR (Switzerland) | 91,298 | |||||||||
1,356 | T. Rowe Price Group, Inc. | 152,320 | |||||||||
243,618 | |||||||||||
Gasoline Stations - 0.8% | |||||||||||
10,754 | Chevron Corp. | 1,812,909 | |||||||||
General Merchandise Retailers - 3.1% | |||||||||||
53,886 | Amazon.com, Inc. (a) | 5,682,279 | |||||||||
2,684 | Costco Wholesale Corp. | 1,350,642 | |||||||||
1,256 | Dollar Tree, Inc. (a) | 193,060 | |||||||||
3,277 | eBay, Inc. | 152,151 | |||||||||
759 | Etsy, Inc. (a) | 76,682 | |||||||||
7,454,814 | |||||||||||
General Merchandise Stores - 0.9% | |||||||||||
1,353 | Dollar General Corp. | 299,635 | |||||||||
2,785 | Target Corp. | 439,334 | |||||||||
8,473 | Wal-Mart Stores, Inc. | 1,279,169 | |||||||||
2,018,138 | |||||||||||
Health & Personal Care Stores - 0.2% | |||||||||||
7,766 | CVS Health Corp. | 569,326 | |||||||||
Health and Personal Care Retailers - 0.1% | |||||||||||
4,324 | Walgreens Boots Alliance, Inc. | 152,421 | |||||||||
Health and Personal Care Stores - 0.1% | |||||||||||
309 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 170,392 | |||||||||
Hospitals - 0.2% | |||||||||||
1,282 | HCA Healthcare, Inc. | 368,357 | |||||||||
384 | Universal Health Services, Inc. Class B | 57,734 | |||||||||
426,091 | |||||||||||
Insurance Carriers and Related Activities - 5.4% | |||||||||||
3,381 | Aflac, Inc. | 236,163 | |||||||||
1,591 | Allstate Corp. | 184,174 | |||||||||
4,486 | American International Group, Inc. | 237,937 | |||||||||
1,244 | Aon PLC ADR (United Kingdom) | 404,524 | |||||||||
2,237 | Arch Capital Group Ltd.ADR (a) | 167,932 | |||||||||
1,282 | Arthur J. Gallagher & Co. | 266,733 | |||||||||
318 | Assurant, Inc. | 39,155 | |||||||||
10,891 | Berkshire Hathaway, Inc. Class B (a) | 3,578,238 | |||||||||
1,418 | Brown & Brown, Inc. | 91,305 | |||||||||
3,326 | Centene Corp. (a) | 229,261 | |||||||||
2,508 | Chubb Limited ADR (Switzerland) | 505,513 | |||||||||
1,805 | Cigna Corp. | 457,189 | |||||||||
948 | Cincinnati Financial Corp. | 100,905 | |||||||||
1,443 | Elevance Health, Inc. | 676,262 | |||||||||
231 | Everest Re Group Ltd. | 87,318 | |||||||||
541 | Globe Life, Inc. | 58,709 | |||||||||
1,905 | Hartford Financial Services Group, Inc. | 135,236 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
756 | Humana, Inc. | $ | 401,050 | ||||||||
933 | Lincoln National Corp. | 20,274 | |||||||||
1,178 | Loews Corp. | 67,818 | |||||||||
2,995 | Marsh & McLennan Companies, Inc. | 539,669 | |||||||||
3,986 | MetLife, Inc. | 244,461 | |||||||||
1,371 | Principal Financial Group, Inc. | 102,400 | |||||||||
3,533 | Progressive Corp. | 481,901 | |||||||||
2,224 | Prudential Financial, Inc. | 193,488 | |||||||||
1,400 | Travelers Companies, Inc. | 253,596 | |||||||||
5,647 | UnitedHealth Group, Inc. | 2,778,832 | |||||||||
1,231 | W.R. Berkley Corp. | 72,531 | |||||||||
642 | Willis Towers Watson PLC ADR (Ireland) | 148,687 | |||||||||
12,761,261 | |||||||||||
Leather and Allied Product Manufacturing - 0.4% | |||||||||||
7,527 | NIKE, Inc. Class B | 953,821 | |||||||||
1,423 | Tapestry, Inc. | 58,073 | |||||||||
1,011,894 | |||||||||||
Machinery Manufacturing - 2.0% | |||||||||||
5,095 | Applied Materials, Inc. | 575,888 | |||||||||
6,082 | Baker Hughes Co. | 177,838 | |||||||||
5,042 | Carrier Global Corp. | 210,856 | |||||||||
3,149 | Caterpillar, Inc. | 689,001 | |||||||||
850 | Cummins, Inc. | 199,784 | |||||||||
1,631 | Deere & Co. | 616,551 | |||||||||
6,584 | General Electric Co. | 651,618 | |||||||||
459 | IDEX Corp. | 94,701 | |||||||||
�� | 2,448 | Ingersoll Rand, Inc. | 139,585 | ||||||||
820 | Lam Research Corp. | 429,746 | |||||||||
138 | Mettler-Toledo International, Inc. (a) | 205,827 | |||||||||
323 | Nordson Corp. | 69,868 | |||||||||
777 | Parker Hannifin Corp. | 252,432 | |||||||||
1,385 | Trane Technologies PLC ADR (Ireland) | 257,347 | |||||||||
1,091 | Xylem, Inc. | 113,289 | |||||||||
4,684,331 | |||||||||||
Management of Companies and Enterprises - 0.5% | |||||||||||
10,536 | Abbott Laboratories | 1,163,912 | |||||||||
6,058 | Carnival Corp. ADR (Panama) (a) | 55,794 | |||||||||
2,544 | Norwegian Cruise Line Holdings Ltd. ADR (a) | 33,963 | |||||||||
1,253,669 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.7% | |||||||||||
522 | Cintas Corp. | 237,912 | |||||||||
2,591 | Copart, Inc. (a) | 204,819 | |||||||||
3,456 | Fastenal Co. | 186,071 | |||||||||
823 | Henry Schein, Inc. (a) | 66,507 | |||||||||
245 | Huntington Ingalls Industries, Inc. | 49,407 | |||||||||
4,154 | Johnson Controls International PLC ADR (Ireland) | 248,575 | |||||||||
837 | KLA-Tencor Corp. | 323,534 | |||||||||
1,536 | LKQ Corp. | 88,673 | |||||||||
318 | Mohawk Industries, Inc. (a) | 33,676 | |||||||||
231 | Pool Corp. | 81,155 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Durable Goods (continued) | |||||||||||
270 | W.W. Grainger, Inc. | $ | 187,804 | ||||||||
1,540 | WestRock Co. | 46,092 | |||||||||
1,754,225 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.7% | |||||||||||
981 | AmerisourceBergen Corp. | 163,680 | |||||||||
1,104 | Brown Forman Corp. Class B | 71,859 | |||||||||
1,559 | Cardinal Health, Inc. | 127,994 | |||||||||
2,885 | ConAgra Brands, Inc. | 109,515 | |||||||||
1,676 | Illinois Tool Works, Inc. | 405,491 | |||||||||
829 | McKesson Corp. | 301,955 | |||||||||
3,065 | Sysco Corp. | 235,208 | |||||||||
1,422 | The Sherwin Williams Co. | 337,782 | |||||||||
1,753,484 | |||||||||||
Mining (except Oil and Gas) - 0.3% | |||||||||||
8,635 | Freeport-McMoRan Copper & Gold, Inc. | 327,353 | |||||||||
374 | Martin Marietta Materials, Inc. | 135,837 | |||||||||
4,794 | Newmont Mining Corp. | 227,235 | |||||||||
799 | Vulcan Materials Co. | 139,921 | |||||||||
830,346 | |||||||||||
Miscellaneous Manufacturing - 3.5% | |||||||||||
3,325 | 3M Co. | 353,182 | |||||||||
435 | Align Technology, Inc. (a) | 141,506 | |||||||||
3,052 | Baxter International, Inc. | 145,519 | |||||||||
1,718 | Becton, Dickinson & Co. | 454,085 | |||||||||
8,660 | Boston Scientific Corp. (a) | 451,359 | |||||||||
1,301 | Dentsply Sirona, Inc. | 54,551 | |||||||||
2,334 | DexCom, Inc. (a) | 283,208 | |||||||||
843 | Dover Corp. | 123,213 | |||||||||
3,736 | Edwards Lifesciences Corp. (a) | 328,693 | |||||||||
1,403 | Estee Lauder Companies, Inc. Class A | 346,148 | |||||||||
785 | Hasbro, Inc. | 46,488 | |||||||||
420 | Insulet Corp. (a) | 133,577 | |||||||||
2,118 | Intuitive Surgical, Inc. (a) | 637,984 | |||||||||
15,802 | Johnson & Johnson | 2,586,787 | |||||||||
8,041 | Medtronic PLC ADR (Ireland) | 731,329 | |||||||||
888 | ResMed, Inc. | 213,972 | |||||||||
600 | Steris PLC ADR (Ireland) | 113,130 | |||||||||
2,037 | Stryker Corp. | 610,387 | |||||||||
279 | Teleflex, Inc. | 76,033 | |||||||||
1,260 | Textron, Inc. | 84,344 | |||||||||
301 | The Cooper Companies, Inc. | 114,816 | |||||||||
1,265 | Zimmer Biomet Holdings, Inc. | 175,127 | |||||||||
8,205,438 | |||||||||||
Miscellaneous Store Retailers - 0.1% | |||||||||||
670 | Tractor Supply Co. | 159,728 | |||||||||
Motion Picture and Sound Recording Industries - 0.4% | |||||||||||
2,692 | Netflix, Inc. (a) | 888,171 | |||||||||
954 | Take-Two Interactive Software, Inc. (a) | 118,573 | |||||||||
1,006,744 | |||||||||||
Motor Vehicle and Parts Dealers - 0.3% | |||||||||||
360 | Advance Auto Parts, Inc. | 45,191 | |||||||||
112 | AutoZone, Inc. (a) | 298,291 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Motor Vehicle and Parts Dealers (continued) | |||||||||||
951 | CarMax, Inc. (a) | $ | 66,598 | ||||||||
375 | O'Reilly Automotive, Inc. (a) | 343,991 | |||||||||
754,071 | |||||||||||
National Security and International Affairs - 0.0% (†) | |||||||||||
828 | Leidos Holdings, Inc. | 77,219 | |||||||||
Nonmetallic Mineral Product Manufacturing - 0.1% | |||||||||||
4,605 | Corning, Inc. | 152,978 | |||||||||
Oil and Gas Extraction - 0.8% | |||||||||||
1,941 | APA Corp. | 71,526 | |||||||||
4,768 | Coterra Energy, Inc. | 122,061 | |||||||||
3,950 | Devon Energy Corp. | 211,049 | |||||||||
5,037 | Dominion Energy, Inc. | 287,814 | |||||||||
3,550 | EOG Resources, Inc. | 424,119 | |||||||||
2,219 | EQT Corp. | 77,310 | |||||||||
3,839 | Marathon Oil Corp. | 92,750 | |||||||||
4,399 | Occidental Petroleum Corp. | 270,670 | |||||||||
2,817 | Phillips 66 | 278,883 | |||||||||
1,836,182 | |||||||||||
Paper Manufacturing - 0.0% (†) | |||||||||||
562 | Packaging Corp of America | 76,016 | |||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.2% | |||||||||||
4,306 | Activision Blizzard, Inc. (a) | 334,619 | |||||||||
1,573 | Electronic Arts, Inc. | 200,212 | |||||||||
534,831 | |||||||||||
Petroleum and Coal Products Manufacturing - 1.8% | |||||||||||
7,402 | ConocoPhillips | 761,592 | |||||||||
24,896 | Exxon Mobil Corp. | 2,946,193 | |||||||||
2,744 | Marathon Petroleum Corp. | 334,768 | |||||||||
2,330 | Valero Energy Corp. | 267,181 | |||||||||
4,309,734 | |||||||||||
Pipeline Transportation - 0.1% | |||||||||||
7,363 | Williams Companies, Inc. | 222,804 | |||||||||
Plastics and Rubber Products Manufacturing - 0.0% (†) | |||||||||||
486 | Avery Dennison Corp. | 84,798 | |||||||||
2,275 | Newell Rubbermaid, Inc. | 27,641 | |||||||||
112,439 | |||||||||||
Primary Metal Manufacturing - 0.1% | |||||||||||
2,225 | Howmet Aerospace, Inc. | 98,545 | |||||||||
1,004 | Steel Dynamics, Inc. | 104,366 | |||||||||
202,911 | |||||||||||
Professional, Scientific, and Technical Services - 3.2% | |||||||||||
3,802 | Accenture PLC Class A ADR (Ireland) | 1,065,663 | |||||||||
822 | CDW Corp. | 139,403 | |||||||||
309 | Charles River Laboratories International, Inc. (a) | 58,747 | |||||||||
3,077 | Cognizant Technology Solutions Corp. Class A | 183,728 | |||||||||
1,372 | DXC Technology Co. (a) | 32,722 | |||||||||
2,403 | Eaton Corp PLC ADR (Ireland) | 401,589 | |||||||||
351 | EPAM Systems, Inc. (a) | 99,136 | |||||||||
810 | Extra Space Storage, Inc. | 123,152 | |||||||||
364 | F5 Networks, Inc. (a) | 48,907 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services (continued) | |||||||||||
2,148 | International Paper Co. | $ | 71,120 | ||||||||
2,348 | Interpublic Group of Companies, Inc. | 83,894 | |||||||||
1,123 | IQVIA Holdings, Inc. (a) | 211,382 | |||||||||
437 | Jack Henry & Associates, Inc. | 71,380 | |||||||||
769 | Jacobs Solutions, Inc. | 88,789 | |||||||||
1,959 | Juniper Networks, Inc. | 59,064 | |||||||||
1,684 | Match Group, Inc. (a) | 62,140 | |||||||||
13,453 | Meta Platforms, Inc. (a) | 3,233,025 | |||||||||
1,994 | Moderna, Inc. (a) | 264,983 | |||||||||
1,226 | Omnicom Group, Inc. | 111,039 | |||||||||
1,937 | Paychex, Inc. | 212,799 | |||||||||
296 | Paycom Software, Inc. (a) | 85,949 | |||||||||
1,227 | ServiceNow, Inc. (a) | 563,708 | |||||||||
279 | Teledyne Technologies, Inc. (a) | 115,618 | |||||||||
558 | VeriSign, Inc. (a) | 123,764 | |||||||||
945 | Verisk Analytics, Inc. Class A | 183,434 | |||||||||
7,695,135 | |||||||||||
Publishing Industries - 7.7% | |||||||||||
2,767 | Adobe Systems, Inc. (a) | 1,044,708 | |||||||||
526 | ANSYS, Inc. (a) | 165,122 | |||||||||
1,305 | Autodesk, Inc. (a) | 254,201 | |||||||||
1,661 | Cadence Design Systems, Inc. (a) | 347,896 | |||||||||
932 | Ceridian HCM Holding, Inc. (a) | 59,163 | |||||||||
1,698 | Intuit, Inc. | 753,827 | |||||||||
44,995 | Microsoft Corp. | 13,825,164 | |||||||||
640 | PTC, Inc. (a) | 80,506 | |||||||||
6,042 | Salesforce.com, Inc. (a) | 1,198,552 | |||||||||
925 | Synopsys, Inc. (a) | 343,471 | |||||||||
254 | Tyler Technologies, Inc. (a) | 96,274 | |||||||||
18,168,884 | |||||||||||
Publishing Industries (except Internet) - 0.5% | |||||||||||
949 | Akamai Technologies, Inc. (a) | 77,790 | |||||||||
153 | Fair Isaac Corp. (a) | 111,376 | |||||||||
7,744 | Hewlett Packard Enterprise Co. | 110,894 | |||||||||
2,314 | News Corp. Class A | 40,750 | |||||||||
716 | News Corp. Class B | 12,709 | |||||||||
3,435 | NortonLifeLock, Inc. | 60,696 | |||||||||
9,291 | Oracle Corp. | 880,044 | |||||||||
1,294,259 | |||||||||||
Rail Transportation - 0.5% | |||||||||||
12,710 | CSX Corp. | 389,434 | |||||||||
3,695 | Union Pacific Corp. | 723,112 | |||||||||
1,112,546 | |||||||||||
Real Estate - 1.9% | |||||||||||
950 | Alexandria Real Estate Equities, Inc. | 117,971 | |||||||||
2,815 | American Tower Corp. | 575,358 | |||||||||
844 | AvalonBay Communities, Inc. | 152,232 | |||||||||
862 | Boston Properties, Inc. | 45,996 | |||||||||
668 | Camden Property Trust | 73,513 | |||||||||
1,910 | CBRE Group, Inc. Class A (a) | 146,421 | |||||||||
2,616 | Crown Castle International Corp. | 322,003 | |||||||||
1,735 | Digital Realty Trust, Inc. | 172,025 | |||||||||
2,060 | Equity Residential | 130,295 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Real Estate (continued) | |||||||||||
385 | Essex Property Trust, Inc. | $ | 84,596 | ||||||||
437 | Federal Realty Investment Trust | 43,215 | |||||||||
3,308 | Healthpeak Properties, Inc. | 72,677 | |||||||||
3,514 | Invitation Homes, Inc. | 117,262 | |||||||||
3,737 | Kimco Realty Corp. | 71,713 | |||||||||
694 | Mid-America Apartment Communities, Inc. | 106,737 | |||||||||
5,575 | Prologis, Inc. | 698,269 | |||||||||
952 | Public Storage | 280,678 | |||||||||
3,790 | Realty Income Corp. | 238,164 | |||||||||
933 | Regency Centers Corp. | 57,314 | |||||||||
1,977 | Simon Property Group, Inc. | 224,034 | |||||||||
1,872 | UDR, Inc. | 77,370 | |||||||||
2,420 | Ventas, Inc. | 116,281 | |||||||||
6,066 | VICI Properties, Inc. | 205,880 | |||||||||
2,854 | Welltower, Inc. | 226,094 | |||||||||
4,426 | Weyerhaeuser Co. | 132,382 | |||||||||
4,488,480 | |||||||||||
Rental and Leasing Services - 0.1% | |||||||||||
419 | United Rentals, Inc. | 151,305 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 2.2% | |||||||||||
635 | Ameriprise Financial, Inc. | 193,751 | |||||||||
901 | BlackRock, Inc. | 604,751 | |||||||||
639 | CBOE Holdings, Inc. | 89,268 | |||||||||
9,219 | Charles Schwab Corp. | 481,601 | |||||||||
2,174 | CME Group, Inc. | 403,864 | |||||||||
4,260 | Dow, Inc. | 231,744 | |||||||||
1,723 | Franklin Resources, Inc. | 46,314 | |||||||||
2,044 | Goldman Sachs Group, Inc. | 701,991 | |||||||||
3,376 | IntercontinentalExchange, Inc. | 367,748 | |||||||||
2,747 | Invesco Ltd. (a) | 47,056 | |||||||||
224 | MarketAxess Holdings, Inc. | 71,315 | |||||||||
7,895 | Morgan Stanley | 710,313 | |||||||||
481 | MSCI, Inc. Class A | 232,059 | |||||||||
2,046 | NASDAQ OMX Group, Inc. | 113,287 | |||||||||
1,172 | Raymond James Financial, Inc. | 106,101 | |||||||||
1,988 | S&P Global, Inc. | 720,809 | |||||||||
5,121,972 | |||||||||||
Specialty Trade Contractors - 0.1% | |||||||||||
864 | Quanta Services, Inc. | 146,569 | |||||||||
Support Activities for Agriculture and Forestry - 0.1% | |||||||||||
4,309 | Corteva, Inc. | 263,366 | |||||||||
Support Activities for Mining - 0.6% | |||||||||||
1,107 | Diamondback Energy, Inc. | 157,416 | |||||||||
5,464 | Halliburton Co. | 178,946 | |||||||||
1,675 | Hess Corp. | 242,976 | |||||||||
1,437 | Pioneer Natural Resources Co. | 312,619 | |||||||||
8,581 | Schlumberger Ltd. ADR (Curaco) (a) | 423,472 | |||||||||
1,366 | Targa Resources Corp. | 103,174 | |||||||||
1,418,603 | |||||||||||
Support Activities for Transportation - 0.3% | |||||||||||
715 | C.H. Robinson Worldwide, Inc. | 72,122 | |||||||||
893 | Expedia, Inc. (a) | 83,906 |
Shares | Fair Value | ||||||||||
Support Activities for Transportation (continued) | |||||||||||
957 | Expeditors International of Washington, Inc. | $ | 108,945 | ||||||||
506 | J.B. Hunt Transport Services, Inc. | 88,697 | |||||||||
1,379 | Norfolk Southern Corp. | 279,978 | |||||||||
633,648 | |||||||||||
Telecommunications - 1.4% | |||||||||||
43,086 | AT&T, Inc. | 761,330 | |||||||||
562 | Equinix, Inc. | 406,933 | |||||||||
6,840 | PayPal Holdings, Inc. (a) | 519,840 | |||||||||
653 | SBA Communications Corp. | 170,361 | |||||||||
3,579 | T-Mobile US, Inc. (a) | 515,018 | |||||||||
25,386 | Verizon Communications, Inc. | 985,738 | |||||||||
3,359,220 | |||||||||||
Transportation Equipment Manufacturing - 2.7% | |||||||||||
1,640 | Aptiv PLC ADR (United Kingdom) (a) | 168,690 | |||||||||
3,404 | Boeing Co. (a) | 703,879 | |||||||||
1,414 | BorgWarner, Inc. | 68,056 | |||||||||
23,665 | Ford Motor Co. | 281,140 | |||||||||
1,360 | General Dynamics Corp. | 296,943 | |||||||||
8,426 | General Motors Co. | 278,395 | |||||||||
4,040 | Honeywell International, Inc. | 807,354 | |||||||||
1,370 | Lockheed Martin Corp. | 636,297 | |||||||||
3,157 | Paccar, Inc. | 235,796 | |||||||||
16,254 | Tesla Motors, Inc. (a) | 2,670,695 | |||||||||
314 | TransDigm Group, Inc. | 240,210 | |||||||||
1,099 | Wabtec Corp. | 107,339 | |||||||||
6,494,794 | |||||||||||
Truck Transportation - 0.1% | |||||||||||
548 | Old Dominion Freight Line, Inc. | 175,574 | |||||||||
Utilities - 2.6% | |||||||||||
4,039 | AES Corp. | 95,563 | |||||||||
1,516 | Alliant Energy Corp. | 83,592 | |||||||||
1,564 | Ameren Corp. | 139,149 | |||||||||
3,107 | American Electric Power Co., Inc. | 287,149 | |||||||||
1,162 | American Water Works Co., Inc. | 172,266 | |||||||||
865 | Atmos Energy Corp. | 98,731 | |||||||||
3,801 | CenterPoint Energy, Inc. | 115,816 | |||||||||
1,759 | CMS Energy Corp. | 109,515 | |||||||||
2,144 | Consolidated Edison, Inc. | 211,120 | |||||||||
1,978 | Constellation Energy Corp. | 153,097 | |||||||||
1,172 | DTE Energy Co. | 131,745 | |||||||||
4,658 | Duke Energy Corp. | 460,583 | |||||||||
2,306 | Edison International | 169,722 | |||||||||
1,230 | Entergy Corp. | 132,323 | |||||||||
1,387 | Evergy, Inc. | 86,147 | |||||||||
2,108 | Eversource Energy | 163,602 | |||||||||
6,007 | Exelon Corp. | 254,937 | |||||||||
600 | First Solar, Inc. (a) | 109,548 | |||||||||
3,279 | FirstEnergy Corp. | 130,504 | |||||||||
11,953 | Kinder Morgan, Inc. | 204,994 | |||||||||
12,006 | NextEra Energy, Inc. | 920,020 | |||||||||
2,454 | NiSource, Inc. | 69,841 | |||||||||
1,391 | NRG Energy, Inc. | 47,530 | |||||||||
2,699 | Oneok, Inc. | 176,542 | |||||||||
9,729 | PG&E Corp. (a) | 166,463 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Utilities (continued) | |||||||||||
683 | Pinnacle West Capital Corp. | $ | 53,588 | ||||||||
4,453 | PPL Corp. | 127,890 | |||||||||
3,013 | Public Service Enterprise Group, Inc. | 190,422 | |||||||||
1,902 | Sempra Energy | 295,742 | |||||||||
6,581 | Southern Co. | 484,033 | |||||||||
1,907 | WEC Energy Group, Inc. | 183,396 | |||||||||
3,310 | Xcel Energy, Inc. | 231,402 | |||||||||
6,256,972 | |||||||||||
Waste Management and Remediation Services - 0.1% | |||||||||||
1,244 | Republic Services, Inc. | 179,907 | |||||||||
Water Transportation - 0.0% (†) | |||||||||||
1,328 | Royal Caribbean Cruises Ltd. ADR (Liberia) (a) | 86,891 | |||||||||
Web Search Portals, Libraries, Archives, and Other Information Services - 0.1% | |||||||||||
2,457 | CoStar Group, Inc. (a) | 189,066 | |||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.1% | |||||||||||
848 | Genuine Parts Co. | 142,727 | |||||||||
Wood Product Manufacturing - 0.0% (†) | |||||||||||
1,361 | Masco Corp. | 72,827 | |||||||||
TOTAL COMMON STOCKS (Cost $202,798,548) | $ | 210,557,204 | |||||||||
SHORT TERM INVESTMENTS - 10.1% | |||||||||||
Money Market Funds - 10.1% | |||||||||||
20,670,855 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 20,670,855 | ||||||||
16,122 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 16,122 | |||||||||
3,235,277 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 3,235,277 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $23,922,254) | $ | 23,922,254 | |||||||||
TOTAL INVESTMENTS (Cost $226,720,802) - 99.0% (e) | $ | 234,479,458 | |||||||||
Other Assets in Excess of Liabilities - 1.0% | 2,349,953 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 236,829,411 |
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 April 30, 2023.
(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 $99,339,837.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion Daily S&P 500® Bull 2X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P 500® Index | 5.1200% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 31,403 | $ | 126,657,735 | $ | 3,763,071 | |||||||||||||||||||
Total return of S&P 500® Index | 5.2500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 28,580 | 114,104,510 | 4,204,411 | |||||||||||||||||||||
Total return of S&P 500® Index | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 4/9/2024 | 3,119 | 12,346,978 | 591,270 | |||||||||||||||||||||
$ | 253,109,223 | $ | 8,558,752 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion Daily MSCI Brazil Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 41.3% | |||||||||||
1,764,690 | iShares MSCI Brazil Capped ETF (a) | $ | 49,887,786 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $60,139,440) | $ | 49,887,786 | |||||||||
SHORT TERM INVESTMENTS - 59.8% | |||||||||||
Money Market Funds - 59.8% | |||||||||||
47,656,964 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 47,656,964 | ||||||||
321,420 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 321,420 | |||||||||
24,245,969 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 24,245,969 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $72,224,353) | $ | 72,224,353 | |||||||||
TOTAL INVESTMENTS (Cost $132,363,793) - 101.1% (c) | $ | 122,112,139 | |||||||||
Liabilities in Excess of Other Assets - (1.1)% | (1,299,118 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 120,813,021 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $53,744,261.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.3900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 125,683 | $ | 3,313,004 | $ | 176,158 | |||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 4.3000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 4,176,730 | 120,973,310 | (1,905,033 | ) | ||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 5.1000% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 2,274,157 | 60,035,093 | 3,309,846 | |||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF | 5.5500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 205,850 | 6,325,771 | (223,191 | ) | ||||||||||||||||||||
$ | 190,647,178 | $ | 1,357,780 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Daily MSCI India Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 46.0% | |||||||||||
626,695 | iShares MSCI India ETF (a) | $ | 25,769,699 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $28,535,490) | $ | 25,769,699 | |||||||||
SHORT TERM INVESTMENTS - 60.8% | |||||||||||
Money Market Funds - 60.8% | |||||||||||
17,604,739 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 17,604,739 | ||||||||
6,370,077 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 6,370,077 | |||||||||
10,063,140 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 10,063,140 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $34,037,956) | $ | 34,037,956 | |||||||||
TOTAL INVESTMENTS (Cost $62,573,446) - 106.8% (c) | $ | 59,807,655 | |||||||||
Liabilities in Excess of Other Assets - (6.8)% | (3,783,508 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 56,024,147 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $20,072,299.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of iShares MSCI India ETF | 5.5900% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 636,042 | $ | 25,152,253 | $ | 836,039 | |||||||||||||||||||
Total return of iShares MSCI India ETF | 5.5500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 899,528 | 38,634,728 | (2,417,028 | ) | ||||||||||||||||||||
Total return of iShares MSCI India ETF | 5.6000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 562,644 | 24,272,462 | (1,651,643 | ) | ||||||||||||||||||||
$ | 88,059,443 | $ | (3,232,632 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Daily Cloud Computing Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 84.8% | |||||||||||
Administrative and Support Services - 0.8% | |||||||||||
615 | Alarm.com, Inc. (a) | $ | 29,329 | ||||||||
774 | nCino, Inc. (a) | 19,141 | |||||||||
48,470 | |||||||||||
Computer and Electronic Product Manufacturing - 0.2% | |||||||||||
513 | Radware Ltd. ADR (Israel) (a) | 10,337 | |||||||||
Data Processing, Hosting and Related Services - 5.8% | |||||||||||
911 | Five9, Inc. (a) | 59,069 | |||||||||
1,091 | RingCentral, Inc. (a) | 30,068 | |||||||||
2,092 | VMware, Inc. (a) | 261,563 | |||||||||
350,700 | |||||||||||
Heavy and Civil Engineering Construction - 0.6% | |||||||||||
639 | BlackLine, Inc. (a) | 35,599 | |||||||||
Professional, Scientific, and Technical Services - 27.2% | |||||||||||
986 | 2U, Inc. (a) | 5,462 | |||||||||
761 | DigitalOcean Holdings, Inc. (a) | 24,002 | |||||||||
1,753 | Freshworks, Inc. (a) | 23,420 | |||||||||
921 | LivePerson, Inc. (a) | 4,264 | |||||||||
476 | Model N, Inc. (a) | 14,661 | |||||||||
2,990 | Nutanix, Inc. (a) | 71,700 | |||||||||
668 | Paycom Software, Inc. (a) | 193,967 | |||||||||
538 | Paylocity Holding Corp. (a) | 103,990 | |||||||||
538 | PROS Holdings, Inc. (a) | 15,263 | |||||||||
2,076 | SAP SE ADR (Germany) | 280,821 | |||||||||
591 | ServiceNow, Inc. (a) | 271,517 | |||||||||
1,873 | Snowflake, Inc. (a) | 277,354 | |||||||||
1,857 | Vimeo, Inc. (a) | 6,110 | |||||||||
1,343 | Workday, Inc. (a) | 249,986 | |||||||||
1,127 | Zscaler, Inc. (a) | 101,543 | |||||||||
1,644,060 | |||||||||||
Publishing Industries - 12.8% | |||||||||||
683 | Adobe Systems, Inc. (a) | 257,873 | |||||||||
1,277 | Autodesk, Inc. (a) | 248,747 | |||||||||
1,345 | Salesforce.com, Inc. (a) | 266,808 | |||||||||
773,428 | |||||||||||
Publishing Industries (except Internet) - 28.2% | |||||||||||
1,394 | ACI Worldwide, Inc. (a) | 35,310 | |||||||||
2,009 | Akamai Technologies, Inc. (a) | 164,678 | |||||||||
240 | AppFolio, Inc. (a) | 33,509 | |||||||||
1,331 | Bill.com Holdings, Inc. (a) | 102,234 | |||||||||
555 | Blackbaud, Inc. (a) | 38,492 | |||||||||
1,813 | Box, Inc. (a) | 47,972 | |||||||||
1,129 | C3.ai, Inc. (a)(b) | 20,119 | |||||||||
764 | Clearwater Analytics Holdings, Inc. (a) | 11,773 | |||||||||
1,945 | CrowdStrike Holdings, Inc. (a) | 233,497 | |||||||||
3,455 | Dropbox, Inc. (a) | 70,275 | |||||||||
378 | Enfusion, Inc. (a) | 3,168 | |||||||||
519 | Everbridge, Inc. (a) | 13,639 | |||||||||
1,433 | Informatica, Inc. (a) | 22,154 | |||||||||
125 | MicroStrategy, Inc. Class A (a)(b) | 41,047 | |||||||||
2,907 | Oracle Corp. | 275,351 | |||||||||
821 | Paycor HCM, Inc. (a) | 19,293 | |||||||||
471 | Qualys, Inc. (a) | 53,195 | |||||||||
470 | SPS Commerce, Inc. (a) | 69,231 |
Shares | Fair Value | ||||||||||
Publishing Industries (except Internet) (continued) | |||||||||||
2,296 | Twilio, Inc. (a) | $ | 120,793 | ||||||||
1,458 | Veeva Systems, Inc. (a) | 261,099 | |||||||||
606 | Workiva, Inc. (a) | 56,612 | |||||||||
1,624 | Zuora, Inc. (a) | 12,651 | |||||||||
1,706,092 | |||||||||||
Software - 6.2% | |||||||||||
1,676 | Atlassian Corp. (a) | 247,478 | |||||||||
2,595 | DocuSign, Inc. (a) | 128,297 | |||||||||
375,775 | |||||||||||
Telecommunications - 3.0% | |||||||||||
1,402 | 8x8, Inc. (a) | 4,024 | |||||||||
2,838 | Zoom Video Communications, Inc. (a) | 174,338 | |||||||||
178,362 | |||||||||||
TOTAL COMMON STOCKS (Cost $6,797,699) | $ | 5,122,823 | |||||||||
SHORT TERM INVESTMENTS - 15.6% | |||||||||||
Money Market Funds - 15.6% | |||||||||||
94,385 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 94,385 | ||||||||
1 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 1 | |||||||||
848,501 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 848,501 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $942,887) | $ | 942,887 | |||||||||
TOTAL INVESTMENTS (Cost $7,740,586) - 100.4% (e) | $ | 6,065,710 | |||||||||
Liabilities in Excess of Other Assets - (0.4)% | (25,944 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 6,039,766 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,045,316.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Direxion Daily Cloud Computing Bull 2X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Indxx USA Cloud Computing Index | 4.9500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 8,563 | $ | 6,028,667 | $ | 25,231 | |||||||||||||||||||
Total return of Indxx USA Cloud Computing Index | 4.9500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 1,133 | 821,010 | (14,276 | ) | ||||||||||||||||||||
$ | 6,849,677 | $ | 10,955 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 88.2% | |||||||||||
Automobiles & Components - 3.5% | |||||||||||
39,560 | Polestar Automotive Holding UK PLC ADR (Sweden) (a) | $ | 151,515 | ||||||||
Capital Goods - 0.5% | |||||||||||
7,596 | Wallbox NV ADR (Spain) (a) | 20,737 | |||||||||
Computer and Electronic Product Manufacturing - 6.8% | |||||||||||
23,080 | Blink Charging Co. (a) | 164,560 | |||||||||
17,212 | Indie Semiconductor, Inc. (a) | 130,295 | |||||||||
294,855 | |||||||||||
Management of Companies and Enterprises - 3.5% | |||||||||||
13,587 | EHang Holdings Ltd. ADR (China) (a) | 150,952 | |||||||||
Motor Vehicle and Parts Dealers - 3.1% | |||||||||||
22,563 | EVgo, Inc. (a) | 135,152 | |||||||||
Printing and Related Support Activities - 5.6% | |||||||||||
37,810 | Fisker, Inc. (a) | 243,496 | |||||||||
Rental and Leasing Services - 2.1% | |||||||||||
3,595 | Cerence, Inc. (a) | 91,852 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 18.7% | |||||||||||
19,033 | ChargePoint Holdings, Inc. (a) | 165,016 | |||||||||
42,549 | Lucid Group, Inc. (a) | 337,839 | |||||||||
35,909 | Nio, Inc. ADR (China) (a) | 282,604 | |||||||||
12,865 | The Lion Electric Company ADR (Canada) (a) | 28,560 | |||||||||
814,019 | |||||||||||
Specialty Trade Contractors - 3.6% | |||||||||||
22,585 | QuantumScape Corp. (a) | 158,095 | |||||||||
Transportation Equipment Manufacturing - 40.8% | |||||||||||
3,435 | BorgWarner, Inc. (a) | 165,327 | |||||||||
6,287 | Gentex Corp. | 173,458 | |||||||||
7,338 | Li Auto, Inc. ADR (China) (a) | 172,443 | |||||||||
29,519 | Luminar Technologies, Inc. (a) | 177,704 | |||||||||
182,371 | Nikola Corp. (a) | 161,490 | |||||||||
24,418 | Rivian Automotive, Inc. (a) | 313,039 | |||||||||
1,812 | Tesla Motors, Inc. (a) | 297,730 | |||||||||
32,337 | XPeng, Inc. ADR (China) (a) | 307,203 | |||||||||
1,768,393 | |||||||||||
TOTAL COMMON STOCKS (Cost $4,080,061) | $ | 3,829,066 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 22.8% | |||||||||||
Money Market Funds - 22.8% | |||||||||||
359,004 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 359,004 | ||||||||
570,625 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 570,625 | |||||||||
58,628 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 58,628 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $988,257) | $ | 988,257 | |||||||||
TOTAL INVESTMENTS (Cost $5,068,318) - 111.0% (c) | $ | 4,817,323 | |||||||||
Liabilities in Excess of Other Assets - (11.0)% | (479,140 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,338,183 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,075,923.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Indxx US Electric and Autonomous Vehicles Index | 4.9000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 2,785 | $ | 2,845,095 | $ | (442,369 | ) | ||||||||||||||||||
Total return of Indxx US Electric and Autonomous Vehicles Index | 4.8000% representing 1 month SOFR rate + spread | J.P. Morgan | 2/26/2024 | 2,736 | 2,459,920 | (61,170 | ) | ||||||||||||||||||||
$ | 5,305,015 | $ | (503,539 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Direxion Daily Energy Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 70.5% | |||||||||||
Gasoline Stations - 14.0% | |||||||||||
346,319 | Chevron Corp. | $ | 58,382,457 | ||||||||
Machinery Manufacturing - 1.5% | |||||||||||
219,284 | Baker Hughes Co. | 6,411,864 | |||||||||
Oil and Gas Extraction - 13.0% | |||||||||||
70,083 | APA Corp. | 2,582,559 | |||||||||
171,867 | Coterra Energy, Inc. | 4,399,795 | |||||||||
142,490 | Devon Energy Corp. | 7,613,241 | |||||||||
114,353 | EOG Resources, Inc. | 13,661,753 | |||||||||
80,010 | EQT Corp. | 2,787,548 | |||||||||
138,430 | Marathon Oil Corp. | 3,344,469 | |||||||||
158,497 | Occidental Petroleum Corp. | 9,752,320 | |||||||||
101,575 | Phillips 66 | 10,055,925 | |||||||||
54,197,610 | |||||||||||
Petroleum and Coal Products Manufacturing - 25.3% | |||||||||||
122,651 | ConocoPhillips | 12,619,562 | |||||||||
606,180 | Exxon Mobil Corp. | 71,735,341 | |||||||||
98,967 | Marathon Petroleum Corp. | 12,073,974 | |||||||||
84,033 | Valero Energy Corp. | 9,636,064 | |||||||||
106,064,941 | |||||||||||
Pipeline Transportation - 1.9% | |||||||||||
265,494 | Williams Companies, Inc. | 8,033,848 | |||||||||
Support Activities for Mining - 11.5% | |||||||||||
40,059 | Diamondback Energy, Inc. | 5,696,390 | |||||||||
197,066 | Halliburton Co. | 6,453,912 | |||||||||
60,482 | Hess Corp. | 8,773,519 | |||||||||
51,793 | Pioneer Natural Resources Co. | 11,267,567 | |||||||||
250,644 | Schlumberger Ltd. ADR (Curaco) (a) | 12,369,281 | |||||||||
49,343 | Targa Resources Corp. | 3,726,877 | |||||||||
48,287,546 | |||||||||||
Utilities - 3.3% | |||||||||||
431,217 | Kinder Morgan, Inc. | 7,395,371 | |||||||||
97,431 | Oneok, Inc. | 6,372,962 | |||||||||
13,768,333 | |||||||||||
TOTAL COMMON STOCKS (Cost $237,170,419) | $ | 295,146,599 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 29.2% | |||||||||||
Money Market Funds - 29.2% | |||||||||||
107,197,600 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 107,197,600 | ||||||||
15,093,498 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 15,093,498 | |||||||||
41,931 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 41,931 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $122,333,029) | $ | 122,333,029 | |||||||||
TOTAL INVESTMENTS (Cost $359,503,448) - 99.7% (c) | $ | 417,479,628 | |||||||||
Other Assets in Excess of Liabilities - 0.3% | 1,239,454 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 418,719,082 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $255,496,744.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Energy Select Sector Index | 5.2900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 188,094 | $ | 170,597,360 | $ | (3,100,805 | ) | ||||||||||||||||||
Total return of Energy Select Sector Index | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 116,062 | 101,256,100 | 2,234,904 | |||||||||||||||||||||
Total return of Energy Select Sector Index | 5.4600% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 92,002 | 77,586,904 | 4,377,783 | |||||||||||||||||||||
Total return of Energy Select Sector Index | 5.3000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 209,570 | 184,989,816 | 1,400,033 | |||||||||||||||||||||
$ | 534,430,180 | $ | 4,911,915 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Direxion Daily Energy Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 93.1% | |||||||||||
Money Market Funds - 93.1% | |||||||||||
27,127,324 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 27,127,324 | ||||||||
1,970,420 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 1,970,420 | |||||||||
945,104 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 945,104 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $30,042,848) (b) | $ | 30,042,848 | |||||||||
TOTAL INVESTMENTS (Cost $30,042,848) - 93.1% | $ | 30,042,848 | |||||||||
Other Assets in Excess of Liabilities - 6.9% | 2,231,280 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 32,274,128 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $13,197,927.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
4.8400% representing 1 month SOFR rate + spread | Total return of Energy Select Sector Index | BNP Paribas | 12/5/2023 | 27,522 | $ | 24,595,830 | $ | 75,103 | |||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of Energy Select Sector Index | J.P. Morgan | 12/12/2023 | 1,828 | 1,715,855 | 93,625 | |||||||||||||||||||||
5.1200% representing 1 month SOFR rate + spread | Total return of Energy Select Sector Index | UBS Securities LLC | 12/13/2023 | 30,722 | 27,649,385 | 179,738 | |||||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of Energy Select Sector Index | Barclays | 12/20/2023 | 12,027 | 10,730,803 | 20,180 | |||||||||||||||||||||
$ | 64,691,873 | $ | 368,646 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Direxion Daily Global Clean Energy Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 81.2% | |||||||||||
177,821 | iShares Global Clean Energy ETF (a)(b) | $ | 3,327,031 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,931,759) | $ | 3,327,031 | |||||||||
SHORT TERM INVESTMENTS - 30.5% | |||||||||||
Money Market Funds - 30.5% | |||||||||||
235,066 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 235,066 | ||||||||
1,013,206 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 1,013,206 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,248,272) (e) | $ | 1,248,272 | |||||||||
TOTAL INVESTMENTS (Cost $5,180,031) - 111.7% (e) | $ | 4,575,303 | |||||||||
Liabilities in Excess of Other Assets - (11.7)% | (478,256 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,097,047 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,030,300.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 The S&P Global Clean Energy Index | 5.2500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 123,866 | $ | 2,398,031 | $ | (95,612 | ) | ||||||||||||||||||
Total return of The S&P Global Clean Energy Index | 5.3500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 136,270 | 2,758,573 | (259,416 | ) | ||||||||||||||||||||
$ | 5,156,604 | $ | (355,028 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Direxion Daily Gold Miners Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 50.4% | |||||||||||
8,174,634 | VanEck VectorsTM Gold Miners ETF (a) | $ | 274,504,209 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $240,288,410) | $ | 274,504,209 | |||||||||
SHORT TERM INVESTMENTS - 51.6% | |||||||||||
Money Market Funds - 51.6% | |||||||||||
224,067,318 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 224,067,318 | ||||||||
18,409,137 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 18,409,137 | |||||||||
39,072,779 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 39,072,779 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $281,549,234) | $ | 281,549,234 | |||||||||
TOTAL INVESTMENTS (Cost $521,837,644) - 102.0% (c) | $ | 556,053,443 | |||||||||
Liabilities in Excess of Other Assets - (2.0)% | (10,912,358 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 545,141,085 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $354,737,997.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 5.5900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 4,096,826 | $ | 117,291,372 | $ | 19,734,691 | |||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 5.4000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 3,100,000 | 91,066,938 | 12,256,174 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 5.6500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 4,581,993 | 138,287,884 | 14,948,198 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 5.6500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 4,037,634 | 115,570,334 | 19,096,044 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 5.9700% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 4,588,575 | 136,658,994 | 16,411,496 | |||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF | 5.5400% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 3,888,710 | 111,718,329 | 18,288,606 | |||||||||||||||||||||
$ | 710,593,851 | $ | 100,735,209 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Direxion Daily Gold Miners Index Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 104.5% | |||||||||||
Money Market Funds - 104.5% | |||||||||||
102,753,159 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 102,753,159 | ||||||||
39,714,746 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 39,714,746 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $142,467,905) (b) | $ | 142,467,905 | |||||||||
TOTAL INVESTMENTS (Cost $142,467,905) - 104.5% | $ | 142,467,905 | |||||||||
Liabilities in Excess of Other Assets - (4.5)% | (6,138,569 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 136,329,336 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $68,279,558.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
5.1800% representing 1 month SOFR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | BNP Paribas | 12/5/2023 | 1,872,062 | $ | 59,974,654 | $ | (2,178,117 | ) | ||||||||||||||||||
5.4500% representing 1 month SOFR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Bank of America Merrill Lynch | 12/8/2023 | 1,645,801 | 53,357,167 | (1,616,907 | ) | ||||||||||||||||||||
4.7500% representing 1 month SOFR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | J.P. Morgan | 12/12/2023 | 1,630,893 | 50,492,757 | (4,031,743 | ) | ||||||||||||||||||||
5.3900% representing 1 month SOFR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | UBS Securities LLC | 12/13/2023 | 1,579,602 | 51,497,782 | (1,051,643 | ) | ||||||||||||||||||||
5.2700% representing 1 month SOFR rate + spread | Total return of VanEck Vectors® Gold Miners ETF | Citibank N.A. | 12/19/2023 | 1,391,304 | 47,030,572 | 532,041 | |||||||||||||||||||||
$ | 262,352,932 | $ | (8,346,369 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Direxion Daily Junior Gold Miners Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 41.4% | |||||||||||
3,176,081 | VanEck VectorsTM Junior Gold Miners ETF (a) | $ | 126,249,220 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $119,728,108) | $ | 126,249,220 | |||||||||
SHORT TERM INVESTMENTS - 59.8% | |||||||||||
Money Market Funds - 59.8% | |||||||||||
173,551,526 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 173,551,526 | ||||||||
8,534,354 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 8,534,354 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $182,085,880) | $ | 182,085,880 | |||||||||
TOTAL INVESTMENTS (Cost $301,813,988) - 101.2% (c) | $ | 308,335,100 | |||||||||
Liabilities in Excess of Other Assets - (1.2)% | (3,702,823 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 304,632,277 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $178,628,085.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 5.5900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 4,587,516 | $ | 158,315,177 | $ | 21,704,412 | |||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 5.6000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 1,228,056 | 41,545,532 | 6,946,911 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 5.9100% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 1,592,137 | 56,349,414 | 6,427,013 | |||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF | 5.5100% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 4,743,636 | 169,976,565 | 16,401,895 | |||||||||||||||||||||
$ | 426,186,688 | $ | 51,480,231 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Direxion Daily Junior Gold Miners Index Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 106.2% | |||||||||||
Money Market Funds - 106.2% | |||||||||||
88,844,108 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 88,844,108 | ||||||||
21,997,084 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 21,997,084 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $110,841,192) (b) | $ | 110,841,192 | |||||||||
TOTAL INVESTMENTS (Cost $110,841,192) - 106.2% | $ | 110,841,192 | |||||||||
Liabilities in Excess of Other Assets - (6.2)% | (6,425,176 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 104,416,016 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $48,778,534.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
5.1800% representing 1 month SOFR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | BNP Paribas | 12/5/2023 | 1,246,892 | $ | 45,052,561 | $ | (4,006,251 | ) | ||||||||||||||||||
4.7000% representing 1 month SOFR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | J.P. Morgan | 12/12/2023 | 1,306,000 | 51,499,642 | (149,085 | ) | ||||||||||||||||||||
5.3700% representing 1 month SOFR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | UBS Securities LLC | 12/13/2023 | 1,589,100 | 65,727,191 | 2,778,810 | |||||||||||||||||||||
5.2000% representing 1 month SOFR rate + spread | Total return of VanEck VectorsTM Junior Gold Miners ETF | Citibank N.A. | 12/19/2023 | 1,111,635 | 41,358,358 | (2,297,107 | ) | ||||||||||||||||||||
$ | 203,637,752 | $ | (3,673,633 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Direxion Daily NYSE FANG+ Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 34.7% | |||||||||||
Computer and Electronic Product Manufacturing - 13.9% | |||||||||||
4,022 | Advanced Micro Devices, Inc. (a) | $ | 359,446 | ||||||||
3,753 | Alphabet, Inc. Class A (a) | 402,847 | |||||||||
2,357 | Apple, Inc. | 399,936 | |||||||||
1,489 | NVIDIA Corp. | 413,183 | |||||||||
1,575,412 | |||||||||||
General Merchandise Retailers - 3.5% | |||||||||||
3,750 | Amazon.com, Inc. (a) | 395,437 | |||||||||
Motion Picture and Sound Recording Industries - 3.5% | |||||||||||
1,188 | Netflix, Inc. (a) | 391,957 | |||||||||
Professional, Scientific, and Technical Services - 7.2% | |||||||||||
1,824 | Meta Platforms, Inc. (a) | 438,343 | |||||||||
2,584 | Snowflake, Inc. (a) | 382,639 | |||||||||
820,982 | |||||||||||
Publishing Industries - 3.7% | |||||||||||
1,359 | Microsoft Corp. | 417,566 | |||||||||
Transportation Equipment Manufacturing - 2.9% | |||||||||||
Tesla Motors, Inc. (a) | 328,456 | ||||||||||
TOTAL COMMON STOCKS (Cost $3,526,655) | $ | 3,929,810 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 65.0% | |||||||||||
Money Market Funds - 65.0% | |||||||||||
6,777,873 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 6,777,873 | ||||||||
430,004 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 430,004 | |||||||||
164,082 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 164,082 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,371,959) | $ | 7,371,959 | |||||||||
TOTAL INVESTMENTS (Cost $10,898,614) - 99.7% (c) | $ | 11,301,769 | |||||||||
Other Assets in Excess of Liabilities - 0.3% | 37,507 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 11,339,276 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,650,889.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 NYSE FANG+ Index | 5.3900% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 2,453 | $ | 13,451,463 | $ | 1,441,163 | |||||||||||||||||||
Total return of NYSE FANG+ Index | 5.4500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 611 | 3,462,870 | 255,567 | |||||||||||||||||||||
$ | 16,914,333 | $ | 1,696,730 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 54.8% | |||||||||||
459,325 | Global X Robotics & Artificial Intelligence ETF (a) | $ | 11,441,786 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $11,411,914) | $ | 11,441,786 | |||||||||
SHORT TERM INVESTMENTS - 41.0% | |||||||||||
Money Market Funds - 41.0% | |||||||||||
5,269,673 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 5,269,673 | ||||||||
549,302 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 549,302 | |||||||||
2,737,347 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 2,737,347 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,556,322) | $ | 8,556,322 | |||||||||
TOTAL INVESTMENTS (Cost $19,968,236) - 95.8% (c) | $ | 19,998,108 | |||||||||
Other Assets in Excess of Liabilities - 4.2% | 894,713 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,892,821 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,443,111.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 488,745 | $ | 10,420,996 | $ | 1,560,095 | |||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 5.5900% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 525,156 | 12,783,252 | 187,942 | |||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 5.4000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 79,854 | 1,716,062 | 239,059 | |||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index | 5.5500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 124,387 | 2,595,957 | 447,956 | |||||||||||||||||||||
$ | 27,516,267 | $ | 2,435,052 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 56.3% | |||||||||||
Chemical Manufacturing - 0.2% | |||||||||||
1,255,170 | Gevo, Inc. (a) | $ | 1,455,996 | ||||||||
Gasoline Stations and Fuel Dealers - 2.3% | |||||||||||
50,021 | Chevron Corp. | 8,432,540 | |||||||||
251,944 | Delek US Holdings, Inc. | 5,479,782 | |||||||||
13,912,322 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.1% | |||||||||||
15,480 | REX American Resources Corp. (a) | 437,929 | |||||||||
Merchant Wholesalers, Nondurable Goods - 0.2% | |||||||||||
63,020 | World Fuel Services Corp. | 1,489,793 | |||||||||
Mining (except Oil and Gas) - 2.6% | |||||||||||
520,839 | CNX Resources Corp. (a) | 8,088,630 | |||||||||
743,663 | Permian Resources Corp. | 7,771,279 | |||||||||
15,859,909 | |||||||||||
Oil and Gas Extraction - 33.0% | |||||||||||
341,324 | Antero Resources Corp. (a) | 7,847,039 | |||||||||
222,168 | APA Corp. | 8,186,891 | |||||||||
101,122 | Berry Petroleum Corp. | 772,572 | |||||||||
416,924 | Clean Energy Fuels Corp. (a) | 1,780,265 | |||||||||
739,532 | Comstock Resources Inc. | 8,504,618 | |||||||||
324,804 | Coterra Energy, Inc. | 8,314,982 | |||||||||
57,259 | Crescent Energy Co. | 665,350 | |||||||||
154,309 | Devon Energy Corp. | 8,244,730 | |||||||||
239,117 | Earthstone Energy, Inc. (a)(b) | 3,242,427 | |||||||||
71,197 | EOG Resources, Inc. | 8,505,906 | |||||||||
262,641 | EQT Corp. | 9,150,412 | |||||||||
133,539 | Green Plains, Inc. (a) | 4,563,028 | |||||||||
911,167 | Kosmos Energy Ltd. (a) | 5,831,469 | |||||||||
280,756 | Magnolia Oil & Gas Corp. | 5,929,567 | |||||||||
333,208 | Marathon Oil Corp. | 8,050,305 | |||||||||
156,607 | Matador Resources Co. | 7,678,441 | |||||||||
217,864 | Murphy Oil Corp. | 7,997,787 | |||||||||
229,925 | Northern Oil and Gas, Inc. | 7,626,612 | |||||||||
58,712 | Oasis Petroleum, Inc. | 8,356,479 | |||||||||
133,426 | Occidental Petroleum Corp. | 8,209,702 | |||||||||
203,854 | Ovintiv, Inc. | 7,355,052 | |||||||||
102,435 | Par Pacific Holdings, Inc. (a) | 2,400,052 | |||||||||
121,845 | PDC Energy, Inc. | 7,926,017 | |||||||||
78,906 | Phillips 66 | 7,811,694 | |||||||||
311,019 | Range Resources Corp. | 8,226,453 | |||||||||
50,902 | Ranger Oil Corp. | 2,097,162 | |||||||||
53,776 | SilverBow Resources, Inc. (a)(b) | 1,282,558 | |||||||||
114,531 | Sitio Royalties Corp. | 2,907,942 | |||||||||
277,422 | SM Energy Co. | 7,790,010 | |||||||||
1,616,791 | Southwestern Energy Co. (a) | 8,391,145 | |||||||||
229,081 | Talos Energy, Inc. (a) | 3,122,374 | |||||||||
2,851,065 | Tellurian, Inc. (a)(b) | 4,048,512 | |||||||||
4,688 | Texas Pacific Land Corp. | 6,927,223 | |||||||||
213,235 | VAALCO Energy, Inc. | 912,646 | |||||||||
509,724 | W&T Offshore, Inc. (a) | 2,227,494 | |||||||||
202,884,916 |
Shares | Fair Value | ||||||||||
Petroleum and Coal Products Manufacturing - 9.2% | |||||||||||
76,637 | ConocoPhillips | $ | 7,885,181 | ||||||||
132,019 | CVR Energy, Inc. | 3,477,380 | |||||||||
74,102 | Exxon Mobil Corp. | 8,769,231 | |||||||||
162,106 | HF Sinclair Corp. | 7,150,496 | |||||||||
62,131 | Marathon Petroleum Corp. | 7,579,982 | |||||||||
180,375 | PBF Energy, Inc. | 6,287,872 | |||||||||
60,435 | Valero Energy Corp. | 6,930,081 | |||||||||
339,792 | Vertex Energy, Inc. (a)(b) | 2,684,357 | |||||||||
116,884 | Vital Energy, Inc. (a) | 5,438,613 | |||||||||
56,203,193 | |||||||||||
Support Activities for Mining - 8.7% | |||||||||||
114,925 | California Resources Corp. | 4,654,462 | |||||||||
204,801 | Callon Petroleum Co. (a) | 6,787,105 | |||||||||
84,615 | Civitas Resources, Inc. | 5,842,666 | |||||||||
92,273 | Denbury, Inc. (a) | 8,616,453 | |||||||||
58,768 | Diamondback Energy, Inc. | 8,356,809 | |||||||||
17,384 | Gulfport Energy Corp. (a) | 1,572,557 | |||||||||
61,612 | Hess Corp. | 8,937,437 | |||||||||
40,180 | Pioneer Natural Resources Co. | 8,741,159 | |||||||||
53,508,648 | |||||||||||
TOTAL COMMON STOCKS (Cost $369,938,236) | $ | 345,752,706 | |||||||||
SHORT TERM INVESTMENTS - 49.6% | |||||||||||
Money Market Funds - 49.6% | |||||||||||
219,256,574 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 219,256,574 | ||||||||
8,811,842 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 8,811,842 | |||||||||
76,790,693 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 76,790,693 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $304,859,109) | $ | 304,859,109 | |||||||||
TOTAL INVESTMENTS (Cost $674,797,345) - 105.9% (e) | $ | 650,611,815 | |||||||||
Liabilities in Excess of Other Assets - (5.9)% | (36,572,259 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 614,039,556 |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $464,023,710.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 5.3400% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 38,324 | $ | 201,903,096 | $ | (16,013,694 | ) | ||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 29,793 | 139,595,559 | 5,871,259 | |||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 5.2000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 19,916 | 95,605,232 | 1,704,577 | |||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 5.0500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 30,524 | 159,399,135 | (10,744,090 | ) | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 5.0700% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 14,374 | 73,338,691 | (3,217,196 | ) | ||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index | 5.2400% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 46,897 | 240,993,632 | (12,604,095 | ) | ||||||||||||||||||||
$ | 910,835,345 | $ | (35,003,239 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 106.0% | |||||||||||
Money Market Funds - 106.0% | |||||||||||
48,473,354 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 48,473,354 | ||||||||
10,278,560 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 10,278,560 | |||||||||
13,721,035 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 13,721,035 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $72,472,949) (b) | $ | 72,472,949 | |||||||||
TOTAL INVESTMENTS (Cost $72,472,949) - 106.0% | $ | 72,472,949 | |||||||||
Liabilities in Excess of Other Assets - (6.0)% | (4,088,812 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 68,384,137 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $29,994,614.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Goldman Sachs | 12/7/2023 | 10,195 | $ | 51,388,231 | $ | 1,502,633 | |||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Bank of America Merrill Lynch | 12/8/2023 | 1,327 | 7,337,461 | 863,066 | |||||||||||||||||||||
4.4000% representing 1 month SOFR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | J.P. Morgan | 12/12/2023 | 5,422 | 28,367,092 | 1,882,685 | |||||||||||||||||||||
4.8300% representing 1 month SOFR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | UBS Securities LLC | 12/13/2023 | 5,262 | 27,601,190 | 2,127,453 | |||||||||||||||||||||
4.9400% representing 1 month SOFR rate + spread | Total return of S&P Oil & Gas Exploration & Production Select Industry Index | Citibank N.A. | 12/19/2023 | 5,670 | 29,367,501 | 1,688,738 | |||||||||||||||||||||
$ | 144,061,475 | $ | 8,064,575 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Daily Travel & Vacation Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 74.9% | |||||||||||
Accommodation - 28.0% | |||||||||||
8,221 | Apple Hospitality REIT, Inc. | $ | 122,411 | ||||||||
2,713 | Boyd Gaming Co. | 188,282 | |||||||||
4,092 | Caesars Entertainment Inc. (a) | 185,327 | |||||||||
1,332 | Choice Hotels International, Inc. | 169,857 | |||||||||
3,103 | Hilton Grand Vacations, Inc. (a) | 132,809 | |||||||||
4,753 | Hilton Worldwide Holdings, Inc. | 684,527 | |||||||||
14,164 | Host Hotels & Resorts, Inc. | 229,032 | |||||||||
6,523 | Huazhu Group Ltd. ADR (a) | 305,929 | |||||||||
1,548 | Hyatt Hotels Corp. (a) | 176,936 | |||||||||
4,808 | InterContinental Hotels Group PLC ADR (United Kingdom) | 333,098 | |||||||||
9,027 | Las Vegas Sands Corp. (a) | 576,374 | |||||||||
4,057 | Marriott International, Inc. Class A | 687,012 | |||||||||
11,901 | Melco Crown Entertainment Ltd. ADR (a) | 162,330 | |||||||||
7,528 | MGM Resorts International | 338,158 | |||||||||
9,925 | Park Hotels & Resorts, Inc. | 119,596 | |||||||||
4,587 | Penn National Gaming, Inc. (a) | 136,647 | |||||||||
11,012 | Sunstone Hotel Investors, Inc. | 104,944 | |||||||||
3,589 | Travel + Leisure Co. | 137,351 | |||||||||
868 | Vail Resorts, Inc. | 208,771 | |||||||||
2,733 | Wyndham Hotels & Resorts, Inc. | 186,445 | |||||||||
5,185,836 | |||||||||||
Administrative and Support Services - 7.8% | |||||||||||
326 | Booking Holdings, Inc. (a) | 875,737 | |||||||||
3,816 | Live Nation Entertainment, Inc. (a) | 258,649 | |||||||||
18,775 | Sabre Corp. (a) | 75,100 | |||||||||
5,059 | Six Flags Entertainment Corp. (a) | 122,782 | |||||||||
6,432 | TripAdvisor, Inc. (a) | 114,039 | |||||||||
1,446,307 | |||||||||||
Air Transportation - 12.1% | |||||||||||
4,182 | Alaska Air Group, Inc. (a) | 181,750 | |||||||||
1,370 | Allegiant Travel Co. (a) | 142,357 | |||||||||
17,287 | American Airlines Group, Inc. (a) | 235,795 | |||||||||
14,198 | Delta Air Lines, Inc. (a) | 487,133 | |||||||||
16,591 | JetBlue Airways Corp. (a) | 118,460 | |||||||||
3,563 | Ryanair Holdings PLC ADR (Ireland) (a) | 340,587 | |||||||||
10,337 | Southwest Airlines Co. | 313,108 | |||||||||
5,885 | Spirit Airlines, Inc. | 100,633 | |||||||||
7,368 | United Continental Holdings, Inc. (a) | 322,718 | |||||||||
2,242,541 | |||||||||||
Amusement, Gambling, and Recreation Industries - 5.9% | |||||||||||
1,918 | SeaWorld Entertainment, Inc. (a) | 102,920 | |||||||||
6,927 | The Walt Disney Co. (a) | 710,017 | |||||||||
2,470 | Wynn Resorts Ltd. (a) | 282,272 | |||||||||
1,095,209 | |||||||||||
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 4.5% | |||||||||||
6,977 | Airbnb, Inc. (a) | 834,938 |
Shares | Fair Value | ||||||||||
Management of Companies and Enterprises - 5.0% | |||||||||||
29,943 | Carnival Corp. ADR (Panama) (a) | $ | 275,775 | ||||||||
12,301 | Norwegian Cruise Line Holdings Ltd. ADR (a) | 164,218 | |||||||||
13,647 | Trip.com Group Ltd. ADR (China) (a) | 484,605 | |||||||||
924,598 | |||||||||||
Performing Arts, Spectator Sports, and Related Industries - 1.5% | |||||||||||
908 | Churchill Downs, Inc. | 265,617 | |||||||||
Real Estate - 6.2% | |||||||||||
5,399 | Gaming & Leisure Properties, Inc. | 280,748 | |||||||||
1,137 | Marriott Vacations Worldwide Corp. | 152,995 | |||||||||
7,081 | Pebblebrook Hotel Trust | 100,763 | |||||||||
1,730 | Ryman Hospitality Properties, Inc. | 155,112 | |||||||||
13,708 | VICI Properties, Inc. | 465,249 | |||||||||
1,154,867 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.4% | |||||||||||
21,918 | Virgin Galactic Holdings, Inc. (a)(b) | 79,781 | |||||||||
Support Activities for Transportation - 1.8% | |||||||||||
3,575 | Expedia, Inc. (a) | 335,907 | |||||||||
Water Transportation - 1.7% | |||||||||||
4,787 | Royal Caribbean Cruises Ltd. ADR (Liberia) (a) | 313,213 | |||||||||
TOTAL COMMON STOCKS (Cost $16,211,507) | $ | 13,878,814 | |||||||||
SHORT TERM INVESTMENTS - 37.1% | |||||||||||
Money Market Funds - 37.1% | |||||||||||
5,141,985 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 5,141,985 | ||||||||
3 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 3 | |||||||||
1,742,997 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 1,742,997 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,884,985) | $ | 6,884,985 | |||||||||
TOTAL INVESTMENTS (Cost $23,096,492) - 112.0% (e) | $ | 20,763,799 | |||||||||
Liabilities in Excess of Other Assets - (12.0)% | (2,226,721 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,537,078 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Direxion Daily Travel & Vacation Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $10,969,653.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 BlueStar® Travel and Vacation Index | 5.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 45,296 | $ | 6,251,131 | $ | (71,718 | ) | ||||||||||||||||||
Total return of BlueStar® Travel and Vacation Index | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 123,596 | 15,959,918 | 761,834 | |||||||||||||||||||||
$ | 22,211,049 | $ | 690,116 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily AAPL Bear 1X Shares | Direxion Daily AMZN Bear 1X Shares | Direxion Daily GOOGL Bear 1X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 441,430,036 | $ | 29,576,811 | $ | 6,443,868 | $ | 4,993,679 | |||||||||||
Receivable for Fund shares sold | 38,554,570 | — | 3,183,520 | — | |||||||||||||||
Dividend and interest receivable | 1,721,745 | 98,014 | 22,422 | 19,503 | |||||||||||||||
Due from broker for swap contracts | — | 116,297 | — | 11,550 | |||||||||||||||
Prepaid expenses and other assets | 17,363 | 2,789 | 2,834 | 2,746 | |||||||||||||||
Total Assets | 481,723,714 | 29,793,911 | 9,652,644 | 5,027,478 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 23,009,251 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 13,324,028 | 2,553,201 | 369,511 | 367,719 | |||||||||||||||
Due to Adviser, net (Note 6) | 117,892 | 10,763 | 2,198 | 1,653 | |||||||||||||||
Due to broker for swap contracts | 1,031,178 | 149,405 | — | 11,729 | |||||||||||||||
Accrued expenses and other liabilities | 165,910 | 10,830 | 8,524 | 8,308 | |||||||||||||||
Total Liabilities | 37,648,259 | 2,724,199 | 380,233 | 389,409 | |||||||||||||||
Net Assets | $ | 444,075,455 | $ | 27,069,712 | $ | 9,272,411 | $ | 4,638,069 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 570,648,752 | $ | 31,271,245 | $ | 9,546,761 | $ | 5,263,951 | |||||||||||
Total distributable loss | (126,573,297 | ) | (4,201,533 | ) | (274,350 | ) | (625,882 | ) | |||||||||||
Net Assets | $ | 444,075,455 | $ | 27,069,712 | $ | 9,272,411 | $ | 4,638,069 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 444,075,455 | $ | 27,069,712 | $ | 9,272,411 | $ | 4,638,069 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 28,949,983 | 1,175,001 | 350,001 | 200,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 15.34 | $ | 23.04 | $ | 26.49 | $ | 23.19 | |||||||||||
Cost of Investments | $ | 441,430,036 | $ | 29,576,811 | $ | 6,443,868 | $ | 4,993,679 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily MSFT Bear 1X Shares | Direxion Daily TSLA Bear 1X Shares | Direxion Daily AAPL Bull 1.5X Shares | Direxion Daily AMZN Bull 1.5X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 7,542,486 | $ | 44,696,469 | $ | 18,644,410 | $ | 20,907,020 | |||||||||||
Cash | — | — | 409,083 | 1,061,265 | |||||||||||||||
Receivable for Fund shares sold | 4,875,263 | 485 | — | — | |||||||||||||||
Dividend and interest receivable | 25,434 | 161,422 | 56,969 | 61,249 | |||||||||||||||
Due from broker for swap contracts | — | 2,202,650 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | 4,212,482 | 3,368,887 | 731,975 | |||||||||||||||
Prepaid expenses and other assets | 2,685 | 2,548 | 2,938 | 2,463 | |||||||||||||||
Total Assets | 12,445,868 | 51,276,056 | 22,482,287 | 22,763,972 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | 1,616,722 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 813,740 | — | — | 22,773 | |||||||||||||||
Due to Adviser, net (Note 6) | 2,707 | 19,143 | 11,771 | 8,527 | |||||||||||||||
Due to broker for swap contracts | — | 7,591,000 | 3,096,000 | 1,866,278 | |||||||||||||||
Accrued expenses and other liabilities | 8,282 | 14,674 | 9,497 | 10,079 | |||||||||||||||
Total Liabilities | 824,729 | 9,241,539 | 3,117,268 | 1,907,657 | |||||||||||||||
Net Assets | $ | 11,621,139 | $ | 42,034,517 | $ | 19,365,019 | $ | 20,856,315 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 13,070,500 | $ | 51,249,442 | $ | 17,258,501 | $ | 18,865,540 | |||||||||||
Total distributable earnings (loss) | (1,449,361 | ) | (9,214,925 | ) | 2,106,518 | 1,990,775 | |||||||||||||
Net Assets | $ | 11,621,139 | $ | 42,034,517 | $ | 19,365,019 | $ | 20,856,315 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 11,621,139 | $ | 42,034,517 | $ | 19,365,019 | $ | 20,856,315 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 600,001 | 1,300,001 | 800,001 | 1,200,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 19.37 | $ | 32.33 | $ | 24.21 | $ | 17.38 | |||||||||||
Cost of Investments | $ | 7,542,486 | $ | 44,696,469 | $ | 18,281,151 | $ | 20,559,672 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily GOOGL Bull 1.5X Shares | Direxion Daily MSFT Bull 1.5X Shares | Direxion Daily TSLA Bull 1.5X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (Note 2) | $ | 16,109,383 | $ | 18,110,623 | $ | 517,085,352 | $ | 70,510,979 | |||||||||||
Cash | 506,447 | 1,281,988 | — | 326,333 | |||||||||||||||
Dividend and interest receivable | 51,853 | 47,158 | 1,396,237 | 149,763 | |||||||||||||||
Due from broker for swap contracts | — | 417 | 2,296 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 2,322,173 | 2,113,209 | — | 199,778 | |||||||||||||||
Prepaid expenses and other assets | 2,624 | 2,524 | 4,531 | 20,093 | |||||||||||||||
Total Assets | 18,992,480 | 21,555,919 | 518,488,416 | 71,206,946 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | — | — | 6,025,704 | 27,679 | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | 81,043,914 | 614,617 | |||||||||||||||
Due to Adviser, net (Note 6) | 10,404 | 9,621 | 177,661 | 29,771 | |||||||||||||||
Due to broker for swap contracts | 2,162,404 | 2,813,000 | — | — | |||||||||||||||
Accrued expenses and other liabilities | 9,455 | 8,937 | 68,326 | 41,051 | |||||||||||||||
Total Liabilities | 2,182,263 | 2,831,558 | 87,315,605 | 713,118 | |||||||||||||||
Net Assets | $ | 16,810,217 | $ | 18,724,361 | $ | 431,172,811 | $ | 70,493,828 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 14,938,757 | $ | 15,160,614 | $ | 507,067,600 | $ | 108,395,463 | |||||||||||
Total distributable earnings (loss) | 1,871,460 | 3,563,747 | (75,894,789 | ) | (37,901,635 | ) | |||||||||||||
Net Assets | $ | 16,810,217 | $ | 18,724,361 | $ | 431,172,811 | $ | 70,493,828 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 16,810,217 | $ | 18,724,361 | $ | 431,172,811 | $ | 70,493,828 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 725,001 | 600,001 | 48,500,001 | 3,300,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 23.19 | $ | 31.21 | $ | 8.89 | $ | 21.36 | |||||||||||
Cost of Investments | $ | 15,853,891 | $ | 17,646,116 | $ | 525,722,481 | $ | 70,625,952 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares | Direxion Daily MSCI India Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 323,785,801 | $ | 234,479,458 | $ | 122,112,139 | $ | 59,807,655 | |||||||||||
Cash | 13,983,792 | — | — | — | |||||||||||||||
Dividend and interest receivable | 720,262 | 247,268 | 280,472 | 129,248 | |||||||||||||||
Due from broker for swap contracts | 3 | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | 8,558,752 | 3,486,004 | 836,039 | |||||||||||||||
Prepaid expenses and other assets | 34,590 | 4,912 | 12,294 | 16,487 | |||||||||||||||
Total Assets | 338,524,448 | 243,290,390 | 125,890,909 | 60,789,429 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 5,610 | — | — | |||||||||||||||
Payable for investments purchased | 5,539,800 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 41,028,993 | — | 2,128,224 | 4,068,671 | |||||||||||||||
Due to Adviser, net (Note 6) | 126,354 | 85,778 | 50,428 | 21,817 | |||||||||||||||
Due to broker for swap contracts | — | 6,316,000 | 2,840,000 | 620,000 | |||||||||||||||
Accrued expenses and other liabilities | 133,417 | 53,591 | 59,236 | 54,794 | |||||||||||||||
Total Liabilities | 46,828,564 | 6,460,979 | 5,077,888 | 4,765,282 | |||||||||||||||
Net Assets | $ | 291,695,884 | $ | 236,829,411 | $ | 120,813,021 | $ | 56,024,147 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 759,359,944 | $ | 228,335,230 | $ | 600,801,600 | $ | 65,735,195 | |||||||||||
Total distributable earnings (loss) | (467,664,060 | ) | 8,494,181 | (479,988,579 | ) | (9,711,048 | ) | ||||||||||||
Net Assets | $ | 291,695,884 | $ | 236,829,411 | $ | 120,813,021 | $ | 56,024,147 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 291,695,884 | $ | 236,829,411 | $ | 120,813,021 | $ | 56,024,147 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 7,224,087 | 2,883,236 | 1,808,631 | 1,299,686 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 40.38 | $ | 82.14 | $ | 66.80 | $ | 43.11 | |||||||||||
Cost of Investments | $ | 329,371,361 | $ | 226,720,802 | $ | 132,363,793 | $ | 62,573,446 |
* Securities loaned with values of $–, $5,342, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily Cloud Computing Bull 2X Shares | Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 6,065,710 | $ | 4,817,323 | $ | 417,479,628 | $ | 30,042,848 | |||||||||||
Receivable for Fund shares sold | — | 35,663 | — | 2,982,995 | |||||||||||||||
Receivable for investments sold | — | 1,034,373 | — | — | |||||||||||||||
Due from Adviser, net (Note 6) | — | 1,355 | — | — | |||||||||||||||
Dividend and interest receivable | 4,589 | 9,984 | 759,225 | 122,033 | |||||||||||||||
Due from broker for swap contracts | — | — | — | 104,691 | |||||||||||||||
Foreign tax reclaims | 2,878 | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 25,231 | — | 8,012,720 | 368,646 | |||||||||||||||
Prepaid expenses and other assets | 19,826 | 1,622 | 16,890 | 24,588 | |||||||||||||||
Total Assets | 6,118,234 | 5,900,320 | 426,268,463 | 33,645,801 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 43,741 | — | — | — | |||||||||||||||
Payable for investments purchased | — | 1,038,723 | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 14,276 | 503,539 | 3,100,805 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 957 | — | 178,660 | 18,833 | |||||||||||||||
Due to broker for swap contracts | 3 | 2,244 | 4,050,000 | 1,319,000 | |||||||||||||||
Accrued expenses and other liabilities | 19,491 | 17,631 | 219,916 | 33,840 | |||||||||||||||
Total Liabilities | 78,468 | 1,562,137 | 7,549,381 | 1,371,673 | |||||||||||||||
Net Assets | $ | 6,039,766 | $ | 4,338,183 | $ | 418,719,082 | $ | 32,274,128 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 22,912,014 | $ | 10,200,622 | $ | 347,682,846 | $ | 230,010,721 | |||||||||||
Total distributable earnings (loss) | (16,872,248 | ) | (5,862,439 | ) | 71,036,236 | (197,736,593 | ) | ||||||||||||
Net Assets | $ | 6,039,766 | $ | 4,338,183 | $ | 418,719,082 | $ | 32,274,128 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 6,039,766 | $ | 4,338,183 | $ | 418,719,082 | $ | 32,274,128 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 950,001 | 900,001 | 6,863,531 | 1,115,264 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 6.36 | $ | 4.82 | $ | 61.01 | $ | 28.94 | |||||||||||
Cost of Investments | $ | 7,740,586 | $ | 5,068,318 | $ | 359,503,448 | $ | 30,042,848 |
* Securities loaned with values of $42,865, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily Global Clean Energy Bull 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 | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 4,575,303 | $ | 556,053,443 | $ | 142,467,905 | $ | 308,335,100 | |||||||||||
Receivable for Fund shares sold | — | 670 | 2,444,251 | — | |||||||||||||||
Due from Adviser, net (Note 6) | 644 | — | — | — | |||||||||||||||
Dividend and interest receivable | 4,223 | 1,147,222 | 509,275 | 821,038 | |||||||||||||||
Due from broker for swap contracts | — | 1,957,980 | 1,429,138 | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | 100,735,209 | 532,041 | 51,480,231 | |||||||||||||||
Prepaid expenses and other assets | 11,768 | 14,537 | 43,047 | 9,113 | |||||||||||||||
Total Assets | 4,591,938 | 659,909,061 | 147,425,657 | 360,645,482 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 117,000 | — | — | — | |||||||||||||||
Payable for Fund shares redeemed | — | 4,573,004 | 497,187 | 18,692 | |||||||||||||||
Unrealized depreciation on swap contracts | 355,028 | — | 8,878,410 | — | |||||||||||||||
Due to Adviser, net (Note 6) | — | 243,893 | 52,162 | 137,782 | |||||||||||||||
Due to broker for swap contracts | 11,768 | 109,729,985 | 1,630,091 | 55,723,665 | |||||||||||||||
Accrued expenses and other liabilities | 11,095 | 221,094 | 38,471 | 133,066 | |||||||||||||||
Total Liabilities | 494,891 | 114,767,976 | 11,096,321 | 56,013,205 | |||||||||||||||
Net Assets | $ | 4,097,047 | $ | 545,141,085 | $ | 136,329,336 | $ | 304,632,277 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 9,167,805 | $ | 2,380,119,170 | $ | 816,055,315 | $ | 1,904,592,018 | |||||||||||
Total distributable loss | (5,070,758 | ) | (1,834,978,085 | ) | (679,725,979 | ) | (1,599,959,741 | ) | |||||||||||
Net Assets | $ | 4,097,047 | $ | 545,141,085 | $ | 136,329,336 | $ | 304,632,277 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 4,097,047 | $ | 545,141,085 | $ | 136,329,336 | $ | 304,632,277 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 300,001 | 12,201,908 | 13,710,171 | 7,243,351 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 13.66 | $ | 44.68 | $ | 9.94 | $ | 42.06 | |||||||||||
Cost of Investments | $ | 5,180,031 | $ | 521,837,644 | $ | 142,467,905 | $ | 301,813,988 |
* Securities loaned with values of $113,640, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily Junior Gold Miners Index Bear 2X Shares | Direxion Daily NYSE FANG+ Bull 2X Shares | Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 110,841,192 | $ | 11,301,769 | $ | 19,998,108 | $ | 650,611,815 | |||||||||||
Cash | — | — | 770,554 | 1,111,841 | |||||||||||||||
Receivable for Fund shares sold | 87 | — | — | — | |||||||||||||||
Dividend and interest receivable | 390,992 | 27,613 | 36,226 | 1,366,968 | |||||||||||||||
Due from broker for swap contracts | 890,000 | — | — | 1 | |||||||||||||||
Unrealized appreciation on swap contracts | 2,778,810 | 1,696,730 | 2,435,052 | 7,575,836 | |||||||||||||||
Prepaid expenses and other assets | 23,442 | 19,037 | 13,221 | 24,340 | |||||||||||||||
Total Assets | 114,924,523 | 13,045,149 | 23,253,161 | 660,690,801 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | — | 1,330,284 | |||||||||||||||
Payable for Fund shares redeemed | 865,746 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 6,452,443 | — | — | 42,579,075 | |||||||||||||||
Due to Adviser, net (Note 6) | 38,786 | 6,556 | 11,929 | 260,744 | |||||||||||||||
Due to broker for swap contracts | 3,120,000 | 1,670,000 | 2,330,696 | 2,126,804 | |||||||||||||||
Accrued expenses and other liabilities | 31,532 | 29,317 | 17,715 | 354,338 | |||||||||||||||
Total Liabilities | 10,508,507 | 1,705,873 | 2,360,340 | 46,651,245 | |||||||||||||||
Net Assets | $ | 104,416,016 | $ | 11,339,276 | $ | 20,892,821 | $ | 614,039,556 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 367,995,403 | $ | 25,959,409 | $ | 40,090,624 | $ | 578,553,561 | |||||||||||
Total distributable earnings (loss) | (263,579,387 | ) | (14,620,133 | ) | (19,197,803 | ) | 35,485,995 | ||||||||||||
Net Assets | $ | 104,416,016 | $ | 11,339,276 | $ | 20,892,821 | $ | 614,039,556 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 104,416,016 | $ | 11,339,276 | $ | 20,892,821 | $ | 614,039,556 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 17,882,449 | 229,852 | 1,223,646 | 5,078,422 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 5.84 | $ | 49.33 | $ | 17.07 | $ | 120.91 | |||||||||||
Cost of Investments | $ | 110,841,192 | $ | 10,898,614 | $ | 19,968,236 | $ | 674,797,345 |
* Securities loaned with values of $–, $–, $– and $2,432,027, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | Direxion Daily Travel & Vacation Bull 2X Shares | ||||||||||
Assets: | |||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 72,472,949 | $ | 20,763,799 | |||||||
Dividend and interest receivable | 265,721 | 31,538 | |||||||||
Due from broker for swap contracts | 2,000,110 | 74,829 | |||||||||
Unrealized appreciation on swap contracts | 8,064,575 | 761,834 | |||||||||
Prepaid expenses and other assets | 30,115 | 12,200 | |||||||||
Total Assets | 82,833,470 | 21,644,200 | |||||||||
Liabilities: | |||||||||||
Collateral for securities loaned (Note 2) | — | 64,091 | |||||||||
Payable for investments purchased | — | 2,527,422 | |||||||||
Unrealized depreciation on swap contracts | — | 71,718 | |||||||||
Due to Adviser, net (Note 6) | 44,761 | 10,777 | |||||||||
Due to broker for swap contracts | 14,360,631 | 410,000 | |||||||||
Accrued expenses and other liabilities | 43,941 | 23,114 | |||||||||
Total Liabilities | 14,449,333 | 3,107,122 | |||||||||
Net Assets | $ | 68,384,137 | $ | 18,537,078 | |||||||
Net Assets Consist of: | |||||||||||
Capital stock | $ | 291,930,826 | $ | 40,795,895 | |||||||
Total distributable loss | (223,546,689 | ) | (22,258,817 | ) | |||||||
Net Assets | $ | 68,384,137 | $ | 18,537,078 | |||||||
Calculation of Net Asset Value Per Share: | |||||||||||
Net assets | $ | 68,384,137 | $ | 18,537,078 | |||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 4,707,895 | 1,500,001 | |||||||||
Net assets value, redemption price and offering price per share | $ | 14.53 | $ | 12.36 | |||||||
Cost of Investments | $ | 72,472,949 | $ | 23,096,492 |
* Securities loaned with values of $– and $59,989, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily AAPL Bear 1X Shares | Direxion Daily AMZN Bear 1X Shares | Direxion Daily GOOGL Bear 1X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | — | $ | — | $ | — | |||||||||||
Interest income | 11,384,529 | 468,523 | 141,896 | 108,617 | |||||||||||||||
Total investment income | 11,384,529 | 468,523 | 141,896 | 108,617 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 929,979 | 79,766 | 24,757 | 18,859 | |||||||||||||||
Licensing fees | 132,853 | — | — | — | |||||||||||||||
Fund servicing fees | 100,151 | 4,454 | 1,728 | 1,434 | |||||||||||||||
Interest expense | 93,580 | 14,497 | 3,029 | 2,894 | |||||||||||||||
Management service fees (Note 6) | 65,936 | 2,638 | 819 | 624 | |||||||||||||||
Reports to shareholders | 37,897 | 1,497 | 466 | 355 | |||||||||||||||
Professional fees | 26,615 | 5,815 | 5,226 | 5,162 | |||||||||||||||
Trustees' fees and expenses | 7,190 | 269 | 86 | 65 | |||||||||||||||
Insurance fees | 6,076 | 240 | 75 | 57 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,975 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Excise tax | — | 372 | 122 | 769 | |||||||||||||||
Other | 4,951 | 188 | 57 | 44 | |||||||||||||||
Total Expenses | 1,410,901 | 115,192 | 41,820 | 35,719 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 1,425 | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (121,632 | ) | (711 | ) | (7,311 | ) | (8,168 | ) | |||||||||||
Net Expenses | 1,289,269 | 115,906 | 34,509 | 27,551 | |||||||||||||||
Net investment income | 10,095,260 | 352,617 | 107,387 | 81,066 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Swap contracts | (70,420,391 | ) | (1,450,995 | ) | 103,910 | (237,482 | ) | ||||||||||||
Net realized gain (loss) | (70,420,391 | ) | (1,450,995 | ) | 103,910 | (237,482 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Swap contracts | 23,537,273 | (2,938,128 | ) | (842,954 | ) | (730,511 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 23,537,273 | (2,938,128 | ) | (842,954 | ) | (730,511 | ) | ||||||||||||
Net realized and unrealized loss | (46,883,118 | ) | (4,389,123 | ) | (739,044 | ) | (967,993 | ) | |||||||||||
Net decrease in net assets resulting from operations | $ | (36,787,858 | ) | $ | (4,036,506 | ) | $ | (631,657 | ) | $ | (886,927 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily MSFT Bear 1X Shares | Direxion Daily TSLA Bear 1X Shares | Direxion Daily AAPL Bull 1.5X Shares | Direxion Daily AMZN Bull 1.5X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | — | $ | 5,789 | $ | — | |||||||||||
Interest income | 102,273 | 954,729 | 209,668 | 268,980 | |||||||||||||||
Total investment income | 102,273 | 954,729 | 215,457 | 268,980 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 17,635 | 154,734 | 43,782 | 56,139 | |||||||||||||||
Professional fees | 5,149 | 6,608 | 5,423 | 5,553 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,480 | |||||||||||||||
Interest expense | 1,828 | 43,716 | 9,222 | 5,804 | |||||||||||||||
Fund servicing fees | 1,373 | 8,147 | 2,655 | 3,261 | |||||||||||||||
Management service fees (Note 6) | 583 | 5,116 | 1,447 | 1,856 | |||||||||||||||
Reports to shareholders | 331 | 2,885 | 812 | 1,040 | |||||||||||||||
Trustees' fees and expenses | 61 | 500 | 143 | 179 | |||||||||||||||
Insurance fees | 53 | 463 | 130 | 167 | |||||||||||||||
Excise tax | — | 1,798 | 5 | 14 | |||||||||||||||
Other | 42 | 359 | 105 | 139 | |||||||||||||||
Total Expenses | 32,511 | 229,782 | 69,180 | 79,608 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 12,098 | — | 137 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (8,345 | ) | (369 | ) | (4,496 | ) | (2,811 | ) | |||||||||||
Net Expenses | 24,166 | 241,511 | 64,684 | 76,934 | |||||||||||||||
Net investment income | 78,107 | 713,218 | 150,773 | 192,046 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | — | (44,007 | ) | — | ||||||||||||||
In-kind redemptions | — | — | 9,222 | 102,932 | |||||||||||||||
Swap contracts | (594,277 | ) | (13,539,244 | ) | (894,445 | ) | 852,649 | ||||||||||||
Net realized gain (loss) | (594,277 | ) | (13,539,244 | ) | (929,230 | ) | 955,581 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | — | — | 436,388 | 460,590 | |||||||||||||||
Swap contracts | (1,069,399 | ) | 3,020,473 | 3,480,555 | 1,566,467 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,069,399 | ) | 3,020,473 | 3,916,943 | 2,027,057 | ||||||||||||||
Net realized and unrealized gain (loss) | (1,663,676 | ) | (10,518,771 | ) | 2,987,713 | 2,982,638 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,585,569 | ) | $ | (9,805,553 | ) | $ | 3,138,486 | $ | 3,174,684 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily GOOGL Bull 1.5X Shares | Direxion Daily MSFT Bull 1.5X Shares | Direxion Daily TSLA Bull 1.5X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 6,515 | $ | — | $ | 194,320 | |||||||||||
Interest income | 194,606 | 132,331 | 5,142,472 | 876,624 | |||||||||||||||
Total investment income | 194,606 | 138,846 | 5,142,472 | 1,070,944 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 39,603 | 27,851 | 1,043,141 | 244,746 | |||||||||||||||
Professional fees | 5,378 | 5,253 | 15,936 | 7,581 | |||||||||||||||
Interest expense | 5,354 | 3,938 | 291,968 | 50,434 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,977 | |||||||||||||||
Exchange listing fees | 2,480 | 2,480 | 2,480 | 2,697 | |||||||||||||||
Fund servicing fees | 2,445 | 1,863 | 51,711 | 12,633 | |||||||||||||||
Management service fees (Note 6) | 1,309 | 920 | 34,478 | 8,094 | |||||||||||||||
Reports to shareholders | 733 | 513 | 19,210 | 4,587 | |||||||||||||||
Trustees' fees and expenses | 126 | 88 | 3,254 | 832 | |||||||||||||||
Insurance fees | 117 | 82 | 3,080 | 735 | |||||||||||||||
Excise tax | 7 | 31 | — | 7,747 | |||||||||||||||
Licensing fees | — | — | — | 9,826 | |||||||||||||||
Other | 94 | 70 | 2,464 | 835 | |||||||||||||||
Total Expenses | 60,622 | 46,065 | 1,470,698 | 353,724 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 1 | — | 19,885 | 1 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (5,098 | ) | (6,818 | ) | — | (1 | ) | ||||||||||||
Net Expenses | 55,525 | 39,247 | 1,490,583 | 353,724 | |||||||||||||||
Net investment income | 139,081 | 99,599 | 3,651,889 | 717,220 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (38,785 | ) | (3,533 | ) | (12,128,828 | ) | (517,377 | ) | |||||||||||
In-kind redemptions | 75,543 | 36,732 | 7,967,895 | 873,228 | |||||||||||||||
Swap contracts | (727,326 | ) | 980,346 | 20,250,967 | (1,137,026 | ) | |||||||||||||
Net realized gain (loss) | (690,568 | ) | 1,013,545 | 16,090,034 | (781,175 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 322,076 | 516,548 | (6,691,738 | ) | 465,538 | ||||||||||||||
Swap contracts | 2,861,409 | 2,413,115 | (63,024,380 | ) | 16,735,143 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,183,485 | 2,929,663 | (69,716,118 | ) | 17,200,681 | ||||||||||||||
Net realized and unrealized gain (loss) | 2,492,917 | 3,943,208 | (53,626,084 | ) | 16,419,506 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 2,631,998 | $ | 4,042,807 | $ | (49,974,195 | ) | $ | 17,136,726 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily MSCI Brazil Bull 2X Shares | Direxion Daily MSCI India Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 604,462 | $ | 3,562,233 | $ | — | |||||||||||
(net of foreign withholding tax of $—, $195, $— and $—, respectively) | 3,885,642 | 175,063 | 1,542,653 | 652,226 | |||||||||||||||
Securities lending income | — | 55 | 161 | 8,594 | |||||||||||||||
Total investment income | 3,885,642 | 779,580 | 5,105,047 | 660,820 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 1,244,233 | 236,868 | 457,355 | 194,205 | |||||||||||||||
Interest expense | 477,767 | 15,019 | 151,794 | 13,702 | |||||||||||||||
Fund servicing fees | 62,242 | 17,965 | 23,259 | 10,163 | |||||||||||||||
Licensing fees | 49,770 | 28,424 | 39,788 | 10,358 | |||||||||||||||
Management service fees (Note 6) | 41,150 | 11,744 | 15,128 | 6,424 | |||||||||||||||
Reports to shareholders | 23,348 | 6,559 | 8,626 | 3,663 | |||||||||||||||
Professional fees | 18,301 | 8,708 | 9,888 | 7,052 | |||||||||||||||
Trustees' fees and expenses | 4,251 | 1,133 | 1,597 | 685 | |||||||||||||||
Insurance fees | 3,743 | 1,052 | 1,383 | 587 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Excise tax | — | 1,333 | — | — | |||||||||||||||
Other | 3,679 | 1,065 | 1,581 | 697 | |||||||||||||||
Total Expenses | 1,934,157 | 335,543 | 716,072 | 253,209 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (34,949 | ) | — | — | ||||||||||||||
Net Expenses | 1,934,157 | 300,594 | 716,072 | 253,209 | |||||||||||||||
Net investment income | 1,951,485 | 478,986 | 4,388,975 | 407,611 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (17,065,843 | ) | (468,769 | ) | — | (1,781,482 | ) | ||||||||||||
In-kind redemptions | 34,222,624 | 5,157,722 | 2,427,892 | 25,411 | |||||||||||||||
Swap contracts | 50,071,269 | 1,441,687 | (7,518,684 | ) | 399,230 | ||||||||||||||
Net realized gain (loss) | 67,228,050 | 6,130,640 | (5,090,792 | ) | (1,356,841 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 15,526,970 | 3,630,129 | (6,540,310 | ) | 888,151 | ||||||||||||||
Swap contracts | 43,594,921 | 6,050,314 | (14,101,859 | ) | (4,546,840 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 59,121,891 | 9,680,443 | (20,642,169 | ) | (3,658,689 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 126,349,941 | 15,811,083 | (25,732,961 | ) | (5,015,530 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 128,301,426 | $ | 16,290,069 | $ | (21,343,986 | ) | $ | (4,607,919 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily Cloud Computing Bull 2X Shares | Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 2,923 | $ | 1,040 | $ | 7,574,689 | $ | — | |||||||||||
Interest income | 26,674 | 12,568 | 2,114,012 | 900,267 | |||||||||||||||
Securities lending income | 1,440 | 13,853 | — | — | |||||||||||||||
Total investment income | 31,037 | 27,461 | 9,688,701 | 900,267 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 25,393 | 11,435 | 1,760,420 | 153,133 | |||||||||||||||
Licensing fees | 11,901 | 11,901 | 147,233 | 12,810 | |||||||||||||||
Professional fees | 5,232 | 5,081 | 23,981 | 6,620 | |||||||||||||||
Pricing fees | 2,975 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Interest expense | 2,810 | 1,227 | 852,468 | 22,529 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Fund servicing fees | 1,758 | 1,062 | 88,241 | 8,144 | |||||||||||||||
Management service fees (Note 6) | 840 | 378 | 58,235 | 5,066 | |||||||||||||||
Reports to shareholders | 478 | 214 | 33,287 | 2,906 | |||||||||||||||
Trustees' fees and expenses | 88 | 39 | 6,289 | 560 | |||||||||||||||
Insurance fees | 77 | 34 | 5,337 | 466 | |||||||||||||||
Excise tax | — | — | 11,426 | — | |||||||||||||||
Other | 112 | 28 | 5,368 | 422 | |||||||||||||||
Total Expenses | 54,361 | 37,072 | 2,997,958 | 218,329 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | — | 275 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (19,387 | ) | (21,359 | ) | — | (2,107 | ) | ||||||||||||
Net Expenses | 34,974 | 15,713 | 2,997,958 | 216,497 | |||||||||||||||
Net investment income (loss) | (3,937 | ) | 11,748 | 6,690,743 | 683,770 | ||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (1,169,732 | ) | (1,721,191 | ) | (9,629,998 | ) | — | ||||||||||||
In-kind redemptions | 135,423 | 147,468 | 39,716,876 | — | |||||||||||||||
Swap contracts | (690,001 | ) | (915,090 | ) | 82,416,538 | (10,274,373 | ) | ||||||||||||
Net realized gain (loss) | (1,724,310 | ) | (2,488,813 | ) | 112,503,416 | (10,274,373 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 933,437 | 717,385 | (59,678,340 | ) | — | ||||||||||||||
Swap contracts | 67,163 | (466,187 | ) | (120,317,496 | ) | 11,198,437 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 1,000,600 | 251,198 | (179,995,836 | ) | 11,198,437 | ||||||||||||||
Net realized and unrealized gain (loss) | (723,710 | ) | (2,237,615 | ) | (67,492,420 | ) | 924,064 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (727,647 | ) | $ | (2,225,867 | ) | $ | (60,801,677 | ) | $ | 1,607,834 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily Global Clean Energy Bull 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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 7,295 | $ | 3,880,840 | $ | — | $ | 574,354 | |||||||||||
Interest income | 25,161 | 5,419,244 | 2,307,118 | 3,835,931 | |||||||||||||||
Securities lending income | 200 | 776 | — | — | |||||||||||||||
Total investment income | 32,656 | 9,300,860 | 2,307,118 | 4,410,285 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 18,125 | 1,855,371 | 377,671 | 1,094,060 | |||||||||||||||
Licensing fees | 12,397 | 44,518 | 5,112 | 1,240 | |||||||||||||||
Professional fees | 5,155 | 24,868 | 9,004 | 16,700 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Fund servicing fees | 1,399 | 92,608 | 19,224 | 54,812 | |||||||||||||||
Interest expense | 853 | 554,692 | 195,855 | 446,432 | |||||||||||||||
Management service fees (Note 6) | 599 | 61,363 | 12,490 | 36,184 | |||||||||||||||
Reports to shareholders | 342 | 34,841 | 7,077 | 20,546 | |||||||||||||||
Trustees' fees and expenses | 64 | 6,401 | 1,293 | 3,770 | |||||||||||||||
Insurance fees | 55 | 5,586 | 1,135 | 3,294 | |||||||||||||||
Other | 61 | 6,394 | 1,042 | 3,846 | |||||||||||||||
Total Expenses | 44,723 | 2,692,315 | 635,576 | 1,686,557 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (20,912 | ) | — | — | — | ||||||||||||||
Net Expenses | 23,811 | 2,692,315 | 635,576 | 1,686,557 | |||||||||||||||
Net investment income | 8,845 | 6,608,545 | 1,671,542 | 2,723,728 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (137,565 | ) | (17,078,190 | ) | — | (7,608,451 | ) | ||||||||||||
In-kind redemptions | — | 45,744,932 | — | 25,738,448 | |||||||||||||||
Swap contracts | (87,998 | ) | 55,315,960 | (37,359,186 | ) | 34,415,091 | |||||||||||||
Net realized gain (loss) | (225,563 | ) | 83,982,702 | (37,359,186 | ) | 52,545,088 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 15,586 | 47,102,562 | — | 13,067,635 | |||||||||||||||
Swap contracts | (190,692 | ) | 168,199,991 | (23,643,055 | ) | 84,728,995 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (175,106 | ) | 215,302,553 | (23,643,055 | ) | 97,796,630 | |||||||||||||
Net realized and unrealized gain (loss) | (400,669 | ) | 299,285,255 | (61,002,241 | ) | 150,341,718 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (391,824 | ) | $ | 305,893,800 | $ | (59,330,699 | ) | $ | 153,065,446 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily Junior Gold Miners Index Bear 2X Shares | Direxion Daily NYSE FANG+ Bull 2X Shares | Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | — | $ | 9,340 | $ | — | $ | 6,212,834 | |||||||||||
Interest income | 2,097,723 | 90,304 | 173,447 | 6,160,280 | |||||||||||||||
Securities lending income | — | 4,928 | 2 | 42,773 | |||||||||||||||
Total investment income | 2,097,723 | 104,572 | 173,449 | 12,415,887 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 343,474 | 42,221 | 58,967 | 2,523,640 | |||||||||||||||
Interest expense | 117,874 | 8,269 | 18,228 | 1,981,869 | |||||||||||||||
Fund servicing fees | 17,600 | 2,592 | 3,413 | 126,201 | |||||||||||||||
Management service fees (Note 6) | 11,362 | 1,396 | 1,950 | 83,480 | |||||||||||||||
Professional fees | 8,665 | 5,413 | 5,588 | 32,196 | |||||||||||||||
Reports to shareholders | 6,484 | 793 | 1,100 | 47,665 | |||||||||||||||
Pricing fees | 2,976 | 2,778 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Licensing fees | 1,240 | 4,959 | 5,975 | 269,188 | |||||||||||||||
Trustees' fees and expenses | 1,211 | 148 | 198 | 8,974 | |||||||||||||||
Insurance fees | 1,039 | 127 | 176 | 7,642 | |||||||||||||||
Other | 960 | 120 | 246 | 7,801 | |||||||||||||||
Total Expenses | 515,582 | 71,513 | 101,514 | 5,094,329 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (9,764 | ) | (8,594 | ) | — | |||||||||||||
Net Expenses | 515,582 | 61,749 | 92,920 | 5,094,329 | |||||||||||||||
Net investment income | 1,582,141 | 42,823 | 80,529 | 7,321,558 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | (911,371 | ) | — | (31,822,460 | ) | |||||||||||||
In-kind redemptions | — | 637,222 | (12,678 | ) | 33,548,469 | ||||||||||||||
Swap contracts | (53,539,669 | ) | (780,045 | ) | (654,605 | ) | 134,120,443 | ||||||||||||
Net realized gain (loss) | (53,539,669 | ) | (1,054,194 | ) | (667,283 | ) | 135,846,452 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | — | 540,204 | 1,674,801 | (63,228,747 | ) | ||||||||||||||
Swap contracts | (12,436,023 | ) | 1,641,564 | 4,681,987 | (327,531,863 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (12,436,023 | ) | 2,181,768 | 6,356,788 | (390,760,610 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (65,975,692 | ) | 1,127,574 | 5,689,505 | (254,914,158 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (64,393,551 | ) | $ | 1,170,397 | $ | 5,770,034 | $ | (247,592,600 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | Direxion Daily Travel & Vacation Bull 2X Shares | ||||||||||
Investment Income: | |||||||||||
Dividend income | $ | — | $ | 68,500 | |||||||
Interest income | 1,925,055 | 154,505 | |||||||||
Securities lending income | — | 186 | |||||||||
Total investment income | 1,925,055 | 223,191 | |||||||||
Expenses: | |||||||||||
Investment advisory fees (Note 6) | 331,830 | 79,666 | |||||||||
Interest expense | 97,666 | 27,207 | |||||||||
Licensing fees | 35,395 | 6,374 | |||||||||
Fund servicing fees | 17,068 | 4,459 | |||||||||
Management service fees (Note 6) | 10,978 | 2,635 | |||||||||
Professional fees | 8,558 | 5,817 | |||||||||
Reports to shareholders | 6,297 | 1,501 | |||||||||
Pricing fees | 2,976 | 2,976 | |||||||||
Exchange listing fees | 2,697 | 2,697 | |||||||||
Trustees' fees and expenses | 1,202 | 281 | |||||||||
Insurance fees | 1,010 | 241 | |||||||||
Other | 990 | 254 | |||||||||
Total Expenses | 516,667 | 134,108 | |||||||||
Recoupment of expenses to Adviser (Note 6) | 1,544 | — | |||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (228 | ) | (5,991 | ) | |||||||
Net Expenses | 517,983 | 128,117 | |||||||||
Net investment income | 1,407,072 | 95,074 | |||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||
Net realized gain (loss) on: Investment securities | — | (328,465 | ) | ||||||||
In-kind redemptions | — | (828,618 | ) | ||||||||
Swap contracts | (7,466,556 | ) | 2,517,574 | ||||||||
Net realized gain (loss) | (7,466,556 | ) | 1,360,491 | ||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | — | 2,840,978 | |||||||||
Swap contracts | 30,830,096 | (518,772 | ) | ||||||||
Change in net unrealized appreciation | 30,830,096 | 2,322,206 | |||||||||
Net realized and unrealized gain | 23,363,540 | 3,682,697 | |||||||||
Net increase in net assets resulting from operations | $ | 24,770,612 | $ | 3,777,771 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bear 1X Shares | Direxion Daily AAPL Bear 1X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period August 9, 20221 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 10,095,260 | $ | 2,699,129 | $ | 352,617 | $ | 26,791 | |||||||||||
Net realized gain (loss) | (70,420,391 | ) | 51,953,665 | (1,450,995 | ) | (315,323 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 23,537,273 | (27,471,031 | ) | (2,938,128 | ) | 384,927 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (36,787,858 | ) | 27,181,763 | (4,036,506 | ) | 96,395 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (7,928,283 | ) | (741,705 | ) | (250,110 | ) | (7,923 | ) | |||||||||||
Total distributions | (7,928,283 | ) | (741,705 | ) | (250,110 | ) | (7,923 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,131,245,432 | 1,154,899,972 | 29,073,585 | 14,381,898 | |||||||||||||||
Cost of shares redeemed | (1,256,256,246 | ) | (691,207,042 | ) | (10,825,517 | ) | (1,365,767 | ) | |||||||||||
Transaction fees (Note 4) | — | 143 | 3,247 | 410 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (125,010,814 | ) | 463,693,073 | 18,251,315 | 13,016,541 | ||||||||||||||
Total increase (decrease) in net assets | (169,726,955 | ) | 490,133,131 | 13,964,699 | 13,105,013 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 613,802,410 | 123,669,279 | 13,105,013 | — | |||||||||||||||
End of year/period | $ | 444,075,455 | $ | 613,802,410 | $ | 27,069,712 | $ | 13,105,013 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 37,199,983 | 8,449,983 | 500,001 | — | |||||||||||||||
Shares sold | 70,450,000 | 71,350,000 | 1,075,000 | 550,001 | |||||||||||||||
Shares repurchased | (78,700,000 | ) | (42,600,000 | ) | (400,000 | ) | (50,000 | ) | |||||||||||
Shares outstanding, end of year/period | 28,949,983 | 37,199,983 | 1,175,001 | 500,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
78
Statements of Changes in Net Assets
Direxion Daily AMZN Bear 1X Shares | Direxion Daily GOOGL Bear 1X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | For the Period September 7, 20221 through October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period September 7, 20221 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 107,387 | $ | 7,957 | $ | 81,066 | $ | 7,898 | |||||||||||
Net realized gain (loss) | 103,910 | 132,589 | (237,482 | ) | (49,876 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (842,954 | ) | 473,443 | (730,511 | ) | 362,792 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (631,657 | ) | 613,989 | (886,927 | ) | 320,814 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (255,840 | ) | (1,055 | ) | (58,980 | ) | (1,002 | ) | |||||||||||
Total distributions | (255,840 | ) | (1,055 | ) | (58,980 | ) | (1,002 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 11,071,461 | 3,119,793 | 3,942,584 | 3,829,950 | |||||||||||||||
Cost of shares redeemed | (4,645,674 | ) | — | (2,509,123 | ) | — | |||||||||||||
Transaction fees (Note 4) | 1,394 | — | 753 | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | 6,427,181 | 3,119,793 | 1,434,214 | 3,829,950 | |||||||||||||||
Total increase in net assets | 5,539,684 | 3,732,727 | 488,307 | 4,149,762 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,732,727 | — | 4,149,762 | — | |||||||||||||||
End of year/period | $ | 9,272,411 | $ | 3,732,727 | $ | 4,638,069 | $ | 4,149,762 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 125,001 | — | 150,001 | — | |||||||||||||||
Shares sold | 375,000 | 125,001 | 150,000 | 150,001 | |||||||||||||||
Shares repurchased | (150,000 | ) | — | (100,000 | ) | — | |||||||||||||
Shares outstanding, end of year/period | 350,001 | 125,001 | 200,001 | 150,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
79
Statements of Changes in Net Assets
Direxion Daily MSFT Bear 1X Shares | Direxion Daily TSLA Bear 1X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | For the Period September 7, 20221 through October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period August 9, 20221 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 78,107 | $ | 8,660 | $ | 713,218 | $ | 25,940 | |||||||||||
Net realized gain (loss) | (594,277 | ) | (74,486 | ) | (13,539,244 | ) | 1,099,836 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,069,399 | ) | 255,659 | 3,020,473 | 1,192,009 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,585,569 | ) | 189,833 | (9,805,553 | ) | 2,317,785 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (52,827 | ) | (1,011 | ) | (1,418,378 | ) | (6,449 | ) | |||||||||||
Total distributions | (52,827 | ) | (1,011 | ) | (1,418,378 | ) | (6,449 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 11,524,975 | 3,817,356 | 157,844,092 | 15,844,577 | |||||||||||||||
Cost of shares redeemed | (2,272,300 | ) | — | (116,692,112 | ) | (6,086,279 | ) | ||||||||||||
Transaction fees (Note 4) | 682 | — | 35,008 | 1,826 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 9,253,357 | 3,817,356 | 41,186,988 | 9,760,124 | |||||||||||||||
Total increase in net assets | 7,614,961 | 4,006,178 | 29,963,057 | 12,071,460 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 4,006,178 | — | 12,071,460 | — | |||||||||||||||
End of year/period | $ | 11,621,139 | $ | 4,006,178 | $ | 42,034,517 | $ | 12,071,460 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 150,001 | — | 400,001 | — | |||||||||||||||
Shares sold | 550,000 | 150,001 | 4,375,000 | 600,001 | |||||||||||||||
Shares repurchased | (100,000 | ) | — | (3,475,000 | ) | (200,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 600,001 | 150,001 | 1,300,001 | 400,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
80
Statements of Changes in Net Assets
Direxion Daily AAPL Bull 1.5X Shares | Direxion Daily AMZN Bull 1.5X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | For the Period August 9, 20221 through October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period September 7, 20221 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 150,773 | $ | 15,983 | $ | 192,046 | $ | 6,758 | |||||||||||
Net realized gain (loss) | (929,230 | ) | (754,618 | ) | 955,581 | (89,769 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 3,916,943 | (184,797 | ) | 2,027,057 | (970,507 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,138,486 | (923,432 | ) | 3,174,684 | (1,053,518 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (100,816 | ) | (3,904 | ) | (129,878 | ) | (726 | ) | |||||||||||
Total distributions | (100,816 | ) | (3,904 | ) | (129,878 | ) | (726 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 11,811,217 | 10,607,502 | 20,015,473 | 7,316,587 | |||||||||||||||
Cost of shares redeemed | (2,592,388 | ) | (2,572,989 | ) | (8,468,451 | ) | — | ||||||||||||
Transaction fees (Note 4) | 678 | 665 | 2,144 | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | 9,219,507 | 8,035,178 | 11,549,166 | 7,316,587 | |||||||||||||||
Total increase in net assets | 12,257,177 | 7,107,842 | 14,593,972 | 6,262,343 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 7,107,842 | — | 6,262,343 | — | |||||||||||||||
End of year/period | $ | 19,365,019 | $ | 7,107,842 | $ | 20,856,315 | $ | 6,262,343 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 325,001 | — | 350,001 | — | |||||||||||||||
Shares sold | 600,000 | 450,001 | 1,375,000 | 350,001 | |||||||||||||||
Shares repurchased | (125,000 | ) | (125,000 | ) | (525,000 | ) | — | ||||||||||||
Shares outstanding, end of year/period | 800,001 | 325,001 | 1,200,001 | 350,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
81
Statements of Changes in Net Assets
Direxion Daily GOOGL Bull 1.5X Shares | Direxion Daily MSFT Bull 1.5X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | For the Period September 7, 20221 through October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period September 7, 20221 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 139,081 | $ | 6,978 | $ | 99,599 | $ | 5,907 | |||||||||||
Net realized gain (loss) | (690,568 | ) | (74,204 | ) | 1,013,545 | (74,937 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 3,183,485 | (605,820 | ) | 2,929,663 | (351,947 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,631,998 | (673,046 | ) | 4,042,807 | (420,977 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (86,946 | ) | (759 | ) | (57,522 | ) | (774 | ) | |||||||||||
Total distributions | (86,946 | ) | (759 | ) | (57,522 | ) | (774 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 13,525,166 | 5,267,270 | 13,971,956 | 3,652,329 | |||||||||||||||
Cost of shares redeemed | (3,854,296 | ) | — | (2,464,009 | ) | — | |||||||||||||
Transaction fees (Note 4) | 830 | — | 551 | — | |||||||||||||||
Net increase in net assets resulting from capital transactions | 9,671,700 | 5,267,270 | 11,508,498 | 3,652,329 | |||||||||||||||
Total increase in net assets | 12,216,752 | 4,593,465 | 15,493,783 | 3,230,578 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 4,593,465 | — | 3,230,578 | — | |||||||||||||||
End of year/period | $ | 16,810,217 | $ | 4,593,465 | $ | 18,724,361 | $ | 3,230,578 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 225,001 | — | 150,001 | — | |||||||||||||||
Shares sold | 675,000 | 225,001 | 550,000 | 150,001 | |||||||||||||||
Shares repurchased | (175,000 | ) | — | (100,000 | ) | — | |||||||||||||
Shares outstanding, end of year/period | 725,001 | 225,001 | 600,001 | 150,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
82
Statements of Changes in Net Assets
Direxion Daily TSLA Bull 1.5X Shares | Direxion Daily CSI 300 China A Share Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | For the Period August 9, 20221 through October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 3,651,889 | $ | 181,124 | $ | 717,220 | $ | 351,792 | |||||||||||
Net realized gain (loss) | 16,090,034 | (3,243,389 | ) | (781,175 | ) | (37,806,811 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (69,716,118 | ) | (19,964,925 | ) | 17,200,681 | (22,294,625 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (49,974,195 | ) | (23,027,190 | ) | 17,136,726 | (59,749,644 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (2,744,376 | ) | (30,807 | ) | (598,492 | ) | (2,058,066 | ) | |||||||||||
Total distributions | (2,744,376 | ) | (30,807 | ) | (598,492 | ) | (2,058,066 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 579,794,467 | 134,559,639 | 23,269,000 | 15,465,039 | |||||||||||||||
Cost of shares redeemed | (196,278,501 | ) | (11,218,388 | ) | (8,434,437 | ) | (32,460,891 | ) | |||||||||||
Transaction fees (Note 4) | 89,861 | 2,301 | 1,802 | 3,948 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 383,605,827 | 123,343,552 | 14,836,365 | (16,991,904 | ) | ||||||||||||||
Total increase (decrease) in net assets | 330,887,256 | 100,285,555 | 31,374,599 | (78,799,614 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 100,285,555 | — | 39,119,229 | 117,918,843 | |||||||||||||||
End of year/period | $ | 431,172,811 | $ | 100,285,555 | $ | 70,493,828 | $ | 39,119,229 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 6,025,001 | — | 2,600,000 | 3,000,000 | |||||||||||||||
Shares sold | 62,125,000 | 6,550,001 | 1,100,000 | 650,000 | |||||||||||||||
Shares repurchased | (19,650,000 | ) | (525,000 | ) | (400,000 | ) | (1,050,000 | ) | |||||||||||
Shares outstanding, end of year/period | 48,500,001 | 6,025,001 | 3,300,000 | 2,600,000 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
83
Statements of Changes in Net Assets
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily S&P 500® Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,951,485 | $ | (1,363,764 | ) | $ | 478,986 | $ | 422,645 | ||||||||||
Net realized gain (loss) | 67,228,050 | (491,823,998 | ) | 6,130,640 | (12,660,489 | ) | |||||||||||||
Capital gain distributions from regulated investment companies | — | 12,059,110 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 59,121,891 | (68,911,801 | ) | 9,680,443 | (8,762,638 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 128,301,426 | (550,040,453 | ) | 16,290,069 | (21,000,482 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (444,614 | ) | — | (395,304 | ) | (1,711,768 | ) | ||||||||||||
Total distributions | (444,614 | ) | — | (395,304 | ) | (1,711,768 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 142,138,783 | 654,966,818 | 219,923,828 | 19,723,377 | |||||||||||||||
Cost of shares redeemed | (140,301,397 | ) | (257,428,128 | ) | (49,139,750 | ) | (6,521,292 | ) | |||||||||||
Transaction fees (Note 4) | 28,060 | 42,053 | 11,378 | 1,640 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 1,865,446 | 397,580,743 | 170,795,456 | 13,203,725 | |||||||||||||||
Total increase (decrease) in net assets | 129,722,258 | (152,459,710 | ) | 186,690,221 | (9,508,525 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 161,973,626 | 314,433,336 | 50,139,190 | 59,647,715 | |||||||||||||||
End of year/period | $ | 291,695,884 | $ | 161,973,626 | $ | 236,829,411 | $ | 50,139,190 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 7,274,087 | 1,620,000 | 683,236 | 533,236 | |||||||||||||||
Shares sold | 2,850,000 | 9,980,000 | 2,850,000 | 250,000 | |||||||||||||||
Shares repurchased | (2,900,000 | ) | (4,325,913 | ) | (650,000 | ) | (100,000 | ) | |||||||||||
Shares outstanding, end of year/period | 7,224,087 | 7,274,087 | 2,883,236 | 683,236 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
84
Statements of Changes in Net Assets
Direxion Daily MSCI Brazil Bull 2X Shares | Direxion Daily MSCI India Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 4,388,975 | $ | 11,720,064 | $ | 407,611 | $ | 2,013,129 | |||||||||||
Net realized gain (loss) | (5,090,792 | ) | 5,491,430 | (1,356,841 | ) | 5,113,869 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (20,642,169 | ) | 71,184,704 | (3,658,689 | ) | (25,073,960 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (21,343,986 | ) | 88,396,198 | (4,607,919 | ) | (17,946,962 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (4,133,541 | ) | (11,641,388 | ) | (281,194 | ) | (2,174,613 | ) | |||||||||||
Total distributions | (4,133,541 | ) | (11,641,388 | ) | (281,194 | ) | (2,174,613 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 85,593,188 | 123,236,413 | 10,940,741 | 8,635,613 | |||||||||||||||
Cost of shares redeemed | (78,272,035 | ) | (246,578,721 | ) | (2,388,789 | ) | (29,004,628 | ) | |||||||||||
Transaction fees (Note 4) | 15,655 | 49,316 | 478 | 5,801 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 7,336,808 | (123,292,992 | ) | 8,552,430 | (20,363,214 | ) | |||||||||||||
Total increase (decrease) in net assets | (18,140,719 | ) | (46,538,182 | ) | 3,663,317 | (40,484,789 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 138,953,740 | 185,491,922 | 52,360,830 | 92,845,619 | |||||||||||||||
End of year/period | $ | 120,813,021 | $ | 138,953,740 | $ | 56,024,147 | $ | 52,360,830 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,608,631 | 2,758,631 | 1,099,686 | 1,499,686 | |||||||||||||||
Shares sold | 1,300,000 | 1,650,000 | 250,000 | 150,000 | |||||||||||||||
Shares repurchased | (1,100,000 | ) | (2,800,000 | ) | (50,000 | ) | (550,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,808,631 | 1,608,631 | 1,299,686 | 1,099,686 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
85
Statements of Changes in Net Assets
Direxion Daily Cloud Computing Bull 2X Shares | Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares2 | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | For the Period August 11, 20221 through October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (3,937 | ) | $ | (65,290 | ) | $ | 11,748 | $ | (1,023 | ) | ||||||||
Net realized loss | (1,724,310 | ) | (13,676,597 | ) | (2,488,813 | ) | (2,827,026 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 1,000,600 | (7,337,162 | ) | 251,198 | (1,005,732 | ) | |||||||||||||
Net (decrease) in net assets resulting from operations | (727,647 | ) | (21,079,049 | ) | (2,225,867 | ) | (3,833,781 | ) | |||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | — | (916,786 | ) | (10,640 | ) | — | |||||||||||||
Total distributions | — | (916,786 | ) | (10,640 | ) | — | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,269,162 | 9,649,094 | 5,047,482 | 7,493,147 | |||||||||||||||
Cost of shares redeemed | (2,261,449 | ) | (7,197,093 | ) | (1,332,483 | ) | (804,121 | ) | |||||||||||
Transaction fees (Note 4) | 573 | 1,822 | 4,285 | 161 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (991,714 | ) | 2,453,823 | 3,719,284 | 6,689,187 | ||||||||||||||
Total increase (decrease) in net assets | (1,719,361 | ) | (19,542,012 | ) | 1,482,777 | 2,855,406 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 7,759,127 | 27,301,139 | 2,855,406 | — | |||||||||||||||
End of year/period | $ | 6,039,766 | $ | 7,759,127 | $ | 4,338,183 | $ | 2,855,406 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,100,001 | 850,001 | 300,001 | — | |||||||||||||||
Shares sold | 200,000 | 725,000 | 750,000 | 350,001 | |||||||||||||||
Shares repurchased | (350,000 | ) | (475,000 | ) | (150,000 | ) | (50,000 | ) | |||||||||||
Shares outstanding, end of year/period | 950,001 | 1,100,001 | 900,001 | 300,001 |
1 Commencement of Operations.
2 Effective June 5, 2023, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
86
Statements of Changes in Net Assets
Direxion Daily Energy Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 6,690,743 | $ | 15,518,837 | $ | 683,770 | $ | 89,568 | |||||||||||
Net realized gain (loss) | 112,503,416 | 447,620,168 | (10,274,373 | ) | (36,887,314 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (179,995,836 | ) | 42,283,430 | 11,198,437 | (2,135,712 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (60,801,677 | ) | 505,422,435 | 1,607,834 | (38,933,458 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (6,034,102 | ) | (15,441,018 | ) | (556,398 | ) | — | ||||||||||||
Total distributions | (6,034,102 | ) | (15,441,018 | ) | (556,398 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 177,552,532 | 751,431,269 | 68,455,530 | 174,088,336 | |||||||||||||||
Cost of shares redeemed | (250,088,921 | ) | (1,283,479,408 | ) | (76,768,461 | ) | (134,787,990 | ) | |||||||||||
Transaction fees (Note 4) | 63,107 | 339,804 | 23,031 | 40,431 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (72,473,282 | ) | (531,708,335 | ) | (8,289,900 | ) | 39,340,777 | ||||||||||||
Total increase (decrease) in net assets | (139,309,061 | ) | (41,726,918 | ) | (7,238,464 | ) | 407,319 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 558,028,143 | 599,755,061 | 39,512,592 | 39,105,273 | |||||||||||||||
End of year/period | $ | 418,719,082 | $ | 558,028,143 | $ | 32,274,128 | $ | 39,512,592 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 7,863,531 | 18,963,531 | 1,365,264 | 355,706 | |||||||||||||||
Shares sold | 2,850,000 | 15,400,000 | 2,300,000 | 3,705,000 | |||||||||||||||
Shares repurchased | (3,850,000 | ) | (26,500,000 | ) | (2,550,000 | ) | (2,695,442 | ) | |||||||||||
Shares outstanding, end of year/period | 6,863,531 | 7,863,531 | 1,115,264 | 1,365,264 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
87
Statements of Changes in Net Assets
Direxion Daily Global Clean Energy Bull 2X Shares | Direxion Daily Gold Miners Index Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 8,845 | $ | 17,429 | $ | 6,608,545 | $ | 3,268,537 | |||||||||||
Net realized gain (loss) | (225,563 | ) | (4,638,471 | ) | 83,982,702 | (286,711,631 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (175,106 | ) | (2,341,235 | ) | 215,302,553 | 59,878,147 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (391,824 | ) | (6,962,277 | ) | 305,893,800 | (223,564,947 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,998 | ) | (23,227 | ) | (4,098,467 | ) | — | ||||||||||||
Return of capital | — | (4,294 | ) | — | — | ||||||||||||||
Total distributions | (1,998 | ) | (27,521 | ) | (4,098,467 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 827,548 | 10,289,918 | 196,841,332 | 460,894,417 | |||||||||||||||
Cost of shares redeemed | (761,344 | ) | (6,406,383 | ) | (329,478,663 | ) | (612,430,469 | ) | |||||||||||
Transaction fees (Note 4) | 228 | 1,584 | 74,940 | 145,063 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 66,432 | 3,885,119 | (132,562,391 | ) | (151,390,989 | ) | |||||||||||||
Total increase (decrease) in net assets | (327,390 | ) | (3,104,679 | ) | 169,232,942 | (374,955,936 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 4,424,437 | 7,529,116 | 375,908,143 | 750,864,079 | |||||||||||||||
End of year/period | $ | 4,097,047 | $ | 4,424,437 | $ | 545,141,085 | $ | 375,908,143 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 300,001 | 250,001 | 15,051,908 | 15,301,908 | |||||||||||||||
Shares sold | 50,000 | 400,000 | 5,700,000 | 12,650,000 | |||||||||||||||
Shares repurchased | (50,000 | ) | (350,000 | ) | (8,550,000 | ) | (12,900,000 | ) | |||||||||||
Shares outstanding, end of year/period | 300,001 | 300,001 | 12,201,908 | 15,051,908 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
88
Statements of Changes in Net Assets
Direxion Daily Gold Miners Index Bear 2X Shares | Direxion Daily Junior Gold Miners Index Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,671,542 | $ | (113,247 | ) | $ | 2,723,728 | $ | 2,023,874 | ||||||||||
Net realized gain (loss) | (37,359,186 | ) | 23,187,657 | 52,545,088 | (260,332,073 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (23,643,055 | ) | 6,708,766 | 97,796,630 | 28,870,355 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (59,330,699 | ) | 29,783,176 | 153,065,446 | (229,437,844 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,179,923 | ) | — | (1,462,743 | ) | — | |||||||||||||
Total distributions | (1,179,923 | ) | — | (1,462,743 | ) | — | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 331,863,748 | 330,933,462 | 134,481,757 | 361,559,015 | |||||||||||||||
Cost of shares redeemed | (221,839,595 | ) | (338,144,875 | ) | (208,182,509 | ) | (421,336,708 | ) | |||||||||||
Transaction fees (Note 4) | 66,552 | 101,443 | 44,804 | 91,182 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 110,090,705 | (7,109,970 | ) | (73,655,948 | ) | (59,686,511 | ) | ||||||||||||
Total increase (decrease) in net assets | 49,580,083 | 22,673,206 | 77,946,755 | (289,124,355 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 86,749,253 | 64,076,047 | 226,685,522 | 515,809,877 | |||||||||||||||
End of year/period | $ | 136,329,336 | $ | 86,749,253 | $ | 304,632,277 | $ | 226,685,522 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 3,660,171 | 3,110,171 | 8,743,351 | 7,693,351 | |||||||||||||||
Shares sold | 25,550,000 | 18,450,000 | 3,900,000 | 8,800,000 | |||||||||||||||
Shares repurchased | (15,500,000 | ) | (17,900,000 | ) | (5,400,000 | ) | (7,750,000 | ) | |||||||||||
Shares outstanding, end of year/period | 13,710,171 | 3,660,171 | 7,243,351 | 8,743,351 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
89
Statements of Changes in Net Assets
Direxion Daily Junior Gold Miners Index Bear 2X Shares | Direxion Daily NYSE FANG+ Bull 2X Shares1 | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,582,141 | $ | (41,173 | ) | $ | 42,823 | $ | (44,987 | ) | |||||||||
Net realized gain (loss) | (53,539,669 | ) | 42,186,314 | (1,054,194 | ) | (15,745,051 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (12,436,023 | ) | 10,279,173 | 2,181,768 | (730,276 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (64,393,551 | ) | 52,424,314 | 1,170,397 | (16,520,314 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,197,081 | ) | — | (21,162 | ) | (408,960 | ) | ||||||||||||
Return of capital | — | — | — | (4,293 | ) | ||||||||||||||
Total distributions | (1,197,081 | ) | — | (21,162 | ) | (413,253 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 197,252,372 | 319,290,732 | 2,099,998 | 30,327,495 | |||||||||||||||
Cost of shares redeemed | (140,908,969 | ) | (333,869,034 | ) | (4,550,991 | ) | (8,168,154 | ) | |||||||||||
Transaction fees (Note 4) | 42,272 | 100,161 | 924 | 1,778 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 56,385,675 | (14,478,141 | ) | (2,450,069 | ) | 22,161,119 | |||||||||||||
Total increase (decrease) in net assets | (9,204,957 | ) | 37,946,173 | (1,300,834 | ) | 5,227,552 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 113,620,973 | 75,674,800 | 12,640,110 | 7,412,558 | |||||||||||||||
End of year/period | $ | 104,416,016 | $ | 113,620,973 | $ | 11,339,276 | $ | 12,640,110 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 8,432,449 | 6,882,449 | 290,000 | 25,000 | |||||||||||||||
Shares sold | 27,350,000 | 29,150,000 | 55,000 | 375,000 | |||||||||||||||
Shares repurchased | (17,900,000 | ) | (27,600,000 | ) | (115,148 | ) | (110,000 | ) | |||||||||||
Shares outstanding, end of year/period | 17,882,449 | 8,432,449 | 229,852 | 290,000 |
1 Effective February 13, 2023, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
90
Statements of Changes in Net Assets
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 80,529 | $ | (121,520 | ) | $ | 7,321,558 | $ | 4,696,504 | ||||||||||
Net realized gain (loss) | (667,283 | ) | (17,234,969 | ) | 135,846,452 | 674,709,212 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 6,356,788 | (17,469,833 | ) | (390,760,610 | ) | (171,000,449 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,770,034 | (34,826,322 | ) | (247,592,600 | ) | 508,405,267 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (7,978 | ) | (905,597 | ) | (6,002,733 | ) | (3,198,438 | ) | |||||||||||
Total distributions | (7,978 | ) | (905,597 | ) | (6,002,733 | ) | (3,198,438 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 4,691,282 | 771,899 | 364,064,158 | 788,277,104 | |||||||||||||||
Cost of shares redeemed | (603,599 | ) | — | (297,112,420 | ) | (1,384,481,531 | ) | ||||||||||||
Transaction fees (Note 4) | 121 | — | 65,394 | 325,293 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 4,087,804 | 771,899 | 67,017,132 | (595,879,134 | ) | ||||||||||||||
Total increase (decrease) in net assets | 9,849,860 | (34,960,020 | ) | (186,578,201 | ) | (90,672,305 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 11,042,961 | 46,002,981 | 800,617,757 | 891,290,062 | |||||||||||||||
End of year/period | $ | 20,892,821 | $ | 11,042,961 | $ | 614,039,556 | $ | 800,617,757 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 973,646 | 923,646 | 4,328,422 | 8,078,422 | |||||||||||||||
Shares sold | 300,000 | 50,000 | 2,750,000 | 6,250,000 | |||||||||||||||
Shares repurchased | (50,000 | ) | — | (2,000,000 | ) | (10,000,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 1,223,646 | 973,646 | 5,078,422 | 4,328,422 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
91
Statements of Changes in Net Assets
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | Direxion Daily Travel & Vacation Bull 2X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,407,072 | $ | 90,609 | $ | 95,074 | $ | (71,662 | ) | ||||||||||
Net realized gain (loss) | (7,466,556 | ) | (111,719,648 | ) | 1,360,491 | (22,069,084 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 30,830,096 | 15,933,549 | 2,322,206 | (3,473,918 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 24,770,612 | (95,695,490 | ) | 3,777,771 | (25,614,664 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,163,562 | ) | — | — | — | ||||||||||||||
Total distributions | (1,163,562 | ) | — | — | — | ||||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 134,094,589 | 596,239,590 | 1,041,266 | 80,233,471 | |||||||||||||||
Cost of shares redeemed | (192,122,082 | ) | (491,434,316 | ) | (10,108,195 | ) | (43,250,498 | ) | |||||||||||
Transaction fees (Note 4) | 57,636 | 147,419 | 2,076 | 9,056 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (57,969,857 | ) | 104,952,693 | (9,064,853 | ) | 36,992,029 | |||||||||||||
Total increase (decrease) in net assets | (34,362,807 | ) | 9,257,203 | (5,287,082 | ) | 11,377,365 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 102,746,944 | 93,489,741 | 23,824,160 | 12,446,795 | |||||||||||||||
End of year/period | $ | 68,384,137 | $ | 102,746,944 | $ | 18,537,078 | $ | 23,824,160 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 8,257,895 | 1,924,620 | 2,300,001 | 600,001 | |||||||||||||||
Shares sold | 10,100,000 | 26,980,000 | 100,000 | 4,800,000 | |||||||||||||||
Shares repurchased | (13,650,000 | ) | (20,646,725 | ) | (900,000 | ) | (3,100,000 | ) | |||||||||||
Shares outstanding, end of year/period | 4,707,895 | 8,257,895 | 1,500,001 | 2,300,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
92
Financial Highlights
April 30, 2023
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1 | Net Investment Income (Loss)1,2 | Net Realized and Unrealized Gain (Loss) on Investments3 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return4 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses6 | Total Expenses | Net Investment Income (Loss) after Expense Reimbursement | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Portfolio Turnover Rate7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 16.50 | $ | 0.30 | $ | 0.30 | $ | (1.23 | ) | $ | (0.93 | ) | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | 15.34 | -5.73 | % | $ | 444,075 | 0.49 | % | 0.54 | % | 3.79 | % | 0.45 | % | 0.50 | % | 3.83 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 14.64 | 0.13 | 0.14 | 1.76 | 1.89 | (0.03 | ) | — | — | (0.03 | ) | 16.50 | 12.88 | % | 613,802 | 0.49 | % | 0.55 | % | 0.84 | % | 0.45 | % | 0.51 | % | 0.88 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 21.28 | (0.07 | ) | (0.07 | ) | (6.57 | ) | (6.64 | ) | — | — | — | — | 14.64 | -31.20 | % | 123,669 | 0.45 | % | 0.51 | % | (0.42 | )% | 0.45 | % | 0.51 | % | (0.42 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily AAPL Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 26.21 | 0.43 | 0.45 | (3.28 | ) | (2.85 | ) | (0.31 | ) | (0.01 | ) | — | (0.32 | ) | 23.04 | -11.04 | % | 27,070 | 1.09 | % | 1.08 | % | 3.32 | % | 0.95 | % | 0.94 | % | 3.46 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period August 9, 20228 through October 31, 2022 | 25.00 | 0.09 | 0.09 | 1.15 | 1.24 | (0.03 | ) | — | — | (0.03 | ) | 26.21 | 4.95 | % | 13,105 | 0.98 | % | 2.06 | % | 1.51 | % | 0.95 | % | 2.03 | % | 1.54 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 29.86 | 0.48 | 0.49 | (2.78 | ) | (2.30 | ) | (0.38 | ) | (0.69 | ) | — | (1.07 | ) | 26.49 | -8.22 | % | 9,272 | 1.05 | % | 1.27 | % | 3.25 | % | 0.95 | % | 1.17 | % | 3.35 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period September 7, 20228 through October 31, 2022 | 25.00 | 0.07 | 0.07 | 4.80 | 4.87 | (0.01 | ) | — | — | (0.01 | ) | 29.86 | 19.48 | % | 3,733 | 0.96 | % | 4.96 | % | 1.68 | % | 0.95 | % | 4.95 | % | 1.69 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 27.66 | 0.42 | 0.44 | (4.62 | ) | (4.20 | ) | (0.27 | ) | — | — | (0.27 | ) | 23.19 | -15.22 | % | 4,638 | 1.10 | % | 1.42 | % | 3.22 | % | 0.95 | % | 1.27 | % | 3.37 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Period September 7, 20228 through October 31, 2022 | 25.00 | 0.06 | 0.06 | 2.61 | 2.67 | (0.01 | ) | — | — | (0.01 | ) | 27.66 | 10.68 | % | 4,150 | 0.95 | % | 4.89 | % | 1.63 | % | 0.95 | % | 4.89 | % | 1.63 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 26.71 | 0.37 | 0.38 | (7.43 | ) | (7.06 | ) | (0.27 | ) | (0.01 | ) | — | (0.28 | ) | 19.37 | -26.60 | % | 11,621 | 1.03 | % | 1.38 | % | 3.32 | % | 0.95 | % | 1.30 | % | 3.40 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period September 7, 20228 through October 31, 2022 | 25.00 | 0.06 | 0.06 | 1.66 | 1.72 | (0.01 | ) | — | — | (0.01 | ) | 26.71 | 6.88 | % | 4,006 | 0.95 | % | 4.61 | % | 1.67 | % | 0.95 | % | 4.61 | % | 1.67 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 30.18 | 0.55 | 0.59 | 3.53 | 4.08 | (0.31 | ) | (1.62 | ) | — | (1.93 | ) | 32.33 | 13.07 | % | 42,035 | 1.17 | % | 1.11 | % | 3.46 | % | 0.95 | % | 0.89 | % | 3.68 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Period August 9, 20228 through October 31, 2022 | 25.00 | 0.10 | 0.10 | 5.10 | 5.20 | (0.02 | ) | — | — | (0.02 | ) | 30.18 | 20.84 | % | 12,071 | 0.96 | % | 2.15 | % | 1.52 | % | 0.95 | % | 2.14 | % | 1.53 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 21.87 | 0.26 | 0.28 | 2.28 | 2.54 | (0.20 | ) | — | — | (0.20 | ) | 24.21 | 11.87 | % | 19,365 | 1.11 | % | 1.19 | % | 2.58 | % | 0.95 | % | 1.03 | % | 2.74 | % | 7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period August 9, 20228 through October 31, 2022 | 25.00 | 0.06 | 0.06 | (3.18 | ) | (3.12 | ) | (0.01 | ) | — | — | (0.01 | ) | 21.87 | -12.48 | % | 7,108 | 0.95 | % | 2.40 | % | 1.20 | % | 0.95 | % | 2.40 | % | 1.20 | % | 9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 17.89 | 0.20 | 0.21 | (0.58 | ) | (0.38 | ) | (0.13 | ) | — | — | (0.13 | ) | 17.38 | -1.98 | % | 20,856 | 1.03 | % | 1.07 | % | 2.56 | % | 0.95 | % | 0.99 | % | 2.64 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Period September 7, 20228 through October 31, 2022 | 25.00 | 0.05 | 0.05 | (7.15 | ) | (7.10 | ) | (0.01 | ) | — | — | (0.01 | ) | 17.89 | -28.42 | % | 6,262 | 0.95 | % | 5.02 | % | 1.43 | % | 0.95 | % | 5.02 | % | 1.43 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 20.42 | 0.27 | 0.28 | 2.67 | 2.94 | (0.17 | ) | — | — | (0.17 | ) | 23.19 | 14.53 | % | 16,810 | 1.05 | % | 1.15 | % | 2.64 | % | 0.95 | % | 1.05 | % | 2.74 | % | 17 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period September 7, 20228 through October 31, 2022 | 25.00 | 0.05 | 0.05 | (4.62 | ) | (4.57 | ) | (0.01 | ) | — | — | (0.01 | ) | 20.42 | -18.30 | % | 4,593 | 0.95 | % | 5.02 | % | 1.48 | % | 0.95 | % | 5.02 | % | 1.48 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
93
Financial Highlights
April 30, 2023
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 MSFT Bull 1.5X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 21.54 | $ | 0.33 | $ | 0.35 | $ | 9.55 | $ | 9.88 | $ | (0.21 | ) | $ | — | $ | — | $ | (0.21 | ) | $ | 31.21 | 46.14 | % | $ | 18,724 | 1.06 | % | 1.24 | % | 2.68 | % | 0.95 | % | 1.13 | % | 2.79 | % | 7 | % | |||||||||||||||||||||||||||||||||||||||
For the Period September 7, 20228 through October 31, 2022 | 25.00 | 0.05 | 0.05 | (3.50 | ) | (3.45 | ) | (0.01 | ) | — | — | (0.01 | ) | 21.54 | -13.82 | % | 3,231 | 0.95 | % | 5.19 | % | 1.31 | % | 0.95 | % | 5.19 | % | 1.31 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 16.64 | 0.13 | 0.14 | (7.75 | ) | (7.62 | ) | (0.09 | ) | (0.04 | ) | — | (0.13 | ) | 8.89 | -45.86 | % | 431,173 | 1.07 | % | 1.06 | % | 2.63 | % | 0.86 | % | 0.85 | % | 2.84 | % | 44 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period August 9, 20228 through October 31, 2022 | 25.00 | 0.07 | 0.07 | (8.42 | ) | (8.35 | ) | (0.01 | ) | — | — | (0.01 | ) | 16.64 | -33.40 | % | 100,286 | 0.98 | % | 1.15 | % | 1.55 | % | 0.95 | % | 1.12 | % | 1.58 | % | 33 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 15.05 | 0.24 | 0.25 | 6.26 | 6.50 | (0.19 | ) | — | — | (0.19 | ) | 21.36 | 43.26 | % | 70,494 | 1.09 | % | 1.09 | % | 2.20 | % | 0.91 | % | 0.91 | % | 2.38 | % | 21 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 39.31 | 0.13 | 0.14 | (23.61 | ) | (23.48 | ) | (0.09 | ) | (0.69 | ) | — | (0.78 | ) | 15.05 | -60.95 | % | 39,119 | 0.92 | % | 0.92 | % | 0.46 | % | 0.90 | % | 0.90 | % | 0.48 | % | 83 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 32.67 | (0.17 | ) | (0.17 | ) | 6.81 | 6.64 | — | — | — | — | 39.31 | 20.32 | % | 117,919 | 0.90 | % | 0.89 | % | (0.42 | )% | 0.89 | % | 0.88 | % | (0.41 | )% | 123 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 22.27 | 0.29 | 0.36 | 17.88 | 18.17 | (0.06 | ) | — | — | (0.06 | ) | 40.38 | 81.57 | % | 291,696 | 1.17 | % | 1.17 | % | 1.17 | % | 0.88 | % | 0.88 | % | 1.46 | % | 120 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 194.10 | (0.30 | ) | (0.27 | ) | (171.53 | ) | (171.83 | ) | — | — | — | — | 22.27 | -88.53 | % | 161,974 | 0.93 | % | 0.93 | % | (0.42 | )% | 0.89 | % | 0.89 | % | (0.38 | )% | 142 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 539.10 | (2.20 | ) | (2.20 | ) | (342.80 | ) | (345.00 | ) | — | — | — | — | 194.10 | -64.00 | % | 314,433 | 0.89 | % | 0.88 | % | (0.70 | )% | 0.89 | % | 0.88 | % | (0.70 | )% | 23 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 241.90 | (0.30 | ) | (0.10 | ) | 298.50 | 298.20 | (0.60 | ) | — | (0.40 | ) | (1.00 | ) | 539.10 | 123.61 | % | 56,608 | 1.00 | % | 1.01 | % | (0.09 | )% | 0.95 | % | 0.96 | % | (0.04 | )% | 40 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 227.00 | 1.80 | 2.00 | 15.00 | 16.80 | (1.90 | ) | — | — | (1.90 | ) | 241.90 | 7.53 | % | 53,219 | 1.03 | % | 1.03 | % | 0.74 | % | 0.94 | % | 0.94 | % | 0.83 | % | 13 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 490.70 | 2.20 | 2.80 | (248.70 | ) | (246.50 | ) | (2.00 | ) | (15.20 | ) | — | (17.20 | ) | 227.00 | -52.04 | % | 49,937 | 1.06 | % | 1.03 | % | 0.46 | % | 0.95 | % | 0.92 | % | 0.57 | % | 189 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 73.38 | 0.38 | 0.40 | 9.00 | 9.38 | (0.62 | ) | — | — | (0.62 | ) | 82.14 | 12.93 | % | 236,829 | 0.63 | % | 0.70 | % | 1.02 | % | 0.60 | % | 0.67 | % | 1.05 | % | 85 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 111.86 | 0.75 | 0.76 | (36.02 | ) | (35.27 | ) | (0.94 | ) | (2.27 | ) | — | (3.21 | ) | 73.38 | -32.51 | % | 50,139 | 0.61 | % | 0.71 | % | 0.82 | % | 0.60 | % | 0.70 | % | 0.83 | % | 72 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 61.16 | 0.77 | 0.77 | 55.98 | 56.75 | (0.69 | ) | (5.36 | ) | — | (6.05 | ) | 111.86 | 98.25 | % | 59,648 | 0.60 | % | 0.72 | % | 0.85 | % | 0.60 | % | 0.72 | % | 0.85 | % | 42 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 86.38 | 2.47 | 2.56 | (19.77 | ) | (17.30 | ) | (2.28 | ) | — | — | (2.28 | ) | 66.80 | -20.06 | % | 120,813 | 1.18 | % | 1.18 | % | 7.20 | % | 0.93 | % | 0.93 | % | 7.45 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 67.24 | 5.75 | 5.80 | 18.05 | 23.80 | (4.66 | ) | — | — | (4.66 | ) | 86.38 | 37.79 | % | 138,954 | 0.98 | % | 0.98 | % | 7.16 | % | 0.92 | % | 0.92 | % | 7.22 | % | 54 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 61.66 | 0.56 | 0.56 | 5.94 | 6.50 | (0.64 | ) | — | (0.28 | ) | (0.92 | ) | 67.24 | 9.83 | % | 185,492 | 0.91 | % | 0.91 | % | 0.55 | % | 0.91 | % | 0.91 | % | 0.55 | % | 25 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 1116.50 | 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 | 1029.00 | 10.85 | 15.05 | 88.90 | 99.75 | (12.25 | ) | — | — | (12.25 | ) | 1116.50 | 9.85 | % | 413,185 | 1.35 | % | 1.33 | % | 1.04 | % | 0.95 | % | 0.93 | % | 1.44 | % | 208 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 1410.15 | 14.00 | 15.75 | (380.80 | ) | (366.80 | ) | (13.65 | ) | — | (0.70 | ) | (14.35 | ) | 1029.00 | -25.98 | % | 407,268 | 1.15 | % | 1.14 | % | 1.54 | % | 0.95 | % | 0.94 | % | 1.74 | % | 133 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
94
Financial Highlights
April 30, 2023
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 Six Months Ended April 30, 2023 (Unaudited) | $ | 47.61 | $ | 0.34 | $ | 0.36 | $ | (4.62 | ) | $ | (4.28 | ) | $ | (0.22 | ) | $ | — | $ | — | $ | (0.22 | ) | $ | 43.11 | -8.95 | % | $ | 56,024 | 0.98 | % | 0.98 | % | 1.58 | % | 0.93 | % | 0.93 | % | 1.63 | % | 9 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 61.91 | 1.54 | 1.56 | (14.44 | ) | (12.90 | ) | (1.40 | ) | — | — | (1.40 | ) | 47.61 | -21.15 | % | 52,361 | 0.95 | % | 0.95 | % | 2.89 | % | 0.92 | % | 0.92 | % | 2.92 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 30.67 | (0.41 | ) | (0.40 | ) | 31.65 | 31.24 | — | — | — | — | 61.91 | 101.86 | % | 92,846 | 0.92 | % | 0.91 | % | (0.83 | )% | 0.91 | % | 0.90 | % | (0.82 | )% | 11 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 7.05 | 0.0010 | 0.0010 | (0.69 | ) | (0.69 | ) | — | — | — | — | 6.36 | -9.79 | % | 6,040 | 1.03 | % | 1.60 | % | (0.11 | )% | 0.95 | % | 1.52 | % | (0.03 | )% | 12 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 32.12 | (0.07 | ) | (0.07 | ) | (23.98 | ) | (24.05 | ) | — | (1.02 | ) | — | (1.02 | ) | 7.05 | -77.03 | % | 7,759 | 0.96 | % | 1.24 | % | (0.54 | )% | 0.95 | % | 1.23 | % | (0.53 | )% | 16 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 8, 20218 through October 31, 2021 | 25.00 | (0.18 | ) | (0.17 | ) | 7.30 | 7.12 | — | — | — | — | 32.12 | 28.48 | % | 27,301 | 0.95 | % | 1.03 | % | (0.82 | )% | 0.95 | % | 1.03 | % | (0.82 | )% | 19 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 9.52 | 0.03 | 0.03 | (4.70 | ) | (4.67 | ) | (0.03 | ) | — | — | (0.03 | ) | 4.82 | -49.13 | % | 4,338 | 1.03 | % | 2.43 | % | 0.77 | % | 0.95 | % | 2.35 | % | 0.85 | % | 64 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Period August 11, 20228 through October 31, 2022 | 25.00 | 0.0010 | 0.0010 | (15.48 | ) | (15.48 | ) | — | — | — | — | 9.52 | -61.92 | % | 2,855 | 0.95 | % | 4.74 | % | (0.11 | )% | 0.95 | % | 4.74 | % | (0.11 | )% | 74 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 70.96 | 0.92 | 1.04 | (10.04 | ) | (9.12 | ) | (0.83 | ) | — | — | (0.83 | ) | 61.01 | -12.79 | % | 418,719 | 1.28 | % | 1.28 | % | 2.85 | % | 0.91 | % | 0.91 | % | 3.22 | % | 2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 31.63 | 1.24 | 1.29 | 39.43 | 40.67 | (1.34 | ) | — | — | (1.34 | ) | 70.96 | 130.82 | % | 558,028 | 1.03 | % | 1.03 | % | 2.62 | % | 0.92 | % | 0.92 | % | 2.73 | % | 8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 8.45 | 0.51 | 0.51 | 23.20 | 23.71 | (0.53 | ) | — | — | (0.53 | ) | 31.63 | 283.45 | % | 599,755 | 0.95 | % | 0.93 | % | 2.31 | % | 0.94 | % | 0.92 | % | 2.32 | % | 36 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 28.94 | 0.49 | 0.50 | (0.04 | ) | 0.45 | (0.45 | ) | — | — | (0.45 | ) | 28.94 | 1.41 | % | 32,274 | 1.06 | % | 1.07 | % | 3.35 | % | 0.95 | % | 0.96 | % | 3.46 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 109.90 | 0.11 | 0.14 | (81.07 | ) | (80.96 | ) | — | — | — | — | 28.94 | -73.67 | % | 39,513 | 1.00 | % | 1.03 | % | 0.22 | % | 0.95 | % | 0.98 | % | 0.27 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 735.70 | (1.70 | ) | (1.70 | ) | (624.10 | ) | (625.80 | ) | — | — | — | — | 109.90 | -85.06 | % | 39,105 | 0.95 | % | 0.99 | % | (0.93 | )% | 0.95 | % | 0.99 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 506.10 | (1.90 | ) | (1.60 | ) | 233.80 | 231.90 | (1.50 | ) | — | (0.80 | ) | (2.30 | ) | 735.70 | 45.80 | % | 33,626 | 1.00 | % | 1.09 | % | (0.32 | )% | 0.95 | % | 1.04 | % | (0.27 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 448.70 | 5.70 | 6.60 | 58.90 | 64.60 | (7.20 | ) | — | — | (7.20 | ) | 506.10 | 14.51 | % | 25,663 | 1.14 | % | 1.22 | % | 1.22 | % | 0.95 | % | 1.03 | % | 1.41 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 558.50 | 2.60 | 2.80 | (110.80 | ) | (108.20 | ) | (1.60 | ) | — | — | (1.60 | ) | 448.70 | -19.34 | % | 51,915 | 1.00 | % | 1.04 | % | 0.65 | % | 0.95 | % | 0.99 | % | 0.70 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 14.75 | 0.03 | 0.03 | (1.11 | ) | (1.08 | ) | (0.01 | ) | — | — | (0.01 | ) | 13.66 | -7.35 | % | 4,097 | 0.99 | % | 1.86 | % | 0.36 | % | 0.95 | % | 1.82 | % | 0.40 | % | 19 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 30.12 | 0.05 | 0.06 | (15.34 | ) | (15.29 | ) | (0.07 | ) | — | (0.01 | ) | (0.08 | ) | 14.75 | -50.82 | % | 4,424 | 1.00 | % | 1.61 | % | 0.26 | % | 0.95 | % | 1.56 | % | 0.31 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Period July 29, 20218 through October 31, 2021 | 25.00 | (0.06 | ) | (0.06 | ) | 5.18 | 5.12 | — | — | — | — | 30.12 | 20.48 | % | 7,529 | 0.95 | % | 2.37 | % | (0.95 | )% | 0.95 | % | 2.37 | % | (0.95 | )% | 15 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
95
Financial Highlights
April 30, 2023
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 Gold Miners Index Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 24.97 | $ | 0.49 | $ | 0.53 | $ | 19.51 | $ | 20.00 | $ | (0.29 | ) | $ | — | $ | — | $ | (0.29 | ) | $ | 44.68 | 80.43 | % | $ | 545,141 | 1.08 | % | 1.08 | % | 2.68 | % | 0.86 | % | 0.86 | % | 2.90 | % | 63 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 49.07 | 0.25 | 0.26 | (24.35 | ) | (24.10 | ) | — | — | — | — | 24.97 | -49.11 | % | 375,908 | 0.89 | % | 0.89 | % | 0.56 | % | 0.87 | % | 0.87 | % | 0.58 | % | 117 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 76.72 | (0.30 | ) | (0.30 | ) | (27.35 | ) | (27.65 | ) | — | — | — | — | 49.07 | -36.04 | % | 750,864 | 0.86 | % | 0.86 | % | (0.49 | )% | 0.86 | % | 0.86 | % | (0.49 | )% | 71 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 23.70 | 0.21 | 0.23 | (13.81 | ) | (13.60 | ) | (0.16 | ) | — | — | (0.16 | ) | 9.94 | -57.53 | % | 136,329 | 1.26 | % | 1.26 | % | 3.32 | % | 0.87 | % | 0.87 | % | 3.71 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 20.60 | (0.03 | ) | 0.01 | 3.13 | 3.10 | — | — | — | — | 23.70 | 15.05 | % | 86,749 | 1.10 | % | 1.09 | % | (0.14 | )% | 0.92 | % | 0.91 | % | 0.04 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 20.08 | (0.17 | ) | (0.17 | ) | 0.69 | 0.52 | — | — | — | — | 20.60 | 2.59 | % | 64,076 | 0.87 | % | 0.88 | % | (0.85 | )% | 0.87 | % | 0.88 | % | (0.85 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 25.93 | 0.35 | 0.41 | 15.95 | 16.30 | (0.17 | ) | — | — | (0.17 | ) | 42.06 | 62.99 | % | 304,632 | 1.16 | % | 1.16 | % | 1.86 | % | 0.85 | % | 0.85 | % | 2.17 | % | 61 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 67.05 | 0.28 | 0.28 | (41.40 | ) | (41.12 | ) | — | — | — | — | 25.93 | -61.33 | % | 226,686 | 0.86 | % | 0.86 | % | 0.55 | % | 0.85 | % | 0.85 | % | 0.56 | % | 140 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 117.16 | (0.08 | ) | (0.07 | ) | (49.69 | ) | (49.77 | ) | — | — | (0.34 | ) | (0.34 | ) | 67.05 | -42.53 | % | 515,810 | 0.85 | % | 0.85 | % | (0.09 | )% | 0.84 | % | 0.84 | % | (0.08 | )% | 67 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 13.47 | 0.12 | 0.13 | (7.64 | ) | (7.52 | ) | (0.11 | ) | — | — | (0.11 | ) | 5.84 | -56.00 | % | 104,416 | 1.13 | % | 1.13 | % | 3.45 | % | 0.87 | % | 0.87 | % | 3.71 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 11.00 | (0.01 | ) | 0.02 | 2.48 | 2.47 | — | — | — | — | 13.47 | 22.45 | % | 113,621 | 1.08 | % | 1.08 | % | (0.05 | )% | 0.89 | % | 0.89 | % | 0.14 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 11.72 | (0.09 | ) | (0.09 | ) | (0.63 | ) | (0.72 | ) | — | — | — | — | 11.00 | -6.14 | % | 75,675 | 0.87 | % | 0.87 | % | (0.84 | )% | 0.87 | % | 0.87 | % | (0.84 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | 1892.25 | 8.50 | 9.00 | (1,555.75 | ) | (1,547.25 | ) | (9.25 | ) | — | — | (9.25 | ) | 335.75 | -82.03 | % | 148,229 | 1.06 | % | 1.03 | % | 10.44 | % | 0.95 | % | 0.92 | % | 1.55 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 1612.00 | 7.00 | 8.25 | 278.00 | 285.00 | (4.75 | ) | — | — | (4.75 | ) | 1892.25 | 17.70 | % | 59,624 | 1.03 | % | 0.99 | % | 0.51 | % | 0.95 | % | 0.91 | % | 0.59 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 43.60 | 0.15 | 0.18 | 6.34 | 6.49 | (0.76 | ) | — | — | (0.76 | ) | 49.33 | 13.33 | % | 11,339 | 1.10 | % | 1.27 | % | 0.76 | % | 0.95 | % | 1.12 | % | 0.91 | % | 48 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 296.50 | (0.30 | ) | (0.30 | ) | (240.80 | ) | (241.10 | ) | — | (11.70 | ) | (0.10 | ) | (11.80 | ) | 43.60 | -84.62 | % | 12,640 | 0.96 | % | 1.15 | % | (0.39 | )% | 0.95 | % | 1.14 | % | (0.38 | )% | 170 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Period September 30, 20218 through October 31, 2021 | 250.00 | (0.20 | ) | (0.20 | ) | 46.70 | 45.50 | — | — | — | — | 296.50 | 18.60 | % | 7,413 | 0.95 | % | 3.72 | % | (0.94 | )% | 0.95 | % | 3.72 | % | (0.94 | )% | 20 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 11.34 | 0.08 | 0.09 | 5.66 | 5.74 | (0.01 | ) | — | — | (0.01 | ) | 17.07 | 50.59 | % | 20,893 | 1.18 | % | 1.29 | % | 1.03 | % | 0.95 | % | 1.06 | % | 1.26 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 49.81 | (0.13 | ) | (0.13 | ) | (37.36 | ) | (37.49 | ) | — | (0.98 | ) | — | (0.98 | ) | 11.34 | -76.73 | % | 11,043 | 0.96 | % | 1.01 | % | (0.54 | )% | 0.95 | % | 1.00 | % | (0.53 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 33.43 | (0.38 | ) | (0.38 | ) | 23.19 | 22.81 | (2.81 | ) | (3.62 | ) | — | (6.43 | ) | 49.81 | 73.55 | % | 46,003 | 0.96 | % | 0.95 | % | (0.88 | )% | 0.95 | % | 0.94 | % | (0.87 | )% | 11 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 22.74 | (0.13 | ) | (0.12 | ) | 10.85 | 10.72 | (0.03 | ) | — | — | (0.03 | ) | 33.43 | 47.15 | % | 44,245 | 1.03 | % | 1.10 | % | (0.56 | )% | 0.95 | % | 1.02 | % | (0.48 | )% | 93 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 23.56 | 0.16 | 0.18 | (0.82 | ) | (0.66 | ) | (0.16 | ) | — | — | (0.16 | ) | 22.74 | -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 | 50.00 | (0.06 | ) | (0.06 | ) | (26.38 | ) | (26.44 | ) | — | — | — | — | 23.56 | -52.88 | % | 4,123 | 0.95 | % | 2.34 | % | (0.27 | )% | 0.95 | % | 2.34 | % | (0.27 | )% | 75 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
96
Financial Highlights
April 30, 2023
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1 | Net Investment Income (Loss)1,2 | Net Realized and Unrealized Gain (Loss) on Investments3 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return4 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses6 | Total Expenses | Net Investment Income (Loss) after Expense Reimbursement | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Portfolio Turnover Rate7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 184.97 | $ | 1.57 | $ | 1.99 | $ | (64.50 | ) | $ | (62.93 | ) | $ | (1.13 | ) | $ | — | $ | — | $ | (1.13 | ) | $ | 120.91 | -34.00 | % | $ | 614,040 | 1.52 | % | 1.52 | % | 2.17 | % | 0.93 | % | 0.93 | % | 2.76 | % | 13 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 110.33 | 0.76 | 1.11 | 74.57 | 75.33 | (0.69 | ) | — | — | (0.69 | ) | 184.97 | 68.43 | % | 800,618 | 1.18 | % | 1.18 | % | 0.56 | % | 0.93 | % | 0.93 | % | 0.81 | % | 55 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 19.53 | (0.16 | ) | (0.16 | ) | 91.03 | 90.87 | (0.07 | ) | — | (0.00 | )10 | (0.07 | ) | 110.33 | 465.94 | % | 891,290 | 0.95 | % | 0.93 | % | (0.25 | )% | 0.94 | % | 0.92 | % | (0.24 | )% | 194 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 1081.60 | 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 | 8752.00 | 24.00 | 27.60 | (7,671.20 | ) | (7,647.20 | ) | (23.20 | ) | — | — | (23.20 | ) | 1081.60 | -87.55 | % | 193,733 | 1.09 | % | 1.10 | % | 0.95 | % | 0.95 | % | 0.96 | % | 1.09 | % | 257 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 9772.00 | 24.00 | 36.00 | (1,040.00 | ) | (1,016.00 | ) | (4.00 | ) | — | — | (4.00 | ) | 8752.00 | -10.42 | % | 156,655 | 1.04 | % | 1.05 | % | 0.21 | % | 0.95 | % | 0.96 | % | 0.30 | % | 119 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 12.44 | 0.22 | 0.23 | 2.14 | 2.36 | (0.27 | ) | — | — | (0.27 | ) | 14.53 | 18.82 | % | 68,384 | 1.17 | % | 1.17 | % | 3.18 | % | 0.95 | % | 0.95 | % | 3.40 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 48.60 | 0.02 | 0.03 | (36.18 | ) | (36.16 | ) | — | — | — | — | 12.44 | -74.40 | % | 102,747 | 1.01 | % | 1.01 | % | 0.09 | % | 0.95 | % | 0.95 | % | 0.15 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 714.90 | (0.90 | ) | (0.90 | ) | (665.40 | ) | (666.30 | ) | 0.0010 | — | — | 0.0010 | 48.60 | -93.20 | % | 93,490 | 0.95 | % | 0.95 | % | (0.93 | )% | 0.95 | % | 0.95 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 739.40 | (3.00 | ) | (1.40 | ) | (21.20 | ) | (24.20 | ) | (0.30 | ) | — | — | (0.30 | ) | 714.90 | -3.26 | % | 39,046 | 1.18 | % | 1.24 | % | (0.44 | )% | 0.95 | % | 1.01 | % | (0.21 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 362.50 | 4.40 | 6.70 | 379.20 | 383.60 | (6.70 | ) | — | — | (6.70 | ) | 739.40 | 106.33 | % | 36,006 | 1.40 | % | 1.46 | % | 0.88 | % | 0.95 | % | 1.01 | % | 1.33 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 685.80 | 2.50 | 2.50 | (324.20 | ) | (321.70 | ) | (1.60 | ) | — | — | (1.60 | ) | 362.50 | -46.86 | % | 42,465 | 0.99 | % | 1.02 | % | 0.77 | % | 0.95 | % | 0.98 | % | 0.81 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 10.36 | 0.05 | 0.07 | 1.95 | 2.00 | — | — | — | — | 12.36 | 19.31 | % | 18,537 | 1.21 | % | 1.27 | % | 0.89 | % | 0.95 | % | 1.01 | % | 1.15 | % | 12 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 20.74 | (0.03 | ) | (0.03 | ) | (10.35 | ) | (10.38 | ) | — | — | — | — | 10.36 | -50.05 | % | 23,824 | 0.97 | % | 1.01 | % | (0.24 | )% | 0.95 | % | 0.99 | % | (0.22 | )% | 10 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 10, 20218 through October 31, 2021 | 25.00 | (0.03 | ) | (0.03 | ) | (4.23 | ) | (4.26 | ) | — | — | — | — | 20.74 | -17.04 | % | 12,447 | 0.95 | % | 1.31 | % | (0.36 | )% | 0.95 | % | 1.31 | % | (0.36 | )% | 26 | % |
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 February 13, 2023, 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 June 5, 2023, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
97
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2023
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 76 separate series (each, a "Fund" and together the "Funds"). 30 of these Funds are included in this report:
Bull Funds | Bear Funds | ||||||
Direxion Daily AAPL Bull 1.5X Shares | Direxion Daily S&P 500® Bear 1X Shares | ||||||
Direxion Daily AMZN Bull 1.5X Shares | Direxion Daily AAPL Bear 1X Shares | ||||||
Direxion Daily GOOGL Bull 1.5X Shares | Direxion Daily AMZN Bear 1X Shares | ||||||
Direxion Daily MSFT Bull 1.5X Shares | Direxion Daily GOOGL Bear 1X Shares | ||||||
Direxion Daily TSLA Bull 1.5X Shares | Direxion Daily MSFT Bear 1X Shares | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | Direxion Daily TSLA Bear 1X Shares | ||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | Direxion Daily Energy Bear 2X Shares | ||||||
Direxion Daily S&P 500® Bull 2X Shares | Direxion Daily Gold Miners Index Bear 2X Shares | ||||||
Direxion Daily MSCI Brazil Bull 2X Shares | Direxion Daily Junior Gold Miners Index Bear 2X Shares | ||||||
Direxion Daily MSCI India Bull 2X Shares | Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | ||||||
Direxion Daily Cloud Computing Bull 2X Shares | |||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | |||||||
Direxion Daily Energy Bull 2X Shares | |||||||
Direxion Daily Global Clean Energy Bull 2X Shares | |||||||
Direxion Daily Gold Miners Index Bull 2X Shares | |||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | |||||||
Direxion Daily NYSE FANG+ Bull 2X Shares* | |||||||
Direxion Daily Robotics, Artificial Intelligence & Automation | |||||||
Index Bull 2X Shares | |||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | |||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
* Effective March 1, 2023 Direxion Daily Select Large Caps & FANGs Bull 2X Shares changed its name to Direxion NYSE FANG+ Bull 2X Shares.
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.
Rafferty Asset Management, LLC (the "Adviser") has registered as a commodity pool operator ("CPO"). All Funds presented in this report are considered commodity pools under the Commodity Exchange Act (the "CEA). Accordingly, the Adviser is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Fund's investment objective is to seek daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word "Bull" in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word "Bear" in their name attempt to provide investment results that correlate negatively to the return of an index or benchmark. The correlations sought by the Bull Funds are a multiple of 150% or 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.
DIREXION SEMI-ANNUAL REPORT
98
Funds | Index or Benchmark | Daily Target | |||||||||
Direxion Daily S&P 500® Bear 1X Shares | S&P 500® Index | -100 | % | ||||||||
Direxion Daily AAPL Bear 1X Shares | Common shares of Apple, Inc. | -100 | % | ||||||||
Direxion Daily AMZN Bear 1X Shares | Common shares of Amazon, Inc. | -100 | % | ||||||||
Direxion Daily GOOGL Bear 1X Shares | Common shares of Alphabet, Inc. | -100 | % | ||||||||
Direxion Daily MSFT Bear 1X Shares | Common shares of Microsoft Corp. | -100 | % | ||||||||
Direxion Daily TSLA Bear 1X Shares | Common shares of Tesla, Inc. | -100 | % | ||||||||
Direxion Daily AAPL Bull 1.5X Shares | Common shares of Apple, Inc. | 150 | % | ||||||||
Direxion Daily AMZN Bull 1.5X Shares | Common shares of Amazon, Inc. | 150 | % | ||||||||
Direxion Daily GOOGL Bull 1.5X Shares | Common shares of Alphabet, Inc. | 150 | % | ||||||||
Direxion Daily MSFT Bull 1.5X Shares | Common shares of Microsoft Corp. | 150 | % | ||||||||
Direxion Daily TSLA Bull 1.5X Shares | Common shares of Tesla, Inc. | 150 | % | ||||||||
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 MSCI Brazil Bull 2X Shares | MSCI Brazil 25/50 Index | 200 | % | ||||||||
Direxion Daily MSCI India Bull 2X Shares | MSCI India Index | 200 | % | ||||||||
Direxion Daily Cloud Computing Bull 2X Shares | Indxx USA Cloud Computing Index | 200 | % | ||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | Indxx US Electric and Autonomous Vehicles Index | 200 | % | ||||||||
Direxion Daily Energy Bull 2X Shares | 200 | % | |||||||||
Direxion Daily Energy Bear 2X Shares | Energy Select Sector Index | -200 | % | ||||||||
Direxion Global Clean Energy Bull 2X Shares | S&P Global Clean Energy 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 NYSE FANG+ Bull 2X Shares | ICE FANG 20 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 | S&P Oil & Gas Exploration & Production Select | 200 | % | ||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | Industry Index | -200 | % | ||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | BlueStar® Travel and Vacation 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) 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,
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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.
b) 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 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
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Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Interest earned on collateral pledged to a counterparty is presented as part of Interest income on the Statements of Operations. Interest incurred on collateral received from a counterparty is presented as Interest expense on the Statements of Operations.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of April 30, 2023, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at April 30, 2023 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 AAPL Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 343,342 | $ | — | $ | 343,3421 | $ | — | |||||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | — | — | — | 292,769 | — | 292,7691 | — | |||||||||||||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | — | — | — | 9,414 | — | 9,4141 | — |
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Assets: | Liabilities: | ||||||||||||||||||||||||||||||||||
Gross Amounts not offset in the Statement of Asset and Liabilities | Gross Amounts not offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||||||||
Fund Name | Gross Amounts of Recognized Assets | Financial Instruments | Collateral Received | Net Amount2 | Gross Amounts of Recognized Liabilities | Financial Instruments | Collateral Pledged | Net Amount | |||||||||||||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 229,978 | $ | — | $ | 229,9781 | $ | — | |||||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 2,468,758 | — | 2,468,7581 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 694,627 | — | 640,000 | 54,627 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | — | — | — | — | 22,773 | — | 22,7731 | — | |||||||||||||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 511,794 | — | 511,7941 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | 947,157 | — | 880,000 | 67,157 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | — | — | — | — | 15,546,524 | — | 15,546,5241 | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | — | — | 4,255,374 | — | 4,255,3741 | — | |||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 25,231 | — | — | 25,231 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | — | — | — | — | 95,612 | — | 95,6121 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 14,948,198 | — | 14,948,1981 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 1,616,907 | — | 1,616,9071 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 1,704,577 | — | — | 1,704,577 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 863,066 | — | 863,0661 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | — | — | — | — | 71,718 | — | 71,7181 | — |
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: 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 AAPL Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 216,623 | $ | — | $ | 216,6231 | $ | — | |||||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 230,139 | — | 230,1391 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 222,381 | — | 120,000 | 102,381 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | — | — | — | — | 6,619,738 | — | 6,619,7381 | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | — | — | 7,333,826 | — | 7,333,8261 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 176,158 | — | 120,000 | 56,158 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | — | — | — | 3,100,805 | — | 3,100,8051 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 75,103 | — | 75,1031 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 19,734,691 | — | 19,734,6911 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 2,178,117 | — | 2,178,1171 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 21,704,412 | — | 21,704,4121 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 4,006,251 | — | 4,006,2511 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 16,013,694 | — | 16,013,6941 | — |
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: 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 S&P 500® Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 13,193,732 | $ | — | $ | 13,193,7321 | $ | — | |||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | — | — | — | 223,191 | — | 223,1911 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | — | — | — | — | 1,651,643 | — | 1,651,6431 | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 1,400,033 | — | — | 1,400,033 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 20,180 | — | — | 20,180 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 255,567 | — | 255,5671 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 447,956 | — | 447,9561 | — | — | — | — | — |
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 AAPL Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 837,582 | $ | — | $ | 837,5821 | $ | — | |||||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | — | — | — | 49,204 | — | 49,2041 | — | |||||||||||||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | — | — | — | 69,570 | — | 69,5701 | — | |||||||||||||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | — | — | — | — | 294,531 | — | 294,5311 | — |
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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 TSLA Bear 1X Shares | $ | 543,303 | $ | — | $ | 543,3031 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 1,126,929 | — | 1,076,000 | 50,929 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | 191,010 | — | 191,0101 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 899,422 | — | 899,4221 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | 1,110,464 | — | 1,053,000 | 57,464 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | — | — | — | — | 32,022,427 | — | 32,022,4271 | — | |||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | — | — | — | — | 474,196 | — | 474,1961 | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | — | — | 7,981,881 | — | 7,981,8811 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 4,204,411 | — | 3,266,000 | 938,411 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | — | — | — | — | 2,417,028 | — | 2,417,0281 | — | |||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | — | — | — | — | 14,276 | — | 14,2761 | — | |||||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | — | — | — | — | 259,416 | — | 259,4161 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 18,288,606 | — | 18,288,6061 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 532,041 | — | 142,000 | 390,041 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 16,401,895 | — | 16,401,8951 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 2,297,107 | — | 2,297,1071 | — |
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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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | $ | 239,059 | $ | — | $ | 130,000 | $ | 109,059 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 12,604,095 | — | 12,604,0951 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 1,688,738 | — | 1,688,7381 | — | — | — | — | — |
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: Goldman Sachs
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 AAPL Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 1,155,654 | $ | — | $ | 1,155,6541 | $ | — | |||||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | — | — | — | 27,538 | — | 27,5381 | — | |||||||||||||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | — | — | — | 288,735 | — | 288,7351 | — | |||||||||||||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | — | — | — | — | 289,231 | — | 289,2311 | — | |||||||||||||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 970,282 | — | 970,2821 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 1,324,950 | — | 1,260,000 | 64,950 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | 540,965 | — | 540,9651 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 910,957 | — | 710,000 | 200,957 | — | — | — | — |
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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 MSFT Bull 1.5X Shares | $ | 55,588 | $ | — | $ | 55,5881 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | — | — | — | — | 26,855,225 | — | 26,855,2251 | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | — | — | 9,491,187 | — | 9,491,1871 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 591,270 | — | 290,000 | 301,270 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | — | — | — | — | 442,369 | — | 442,3691 | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 12,256,174 | — | 12,256,1741 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 5,871,259 | — | 2,060,000 | 3,811,259 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 1,502,633 | — | 1,502,6331 | — | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: J.P. Morgan
Assets: 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 CSI 300 China A Share Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 140,421 | $ | — | $ | 140,4211 | $ | — | |||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | — | — | — | 1,905,033 | — | 1,905,0331 | — |
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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 Electric and Autonomous Vehicles Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 61,170 | $ | — | $ | 61,1701 | $ | — | |||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 2,234,904 | — | 890,000 | 1,344,904 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 93,625 | — | 93,6251 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 19,096,044 | — | 19,096,0441 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 4,031,743 | — | 4,031,7431 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 6,946,911 | — | 6,946,9111 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | 149,085 | — | 149,0851 | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 1,560,095 | — | 1,430,000 | 130,095 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | 10,744,090 | — | 10,744,0901 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 1,882,685 | — | 1,882,6851 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 761,834 | — | 410,000 | 351,834 | — | — | — | — |
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: 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® Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | $ | 130,296 | $ | — | $ | 130,2961 | $ | — | |||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 199,778 | — | — | 199,778 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | — | — | 11,966,725 | — | 11,966,7251 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 3,763,071 | — | 2,760,000 | 1,003,071 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 3,309,846 | — | 2,720,000 | 589,846 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 836,039 | — | 620,000 | 216,039 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 4,377,783 | — | 3,160,000 | 1,217,783 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 179,738 | — | 179,7381 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 16,411,496 | — | 16,411,4961 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | 1,051,643 | — | 1,051,6431 | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 6,427,013 | — | 6,427,0131 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 2,778,810 | — | 2,230,000 | 548,810 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 1,441,163 | — | 1,370,000 | 71,163 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 187,942 | — | 187,9421 | — | — | — | — | — |
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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 Oil & Gas Exp. & Prod. Bull 2X Shares | $ | — | $ | — | $ | — | $ | — | $ | 3,217,196 | $ | — | $ | 3,217,1961 | $ | — | |||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 2,127,453 | — | 2,127,4531 | — | — | — | — | — |
c) 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
d) 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 April 30, 2023.
e) 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.
f) 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.
g) Securities Lending – Each Fund may lend up to 331/3% of the value of the securities in their portfolios to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, cash equivalents, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is
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entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. Government securities held as collateral, net of fee rebates paid to borrower and net of fees paid to the lending agent. The amount of fees depends on a number of factors including the security type and the length of the loan. In addition, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. No more than 99% of the value of any security may be on loan at any time.
As of April 30, 2023, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.
As of April 30, 2023, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:
Funds | Market Value of Securities Loaned | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | $ | 5,342 | $ | 5,610 | $ | — | $ | 5,610 | |||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 42,865 | 43,741 | — | 43,741 | |||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 113,640 | 117,000 | — | 117,000 | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 2,432,027 | 1,330,284 | 1,168,608 | 2,498,892 | |||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 59,989 | 64,091 | — | 64,091 |
h) 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 April 30, 2023, which is disclosed on the Statements of Operations.
i) 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.
j) 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.
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k) 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.
l) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2023 and October 31, 2022 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.
Period Ended April 30, 2023 (Unaudited) | Year/Period Ended October 31, 2022 | ||||||||||||||||||||||||||
Distributions Paid From: | Distributions Paid From: | ||||||||||||||||||||||||||
Funds | Ordinary Income | Long Term Capital Gains | Return of Capital | Ordinary Income | Long Term Capital Gains | Return of Capital | |||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | $ | 7,928,283 | $ | — | $ | — | $ | 741,705 | $ | — | $ | — | |||||||||||||||
Direxion Daily AAPL Bear 1X Shares1 | 245,367 | 4,743 | — | 7,923 | — | — | |||||||||||||||||||||
Direxion Daily AMZN Bear 1X Shares3 | 82,327 | 173,513 | — | 1,055 | — | — | |||||||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares3 | 58,980 | — | — | 1,002 | — | — | |||||||||||||||||||||
Direxion Daily MSFT Bear 1X Shares3 | 50,244 | 2,583 | — | 1,011 | — | — | |||||||||||||||||||||
Direxion Daily TSLA Bear 1X Shares1 | 527,684 | 890,694 | — | 6,449 | — | — | |||||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares1 | 100,816 | — | — | 3,904 | — | — | |||||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares3 | 129,878 | — | — | 726 | — | — | |||||||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares3 | 86,946 | — | — | 759 | — | — | |||||||||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares3 | 57,522 | — | — | 774 | — | — | |||||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares1 | 2,354,446 | 389,930 | — | 30,807 | — | — | |||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 598,492 | — | — | 2,058,066 | — | — | |||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 444,614 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 395,304 | — | — | 1,711,768 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 4,133,541 | — | — | 11,641,388 | — | — | |||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 281,194 | — | — | 2,174,613 | — | — | |||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | — | — | — | 916,786 | — | — | |||||||||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares2 | 10,640 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | 6,034,102 | — | — | 15,441,018 | — | — | |||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 556,398 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 1,998 | — | 23,227 | — | 4,294 | ||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 4,098,467 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 1,179,923 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 1,462,743 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 1,197,081 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 21,162 | — | 408,960 | — | 4,293 |
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Period Ended April 30, 2023 (Unaudited) | Year/Period Ended October 31, 2022 | ||||||||||||||||||||||||||
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 Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | $ | 7,978 | $ | — | $ | — | $ | 905,597 | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 6,002,733 | — | — | 3,198,438 | — | — | |||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 1,163,562 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | — | — | — | — | — | — |
1 Commenced operations on August 9, 2022.
2 Commenced operations on August 11, 2022.
3 Commenced operations on September 7, 2022.
At October 31, 2022, 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 S&P 500® Bear 1X Shares | $ | (45,669,233 | ) | $ | 1,533,131 | $ | — | $ | (37,721,054 | ) | $ | (81,857,156 | ) | ||||||||||
Direxion Daily AAPL Bear 1X Shares | 61,322 | 25,071 | — | (1,310 | ) | 85,083 | |||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | 432,520 | 181,944 | — | (1,317 | ) | 613,147 | |||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | 312,924 | 8,426 | — | (1,325 | ) | 320,025 | |||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | 178,590 | 11,762 | — | (1,317 | ) | 189,035 | |||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 1,097,587 | 912,736 | — | (1,317 | ) | 2,009,006 | |||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | (907,076 | ) | 13,549 | — | (37,625 | ) | (931,152 | ) | |||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | (1,058,113 | ) | 7,569 | — | (3,487 | ) | (1,054,031 | ) | |||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | (677,224 | ) | 7,756 | — | (4,124 | ) | (673,592 | ) | |||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | (423,303 | ) | 6,670 | — | (4,905 | ) | (421,538 | ) | |||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | (23,717,628 | ) | 542,727 | — | (1,317 | ) | (23,176,218 | ) | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | (43,041,349 | ) | 131,457 | — | (11,529,977 | ) | (54,439,869 | ) | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | (402,370,577 | ) | — | — | (193,150,295 | ) | (595,520,872 | ) | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 2,792,835 | 295,260 | — | (10,488,679 | ) | (7,400,584 | ) | ||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | (31,932,750 | ) | 96,292 | — | (422,674,594 | ) | (454,511,052 | ) | |||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | (4,821,935 | ) | — | — | — | (4,821,935 | ) | ||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | (11,752,306 | ) | — | — | (4,392,295 | ) | (16,144,601 | ) | |||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | (3,567,582 | ) | 10,637 | — | (68,987 | ) | (3,625,932 | ) | |||||||||||||||
Direxion Daily Energy Bull 2X Shares | 208,887,776 | 274,227 | — | (71,289,988 | ) | 137,872,015 |
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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 Energy Bear 2X Shares | $ | (29,579,945 | ) | $ | — | $ | — | $ | (169,208,084 | ) | $ | (198,788,029 | ) | ||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | (2,434,415 | ) | — | — | (2,242,521 | ) | (4,676,936 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | (333,747,294 | ) | — | — | (1,803,026,124 | ) | (2,136,773,418 | ) | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | (2,385,133 | ) | — | — | (616,830,224 | ) | (619,215,357 | ) | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | (343,692,965 | ) | — | — | (1,407,869,479 | ) | (1,751,562,444 | ) | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | (15,361,033 | ) | — | — | (182,627,722 | ) | (197,988,755 | ) | |||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | (12,053,658 | ) | — | — | (3,715,710 | ) | (15,769,368 | ) | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | (12,214,586 | ) | — | — | (12,745,273 | ) | (24,959,859 | ) | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 289,081,328 | — | — | — | 289,081,328 | ||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | (58,608,501 | ) | — | — | (188,545,238 | ) | (247,153,739 | ) | |||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | (17,345,098 | ) | — | — | (8,691,490 | ) | (26,036,588 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At April 30, 2023, 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 S&P 500® Bear 1X Shares | $ | 441,430,036 | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily AAPL Bear 1X Shares | 29,576,811 | — | — | — | |||||||||||||||
Direxion Daily AMZN Bear 1X Shares | 6,443,868 | — | — | — | |||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | 4,993,679 | — | — | — | |||||||||||||||
Direxion Daily MSFT Bear 1X Shares | 7,542,486 | — | — | — | |||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 44,696,469 | — | — | — | |||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 18,281,151 | 363,259 | — | 363,259 | |||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | 20,559,672 | 347,348 | — | 347,348 | |||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 15,853,891 | 255,492 | — | 255,492 | |||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | 17,646,116 | 464,507 | — | 464,507 | |||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | 525,722,481 | — | (8,637,129 | ) | (8,637,129 | ) | |||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 70,625,952 | — | (114,973 | ) | (114,973 | ) | |||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 329,371,361 | — | (5,585,560 | ) | (5,585,560 | ) | |||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 226,720,802 | 11,794,566 | (4,035,910 | ) | 7,758,656 | ||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 132,363,793 | — | (10,251,654 | ) | (10,251,654 | ) | |||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 62,573,446 | — | (2,765,791 | ) | (2,765,791 | ) | |||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 7,740,586 | 168,585 | (1,843,461 | ) | (1,674,876 | ) | |||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 5,068,318 | 88,651 | (339,646 | ) | (250,995 | ) | |||||||||||||
Direxion Daily Energy Bull 2X Shares | 359,503,448 | 58,460,892 | (484,712 | ) | 57,976,180 | ||||||||||||||
Direxion Daily Energy Bear 2X Shares | 30,042,848 | — | — | — | |||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 5,180,031 | — | (604,728 | ) | (604,728 | ) | |||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 521,837,644 | 34,215,799 | — | 34,215,799 |
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Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | $ | 142,467,905 | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 301,813,988 | 6,521,112 | — | 6,521,112 | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 110,841,192 | — | — | — | |||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 10,898,614 | 576,855 | (173,700 | ) | 403,155 | ||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 19,968,236 | 29,872 | — | 29,872 | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 674,797,345 | 8,733,382 | (32,918,912 | ) | (24,185,530 | ) | |||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 72,472,949 | — | — | — | |||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 23,096,492 | 538,401 | (2,871,094 | ) | (2,332,693 | ) |
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, 2022.
At October 31, 2022, these Funds deferred, on a tax basis, qualified late year losses of:
Funds | Ordinary Late Year Loss Deferral | ||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | $ | 870,301 | |||||
Direxion Daily Cloud Computing Bull 2X Shares | 42,215 | ||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 5,653 | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 1,654,482 | ||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 11,432 | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 546,028 | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 52,446 | ||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 77,306 |
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, 2022, 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 S&P 500® Bear 1X Shares | $ | (18,757,644 | ) | $ | 37,721,054 | $ | — | ||||||||
Direxion Daily AAPL Bear 1X Shares | — | — | — | ||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | — | — | ||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | 8 | — | ||||||||||||
Direxion Daily MSFT Bear 1X Shares | — | — | — | ||||||||||||
Direxion Daily TSLA Bear 1X Shares | — | — | — | ||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | — | 36,308 | — | ||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | — | 2,163 | — | ||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | — | 2,800 | — | ||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | — | 3,581 | — | ||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | — | — | — | ||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | — | 9,444,885 | 2,085,092 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | 192,279,994 | — | ||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | 10,488,679 | — | ||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | (1,383,050 | ) | 421,558,341 | 1,116,253 | |||||||||||
Direxion Daily MSCI India Bull 2X Shares | — | — | — | ||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | — | 3,807,087 | 542,993 | ||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | — | 68,987 | — |
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Funds | Utilized in Current Year | Unlimited ST | Unlimited LT | ||||||||||||
Direxion Daily Energy Bull 2X Shares | $ | (221,757,766 | ) | $ | 28,636,863 | $ | 42,651,859 | ||||||||
Direxion Daily Energy Bear 2X Shares | — | 169,207,601 | — | ||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | — | 2,236,868 | — | ||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | — | 1,196,796,131 | 604,575,511 | ||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | (19,521,131 | ) | 616,818,792 | — | |||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | — | 1,303,597,331 | 103,726,120 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | (28,616,502 | ) | 182,627,722 | — | |||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | — | 3,369,884 | 345,826 | ||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | — | 11,280,447 | 1,410,918 | ||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | (251,412,275 | ) | — | — | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | 188,545,238 | — | ||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | — | 8,238,677 | 375,507 |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of April 30, 2023, open U.S. Federal and state income tax years include the tax years ended October 31, 2020 through October 31, 2022. 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." The number of shares in a Creation Unit for each respective Fund is as follows:
Fund | Number of Shares per Creation Unit | ||||||
Direxion Daily S&P 500® Bear 1X Shares | 50,000 | shares | |||||
Direxion Daily AAPL Bear 1X Shares | 25,000 | shares | |||||
Direxion Daily AMZN Bear 1X Shares | 25,000 | shares | |||||
Direxion Daily GOOGL Bear 1X Shares | 25,000 | shares | |||||
Direxion Daily MSFT Bear 1X Shares | 25,000 | shares | |||||
Direxion Daily TSLA Bear 1X Shares | 25,000 | shares | |||||
Direxion Daily AAPL Bull 1.5X Shares | 25,000 | shares | |||||
Direxion Daily AMZN Bull 1.5X Shares | 25,000 | shares | |||||
Direxion Daily GOOGL Bull 1.5X Shares | 25,000 | shares | |||||
Direxion Daily MSFT Bull 1.5X Shares | 25,000 | shares | |||||
Direxion Daily TSLA Bull 1.5X Shares | 25,000 | shares | |||||
Direxion Daily CSI China A Share Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily S&P 500® Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily MSCI Brazil Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily MSCI India Bull 2X Shares | 50,000 | shares | |||||
Direxion Cloud Computing Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Energy Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Energy Bear 2X Shares | 50,000 | shares | |||||
Direxion Daily Global Clean Energy Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Gold Miners Index Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Gold Miners Index Bear Shares | 50,000 | shares | |||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 50,000 | shares |
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Fund | Number of Shares per Creation Unit | ||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 50,000 | shares | |||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 50,000 | shares | |||||
Direxion Daily Travel & Vacation Bull 2X Shares | 50,000 | shares |
Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in creation units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees payable to the Trust are imposed to compensate the Trust for the transfer and other transaction costs of a Fund associated with the issuance and redemption of creation units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is applicable to each creation or redemption transaction, regardless of the number of creation units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each creation unit purchased or redeemed is applicable to each creation or redemption transaction. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2023. 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 S&P 500® Bear 1X Shares | $ | — | $ | — | $ | — | $ | — | |||||||||||
Direxion Daily AAPL Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSFT Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily TSLA Bear 1X Shares | — | — | — | — | |||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | 150,829 | 288,555 | 1,968,802 | 201,293 | |||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | — | — | 3,624,493 | 786,526 | |||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 323,247 | 508,968 | 2,753,273 | 655,483 | |||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | 889,529 | 110,432 | 1,878,380 | 375,358 | |||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | 43,100,804 | 33,107,306 | 113,300,824 | 26,131,769 | |||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 23,853,070 | 5,151,739 | 18,955,594 | 7,278,447 | |||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 208,557,609 | 178,467,110 | 140,814,351 | 139,052,966 | |||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | 109,339,869 | 75,585,009 | 154,321,420 | 33,698,424 | |||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 12,015,202 | — | 81,159,052 | 77,228,262 | |||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 2,153,450 | 5,832,367 | 10,995,249 | 2,390,739 | |||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 674,192 | 1,913,320 | 1,245,895 | 1,053,810 | |||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 1,792,147 | 3,531,717 | 5,132,882 | 1,309,527 | |||||||||||||||
Direxion Daily Energy Bull 2X Shares | 8,951,493 | 163,217,276 | 169,489,840 | 119,136,929 | |||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 1,209,399 | 720,849 | — | — | |||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 209,377,100 | 155,294,295 | 194,999,289 | 237,266,055 | |||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 121,221,250 | 71,052,065 | 130,751,422 | 175,898,476 | |||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 3,559,983 | 7,714,811 | 2,080,434 | 4,433,895 |
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Funds | Purchases | Sales | Purchases In-Kind | Sales In-Kind | |||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | $ | — | $ | — | $ | 4,736,610 | $ | 619,416 | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 53,607,086 | 130,042,061 | 306,816,729 | 235,411,578 | |||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 5,863,267 | 1,738,787 | 1,071,309 | 9,684,711 |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2023.
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 S&P 500® Bear 1X Shares | 0.35 | % | |||||
Direxion Daily AAPL Bear 1X Shares | 0.75 | % | |||||
Direxion Daily AMZN Bear 1X Shares | 0.75 | % | |||||
Direxion Daily GOOGL Bear 1X Shares | 0.75 | % | |||||
Direxion Daily MSFT Bear 1X Shares | 0.75 | % | |||||
Direxion Daily TSLA Bear 1X Shares | 0.75 | % | |||||
Direxion Daily AAPL Bull 1.5X Shares | 0.75 | % | |||||
Direxion Daily AMZN Bull 1.5X Shares | 0.75 | % | |||||
Direxion Daily GOOGL Bull 1.5X Shares | 0.75 | % | |||||
Direxion Daily MSFT Bull 1.5X Shares | 0.75 | % | |||||
Direxion Daily TSLA Bull 1.5X Shares | 0.75 | % | |||||
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 MSCI Brazil Bull 2X Shares | 0.75 | % | |||||
Direxion Daily MSCI India Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Cloud Computing Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Energy Bull 2X Shares | 0.75 | % | |||||
Direxion Daily Energy Bear 2X Shares | 0.75 | % | |||||
Direxion Daily Global Clean Energy Bull 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 NYSE FANG+ Bull 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 Daily Travel & Vacation Bull 2X Shares | 0.75 | % |
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse the Funds' operating expenses to the extent that they exceed the following rates multiplied by the Fund's
DIREXION SEMI-ANNUAL REPORT
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respective average daily net assets at least until September 1, 2024. 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 S&P 500® Bear 1X Shares | 0.45 | % | |||||
Direxion Daily AAPL Bear 1X Shares | 0.95 | % | |||||
Direxion Daily AMZN Bear 1X Shares | 0.95 | % | |||||
Direxion Daily GOOGL Bear 1X Shares | 0.95 | % | |||||
Direxion Daily MSFT Bear 1X Shares | 0.95 | % | |||||
Direxion Daily TSLA Bear 1X Shares | 0.95 | % | |||||
Direxion Daily AAPL Bull 1.5X Shares | 0.95 | % | |||||
Direxion Daily AMZN Bull 1.5X Shares | 0.95 | % | |||||
Direxion Daily GOOGL Bull 1.5X Shares | 0.95 | % | |||||
Direxion Daily MSFT Bull 1.5X Shares | 0.95 | % | |||||
Direxion Daily TSLA Bull 1.5X Shares | 0.95 | % | |||||
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 S&P 500® Equal Weight 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 Cloud Computing Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Energy Bull 2X Shares | 0.95 | % | |||||
Direxion Daily Energy Bear 2X Shares | 0.95 | % | |||||
Direxion Daily Global Clean Energy Bull 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 NYSE FANG+ Bull 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 | % | |||||
Direxion Daily Travel & Vacation Bull 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, 2023 | October 31, 2024 | October 31, 2025 | April 30, 2026 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | $ | — | $ | 121,632 | $ | 99,197 | $ | 69,822 | $ | 205,822 | $ | 121,632 | $ | 496,473 | |||||||||||||||||
Direxion Daily AAPL Bear 1X Shares | 1,425 | 711 | — | — | 17,730 | 711 | 18,441 | ||||||||||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | 7,311 | — | — | 19,009 | 7,311 | 26,320 | ||||||||||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | 8,168 | — | — | 19,064 | 8,168 | 27,232 | ||||||||||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | — | 8,345 | — | — | 19,028 | 8,345 | 27,373 | ||||||||||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | 12,098 | 369 | — | — | 8,232 | 369 | 8,601 | ||||||||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | — | 4,496 | — | — | 19,339 | 4,496 | 23,835 | ||||||||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | 137 | 2,811 | — | — | 19,131 | 2,811 | 21,942 | ||||||||||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 1 | 5,098 | — | — | 19,204 | 5,098 | 24,302 | ||||||||||||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | — | 6,818 | — | — | 19,082 | 6,818 | 25,900 |
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2023 | October 31, 2024 | October 31, 2025 | April 30, 2026 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | $ | 19,885 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 1 | 1 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | — | 34,949 | 25,174 | 35,971 | 50,190 | 34,949 | 146,284 | ||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | — | 19,387 | — | 17,799 | 33,849 | 19,387 | 71,035 | ||||||||||||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | — | 21,359 | — | — | 34,238 | 21,359 | 55,597 | ||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares | 275 | 2,107 | 15,757 | 11,909 | 13,901 | 2,107 | 43,674 | ||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | — | 20,912 | — | 19,710 | 40,638 | 20,912 | 81,260 | ||||||||||||||||||||||||
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 NYSE FANG+ Bull 2X Shares | — | 9,764 | — | 15,183 | 22,305 | 9,764 | 47,252 | ||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | — | 8,594 | 24,009 | 248 | 14,498 | 8,594 | 47,349 | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 1,544 | 228 | 19,939 | 2,524 | 9,715 | 228 | 32,406 | ||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | — | 5,991 | — | 13,991 | 12,058 | 5,991 | 32,040 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2023, is presented on the Statement of Assets and Liabilities as Due from (to) Adviser, net.
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The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair valuation accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' investments at April 30, 2023:
Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | $ | — | $ | — | $ | 441,430,036 | $ | — | $ | (13,324,028 | ) | ||||||||||||
Direxion Daily AAPL Bear 1X Shares | — | — | 29,576,811 | — | (2,553,201 | ) | |||||||||||||||||
Direxion Daily AMZN Bear 1X Shares | — | — | 6,443,868 | — | (369,511 | ) | |||||||||||||||||
Direxion Daily GOOGL Bear 1X Shares | — | — | 4,993,679 | — | (367,719 | ) | |||||||||||||||||
Direxion Daily MSFT Bear 1X Shares | — | — | 7,542,486 | — | (813,740 | ) | |||||||||||||||||
Direxion Daily TSLA Bear 1X Shares | — | — | 44,696,469 | 4,212,482 | — | ||||||||||||||||||
Direxion Daily AAPL Bull 1.5X Shares | — | 3,429,233 | 15,215,177 | 3,368,887 | — | ||||||||||||||||||
Direxion Daily AMZN Bull 1.5X Shares | — | 4,553,120 | 16,353,900 | 731,975 | (22,773 | ) | |||||||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | — | 3,027,739 | 13,081,644 | 2,322,173 | — | ||||||||||||||||||
Direxion Daily MSFT Bull 1.5X Shares | — | 3,487,401 | 14,623,222 | 2,113,209 | — | ||||||||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | — | 104,914,235 | 412,171,117 | — | (81,043,914 | ) | |||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 33,532,859 | — | 36,978,120 | 199,778 | (614,617 | ) | |||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 139,967,117 | — | 183,818,684 | — | (41,028,993 | ) |
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Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | $ | — | $ | 210,557,204 | $ | 23,922,254 | $ | 8,558,752 | $ | — | |||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 49,887,786 | — | 72,224,353 | 3,486,004 | (2,128,224 | ) | |||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares | 25,769,699 | — | 34,037,956 | 836,039 | (4,068,671 | ) | |||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | — | 5,122,823 | 942,887 | 25,231 | (14,276 | ) | |||||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | — | 3,829,066 | 988,257 | — | (503,539 | ) | |||||||||||||||||
Direxion Daily Energy Bull 2X Shares | — | 295,146,599 | 122,333,029 | 8,012,720 | (3,100,805 | ) | |||||||||||||||||
Direxion Daily Energy Bear 2X Shares | — | — | 30,042,848 | 368,646 | — | ||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 3,327,031 | — | 1,248,272 | — | (355,028 | ) | |||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 274,504,209 | — | 281,549,234 | 100,735,209 | — | ||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | — | 142,467,905 | 532,041 | (8,878,410 | ) | |||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 126,249,220 | — | 182,085,880 | 51,480,231 | — | ||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | — | 110,841,192 | 2,778,810 | (6,452,443 | ) | |||||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | — | 3,929,810 | 7,371,959 | 1,696,730 | — | ||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 11,441,786 | — | 8,556,322 | 2,435,052 | — | ||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | — | 345,752,706 | 304,859,109 | 7,575,836 | (42,579,075 | ) | |||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | — | 72,472,949 | 8,064,575 | — | ||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | — | 13,878,814 | 6,884,985 | 761,834 | (71,718 | ) |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, and b) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
There were no Level 3 securities held by the Funds during the period ended April 30, 2023.
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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 April 30, 2023, the Funds were invested in swap contracts. At April 30, 2023, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 | |||||||||||
Swap Contracts Fund | Equity Risk | Total | |||||||||
Direxion Daily TSLA Bear 1X Shares | $ | 4,212,482 | $ | 4,212,482 | |||||||
Direxion Daily AAPL Bull 1.5X Shares | 3,368,887 | 3,368,887 | |||||||||
Direxion Daily AMZN Bull 1.5X Shares | 731,975 | 731,975 | |||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 2,322,173 | 2,322,173 | |||||||||
Direxion Daily MSFT Bull 1.5X Shares | 2,113,209 | 2,113,209 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 199,778 | 199,778 | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 8,558,752 | 8,558,752 | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 3,486,004 | 3,486,004 | |||||||||
Direxion Daily MSCI India Bull 2X Shares | 836,039 | 836,039 | |||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 25,231 | 25,231 | |||||||||
Direxion Daily Energy Bull 2X Shares | 8,012,720 | 8,012,720 | |||||||||
Direxion Daily Energy Bear 2X Shares | 368,646 | 368,646 | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 100,735,209 | 100,735,209 | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 532,041 | 532,041 | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 51,480,231 | 51,480,231 | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 2,778,810 | 2,778,810 | |||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 1,696,730 | 1,696,730 | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 2,435,052 | 2,435,052 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 7,575,836 | 7,575,836 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 8,064,575 | 8,064,575 | |||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 761,834 | 761,834 | |||||||||
Liability Derivatives2 | |||||||||||
Swap Contracts Fund | Equity Risk | Total | |||||||||
Direxion Daily S&P 500® Bear 1X Shares | $ | 13,324,028 | $ | 13,324,028 | |||||||
Direxion Daily AAPL Bear 1X Shares | 2,553,201 | 2,553,201 | |||||||||
Direxion Daily AMZN Bear 1X Shares | 369,511 | 369,511 | |||||||||
Direxion Daily GOOGL Bear 1X Shares | 367,719 | 367,719 | |||||||||
Direxion Daily MSFT Bear 1X Shares | 813,740 | 813,740 | |||||||||
Direxion Daily AMZN Bull 1.5X Shares | 22,773 | 22,773 | |||||||||
Direxion Daily TSLA Bull 1.5X Shares | 81,043,914 | 81,043,914 | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 614,617 | 614,617 | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 41,028,993 | 41,028,993 | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 2,128,224 | 2,128,224 | |||||||||
Direxion Daily MSCI India Bull 2X Shares | 4,068,671 | 4,068,671 | |||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 14,276 | 14,276 | |||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 503,539 | 503,539 | |||||||||
Direxion Daily Energy Bull 2X Shares | 3,100,805 | 3,100,805 | |||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 355,028 | 355,028 | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 8,878,410 | 8,878,410 | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 6,452,443 | 6,452,443 | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 42,579,075 | 42,579,075 | |||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 71,718 | 71,718 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
DIREXION SEMI-ANNUAL REPORT
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Transactions in derivative instruments during the period ended April 30, 2023, by primary risk, were as follows:
Net Realized Gain (Loss)1 | Net Unrealized Appreciation/ (Depreciation)2 | ||||||||||||||
Fund | Equity Risk | Equity Risk | |||||||||||||
Direxion Daily S&P 500® Bear 1X Shares | Swap Contracts | $ | (70,420,391 | ) | $ | 23,537,273 | |||||||||
Direxion Daily AAPL Bear 1X Shares | Swap Contracts | (1,450,995 | ) | (2,938,128 | ) | ||||||||||
Direxion Daily AMZN Bear 1X Shares | Swap Contracts | 103,910 | (842,954 | ) | |||||||||||
Direxion Daily GOOGL Bear 1X Shares | Swap Contracts | (237,482 | ) | (730,511 | ) | ||||||||||
Direxion Daily MSFT Bear 1X Shares | Swap Contracts | (594,277 | ) | (1,069,399 | ) | ||||||||||
Direxion Daily TSLA Bear 1X Shares | Swap Contracts | (13,539,244 | ) | 3,020,473 | |||||||||||
Direxion Daily AAPL Bull 1.5X Shares | Swap Contracts | (894,447 | ) | 3,480,555 | |||||||||||
Direxion Daily AMZN Bull 1.5X Shares | Swap Contracts | 852,649 | 1,566,467 | ||||||||||||
Direxion Daily GOOGL Bull 1.5X Shares | Swap Contracts | (727,326 | ) | 2,861,409 | |||||||||||
Direxion Daily MSFT Bull 1.5X Shares | Swap Contracts | 980,346 | 2,413,115 | ||||||||||||
Direxion Daily TSLA Bull 1.5X Shares | Swap Contracts | 20,250,967 | (63,024,380 | ) | |||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | Swap Contracts | (1,137,026 | ) | 16,735,143 | |||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | Swap Contracts | 50,071,269 | 43,594,921 | ||||||||||||
Direxion Daily S&P 500® Bull 2X Shares | Swap Contracts | 1,441,687 | 6,050,314 | ||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | Swap Contracts | (7,518,684 | ) | (14,101,859 | ) | ||||||||||
Direxion Daily MSCI India Bull 2X Shares | Swap Contracts | 399,230 | (4,546,840 | ) | |||||||||||
Direxion Daily Cloud Computing Bull 2X Shares | Swap Contracts | (690,001 | ) | 67,163 | |||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | Swap Contracts | (915,090 | ) | (466,187 | ) | ||||||||||
Direxion Daily Energy Bull 2X Shares | Swap Contracts | 82,416,538 | (120,317,496 | ) | |||||||||||
Direxion Daily Energy Bear 2X Shares | Swap Contracts | (10,274,373 | ) | 11,198,437 | |||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | Swap Contracts | (87,998 | ) | (190,692 | ) | ||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | Swap Contracts | 55,315,960 | 168,199,991 | ||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | Swap Contracts | (37,359,186 | ) | (23,643,055 | ) | ||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | Swap Contracts | 34,415,091 | 84,728,995 | ||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | Swap Contracts | (53,539,669 | ) | (12,436,023 | ) | ||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | Swap Contracts | (780,045 | ) | 1,641,564 | |||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | Swap Contracts | (654,605 | ) | 4,681,987 | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | Swap Contracts | 134,120,443 | (327,531,863 | ) | |||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | Swap Contracts | (7,466,556 | ) | 30,830,096 | |||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | Swap Contracts | 2,517,574 | (518,772 | ) |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the period ended April 30, 2023, 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 S&P 500® Bear 1X Shares | $ | — | $ | 484,073,738 | |||||||
Direxion Daily AAPL Bear 1X Shares | — | 20,597,388 | |||||||||
Direxion Daily AMZN Bear 1X Shares | — | 6,382,692 | |||||||||
Direxion Daily GOOGL Bear 1X Shares | — | 4,551,021 |
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Quarterly Average Gross Notional Amounts | |||||||||||
Long Total Return Swap Contracts | Short Total Return Swap Contracts | ||||||||||
Direxion Daily MSFT Bear 1X Shares | $ | — | $ | 6,250,230 | |||||||
Direxion Daily TSLA Bear 1X Shares | — | 39,473,536 | |||||||||
Direxion Daily AAPL Bull 1.5X Shares | 14,746,411 | — | |||||||||
Direxion Daily AMZN Bull 1.5X Shares | 19,645,215 | — | |||||||||
Direxion Daily GOOGL Bull 1.5X Shares | 12,380,011 | — | |||||||||
Direxion Daily MSFT Bull 1.5X Shares | 11,161,410 | — | |||||||||
Direxion Daily TSLA Bull 1.5X Shares | 382,168,441 | — | |||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 103,727,482 | — | |||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 460,052,506 | — | |||||||||
Direxion Daily S&P 500® Bull 2X Shares | 116,272,649 | — | |||||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 207,279,959 | — | |||||||||
Direxion Daily MSCI India Bull 2X Shares | 83,716,244 | — | |||||||||
Direxion Daily Cloud Computing Bull 2X Shares | 8,123,773 | — | |||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 4,395,452 | — | |||||||||
Direxion Daily Energy Bull 2X Shares | 535,889,759 | — | |||||||||
Direxion Daily Energy Bear 2X Shares | — | 68,144,553 | |||||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 5,757,479 | — | |||||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 687,292,999 | — | |||||||||
Direxion Daily Gold Miners Index Bear 2X Shares | — | 230,082,356 | |||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 417,431,843 | — | |||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | — | 210,142,127 | |||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 14,788,168 | — | |||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 23,474,996 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 911,745,532 | — | |||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | — | 167,084,430 | |||||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 27,331,832 | — |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of -100%, 150%, 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
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investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and futures contracts may be used to create leverage. Certain Funds employ leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
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Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
10. ADDITIONAL INFORMATION
On February 13, 2023, shares of the following Fund were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split has no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse stock split is as follows:
Fund | Effective Date | Rate | Net Asset Value Before Split | Net Asset Value After Split | Shares Outstanding Before Split | Shares Outstanding After Split | |||||||||||||||||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | February 13, 2023 | 1 | :10 | $ | 4.18 | $ | 41.80 | 2,800,001 | 280,000 |
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 June 5, 2023, shares of the following Fund were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split has no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse stock split is as follows:
Funds | Effective Date | Rate | Net Asset Value Before Split | Net Asset Value After Split | Shares Outstanding Before Split | Shares Outstanding After Split | |||||||||||||||||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | June 5, 2023 | 1 | :10 | $ | 4.74 | $ | 47.40 | 750,001 | 75,000 |
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On June 20, 2023, certain Funds declared income distributions with an ex-date of June 21, 2023 and payable date of June 28, 2023. The specific Funds and per share amounts of the distributions are listed below.
Funds | Per Share Income Distribution | ||||||
Direxion Daily S&P 500® Bear 1X Shares | $ | 0.26537 | |||||
Direxion Daily AAPL Bear 1X Shares | 0.24297 | ||||||
Direxion Daily AMZN Bear 1X Shares | 0.29372 | ||||||
Direxion Daily GOOGL Bear 1X Shares | 0.27676 | ||||||
Direxion Daily MSFT Bear 1X Shares | 0.18988 | ||||||
Direxion Daily TSLA Bear 1X Shares | 0.18593 | ||||||
Direxion Daily AAPL Bull 1.5X Shares | 0.14031 | ||||||
Direxion Daily AMZN Bull 1.5X Shares | 0.12387 | ||||||
Direxion Daily GOOGL Bull 1.5X Shares | 0.16784 | ||||||
Direxion Daily MSFT Bull 1.5X Shares | 0.17810 | ||||||
Direxion Daily TSLA Bull 1.5X Shares | 0.08326 | ||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | 0.12119 | ||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | 0.17071 | ||||||
Direxion Daily S&P 500® Bull 2X Shares | 0.35060 | ||||||
Direxion Daily MSCI Brazil Bull 2X Shares | 1.10605 | ||||||
Direxion Daily MSCI India Bull 2X Shares | 0.26390 | ||||||
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares | 0.24089 | ||||||
Direxion Daily Energy Bull 2X Shares | 0.46915 | ||||||
Direxion Daily Energy Bear 2X Shares | 0.32407 | ||||||
Direxion Daily Global Clean Energy Bull 2X Shares | 0.08268 | ||||||
Direxion Daily Gold Miners Index Bull 2X Shares | 0.08680 | ||||||
Direxion Daily Gold Miners Index Bear 2X Shares | 0.09820 | ||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares | 0.12809 | ||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares | 0.05175 | ||||||
Direxion Daily NYSE FANG+ Bull 2X Shares | 0.16252 | ||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | 0.02320 | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares | 0.93244 | ||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares | 0.12248 | ||||||
Direxion Daily Travel & Vacation Bull 2X Shares | 0.02305 |
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Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
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Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested 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(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Daniel D. O'Neill(1) Age: 55 | Chairman of the Board of Trustees | Lifetime of Trust until removal or resignation; Since 2008 | Chief Executive Officer, Rafferty Asset Management, LLC, April 2021 – September 2022; Managing Director, Rafferty Asset Management, LLC, January 1999 – January 2019. | 118 | None. | ||||||||||||||||||
Angela Brickl(2) Age: 47 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Chief Executive Officer, Rafferty Asset Management, LLC since September 2022; Chief Operating Officer, Rafferty Asset Management, LLC May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, September 2012 – March 2023. | 118 | None. |
(1) Mr. O'Neill is affiliated with Rafferty because he owns a beneficial interest in Rafferty.
(2) Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
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(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
David L. Driscoll Age: 53 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Board Member, Algorithmic Research and Trading, since 2022; Board Advisor, University Common Real Estate, since 2012; Member, Kendrick LLC, since 2006; Partner, King Associates, LLP, since 2004; Principal, Grey Oaks LLP, since 2003. | 118 | None. | ||||||||||||||||||
Kathleen M. Berkery Age: 55 | Trustee | Lifetime of Trust until removal or resignation; Since 2019 | Chief Financial Officer, Metro Physical Therapy, LLC, since 2023; Chief Financial Officer, Student Sponsor Partners, 2021 – 2023; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, 2018 – 2021. | 118 | None. | ||||||||||||||||||
Carlyle Peake Age: 51 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011. | 118 | None. | ||||||||||||||||||
Mary Jo Collins Age: 66 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Managing Director, B. Riley Financial, March – December 2022; Managing Director, Imperial Capital LLC, from 2020 – 2022; Director, Royal Bank of Canada, 2014 – 2020. | 118 | None. |
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and Age | Position(s) Held with Fund | Term of Office(2) and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Angela Brickl(1) Age: 47 | Chief Executive Officer | Since 2022 | Chief Executive Officer, Rafferty Asset Management, LLC, from September 2022; Chief Operating Officer, Rafferty Asset Management, LLC, May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, September 2012 – March 2023. | N/A | N/A | ||||||||||||||||||
Todd Sherman Age: 42 | Chief Compliance Officer | Since 2023 | Chief Risk Officer, Rafferty Asset Management, LLC, since 2018; SVP Head of Risk, 2012 – 2018. | N/A | N/A | ||||||||||||||||||
Patrick J. Rudnick Age: 49 | Principal Executive Officer | Since 2018 | Senior Vice President, Rafferty Asset Management, LLC, since March 2013. | N/A | N/A | ||||||||||||||||||
Corey Noltner Age: 34 | Principal Financial Officer | Since 2021 | Senior Business Analyst, Rafferty Asset Management, LLC, Since October 2015. | N/A | N/A |
(1) Ms. Brickl serves on the Board of Trustees of the Direxion Funds and Direxion Shares ETF Trust.
(2) Pursuant to the Trust's By-laws, each officer shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, removal or resignation. Officers serve at the pleasure of the Board of Trustees and may be removed at any time with or without cause.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age | Position(s) Held with Fund | Term of Office(2) and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Alyssa Sherman Age: 34 | Secretary | Since 2022 | Assistant General Counsel, Rafferty Asset Management, LLC, since April 2021; Associate, K&L Gates LLP, September 2015 – March 2021. | N/A | N/A |
(2) Pursuant to the Trust's By-laws, each officer shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, removal or resignation. Officers serve at the pleasure of the Board of Trustees and may be removed at any time with or without cause.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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SEMI–ANNUAL REPORT APRIL 30, 2023
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxion.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
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' website, www.direxioninvestments.com or by calling (800) 851-0511.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2023
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxion.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 Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Real Estate Bull 3X Shares | Direxion Daily Real Estate Bear 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.
Table of Contents
Letter to Shareholders | 4 | ||||||
Expense Example | 13 | ||||||
Allocation of Portfolio Holdings | 16 | ||||||
Schedules of Investments | 17 | ||||||
Statements of Assets and Liabilities | 83 | ||||||
Statements of Operations | 93 | ||||||
Statements of Changes in Net Assets | 103 | ||||||
Financial Highlights | 123 | ||||||
Notes to the Financial Statements | 131 | ||||||
Supplemental Information | 168 | ||||||
Trustees and Officers | 169 |
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Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange-traded funds (the "ETFs") covers the period from November 1, 2022 to April 30, 2023 (the "Semi-Annual Period").
Market Review:
The Semi-Annual Period was filled with volatility in the equity markets as inflation, the Russia-Ukraine war, China's zero-Covid policy and the banking crisis were top of mind for many investors. In the fourth quarter of 2022, the S&P 500® Index was down nearly 20%, although earnings grew. 2023 started out on a stronger note as equity markets rallied in January, but market sentiment in February was much more bearish on the heels of a higher-than expected Consumer Price Index (CPI) reading, confirming inflation is stickier than once anticipated. Through the end of 2022, tech was out of favor, while the energy sector provided a beacon of light. However, in 2023, that trend reversed, and tech outperformed energy, as well as the rest of the market, for most of the first part of this year. China effectively ended their zero-Covid policy in December, causing Chinese and Chinese-adjacent equities to rally. The Russia-Ukraine war waged on, but January through April saw global supply chain improvement. Domestically, despite high inflation and a weak dollar, the labor market remained tight throughout the Semi-Annual Period. In early March, three regional banks collapsed one after another, beginning with Silicon Valley Bank, causing the financials segment of the S&P 500® Index to fall nearly 10% in March. Some fears around the banking sector, specifically smaller banks, bled into April. In summary, the Semi-Annual Period began, and ended, with recessionary fears, inflation and uncertainty surrounding the market environment.
All eyes were on the Federal Reserve during the Semi-Annual Period as it attempted to combat inflation and market volatility. As the Federal Reserve conducted a series of rate hikes, Treasury yields peaked in November, and started to go down in the latter half of November and December. Generally, short-term yields tended to be higher than long-term yields, and high yield modestly outperformed investment grade. In fact, bonds outperformed stocks in 2022, which is extremely rare, although both ended 2022 in the red. Inflation started to come down in January, and the Federal Reserve reduced rate hikes from 50 bps to 25 bps on February 1. Similar to equities, the fixed income market rallied in January as headline CPI ticked down. However, the February CPI reading was higher-than-expected, prompting markets to anticipate further hawkish monetary policy. The banking collapse also influenced the fixed income market, causing interest rate expectations to decrease and lending standards to tighten. Although the yield curve remains inverted, it is much less inverted than it was at the beginning of the Semi-Annual Period. U.S. high yield and U.S. corporate bonds provided the best returns in the first quarter of 2023, but the bond market remained at historically high volatility levels.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 300% or -300% of the performance of a particular benchmark. All ETF returns are NAV (net asset value) returns.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods 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%, before fees and expenses, of the daily performance of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
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The Funds with the word "Bear" in their name (the "Bear ETFs"), attempt to provide investment results that correlate to -300%, before fees and expenses, of the daily performance 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. 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.
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 daily 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 SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies
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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 MidCap 400® Index. The S&P MidCap 400® Index is a float-adjusted market capitalization weighted index that attempts to measure the performance of 400 mid-sized companies in the United States. For the Semi-Annual Period, the S&P MidCap 400® Index returned 3.24%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Mid Cap Bull 3X Shares returned -2.32%, while the model indicated an expected return of 3.17%.
The Direxion Daily S&P 500® Bull 3X Shares and the Direxion Daily S&P 500® 3X Bear Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® Index. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The Index is a float-adjusted, market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned 8.63%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® Bull 3X Shares returned 15.56%, while the model indicated an expected return of 21.98%. The Direxion Daily S&P 500® Bear 3X Shares returned -23.93%, while the model indicated an expected return of -29.70%.
The Direxion Daily Small Cap Bull 3X Shares and the Direxion Daily Small Cap Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 2000® Index. The Russell 2000® Index measures the performance of approximately 2,000 small-capitalization companies in the Russell 3000® Index, based on a combination of their market capitalization and current index membership. For the Semi-Annual Period, the Russell 2000® Index returned -3.45%. 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 ETFs. The Direxion Daily Small Cap Bull 3X Shares returned -21.04%, while the model indicated an expected return of -16.67%. The Direxion Daily Small Cap Bear 3X Shares returned 2.95%, while the model indicated an expected return of -4.89%.
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
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have a higher representation in the index. Index constituents are screened for liquidity and weightings and are capped to prevent the index from being overly concentrated in any one stock. For the Semi-Annual Period, the FTSE China 50 Index returned 38.05%. 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 108.32%, while the model indicated an expected return of 120.48%. The Direxion Daily FTSE China Bear 3X Shares returned -72.20%, while the model indicated an expected return of -74.26%.
The Direxion Daily FTSE Europe Bull 3X Shares seeks to provide 300% of the daily return of the FTSE Developed Europe All Cap Index. The FTSE Developed Europe All Cap Index is a market capitalization weighted index that is designed to measure the equity market performance of large-, mid- and small-cap companies in developed markets in Europe. For the Semi-Annual Period, the FTSE Developed Europe All Cap Index returned 28.22%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily FTSE Europe Bull 3X Shares returned 89.05%, while the model indicated an expected return of 99.39%.
The Direxion Daily MSCI Emerging Markets Bull 3X Shares and the Direxion Daily MSCI Emerging Markets Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI Emerging Markets IndexSM. The MSCI Emerging Market IndexSM is a free float-adjusted market capitalization index that is designed to represent the performance of large-and mid-capitalizations securities across 24 emerging markets countries. For the Semi-Annual Period, the MSCI Emerging Market IndexSM returned 16.18% 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 40.90%, while the model indicated an expected return of 49.05%. The Direxion Daily MSCI Emerging Markets Bear 3X Shares returned -38.13%, while the model indicated an expected return of -42.64%.
The Direxion Daily MSCI Mexico Bull 3X Shares seeks to provide 300% of the daily return of the MSCI Mexico IMI 25/50 Index. The MSCI Mexico IMI 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the Mexican equity market, covering approximately 99% of the free float-adjusted market capitalization in Mexico. The index consists of stocks traded primarily on the Mexican Stock Market. For the Semi-Annual Period, the MSCI Mexico IMI 25/50 Index returned 22.85%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily MSCI Mexico Bull 3X Shares returned 64.88%, while the model indicated an expected return of 73.50%.
The Direxion Daily MSCI South Korea Bull 3X Shares seeks to provide 300% of the MSCI Korea 25/50 Index. The MSCI Korea 25/50 Index is designed to measure the performance of the large- and mid-cap segments of the South Korean equity market, covering approximately 85% of the free float-adjusted market capitalization of South Korean issuers. For the Semi-Annual Period, the MSCI Korea 25/50 Index returned 18.50%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily MSCI South Korea Bull 3X Shares returned 41.22%, while the model indicated an expected return of 49.39%.
The Direxion Daily Aerospace & Defense Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Aerospace & Defense Index. The Dow Jones U.S. Select Aerospace & Defense Index is provided by Dow Jones U.S. Index. The index attempts to measure the performance of the aerospace and defense industry of the U.S. equity market. The index provider selects the stocks comprising the index from the aerospace and defense sector on the basis of the float-adjusted, market capitalization-weight of each constituent. Aerospace companies include manufacturers, assemblers and distributors of aircraft and aircraft parts. Defense companies include producers of components and equipment for the defense industry, such as military aircraft, radar equipment and weapons. For the Semi-Annual Period, the Dow Jones U.S. Select Aerospace & Defense Index returned 6.99%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Aerospace & Defense Bull 3X Shares returned 10.87% for the same period, while the model indicated an expected return of 17.14%.
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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 Semi-Annual Period, the Consumer Discretionary Select Sector Index returned 3.24%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Consumer Discretionary Bull 3X Shares returned -5.56% for the same period, while the model indicated an expected return of -0.12%.
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. For the Semi-Annual Period, the Dow Jones Internet Composite Index returned 10.73%. 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 Dow Jones Internet Bull 3X Shares returned 9.43%, while the model indicated an expected return of 15.67%. The Direxion Daily Dow Jones Internet Bear 3X Shares returned -44.34%, while the model indicated an expected return of -48.34%.
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 Financial Select Sector Index. The Financial Select Sector Index is provided by S&P Dow Jones Indices and includes securities of companies from the following industries: Banks; Thrifts & Mortgage Finance; Diversified Financial Services; Consumer Finance; Capital Markets; Insurance; and Mortgage Real Estate Investment Trusts (REITs). For the Semi-Annual Period, the Financial Select Sector 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 Financial Bull 3X Shares returned -14.39%, while the model indicated an expected return of -9.30%. The Direxion Daily Financial Bear 3X Shares returned -0.67%, while the model indicated an expected return of -8.58%.
The Direxion Daily Healthcare Bull 3X Shares seeks to provide 300% of the daily return of the Health Care Select Sector Index. The Health Care Select Sector Index is provided by Standard & Poor's and includes domestic companies from the healthcare sector, which includes the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care technology. For the Semi-Annual Period, the Health Care Select Sector Index returned 1.41%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Healthcare Bull 3X Shares returned -4.03%, while the model indicated an expected return of 1.46%.
The Direxion Daily Homebuilders & Supplies Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Home Construction Index. The Dow Jones U.S. Select Home Construction Index measures U.S companies in the home construction sector that provide a wide range of products and services related to homebuilding, including home construction and producers, sellers and suppliers of building materials, furnishings and fixtures and also home improvement retailers. The index may include large-, mid- or small-capitalization companies. For the Semi-Annual Period, the Dow Jones U.S. Select Home Construction Index returned 35.60%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Homebuilders & Supplies Bull 3X Shares 110.49%, while the model indicated an expected return of 122.19%.
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The Direxion Daily Industrials Bull 3X Shares seeks to provide 300% of the daily return of the Industrials Select Sector Index. The Industrials Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the industrials sector which includes the following industries: aerospace and defense: industry conglomerates; machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction and engineering; trading companies and distributors; airlines; and building products. For the Semi-Annual Period, the Industrials Select Sector Index returned 7.00%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Industrials Bull 3X Shares returned 10.60%, while the model indicated an expected return of 16.90%.
The Direxion Daily Pharmaceutical & Medical Bull 3X Shares seeks to provide 300% of the daily return of the S&P Pharmaceuticals Select Industry Index. The S&P Pharmaceuticals Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard (GICS) pharmaceuticals subindustry. For the Semi-Annual Period, the S&P Pharmaceuticals Select Industry Index returned -0.11%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Pharmaceutical & Medical Bull 3X Shares returned -10.41%, while the model indicated an expected return of -5.27%.
The Direxion Daily Real Estate Bull 3X Shares and the Direxion Daily Real Estate Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Real Estate Select Sector Index. The Real Estate Select Sector Index is provided by S&P Dow Jones Indices and includes securities of companies from the following industries: real estate management and development and real estate investment trusts ("REITs"), excluding mortgage REITs. For the Semi-Annual Period, the Real Estate Select Sector Index returned 4.73%. Given the daily investment objectives of the Real Estate 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 Real Estate ETFs. The Direxion Daily Real Estate Bull 3X Shares returned -0.01%, while the model indicated an expected return of 5.35%. The Direxion Daily Real Estate Bear 3X Shares returned -21.77%, while the model indicated an expected return of -27.46%.
The Direxion Daily Regional Banks Bull 3X Shares seeks to provide 300% of the daily return of the S&P Regional Banks Select Industry Index. The S&P Regional Banks Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard regional banks sub-industry. For the Semi-Annual Period, the S&P Regional Banks Select Industry Index returned -7.46%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Regional Banks Bull 3X Shares returned -76.84%, while the model indicated an expected return of -74.67%.
The Direxion Daily Retail Bull 3X Shares seeks to provide 300% of the daily return of the S&P Retail Select Industry Index. The S&P Retail Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard retail sub-industry. For the Semi-Annual Period, the S&P Retail Select Industry Index returned -1.11%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Retail Bull 3X Shares returned -18.64%, while the model indicated an expected return of -14.12%.
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. For the Semi-Annual Period, the S&P 500® High Beta Index returned 8.26%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance
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of the ETFs. The Direxion Daily S&P 500® High Beta Bull 3X Shares returned 5.60%, while the model indicated an expected return of 11.85%. The Direxion Daily S&P 500® High Beta Bear 3X Shares returned -35.29%, while the model indicated an expected return of -39.81%.
The Direxion Daily S&P Biotech Bull 3X Shares and the Direxion Daily S&P Biotech Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Biotechnology Select Industry Index. The S&P Biotechnology Select Industry Index is provided by Standard & Poor's and includes domestic companies from the biotechnology industry. The index is designed to measure the performance of the biotechnology sub-industry based on the Global Industry Classification Standards. For the Semi-Annual Period, the S&P Biotechnology Select Industry Index returned -2.61%. 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 -24.66%, while the model indicated an expected return of -20.81%. The Direxion Daily S&P Biotech Bear 3X Shares returned -14.93%, while the model indicated an expected return of -21.43%.
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 ICE Semiconductor Index. The ICE Semiconductor Index is a rules-based, modified float-adjusted market capitalization-weighted index that tracks the performance of the thirty largest U.S. listed semiconductor companies. For the Semi-Annual Period, the ICE Semiconductor Index returned 27.21%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Semiconductor Bull 3X Shares returned 61.46%, while the model indicated an expected return of 70.78%. The Direxion Daily Semiconductor Bear 3X Shares returned -65.32%, while the model indicated an expected return of -67.99%.
The Direxion Daily Technology Bull 3X Shares and the Direxion Daily Technology Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Technology Select Sector Index. The Technology Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the technology sector which includes domestic companies from the technology sector which includes the following industries: computers and peripherals; software; diversified telecommunications services; communications equipment; semiconductors and semi-conductor equipment; internet software and services; IT services; electronic equipment, instruments and components; wireless telecommunication services; and office electronics. For the Semi-Annual Period, the Technology Select Sector Index returned 18.63%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Technology Bull 3X Shares returned 42.77%, while the model indicated an expected return of 50.86%. The Direxion Daily Technology Bear 3X Shares returned -47.93%, while the model indicated an expected return of -51.89%.
The Direxion Daily Transportation Bull 3X Shares seeks to provide 300% of the daily return of the S&P Transportation Select Industry FMC Capped Index. The S&P Transportation Select Industry FMC Capped Index is provided by S&P Dow Jones Indices and is designed to measure stocks in the S&P Total Market Index that are included in the GICS transportation sub-industry For the Semi-Annual Period, the S&P Transportation Select Industry FMC Capped Index returned 5.65%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Transportation Bull 3X Shares returned 2.50%, while the model indicated an expected return of 2.87%.
The Direxion Daily Utilities Bull 3X Shares seeks to provide 300% of the daily return of the Utilities Select Sector Index. The Utilities Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the utilities sector which includes the following industries: electric utilities; multi-utilities; water utilities; independent power producers and energy trades; and gas utilities. For the Semi-Annual Period, the Utilities Select Sector Index returned 4.92%. Given the daily investment objectives of the ETF 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 ETF. The Direxion Daily Utilities Bull 3X Shares returned 3.68%, while the model indicated an expected return of 9.52%.
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The Direxion Daily 7-10 Year Treasury Bull 3X Shares and the Direxion Daily 7-10 Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 7-10 Year Bond Index. The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 7-10 Year Bond Index returned 6.98%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 7-10 Year Treasury Bull 3X Shares returned 14.72%, while the model indicated an expected return of 20.49%. The Direxion Daily 7-10 Year Treasury Bear 3X Shares returned -15.36%, while the model indicated and an expected return of -20.78%.
The Direxion Daily 20+ Year Treasury Bull 3X Shares and the Direxion Daily 20+ Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 20+ Year Bond Index. The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 20+ Year Bond Index returned 12.55%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 20+ Year Treasury Bull 3X Shares returned 27.60%, while the model indicated an expected return of 34.92%. The Direxion Daily 20+ Year Treasury Bear 3X Shares returned -32.41%, while the model indicated an expected return of -37.08%.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
Patrick Rudnick | Corey Noltner | ||||||
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
DIREXION SEMI-ANNUAL REPORT
11
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.
SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.
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 ETFs do not attempt to, and should not be expected to; provide returns which are a multiple of the return of their respective underlying 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 each ETF's prospectus.
The views of this letter were those of the Adviser as of April 30, 2023, and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION SEMI-ANNUAL REPORT
12
Expense Example (Unaudited)
April 30, 2023
As a shareholder of the Direxion Shares ETF Trust, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2022 to April 30, 2023).
Actual Expenses
The first line under each Fund in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2022 to April 30, 2023" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the following table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.23 | % | $ | 1,000.00 | $ | 976.80 | $ | 6.03 | |||||||||||
Based on hypothetical 5% return | 1.23 | % | 1,000.00 | 1,018.70 | 6.16 | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.04 | % | 1,000.00 | 1,155.60 | 5.56 | ||||||||||||||
Based on hypothetical 5% return | 1.04 | % | 1,000.00 | 1,019.64 | 5.21 | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.29 | % | 1,000.00 | 760.70 | 5.63 | ||||||||||||||
Based on hypothetical 5% return | 1.29 | % | 1,000.00 | 1,018.40 | 6.46 | ||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.17 | % | 1,000.00 | 789.60 | 5.19 | ||||||||||||||
Based on hypothetical 5% return | 1.17 | % | 1,000.00 | 1,018.99 | 5.86 | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.19 | % | 1,000.00 | 1,029.50 | 5.99 | ||||||||||||||
Based on hypothetical 5% return | 1.19 | % | 1,000.00 | 1,018.89 | 5.96 |
DIREXION SEMI-ANNUAL REPORT
13
Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.29 | % | $ | 1,000.00 | $ | 2,083.20 | $ | 9.86 | |||||||||||
Based on hypothetical 5% return | 1.29 | % | 1,000.00 | 1,018.40 | 6.46 | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.54 | % | 1,000.00 | 278.00 | 4.88 | ||||||||||||||
Based on hypothetical 5% return | 1.54 | % | 1,000.00 | 1,017.16 | 7.70 | ||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.16 | % | 1,000.00 | 1,890.50 | 8.31 | ||||||||||||||
Based on hypothetical 5% return | 1.16 | % | 1,000.00 | 1,019.04 | 5.81 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.18 | % | 1,000.00 | 1,409.00 | 7.05 | ||||||||||||||
Based on hypothetical 5% return | 1.18 | % | 1,000.00 | 1,018.94 | 5.91 | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.46 | % | 1,000.00 | 618.70 | 5.86 | ||||||||||||||
Based on hypothetical 5% return | 1.46 | % | 1,000.00 | 1,017.56 | 7.30 | ||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.68 | % | 1,000.00 | 1,648.80 | 11.03 | ||||||||||||||
Based on hypothetical 5% return | 1.68 | % | 1,000.00 | 1,016.46 | 8.40 | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.28 | % | 1,000.00 | 1,412.20 | 7.66 | ||||||||||||||
Based on hypothetical 5% return | 1.28 | % | 1,000.00 | 1,018.45 | 6.41 | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.27 | % | 1,000.00 | 1,108.70 | 6.64 | ||||||||||||||
Based on hypothetical 5% return | 1.27 | % | 1,000.00 | 1,018.50 | 6.36 | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.14 | % | 1,000.00 | 944.40 | 5.50 | ||||||||||||||
Based on hypothetical 5% return | 1.14 | % | 1,000.00 | 1,019.14 | 5.71 | ||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.19 | % | 1,000.00 | 1,094.30 | 6.18 | ||||||||||||||
Based on hypothetical 5% return | 1.19 | % | 1,000.00 | 1,018.89 | 5.96 | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.76 | % | 1,000.00 | 556.60 | 6.79 | ||||||||||||||
Based on hypothetical 5% return | 1.76 | % | 1,000.00 | 1,016.07 | 8.80 | ||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.18 | % | 1,000.00 | 856.10 | 5.43 | ||||||||||||||
Based on hypothetical 5% return | 1.18 | % | 1,000.00 | 1,018.94 | 5.91 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.20 | % | 1,000.00 | 993.30 | 5.93 | ||||||||||||||
Based on hypothetical 5% return | 1.20 | % | 1,000.00 | 1,018.84 | 6.01 | ||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 959.70 | 5.10 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.45 | % | 1,000.00 | 2,104.90 | 11.16 | ||||||||||||||
Based on hypothetical 5% return | 1.45 | % | 1,000.00 | 1,017.60 | 7.25 | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.15 | % | 1,000.00 | 1,106.00 | 6.00 | ||||||||||||||
Based on hypothetical 5% return | 1.15 | % | 1,000.00 | 1,019.09 | 5.76 | ||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.08 | % | 1,000.00 | 895.90 | 5.08 | ||||||||||||||
Based on hypothetical 5% return | 1.08 | % | 1,000.00 | 1,019.44 | 5.41 | ||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.27 | % | 1,000.00 | 999.90 | 6.30 | ||||||||||||||
Based on hypothetical 5% return | 1.27 | % | 1,000.00 | 1,018.50 | 6.36 |
DIREXION SEMI-ANNUAL REPORT
14
Expense Example (Unaudited)
April 30, 2023
Annualized Expense Ratio | Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During Period* | ||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.30 | % | $ | 1,000.00 | $ | 782.30 | $ | 5.74 | |||||||||||
Based on hypothetical 5% return | 1.30 | % | 1,000.00 | 1,018.35 | 6.51 | ||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.05 | % | 1,000.00 | 231.60 | 3.21 | ||||||||||||||
Based on hypothetical 5% return | 1.05 | % | 1,000.00 | 1,019.59 | 5.26 | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.24 | % | 1,000.00 | 813.60 | 5.58 | ||||||||||||||
Based on hypothetical 5% return | 1.24 | % | 1,000.00 | 1,018.65 | 6.21 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.37 | % | 1,000.00 | 1,056.00 | 6.98 | ||||||||||||||
Based on hypothetical 5% return | 1.37 | % | 1,000.00 | 1,018.00 | 6.85 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.48 | % | 1,000.00 | 647.10 | 6.04 | ||||||||||||||
Based on hypothetical 5% return | 1.48 | % | 1,000.00 | 1,017.46 | 7.40 | ||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.24 | % | 1,000.00 | 753.40 | 5.39 | ||||||||||||||
Based on hypothetical 5% return | 1.24 | % | 1,000.00 | 1,018.65 | 6.21 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.47 | % | 1,000.00 | 850.70 | 6.75 | ||||||||||||||
Based on hypothetical 5% return | 1.47 | % | 1,000.00 | 1,017.51 | 7.35 | ||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.29 | % | 1,000.00 | 1,614.60 | 8.36 | ||||||||||||||
Based on hypothetical 5% return | 1.29 | % | 1,000.00 | 1,018.40 | 6.46 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.15 | % | 1,000.00 | 346.80 | 3.84 | ||||||||||||||
Based on hypothetical 5% return | 1.15 | % | 1,000.00 | 1,019.09 | 5.76 | ||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.16 | % | 1,000.00 | 1,427.70 | 6.98 | ||||||||||||||
Based on hypothetical 5% return | 1.16 | % | 1,000.00 | 1,019.04 | 5.81 | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.56 | % | 1,000.00 | 520.70 | 5.88 | ||||||||||||||
Based on hypothetical 5% return | 1.56 | % | 1,000.00 | 1,017.06 | 7.80 | ||||||||||||||
Direxion Daily Transportation Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.13 | % | 1,000.00 | 1,025.00 | 5.67 | ||||||||||||||
Based on hypothetical 5% return | 1.13 | % | 1,000.00 | 1,019.19 | 5.66 | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.10 | % | 1,000.00 | 1,036.80 | 5.56 | ||||||||||||||
Based on hypothetical 5% return | 1.10 | % | 1,000.00 | 1,019.34 | 5.51 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.99 | % | 1,000.00 | 1,147.20 | 5.27 | ||||||||||||||
Based on hypothetical 5% return | 0.99 | % | 1,000.00 | 1,019.89 | 4.96 | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.24 | % | 1,000.00 | 846.40 | 5.68 | ||||||||||||||
Based on hypothetical 5% return | 1.24 | % | 1,000.00 | 1,018.65 | 6.21 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||
Based on actual fund return | 0.92 | % | 1,000.00 | 1,276.00 | 5.19 | ||||||||||||||
Based on hypothetical 5% return | 0.92 | % | 1,000.00 | 1,020.23 | 4.61 | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | |||||||||||||||||||
Based on actual fund return | 1.42 | % | 1,000.00 | 675.90 | 5.90 | ||||||||||||||
Based on hypothetical 5% return | 1.42 | % | 1,000.00 | 1,017.75 | 7.10 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2022 to April 30, 2023), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
15
Allocation of Portfolio Holdings (Unaudited)
April 30, 2023
Cash* | Common Stocks | Investment Companies | Swaps | Total | |||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | 29 | % | — | 72 | % | (1 | )% | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 14 | % | 76 | % | — | 10 | % | 100 | % | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 103 | % | — | — | (3 | )% | 100 | % | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 40 | % | — | 64 | % | (4 | )% | 100 | % | ||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 86 | % | — | — | 14 | % | 100 | % | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 40 | % | — | 66 | % | (6 | )% | 100 | % | ||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 88 | % | — | — | 12 | % | 100 | % | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 36 | % | — | 43 | % | 21 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 102 | % | — | 3 | % | (5 | )% | 100 | % | ||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 99 | % | — | — | 1 | % | 100 | % | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 25 | % | — | 44 | % | 31 | % | 100 | % | ||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 49 | % | — | 51 | % | 0 | %** | 100 | % | ||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 31 | % | 66 | % | — | 3 | % | 100 | % | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 15 | % | 76 | % | — | 9 | % | 100 | % | ||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 16 | % | 73 | % | — | 11 | % | 100 | % | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 101 | % | — | — | (1 | )% | 100 | % | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 40 | % | 65 | % | — | (5 | )% | 100 | % | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | 88 | % | — | — | 12 | % | 100 | % | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 29 | % | 73 | % | — | (2 | )% | 100 | % | ||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 14 | % | 64 | % | — | 22 | % | 100 | % | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 33 | % | 68 | % | — | (1 | )% | 100 | % | ||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 36 | % | 66 | % | — | (2 | )% | 100 | % | ||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 25 | % | 77 | % | — | (2 | )% | 100 | % | ||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 95 | % | — | — | 5 | % | 100 | % | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 33 | % | 77 | % | — | (10 | )% | 100 | % | ||||||||||||||
Direxion Daily Retail Bull 3X Shares | 40 | % | 69 | % | — | (9 | )% | 100 | % | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 26 | % | 76 | % | — | (2 | )% | 100 | % | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 83 | % | — | — | 17 | % | 100 | % | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 23 | % | 76 | % | — | 1 | % | 100 | % | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 88 | % | — | — | 12 | % | 100 | % | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 12 | % | 76 | % | — | 12 | % | 100 | % | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 94 | % | — | — | 6 | % | 100 | % | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 10 | % | 69 | % | — | 21 | % | 100 | % | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | 117 | % | — | — | (17 | )% | 100 | % | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 31 | % | 72 | % | — | (3 | )% | 100 | % | ||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 31 | % | 64 | % | — | 5 | % | 100 | % | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 20 | % | — | 77 | % | 3 | % | 100 | % | ||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 103 | % | — | — | (3 | )% | 100 | % | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 33 | % | — | 65 | % | 2 | % | 100 | % | ||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 96 | % | — | — | 4 | % | 100 | % |
Allocation of Portfolio Holdings reflects percentages of net assets.
* Cash, cash equivalents and other assets less liabilities.
** Less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
16
Direxion Daily Mid Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares |
| Fair Value | |||||||||
INVESTMENT COMPANIES - 72.4% | |||||||||||
140,843 | iShares Core S&P Mid-Cap ETF (a) | $ | 34,957,232 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $34,828,414) | $ | 34,957,232 | |||||||||
SHORT TERM INVESTMENTS - 25.1% | |||||||||||
Money Market Funds - 25.1% | |||||||||||
7,250,232 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 7,250,232 | ||||||||
4,873,305 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 4,873,305 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,123,537) | $ | 12,123,537 | |||||||||
TOTAL INVESTMENTS (Cost $46,951,951) - 97.5% (c) | $ | 47,080,769 | |||||||||
Other Assets in Excess of Liabilities - 2.5% | 1,216,348 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 48,297,117 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $35,014,016.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.2500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 4,846 | $ | 12,047,558 | $ | (103,495 | ) | ||||||||||||||||||
Total return of S&P MidCap 400® Index | 5.1000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 16,470 | 40,962,355 | (348,356 | ) | ||||||||||||||||||||
Total return of S&P MidCap 400® Index | 5.3400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 11,500 | 28,208,043 | 274,211 | |||||||||||||||||||||
Total return of S&P MidCap 400® Index | 5.2000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 11,329 | 28,269,367 | (397,496 | ) | ||||||||||||||||||||
$ | 109,487,323 | $ | (575,136 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 76.1% | |||||||||||
Accommodation - 0.3% | |||||||||||
12,865 | Caesars Entertainment Inc. (a) | $ | 582,656 | ||||||||
16,000 | Hilton Worldwide Holdings, Inc. | 2,304,320 | |||||||||
42,913 | Host Hotels & Resorts, Inc. | 693,903 | |||||||||
19,684 | Las Vegas Sands Corp. (a) | 1,256,823 | |||||||||
16,156 | Marriott International, Inc. Class A | 2,735,857 | |||||||||
18,869 | MGM Resorts International | 847,596 | |||||||||
8,421,155 | |||||||||||
Administrative and Support Services - 1.9% | |||||||||||
5,240 | Allegion PLC ADR (Ireland) | 578,915 | |||||||||
89,110 | Amcor PLC ADR (United Kingdom) | 977,537 | |||||||||
24,825 | Automatic Data Processing, Inc. | 5,461,500 | |||||||||
2,316 | Booking Holdings, Inc. (a) | 6,221,494 | |||||||||
7,052 | Broadridge Financial Solutions, Inc. | 1,025,432 | |||||||||
7,329 | Equifax, Inc. | 1,527,217 | |||||||||
2,290 | FactSet Research System, Inc. | 942,770 | |||||||||
4,422 | FleetCor Technologies, Inc. (a) | 945,954 | |||||||||
4,709 | Gartner, Inc. (a) | 1,424,284 | |||||||||
17,437 | Iron Mountain, Inc. | 963,220 | |||||||||
8,518 | Live Nation Entertainment, Inc. (a) | 577,350 | |||||||||
9,478 | Moody's Corp. | 2,967,752 | |||||||||
6,470 | Robert Half International, Inc. | 472,310 | |||||||||
13,893 | Rollins, Inc. | 586,979 | |||||||||
97,444 | Visa, Inc. Class A | 22,678,142 | |||||||||
22,306 | Waste Management, Inc. | 3,703,911 | |||||||||
51,054,767 | |||||||||||
Air Transportation - 0.1% | |||||||||||
7,678 | Alaska Air Group, Inc. (a) | 333,686 | |||||||||
39,017 | American Airlines Group, Inc. (a) | 532,192 | |||||||||
38,453 | Delta Air Lines, Inc. (a) | 1,319,322 | |||||||||
35,672 | Southwest Airlines Co. | 1,080,505 | |||||||||
19,594 | United Continental Holdings, Inc. (a) | 858,217 | |||||||||
4,123,922 | |||||||||||
Ambulatory Health Care Services - 0.1% | |||||||||||
3,298 | DaVita, Inc. (a) | 298,007 | |||||||||
5,283 | Laboratory Corp. of America Holdings | 1,197,709 | |||||||||
3,483 | Molina Healthcare, Inc. (a) | 1,037,551 | |||||||||
6,691 | Quest Diagnostics, Inc. | 928,778 | |||||||||
72,733 | Viatris, Inc. | 678,599 | |||||||||
4,140,644 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.5% | |||||||||||
15,764 | Global Payments, Inc. | 1,776,761 | |||||||||
109,580 | The Walt Disney Co. (a) | 11,231,950 | |||||||||
6,172 | Wynn Resorts Ltd. (a) | 705,336 | |||||||||
13,714,047 |
Shares | Fair Value | ||||||||||
Apparel Manufacturing - 0.0% (†) | |||||||||||
2,427 | Ralph Lauren Corp. | $ | 278,595 | ||||||||
19,804 | VF Corp. | 465,592 | |||||||||
744,187 | |||||||||||
Beverage and Tobacco Product Manufacturing - 1.9% | |||||||||||
107,041 | Altria Group, Inc. | 5,085,518 | |||||||||
233,401 | Coca-Cola Co. | 14,972,674 | |||||||||
9,709 | Constellation Brands, Inc. Class A | 2,227,924 | |||||||||
50,924 | Keurig Dr Pepper, Inc. | 1,665,215 | |||||||||
11,304 | Molson Coors Brewing Co. Class B | 672,362 | |||||||||
45,739 | Monster Beverage Corp. (a) | 2,561,384 | |||||||||
82,623 | PepsiCo, Inc. | 15,771,904 | |||||||||
92,944 | Philip Morris International, Inc. | 9,291,612 | |||||||||
52,248,593 | |||||||||||
Broadcasting (except Internet) - 0.1% | |||||||||||
17,791 | FOX Corp. Class A | 591,729 | |||||||||
8,295 | FOX Corp. Class B | 253,329 | |||||||||
30,290 | ViacomCBS, Inc. Class B | 706,666 | |||||||||
1,551,724 | |||||||||||
Broadcasting and Content Providers - 0.5% | |||||||||||
6,283 | Charter Communications, Inc. (a) | 2,316,542 | |||||||||
252,228 | Comcast Corp. Class A | 10,434,672 | |||||||||
15,085 | Dish Network Corp. (a) | 113,288 | |||||||||
132,483 | Warner Bros Discovery, Inc. (a) | 1,803,094 | |||||||||
14,667,596 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 1.0% | |||||||||||
36,285 | Lowe's Companies, Inc. | 7,541,112 | |||||||||
3,210 | Snap-on, Inc. | 832,706 | |||||||||
61,104 | The Home Depot, Inc. | 18,364,196 | |||||||||
26,738,014 | |||||||||||
Chemical Manufacturing - 6.2% | |||||||||||
106,047 | AbbVie, Inc. | 16,025,823 | |||||||||
13,329 | Air Products & Chemicals, Inc. | 3,923,524 | |||||||||
7,026 | Albemarle Corp. | 1,303,042 | |||||||||
32,030 | Amgen, Inc. | 7,678,872 | |||||||||
8,602 | Biogen, Inc. (a) | 2,616,987 | |||||||||
9,465 | Bio-Techne Corp. | 756,064 | |||||||||
127,492 | Bristol-Myers Squibb Co. | 8,512,641 | |||||||||
10,788 | Catalent, Inc. (a) | 540,695 | |||||||||
6,014 | Celanese Corp. | 638,927 | |||||||||
11,756 | CF Industries Holdings, Inc. | 841,495 | |||||||||
14,612 | Church & Dwight Co., Inc. | 1,419,117 | |||||||||
7,383 | Clorox Co. | 1,222,773 | |||||||||
50,133 | Colgate-Palmolive Co. | 4,000,613 | |||||||||
27,485 | DuPont de Nemours, Inc. | 1,916,254 | |||||||||
7,155 | Eastman Chemical Co. | 602,952 | |||||||||
14,855 | Ecolab, Inc. | 2,493,263 | |||||||||
47,330 | Eli Lilly and Company | 18,736,054 | |||||||||
7,509 | FMC Corp. | 927,962 | |||||||||
74,772 | Gilead Sciences, Inc. | 6,147,006 | |||||||||
11,109 | Incyte Corp. (a) | 826,621 | |||||||||
15,267 | International Flavors & Fragrances, Inc. | 1,480,288 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
20,224 | Kimberly-Clark Corp. | $ | 2,930,255 | ||||||||
29,523 | Linde PLC ADR (Ireland) | 10,907,272 | |||||||||
15,214 | LyondellBasell Industries N.V. Class A ADR (Netherlands) | 1,439,397 | |||||||||
152,063 | Merck & Co., Inc. | 17,558,715 | |||||||||
20,420 | Mosaic Co. | 874,997 | |||||||||
15,238 | Organon & Co. | 375,312 | |||||||||
336,606 | Pfizer, Inc. | 13,090,607 | |||||||||
14,077 | PPG Industries, Inc. | 1,974,440 | |||||||||
141,453 | Procter & Gamble Co. | 22,120,420 | |||||||||
6,461 | Regeneron Pharmaceuticals, Inc. (a) | 5,180,365 | |||||||||
8,634 | Sealed Air Corp. | 414,346 | |||||||||
15,414 | Vertex Pharmaceuticals, Inc. (a) | 5,252,012 | |||||||||
4,440 | West Pharmaceutical Services, Inc. | 1,603,906 | |||||||||
27,926 | Zoetis, Inc. | 4,908,832 | |||||||||
171,241,849 | |||||||||||
Clothing and Clothing Accessories Stores - 0.2% | |||||||||||
69,295 | TJX Companies, Inc. | 5,461,832 | |||||||||
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 0.1% | |||||||||||
13,702 | Bath & Body Works, Inc. | 480,940 | |||||||||
20,653 | Ross Stores, Inc. | 2,204,295 | |||||||||
2,685,235 | |||||||||||
Computer and Electronic Product Manufacturing - 15.6% | |||||||||||
96,701 | Advanced Micro Devices, Inc. (a) | 8,642,168 | |||||||||
17,740 | Agilent Technologies, Inc. | 2,402,528 | |||||||||
357,175 | Alphabet, Inc. Class A (a) | 38,339,164 | |||||||||
311,325 | Alphabet, Inc. Class C (a) | 33,691,591 | |||||||||
13,773 | AMETEK, Inc. | 1,899,710 | |||||||||
35,687 | Amphenol Corp. Class A | 2,693,298 | |||||||||
30,401 | Analog Devices, Inc. | 5,468,532 | |||||||||
891,839 | Apple, Inc. | 151,327,241 | |||||||||
14,815 | Arista Networks, Inc. (a) | 2,372,770 | |||||||||
1,260 | Bio-Rad Laboratories, Inc. (a) | 567,995 | |||||||||
25,021 | Broadcom, Inc. | 15,675,656 | |||||||||
246,324 | Cisco Systems, Inc. | 11,638,809 | |||||||||
39,305 | Danaher Corp. | 9,311,748 | |||||||||
8,145 | Enphase Energy, Inc. (a) | 1,337,409 | |||||||||
38,839 | Fortinet, Inc. (a) | 2,448,799 | |||||||||
21,180 | Fortive Corp. | 1,336,246 | |||||||||
21,802 | GE HealthCare Technologies, Inc. (a) | 1,773,375 | |||||||||
14,773 | Hologic, Inc. (a) | 1,270,626 | |||||||||
51,844 | HP, Inc. | 1,540,285 | |||||||||
4,975 | IDEXX Laboratories, Inc. (a) | 2,448,496 | |||||||||
9,467 | Illumina, Inc. (a) | 1,946,036 | |||||||||
248,067 | Intel Corp. | 7,704,961 | |||||||||
54,210 | International Business Machines Corp. | 6,852,686 | |||||||||
10,717 | Keysight Technologies, Inc. (a) | 1,550,107 | |||||||||
11,391 | L3 Harris Technologies, Inc. | 2,222,954 | |||||||||
32,842 | Microchip Technology, Inc. | 2,397,138 | |||||||||
65,420 | Micron Technology, Inc. | 4,210,431 | |||||||||
2,694 | Monolithic Power Systems, Inc. | 1,244,547 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
10,055 | Motorola Solutions, Inc. | $ | 2,930,027 | ||||||||
12,913 | NetApp, Inc. | 812,099 | |||||||||
8,596 | Northrop Grumman Corp. | 3,965,077 | |||||||||
147,492 | NVIDIA Corp. | 40,927,555 | |||||||||
15,567 | NXP Semiconductors NV ADR (Netherlands) | 2,548,941 | |||||||||
25,907 | ON Semiconductor Corp. (a) | 1,864,268 | |||||||||
24,846 | Otis Worldwide Corp. | 2,119,364 | |||||||||
7,527 | PerkinElmer, Inc. | 982,198 | |||||||||
6,021 | Qorvo, Inc. (a) | 554,414 | |||||||||
66,851 | Qualcomm, Inc. | 7,808,197 | |||||||||
87,852 | Raytheon Technologies Corp. | 8,776,415 | |||||||||
6,317 | Roper Technologies, Inc. | 2,872,845 | |||||||||
11,519 | Seagate Technology Holdings PLC ADR (Ireland) | 676,972 | |||||||||
9,561 | Skyworks Solutions, Inc. | 1,012,510 | |||||||||
3,373 | SolarEdge Technologies, Inc. (a) | 963,430 | |||||||||
9,332 | Teradyne, Inc. | 852,758 | |||||||||
54,338 | Texas Instruments, Inc. | 9,085,314 | |||||||||
23,542 | Thermo Fisher Scientific, Inc. | 13,063,456 | |||||||||
14,777 | Trimble, Inc. (a) | 695,997 | |||||||||
3,532 | Waters Corp. (a) | 1,060,871 | |||||||||
19,155 | Western Digital Corp. (a) | 659,698 | |||||||||
3,055 | Zebra Technologies Corp. Class A (a) | 879,932 | |||||||||
429,427,644 | |||||||||||
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 0.2% | |||||||||||
38,078 | Fiserv, Inc. (a) | 4,650,085 | |||||||||
Construction of Buildings - 0.2% | |||||||||||
18,709 | D.R. Horton, Inc. | 2,054,623 | |||||||||
15,193 | Lennar Corp. Class A | 1,713,922 | |||||||||
145 | NVR, Inc. (a) | 846,800 | |||||||||
13,508 | PulteGroup, Inc. | 907,062 | |||||||||
5,522,407 | |||||||||||
Couriers and Messengers - 0.4% | |||||||||||
13,939 | FedEx Corp. | 3,175,026 | |||||||||
43,752 | United Parcel Service, Inc. Class B | 7,867,047 | |||||||||
11,042,073 | |||||||||||
Credit Intermediation and Related Activities - 3.7% | |||||||||||
35,728 | American Express Co. | 5,764,355 | |||||||||
418,565 | Bank of America Corp. | 12,255,583 | |||||||||
44,134 | Bank of New York Mellon Corp. | 1,879,667 | |||||||||
22,896 | Capital One Financial Corp. | 2,227,781 | |||||||||
116,138 | Citigroup, Inc. | 5,466,616 | |||||||||
29,520 | Citizens Financial Group, Inc. | 913,349 | |||||||||
7,854 | Comerica, Inc. | 340,628 | |||||||||
16,003 | Discover Financial Services | 1,655,830 | |||||||||
35,626 | Fidelity National Information Services, Inc. | 2,091,959 | |||||||||
40,980 | Fifth Third Bancorp | 1,073,676 | |||||||||
11,143 | First Republic Bank (b) | 39,112 | |||||||||
86,555 | Huntington Bancshares, Inc. | 969,416 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
175,863 | JPMorgan Chase & Co. | $ | 24,311,301 | ||||||||
55,972 | KeyCorp | 630,245 | |||||||||
10,169 | M&T Bank Corp. | 1,279,260 | |||||||||
50,579 | MasterCard, Inc. Class A | 19,221,537 | |||||||||
12,498 | Northern Trust Corp. | 976,844 | |||||||||
24,088 | PNC Financial Services Group, Inc. | 3,137,462 | |||||||||
55,981 | Regions Financial Corp. | 1,022,213 | |||||||||
20,889 | State Street Corp. | 1,509,439 | |||||||||
26,168 | Synchrony Financial | 772,218 | |||||||||
79,558 | Truist Financial Corp. | 2,592,000 | |||||||||
83,527 | U.S. Bancorp | 2,863,305 | |||||||||
228,484 | Wells Fargo & Co. | 9,082,239 | |||||||||
8,999 | Zions Bancorp | 250,712 | |||||||||
102,326,747 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% | |||||||||||
7,615 | A.O. Smith Corp. | 520,028 | |||||||||
34,233 | Emerson Electric Co. | 2,850,240 | |||||||||
3,815 | Generac Holdings, Inc. (a) | 389,969 | |||||||||
6,850 | Rockwell Automation, Inc. | 1,941,358 | |||||||||
18,972 | TE Connectivity Ltd. ADR (Switzerland) | 2,321,604 | |||||||||
3,276 | Whirlpool Corp. | 457,297 | |||||||||
8,480,496 | |||||||||||
Electronics and Appliance Stores - 0.0% (†) | |||||||||||
11,791 | Best Buy Co., Inc. | 878,665 | |||||||||
Fabricated Metal Product Manufacturing - 0.2% | |||||||||||
18,846 | Ball Corp. | 1,002,230 | |||||||||
15,164 | Nucor Corp. | 2,247,001 | |||||||||
9,846 | Pentair PLC ADR (Ireland) | 571,856 | |||||||||
8,894 | Stanley Black & Decker, Inc. | 767,908 | |||||||||
4,588,995 | |||||||||||
Food and Beverage Stores - 0.1% | |||||||||||
39,068 | Kroger Co. | 1,899,877 | |||||||||
Food Manufacturing - 0.9% | |||||||||||
32,830 | Archer-Daniels-Midland Co. | 2,563,366 | |||||||||
9,008 | Bunge Ltd. ADR | 843,149 | |||||||||
11,997 | Campbell Soup Co. | 651,437 | |||||||||
35,340 | General Mills, Inc. | 3,132,184 | |||||||||
17,379 | Hormel Foods Corp. | 702,807 | |||||||||
15,338 | Kellogg Co. | 1,070,132 | |||||||||
8,596 | Lamb Weston Holdings, Inc. | 961,119 | |||||||||
15,040 | McCormick & Co, Inc. | 1,321,264 | |||||||||
81,754 | Mondelez International, Inc. | 6,272,167 | |||||||||
8,857 | The Hershey Co. | 2,418,492 | |||||||||
6,385 | The J.M. Smucker Co. | 985,908 | |||||||||
47,759 | The Kraft Heinz Co. | 1,875,496 | |||||||||
17,148 | Tyson Foods, Inc. Class A | 1,071,579 | |||||||||
23,869,100 | |||||||||||
Food Services and Drinking Places - 1.0% | |||||||||||
1,666 | Chipotle Mexican Grill, Inc. (a) | 3,444,655 | |||||||||
7,295 | Darden Restaurants, Inc. | 1,108,329 | |||||||||
2,163 | Domino's Pizza, Inc. | 686,688 | |||||||||
43,888 | McDonald's Corp. | 12,979,876 |
Shares | Fair Value | ||||||||||
Food Services and Drinking Places (continued) | |||||||||||
68,882 | Starbucks Corp. | $ | 7,872,524 | ||||||||
16,794 | Yum! Brands, Inc. | 2,360,900 | |||||||||
28,452,972 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.1% | |||||||||||
9,163 | Garmin Ltd. ADR (Switzerland) | 899,532 | |||||||||
13,446 | T. Rowe Price Group, Inc. | 1,510,389 | |||||||||
2,409,921 | |||||||||||
Gasoline Stations - 0.7% | |||||||||||
106,681 | Chevron Corp. | 17,984,283 | |||||||||
General Merchandise Retailers - 2.7% | |||||||||||
534,586 | Amazon.com, Inc. (a) | 56,372,094 | |||||||||
26,615 | Costco Wholesale Corp. | 13,393,200 | |||||||||
12,495 | Dollar Tree, Inc. (a) | 1,920,606 | |||||||||
32,544 | eBay, Inc. | 1,511,018 | |||||||||
7,495 | Etsy, Inc. (a) | 757,220 | |||||||||
73,954,138 | |||||||||||
General Merchandise Stores - 0.7% | |||||||||||
13,411 | Dollar General Corp. | 2,970,000 | |||||||||
27,600 | Target Corp. | 4,353,900 | |||||||||
84,079 | Wal-Mart Stores, Inc. | 12,693,407 | |||||||||
20,017,307 | |||||||||||
Health and Personal Care Retailers - 0.1% | |||||||||||
42,948 | Walgreens Boots Alliance, Inc. | 1,513,917 | |||||||||
Health and Personal Care Stores - 0.3% | |||||||||||
77,017 | CVS Health Corp. | 5,646,116 | |||||||||
3,009 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 1,659,253 | |||||||||
7,305,369 | |||||||||||
Hospitals - 0.1% | |||||||||||
12,715 | HCA Healthcare, Inc. | 3,653,401 | |||||||||
3,853 | Universal Health Services, Inc. Class B | 579,298 | |||||||||
4,232,699 | |||||||||||
Insurance Carriers and Related Activities - 4.6% | |||||||||||
33,553 | Aflac, Inc. | 2,343,677 | |||||||||
15,760 | Allstate Corp. | 1,824,378 | |||||||||
44,543 | American International Group, Inc. | 2,362,561 | |||||||||
12,312 | Aon PLC ADR (United Kingdom) | 4,003,616 | |||||||||
22,198 | Arch Capital Group Ltd. ADR (a) | 1,666,404 | |||||||||
12,721 | Arthur J. Gallagher & Co. | 2,646,731 | |||||||||
3,210 | Assurant, Inc. | 395,247 | |||||||||
108,020 | Berkshire Hathaway, Inc. Class B (a) | 35,489,971 | |||||||||
14,079 | Brown & Brown, Inc. | 906,547 | |||||||||
33,001 | Centene Corp. (a) | 2,274,759 | |||||||||
24,854 | Chubb Limited ADR (Switzerland) | 5,009,572 | |||||||||
17,928 | Cigna Corp. | 4,540,983 | |||||||||
9,461 | Cincinnati Financial Corp. | 1,007,029 | |||||||||
14,337 | Elevance Health, Inc. | 6,719,035 | |||||||||
2,334 | Everest Re Group Ltd. ADR | 882,252 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
5,454 | Globe Life, Inc. | $ | 591,868 | ||||||||
18,891 | Hartford Financial Services Group, Inc. | 1,341,072 | |||||||||
7,462 | Humana, Inc. | 3,958,517 | |||||||||
9,195 | Lincoln National Corp. | 199,807 | |||||||||
11,702 | Loews Corp. | 673,684 | |||||||||
29,680 | Marsh & McLennan Companies, Inc. | 5,348,039 | |||||||||
39,535 | MetLife, Inc. | 2,424,682 | |||||||||
13,635 | Principal Financial Group, Inc. | 1,018,398 | |||||||||
35,108 | Progressive Corp. | 4,788,731 | |||||||||
22,028 | Prudential Financial, Inc. | 1,916,436 | |||||||||
13,871 | Travelers Companies, Inc. | 2,512,593 | |||||||||
55,998 | UnitedHealth Group, Inc. | 27,556,056 | |||||||||
12,231 | W.R. Berkley Corp. | 720,651 | |||||||||
6,392 | Willis Towers Watson PLC ADR (Ireland) | 1,480,387 | |||||||||
126,603,683 | |||||||||||
Leather and Allied Product Manufacturing - 0.4% | |||||||||||
74,703 | NIKE, Inc. Class B | 9,466,364 | |||||||||
14,147 | Tapestry, Inc. | 577,339 | |||||||||
10,043,703 | |||||||||||
Machinery Manufacturing - 1.7% | |||||||||||
50,524 | Applied Materials, Inc. | 5,710,728 | |||||||||
60,317 | Baker Hughes Co. | 1,763,669 | |||||||||
49,993 | Carrier Global Corp. | 2,090,707 | |||||||||
31,187 | Caterpillar, Inc. | 6,823,716 | |||||||||
8,463 | Cummins, Inc. | 1,989,144 | |||||||||
16,221 | Deere & Co. | 6,131,862 | |||||||||
65,353 | General Electric Co. | 6,467,986 | |||||||||
4,506 | IDEX Corp. | 929,678 | |||||||||
24,254 | Ingersoll Rand, Inc. | 1,382,963 | |||||||||
8,053 | Lam Research Corp. | 4,220,416 | |||||||||
1,288 | Mettler-Toledo International, Inc. (a) | 1,921,052 | |||||||||
3,240 | Nordson Corp. | 700,844 | |||||||||
7,723 | Parker Hannifin Corp. | 2,509,048 | |||||||||
13,745 | Trane Technologies PLC ADR (Ireland) | 2,553,959 | |||||||||
10,796 | Xylem, Inc. | 1,121,057 | |||||||||
46,316,829 | |||||||||||
Management of Companies and Enterprises - 0.4% | |||||||||||
104,546 | Abbott Laboratories | 11,549,197 | |||||||||
60,086 | Carnival Corp. ADR (Panama) (a) | 553,392 | |||||||||
25,287 | Norwegian Cruise Line Holdings Ltd. ADR (a) | 337,581 | |||||||||
12,440,170 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.6% | |||||||||||
5,176 | Cintas Corp. | 2,359,066 | |||||||||
25,694 | Copart, Inc. (a) | 2,031,111 | |||||||||
34,206 | Fastenal Co. | 1,841,651 | |||||||||
8,083 | Henry Schein, Inc. (a) | 653,187 | |||||||||
2,367 | Huntington Ingalls Industries, Inc. | 477,329 |
Shares | Fair Value | ||||||||||
Merchant Wholesalers, Durable Goods (continued) | |||||||||||
41,217 | Johnson Controls International PLC ADR (Ireland) ADR | $ | 2,466,425 | ||||||||
8,327 | KLA-Tencor Corp. | 3,218,719 | |||||||||
15,206 | LKQ Corp. | 877,842 | |||||||||
3,205 | Mohawk Industries, Inc. (a) | 339,410 | |||||||||
2,328 | Pool Corp. | 817,873 | |||||||||
2,705 | W.W. Grainger, Inc. | 1,881,517 | |||||||||
15,252 | WestRock Co. | 456,492 | |||||||||
17,420,622 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 0.6% | |||||||||||
9,678 | AmerisourceBergen Corp. | 1,614,774 | |||||||||
10,966 | Brown Forman Corp. Class B | 713,777 | |||||||||
15,441 | Cardinal Health, Inc. | 1,267,706 | |||||||||
28,586 | ConAgra Brands, Inc. | 1,085,125 | |||||||||
16,614 | Illinois Tool Works, Inc. | 4,019,591 | |||||||||
8,252 | McKesson Corp. | 3,005,709 | |||||||||
30,437 | Sysco Corp. | 2,335,735 | |||||||||
14,136 | The Sherwin Williams Co. | 3,357,865 | |||||||||
17,400,282 | |||||||||||
Mining (except Oil and Gas) - 0.3% | |||||||||||
85,713 | Freeport-McMoRan Copper & Gold, Inc. | 3,249,380 | |||||||||
3,753 | Martin Marietta Materials, Inc. | 1,363,089 | |||||||||
47,550 | Newmont Mining Corp. | 2,253,870 | |||||||||
7,947 | Vulcan Materials Co. | 1,391,679 | |||||||||
8,258,018 | |||||||||||
Miscellaneous Manufacturing - 3.0% | |||||||||||
32,990 | 3M Co. | 3,504,198 | |||||||||
4,374 | Align Technology, Inc. (a) | 1,422,862 | |||||||||
30,257 | Baxter International, Inc. | 1,442,654 | |||||||||
16,997 | Becton, Dickinson & Co. | 4,492,477 | |||||||||
85,898 | Boston Scientific Corp. (a) | 4,477,004 | |||||||||
12,882 | Dentsply Sirona, Inc. | 540,142 | |||||||||
23,138 | DexCom, Inc. (a) | 2,807,565 | |||||||||
8,410 | Dover Corp. | 1,229,206 | |||||||||
37,055 | Edwards Lifesciences Corp. (a) | 3,260,099 | |||||||||
13,904 | Estee Lauder Companies, Inc. Class A | 3,430,395 | |||||||||
7,813 | Hasbro, Inc. | 462,686 | |||||||||
4,131 | Insulet Corp. (a) | 1,313,823 | |||||||||
21,036 | Intuitive Surgical, Inc. (a) | 6,336,464 | |||||||||
156,730 | Johnson & Johnson | 25,656,701 | |||||||||
79,714 | Medtronic PLC ADR (Ireland) | 7,249,988 | |||||||||
8,855 | ResMed, Inc. | 2,133,701 | |||||||||
5,981 | Steris PLC ADR (Ireland) | 1,127,718 | |||||||||
20,207 | Stryker Corp. | 6,055,027 | |||||||||
2,818 | Teleflex, Inc. | 767,961 | |||||||||
12,504 | Textron, Inc. | 837,018 | |||||||||
2,936 | The Cooper Companies, Inc. | 1,119,937 | |||||||||
12,552 | Zimmer Biomet Holdings, Inc. | 1,737,699 | |||||||||
81,405,325 | |||||||||||
Miscellaneous Store Retailers - 0.1% | |||||||||||
6,657 | Tractor Supply Co. | 1,587,029 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Motion Picture and Sound Recording Industries - 0.4% | |||||||||||
26,693 | Netflix, Inc. (a) | $ | 8,806,822 | ||||||||
9,532 | Take-Two Interactive Software, Inc. (a) | 1,184,732 | |||||||||
9,991,554 | |||||||||||
Motor Vehicle and Parts Dealers - 0.3% | |||||||||||
3,525 | Advance Auto Parts, Inc. | 442,493 | |||||||||
1,127 | AutoZone, Inc. (a) | 3,001,550 | |||||||||
9,492 | CarMax, Inc. (a) | 664,725 | |||||||||
3,780 | O'Reilly Automotive, Inc. (a) | 3,467,432 | |||||||||
7,576,200 | |||||||||||
National Security and International Affairs - 0.0% (†) | |||||||||||
8,241 | Leidos Holdings, Inc. | 768,556 | |||||||||
Nonmetallic Mineral Product Manufacturing - 0.1% | |||||||||||
45,613 | Corning, Inc. | 1,515,264 | |||||||||
Oil and Gas Extraction - 0.7% | |||||||||||
19,256 | APA Corp. | 709,584 | |||||||||
47,294 | Coterra Energy, Inc. | 1,210,726 | |||||||||
39,219 | Devon Energy Corp. | 2,095,471 | |||||||||
49,941 | Dominion Energy, Inc. | 2,853,629 | |||||||||
35,192 | EOG Resources, Inc. | 4,204,388 | |||||||||
21,982 | EQT Corp. | 765,853 | |||||||||
38,080 | Marathon Oil Corp. | 920,013 | |||||||||
43,600 | Occidental Petroleum Corp. | 2,682,708 | |||||||||
27,923 | Phillips 66 | 2,764,377 | |||||||||
18,206,749 | |||||||||||
Paper Manufacturing - 0.0% (†) | |||||||||||
5,555 | Packaging Corp of America | 751,369 | |||||||||
Performing Arts, Spectator Sports, and Related Industries - 0.2% | |||||||||||
42,695 | Activision Blizzard, Inc. (a) | 3,317,829 | |||||||||
15,633 | Electronic Arts, Inc. | 1,989,768 | |||||||||
5,307,597 | |||||||||||
Petroleum and Coal Products Manufacturing - 1.6% | |||||||||||
73,383 | ConocoPhillips | 7,550,377 | |||||||||
246,929 | Exxon Mobil Corp. | 29,221,578 | |||||||||
27,222 | Marathon Petroleum Corp. | 3,321,084 | |||||||||
23,096 | Valero Energy Corp. | 2,648,418 | |||||||||
42,741,457 | |||||||||||
Pipeline Transportation - 0.1% | |||||||||||
73,023 | Williams Companies, Inc. | 2,209,676 | |||||||||
Plastics and Rubber Products Manufacturing - 0.0% (†) | |||||||||||
4,885 | Avery Dennison Corp. | 852,335 | |||||||||
22,543 | Newell Rubbermaid, Inc. | 273,897 | |||||||||
1,126,232 | |||||||||||
Primary Metal Manufacturing - 0.1% | |||||||||||
22,038 | Howmet Aerospace, Inc. | 976,063 | |||||||||
10,005 | Steel Dynamics, Inc. | 1,040,020 | |||||||||
2,016,083 | |||||||||||
Professional, Scientific, and Technical Services - 2.8% | |||||||||||
37,715 | Accenture PLC Class A ADR (Ireland) | 10,571,137 | |||||||||
8,076 | CDW Corp. | 1,369,609 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services (continued) | |||||||||||
3,009 | Charles River Laboratories International, Inc. (a) | $ | 572,071 | ||||||||
30,498 | Cognizant Technology Solutions Corp. Class A | 1,821,036 | |||||||||
13,648 | DXC Technology Co. (a) | 325,505 | |||||||||
23,838 | Eaton Corp PLC ADR (Ireland) | 3,983,806 | |||||||||
3,441 | EPAM Systems, Inc. (a) | 971,876 | |||||||||
7,998 | Extra Space Storage, Inc. | 1,216,016 | |||||||||
3,566 | F5 Networks, Inc. (a) | 479,128 | |||||||||
21,328 | International Paper Co. | 706,170 | |||||||||
23,289 | Interpublic Group of Companies, Inc. | 832,116 | |||||||||
11,138 | IQVIA Holdings, Inc. (a) | 2,096,506 | |||||||||
4,390 | Jack Henry & Associates, Inc. | 717,063 | |||||||||
7,608 | Jacobs Solutions, Inc. | 878,420 | |||||||||
19,429 | Juniper Networks, Inc. | 585,784 | |||||||||
16,771 | Match Group, Inc. (a) | 618,850 | |||||||||
133,445 | Meta Platforms, Inc. (a) | 32,069,502 | |||||||||
19,805 | Moderna, Inc. (a) | 2,631,886 | |||||||||
12,154 | Omnicom Group, Inc. | 1,100,788 | |||||||||
19,222 | Paychex, Inc. | 2,111,729 | |||||||||
2,881 | Paycom Software, Inc. (a) | 836,556 | |||||||||
12,187 | ServiceNow, Inc. (a) | 5,598,951 | |||||||||
2,817 | Teledyne Technologies, Inc. (a) | 1,167,365 | |||||||||
5,534 | VeriSign, Inc. (a) | 1,227,441 | |||||||||
9,382 | Verisk Analytics, Inc. Class A | 1,821,140 | |||||||||
76,310,451 | |||||||||||
Publishing Industries - 6.6% | |||||||||||
27,460 | Adobe Systems, Inc. (a) | 10,367,798 | |||||||||
5,202 | ANSYS, Inc. (a) | 1,633,012 | |||||||||
12,923 | Autodesk, Inc. (a) | 2,517,271 | |||||||||
16,438 | Cadence Design Systems, Inc. (a) | 3,442,939 | |||||||||
9,189 | Ceridian HCM Holding, Inc. (a) | 583,318 | |||||||||
16,847 | Intuit, Inc. | 7,479,226 | |||||||||
446,345 | Microsoft Corp. | 137,143,965 | |||||||||
6,375 | PTC, Inc. (a) | 801,911 | |||||||||
59,956 | Salesforce.com, Inc. (a) | 11,893,472 | |||||||||
9,108 | Synopsys, Inc. (a) | 3,381,982 | |||||||||
2,453 | Tyler Technologies, Inc. (a) | 929,760 | |||||||||
180,174,654 | |||||||||||
Publishing Industries (except Internet) - 0.5% | |||||||||||
9,464 | Akamai Technologies, Inc. (a) | 775,764 | |||||||||
1,528 | Fair Isaac Corp. (a) | 1,112,308 | |||||||||
76,840 | Hewlett Packard Enterprise Co. | 1,100,349 | |||||||||
22,956 | News Corp. Class A | 404,255 | |||||||||
7,101 | News Corp. Class B | 126,043 | |||||||||
34,075 | NortonLifeLock, Inc. | 602,105 | |||||||||
92,157 | Oracle Corp. | 8,729,111 | |||||||||
12,849,935 | |||||||||||
Rail Transportation - 0.4% | |||||||||||
126,062 | CSX Corp. | 3,862,540 | |||||||||
36,699 | Union Pacific Corp. | 7,181,994 | |||||||||
11,044,534 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Real Estate - 1.6% | |||||||||||
9,477 | Alexandria Real Estate Equities, Inc. | $ | 1,176,854 | ||||||||
27,880 | American Tower Corp. | 5,698,393 | |||||||||
8,419 | AvalonBay Communities, Inc. | 1,518,535 | |||||||||
8,527 | Boston Properties, Inc. | 455,001 | |||||||||
6,626 | Camden Property Trust | 729,191 | |||||||||
18,948 | CBRE Group, Inc. Class A (a) | 1,452,554 | |||||||||
25,948 | Crown Castle International Corp. | 3,193,939 | |||||||||
17,227 | Digital Realty Trust, Inc. | 1,708,057 | |||||||||
20,452 | Equity Residential | 1,293,589 | |||||||||
3,875 | Essex Property Trust, Inc. | 851,454 | |||||||||
4,402 | Federal Realty Investment Trust | 435,314 | |||||||||
32,815 | Healthpeak Properties, Inc. | 720,946 | |||||||||
34,800 | Invitation Homes, Inc. | 1,161,276 | |||||||||
37,066 | Kimco Realty Corp. | 711,297 | |||||||||
6,883 | Mid-America Apartment Communities, Inc. | 1,058,605 | |||||||||
55,346 | Prologis, Inc. | 6,932,086 | |||||||||
9,493 | Public Storage | 2,798,821 | |||||||||
37,594 | Realty Income Corp. | 2,362,407 | |||||||||
9,196 | Regency Centers Corp. | 564,910 | |||||||||
19,595 | Simon Property Group, Inc. | 2,220,505 | |||||||||
18,558 | UDR, Inc. | 767,002 | |||||||||
24,020 | Ventas, Inc. | 1,154,161 | |||||||||
60,148 | VICI Properties, Inc. | 2,041,423 | |||||||||
28,353 | Welltower, Inc. | 2,246,125 | |||||||||
43,913 | Weyerhaeuser Co. | 1,313,438 | |||||||||
44,565,883 | |||||||||||
Rental and Leasing Services - 0.0% (†) | |||||||||||
4,123 | United Rentals, Inc. | 1,488,857 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.9% | |||||||||||
6,282 | Ameriprise Financial, Inc. | 1,916,764 | |||||||||
9,005 | BlackRock, Inc. | 6,044,156 | |||||||||
6,318 | CBOE Holdings, Inc. | 882,625 | |||||||||
91,469 | Charles Schwab Corp. | 4,778,341 | |||||||||
21,598 | CME Group, Inc. | 4,012,260 | |||||||||
42,292 | Dow, Inc. | 2,300,685 | |||||||||
17,127 | Franklin Resources, Inc. | 460,374 | |||||||||
20,277 | Goldman Sachs Group, Inc. | 6,963,933 | |||||||||
33,476 | IntercontinentalExchange, Inc. | 3,646,541 | |||||||||
27,260 | Invesco Ltd. ADR (a) | 466,964 | |||||||||
2,260 | MarketAxess Holdings, Inc. | 719,516 | |||||||||
78,349 | Morgan Stanley | 7,049,059 | |||||||||
4,787 | MSCI, Inc. Class A | 2,309,488 | |||||||||
20,325 | NASDAQ OMX Group, Inc. | 1,125,395 | |||||||||
11,633 | Raymond James Financial, Inc. | 1,053,135 | |||||||||
19,742 | S&P Global, Inc. | 7,158,054 | |||||||||
50,887,290 | |||||||||||
Specialty Trade Contractors - 0.0% (†) | |||||||||||
8,540 | Quanta Services, Inc. | 1,448,726 | |||||||||
Support Activities for Agriculture and Forestry - 0.1% | |||||||||||
42,703 | Corteva, Inc. | 2,610,007 |
Shares | Fair Value | ||||||||||
Support Activities for Mining - 0.5% | |||||||||||
11,018 | Diamondback Energy, Inc. | $ | 1,566,760 | ||||||||
54,207 | Halliburton Co. | 1,775,279 | |||||||||
16,607 | Hess Corp. | 2,409,011 | |||||||||
14,231 | Pioneer Natural Resources Co. | 3,095,954 | |||||||||
85,151 | Schlumberger Ltd. ADR (Curaco) (a) | 4,202,202 | |||||||||
13,562 | Targa Resources Corp. | 1,024,338 | |||||||||
14,073,544 | |||||||||||
Support Activities for Transportation - 0.2% | |||||||||||
7,053 | C.H. Robinson Worldwide, Inc. | 711,436 | |||||||||
8,889 | Expedia, Inc. (a) | 835,210 | |||||||||
9,568 | Expeditors International of Washington, Inc. | 1,089,221 | |||||||||
4,979 | J.B. Hunt Transport Services, Inc. | 872,769 | |||||||||
13,655 | Norfolk Southern Corp. | 2,772,375 | |||||||||
6,281,011 | |||||||||||
Telecommunications - 1.2% | |||||||||||
427,398 | AT&T, Inc. | 7,552,123 | |||||||||
5,556 | Equinix, Inc. | 4,022,988 | |||||||||
67,810 | PayPal Holdings, Inc. (a) | 5,153,560 | |||||||||
6,472 | SBA Communications Corp. | 1,688,480 | |||||||||
35,538 | T-Mobile US, Inc. (a) | 5,113,918 | |||||||||
251,837 | Verizon Communications, Inc. | 9,778,831 | |||||||||
33,309,900 | |||||||||||
Transportation Equipment Manufacturing - 2.3% | |||||||||||
16,252 | Aptiv PLC ADR (United Kingdom) (a) | 1,671,681 | |||||||||
33,717 | Boeing Co. (a) | 6,972,001 | |||||||||
14,031 | BorgWarner, Inc. | 675,312 | |||||||||
234,753 | Ford Motor Co. | 2,788,866 | |||||||||
13,481 | General Dynamics Corp. | 2,943,442 | |||||||||
83,613 | General Motors Co. | 2,762,573 | |||||||||
40,095 | Honeywell International, Inc. | 8,012,585 | |||||||||
13,618 | Lockheed Martin Corp. | 6,324,880 | |||||||||
31,308 | Paccar, Inc. | 2,338,395 | |||||||||
161,265 | Tesla Motors, Inc. (a) | 26,497,452 | |||||||||
3,055 | TransDigm Group, Inc. | 2,337,075 | |||||||||
10,869 | Wabtec Corp. | 1,061,575 | |||||||||
64,385,837 | |||||||||||
Truck Transportation - 0.1% | |||||||||||
5,461 | Old Dominion Freight Line, Inc. | 1,749,650 | |||||||||
Utilities - 2.3% | |||||||||||
40,071 | AES Corp. | 948,080 | |||||||||
15,069 | Alliant Energy Corp. | 830,905 | |||||||||
15,518 | Ameren Corp. | 1,380,636 | |||||||||
30,822 | American Electric Power Co., Inc. | 2,848,569 | |||||||||
11,552 | American Water Works Co., Inc. | 1,712,584 | |||||||||
8,556 | Atmos Energy Corp. | 976,582 | |||||||||
37,705 | CenterPoint Energy, Inc. | 1,148,871 | |||||||||
17,463 | CMS Energy Corp. | 1,087,246 | |||||||||
21,273 | Consolidated Edison, Inc. | 2,094,752 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Utilities (continued) | |||||||||||
19,597 | Constellation Energy Corp. | $ | 1,516,808 | ||||||||
11,629 | DTE Energy Co. | 1,307,216 | |||||||||
46,171 | Duke Energy Corp. | 4,565,389 | |||||||||
22,930 | Edison International | 1,687,648 | |||||||||
12,210 | Entergy Corp. | 1,313,552 | |||||||||
13,768 | Evergy, Inc. | 855,130 | |||||||||
20,855 | Eversource Energy | 1,618,557 | |||||||||
59,557 | Exelon Corp. | 2,527,599 | |||||||||
5,975 | First Solar, Inc. (a) | 1,090,916 | |||||||||
32,584 | FirstEnergy Corp. | 1,296,843 | |||||||||
118,652 | Kinder Morgan, Inc. | 2,034,882 | |||||||||
119,142 | NextEra Energy, Inc. | 9,129,851 | |||||||||
24,329 | NiSource, Inc. | 692,403 | |||||||||
13,796 | NRG Energy, Inc. | 471,409 | |||||||||
26,778 | Oneok, Inc. | 1,751,549 | |||||||||
96,521 | PG&E Corp. (a) | 1,651,474 | |||||||||
6,771 | Pinnacle West Capital Corp. | 531,253 | |||||||||
44,153 | PPL Corp. | 1,268,074 | |||||||||
29,909 | Public Service Enterprise Group, Inc. | 1,890,249 | |||||||||
18,854 | Sempra Energy | 2,931,608 | |||||||||
65,323 | Southern Co. | 4,804,507 | |||||||||
18,905 | WEC Energy Group, Inc. | 1,818,094 | |||||||||
32,838 | Xcel Energy, Inc. | 2,295,705 | |||||||||
62,078,941 | |||||||||||
Waste Management and Remediation Services - 0.1% | |||||||||||
12,312 | Republic Services, Inc. | 1,780,561 | |||||||||
Water Transportation - 0.0% (†) | |||||||||||
13,173 | Royal Caribbean Cruises Ltd. ADR (Liberia) (a) | 861,909 | |||||||||
Web Search Portals, Libraries, Archives, and Other Information Services - 0.1% | |||||||||||
24,383 | CoStar Group, Inc. (a) | 1,876,272 | |||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.0% (†) | |||||||||||
8,447 | Genuine Parts Co. | 1,421,715 | |||||||||
Wood Product Manufacturing - 0.0% (†) | |||||||||||
13,489 | Masco Corp. | 721,796 | |||||||||
TOTAL COMMON STOCKS (Cost $1,944,765,374) | $ | 2,088,958,131 | |||||||||
SHORT TERM INVESTMENTS - 19.1% | |||||||||||
Money Market Funds - 19.1% | |||||||||||
350,072,346 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 350,072,346 | ||||||||
44,014,130 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 44,014,130 | |||||||||
47,142 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 47,142 |
Shares | Fair Value | ||||||||||
Money Market Funds (continued) | |||||||||||
129,190,301 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | $ | 129,190,301 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $523,323,919) | $ | 523,323,919 | |||||||||
TOTAL INVESTMENTS (Cost $2,468,089,293) - 95.2% (e) | $ | 2,612,282,050 | |||||||||
Other Assets in Excess of Liabilities - 4.8% | 131,402,309 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,743,684,359 |
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 April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,838,553,181.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily S&P 500® Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of S&P 500® Index | 5.4500% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 186,114 | $ | 740,136,409 | $ | 30,783,104 | |||||||||||||||||||
Total return of S&P 500® Index | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 163,533 | 643,574,594 | 33,770,704 | |||||||||||||||||||||
Total return of S&P 500® Index | 5.2500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 184,495 | 725,696,294 | 37,387,101 | |||||||||||||||||||||
Total return of S&P 500® Index | 5.1500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 203,011 | 805,427,934 | 36,099,130 | |||||||||||||||||||||
Total return of S&P 500® Index | 5.1200% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 242,348 | 962,432,065 | 42,212,069 | |||||||||||||||||||||
Total return of S&P 500® Index | 5.2500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 236,366 | 941,271,889 | 36,927,361 | |||||||||||||||||||||
Total return of S&P 500® Index | 5.2700% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 257,337 | 1,019,812,857 | 44,009,844 | |||||||||||||||||||||
$ | 5,838,352,042 | $ | 261,189,313 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily S&P 500® Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 94.4% | |||||||||||
Money Market Funds - 94.4% | |||||||||||
413,418,786 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 413,418,786 | ||||||||
126,872,033 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 126,872,033 | |||||||||
181,234,057 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 181,234,057 | |||||||||
345,385,277 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 345,385,277 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,066,910,153) (b) | $ | 1,066,910,153 | |||||||||
TOTAL INVESTMENTS (Cost $1,066,910,153) - 94.4% | $ | 1,066,910,153 | |||||||||
Other Assets in Excess of Liabilities - 5.6% | 63,712,543 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,130,622,696 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $787,821,460.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
4.8400% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | BNP Paribas | 12/5/2023 | 105,176 | $ | 433,483,498 | $ | (2,795,467 | ) | ||||||||||||||||||
5.1000% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | Goldman Sachs | 12/7/2023 | 148,704 | 607,916,121 | (10,210,988 | ) | ||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | Bank of America Merrill Lynch | 12/8/2023 | 127,183 | 525,516,480 | (2,767,765 | ) | ||||||||||||||||||||
4.9000% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | J.P. Morgan | 12/12/2023 | 91,715 | 377,115,885 | (4,435,062 | ) | ||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | UBS Securities LLC | 12/13/2023 | 39,974 | 165,153,787 | (1,284,797 | ) | ||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | Citibank N.A. | 12/19/2023 | 132,240 | 545,968,079 | (4,299,434 | ) | ||||||||||||||||||||
5.1300% representing 1 month SOFR rate + spread | Total return of S&P 500® Index | Barclays | 12/20/2023 | 168,526 | 693,496,986 | (3,781,406 | ) | ||||||||||||||||||||
$ | 3,348,650,836 | $ | (29,574,919 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily Small Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 63.5% | |||||||||||
4,112,765 | iShares Russell 2000 ETF (a) | $ | 720,556,428 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $728,926,906) | $ | 720,556,428 | |||||||||
SHORT TERM INVESTMENTS - 41.4% | |||||||||||
Money Market Funds - 41.4% | |||||||||||
320,400,267 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 320,400,267 | ||||||||
15,810,002 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 15,810,002 | |||||||||
133,162,022 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 133,162,022 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $469,372,291) | $ | 469,372,291 | |||||||||
TOTAL INVESTMENTS (Cost $1,198,299,197) - 104.9% (c) | $ | 1,189,928,719 | |||||||||
Liabilities in Excess of Other Assets - (4.9)% | (55,176,437 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,134,752,282 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,018,932,028.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.1400% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 293,273 | $ | 517,745,750 | $ | (4,090,204 | ) | ||||||||||||||||||
Total return of Russell 2000® Index | 4.5500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 136,193 | 238,090,500 | 1,502,870 | |||||||||||||||||||||
Total return of Russell 2000® Index | 5.1000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 211,936 | 387,551,592 | (16,510,283 | ) | ||||||||||||||||||||
Total return of Russell 2000® Index | 5.4200% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 354,042 | 634,764,977 | (14,188,960 | ) | ||||||||||||||||||||
Total return of Russell 2000® Index | 5.1500% representing 1 month SOFR rate + spread | Societe Generale | 12/18/2023 | 1,000 | 1,720,635 | 41,344 | |||||||||||||||||||||
Total return of Russell 2000® Index | 4.9900% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 296,435 | 523,576,357 | (2,657,182 | ) | ||||||||||||||||||||
Total return of Russell 2000® Index | 5.1500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 224,168 | 405,173,885 | (12,279,012 | ) | ||||||||||||||||||||
$ | 2,708,623,696 | $ | (48,181,427 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily Small Cap Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 98.9% | |||||||||||
Money Market Funds - 98.9% | |||||||||||
268,640,131 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 268,640,131 | ||||||||
53,030,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 53,030,000 | |||||||||
157,802,036 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 157,802,036 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $479,472,167) (b) | $ | 479,472,167 | |||||||||
TOTAL INVESTMENTS (Cost $479,472,167) - 98.9% | $ | 479,472,167 | |||||||||
Other Assets in Excess of Liabilities - 1.1% | 5,438,122 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 484,910,289 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $304,910,433.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
4.9400% representing 1 month SOFR rate + spread | Total return of Russell 2000® Index | BNP Paribas | 12/5/2023 | 188,873 | $ | 347,426,274 | $ | 15,390,296 | |||||||||||||||||||
4.3500% representing 1 month SOFR rate + spread | Total return of Russell 2000® Index | Bank of America Merrill Lynch | 12/8/2023 | 122,169 | 222,895,694 | 7,637,245 | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of Russell 2000® Index | J.P. Morgan | 12/12/2023 | 113,201 | 213,960,814 | 15,026,800 | |||||||||||||||||||||
5.0700% representing 1 month SOFR rate + spread | Total return of Russell 2000® Index | UBS Securities LLC | 12/13/2023 | 99,579 | 185,708,215 | 10,618,703 | |||||||||||||||||||||
4.7800% representing 1 month SOFR rate + spread | Total return of Russell 2000® Index | Citibank N.A. | 12/19/2023 | 183,098 | 339,963,116 | 18,019,678 | |||||||||||||||||||||
4.7500% representing 1 month SOFR rate + spread | Total return of Russell 2000® Index | Barclays | 12/20/2023 | 115,448 | 203,346,342 | (245,885 | ) | ||||||||||||||||||||
$ | 1,513,300,455 | $ | 66,446,837 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily FTSE China Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 66.3% | |||||||||||
13,538,306 | iShares China Large-Cap ETF (a) | $ | 383,540,209 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $379,456,469) | $ | 383,540,209 | |||||||||
SHORT TERM INVESTMENTS - 39.7% | |||||||||||
Money Market Funds - 39.7% | |||||||||||
166,059,639 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 166,059,639 | ||||||||
23,260,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 23,260,000 | |||||||||
40,577,349 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 40,577,349 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $229,896,988) | $ | 229,896,988 | |||||||||
TOTAL INVESTMENTS (Cost $609,353,457) - 106.0% (c) | $ | 613,437,197 | |||||||||
Liabilities in Excess of Other Assets - (6.0)% | (34,473,929 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 578,963,268 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $444,935,781.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 5.1900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 11,374,623 | $ | 327,193,686 | $ | (6,347,223 | ) | ||||||||||||||||||
Total return of iShares China Large-Cap ETF | 5.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 12,483,162 | 352,897,381 | (3,139,826 | ) | ||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 5.4300% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 11,923,632 | 341,628,307 | (9,173,844 | ) | ||||||||||||||||||||
Total return of iShares China Large-Cap ETF | 5.5500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 11,988,472 | 351,950,239 | (13,892,813 | ) | ||||||||||||||||||||
$ | 1,373,669,613 | $ | (32,553,706 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily FTSE China Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 100.1% | |||||||||||
Money Market Funds - 100.1% | |||||||||||
82,206,657 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 82,206,657 | ||||||||
52,727,716 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 52,727,716 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $134,934,373) (b) | $ | 134,934,373 | |||||||||
TOTAL INVESTMENTS (Cost $134,934,373) - 100.1% | $ | 134,934,373 | |||||||||
Liabilities in Excess of Other Assets - (0.1)% | (185,114 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 134,749,259 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $85,420,527.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of iShares China Large-Cap ETF | BNP Paribas | 12/5/2023 | 3,031,492 | $ | 92,562,830 | $ | 7,438,011 | |||||||||||||||||||
5.1000% representing 1 month SOFR rate + spread | Total return of iShares China Large-Cap ETF | Bank of America Merrill Lynch | 12/8/2023 | 8,883,543 | 248,791,525 | (1,720,463 | ) | ||||||||||||||||||||
4.9300% representing 1 month SOFR rate + spread | Total return of iShares China Large-Cap ETF | UBS Securities LLC | 12/13/2023 | 2,354,684 | 75,546,697 | 9,869,082 | |||||||||||||||||||||
$ | 416,901,052 | $ | 15,586,630 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily FTSE Europe Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 43.0% | |||||||||||
244,605 | Vanguard FTSE Europe ETF (a) | $ | 15,525,079 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $15,000,100) | $ | 15,525,079 | |||||||||
SHORT TERM INVESTMENTS - 51.3% | |||||||||||
Money Market Funds - 51.3% | |||||||||||
12,587,954 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 12,587,954 | ||||||||
3,099,832 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 3,099,832 | |||||||||
2,840,698 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 2,840,698 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,528,484) | $ | 18,528,484 | |||||||||
TOTAL INVESTMENTS (Cost $33,528,584) - 94.3% (c) | $ | 34,053,563 | |||||||||
Other Assets in Excess of Liabilities - 5.7% | 2,053,746 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 36,107,309 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $22,028,064.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 5.0900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 461,795 | $ | 26,642,132 | $ | 2,509,032 | |||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 4.8000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 283,717 | 16,218,953 | 1,687,209 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 278,617 | 16,230,456 | 1,306,409 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 5.5400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 131,382 | 7,791,422 | 491,136 | |||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF | 5.2000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 306,555 | 17,673,075 | 1,648,858 | |||||||||||||||||||||
$ | 84,556,038 | $ | 7,642,644 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 2.8% | |||||||||||
62,284 | iShares MSCI Emerging Markets ETF (a) | $ | 2,437,173 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $2,614,721) | $ | 2,437,173 | |||||||||
SHORT TERM INVESTMENTS - 101.9% | |||||||||||
Money Market Funds - 101.9% | |||||||||||
46,391,918 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 46,391,918 | ||||||||
43,578,304 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 43,578,304 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $89,970,222) | $ | 89,970,222 | |||||||||
TOTAL INVESTMENTS (Cost $92,584,943) - 104.7% (c) | $ | 92,407,395 | |||||||||
Liabilities in Excess of Other Assets - (4.7)% | (4,083,179 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 88,324,216 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $55,034,549.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.1500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 2,655,764 | $ | 103,095,647 | $ | 298,716 | |||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 5.4000% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 1,728,458 | 66,634,056 | (11,961 | ) | ||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF | 5.0900% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 2,325,123 | 94,442,586 | (4,585,552 | ) | ||||||||||||||||||||
$ | 264,172,289 | $ | (4,298,797 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 102.5% | |||||||||||
Money Market Funds - 102.5% | |||||||||||
17,638,567 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 17,638,567 | ||||||||
14,477,262 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 14,477,262 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $32,115,829) (b) | $ | 32,115,829 | |||||||||
TOTAL INVESTMENTS (Cost $32,115,829) - 102.5% | $ | 32,115,829 | |||||||||
Liabilities in Excess of Other Assets - (2.5)% | (773,434 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 31,342,395 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $19,101,393.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
4.5000% representing 1 month SOFR rate + spread | Total return of iShares MSCI Emerging Markets ETF | J.P. Morgan | 12/12/2023 | 1,264,562 | $ | 47,255,105 | $ | (1,963,965 | ) | ||||||||||||||||||
4.9300% representing 1 month SOFR rate + spread | Total return of iShares MSCI Emerging Markets ETF | UBS Securities LLC | 12/13/2023 | 724,752 | 29,020,993 | 874,424 | |||||||||||||||||||||
4.8400% representing 1 month SOFR rate + spread | Total return of iShares MSCI Emerging Markets ETF | Citibank N.A. | 12/19/2023 | 413,663 | 17,270,101 | 1,287,147 | |||||||||||||||||||||
$ | 93,546,199 | $ | 197,606 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion Daily MSCI Mexico Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 44.1% | |||||||||||
137,328 | iShares MSCI Mexico ETF (a)(b) | $ | 8,360,529 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $7,063,318) | $ | 8,360,529 | |||||||||
SHORT TERM INVESTMENTS - 77.2% | |||||||||||
Money Market Funds - 77.2% | |||||||||||
9,010,871 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 9,010,871 | ||||||||
2,109,720 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 2,109,720 | |||||||||
1,230,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 1,230,000 | |||||||||
2,296,190 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 2,296,190 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,646,781) | $ | 14,646,781 | |||||||||
TOTAL INVESTMENTS (Cost $21,710,099) - 121.3% (e) | $ | 23,007,310 | |||||||||
Liabilities in Excess of Other Assets - (21.3)% | (4,040,884 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,966,426 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $7,864,259.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Mexico ETF | 4.3000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 222,450 | $ | 11,574,103 | $ | 1,851,980 | |||||||||||||||||||
Total return of iShares MSCI Mexico ETF | 5.3500% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 248,353 | 12,574,112 | 2,303,595 | |||||||||||||||||||||
Total return of iShares MSCI Mexico ETF | 5.5500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 110,000 | 5,726,570 | 965,306 | |||||||||||||||||||||
Total return of iShares MSCI Mexico ETF | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 2/21/2024 | 216,482 | 12,445,033 | 673,744 | |||||||||||||||||||||
$ | 42,319,818 | $ | 5,794,625 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion Daily MSCI South Korea Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 51.4% | |||||||||||
234,575 | iShares MSCI South Korea ETF (a) | $ | 14,231,665 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $13,889,242) | $ | 14,231,665 | |||||||||
SHORT TERM INVESTMENTS - 51.6% | |||||||||||
Money Market Funds - 51.6% | |||||||||||
4,329,000 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 4,329,000 | ||||||||
290,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 290,000 | |||||||||
9,654,220 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 9,654,220 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,273,220) | $ | 14,273,220 | |||||||||
TOTAL INVESTMENTS (Cost $28,162,462) - 103.0% (c) | $ | 28,504,885 | |||||||||
Liabilities in Excess of Other Assets - (3.0)% | (818,855 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 27,686,030 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $20,530,164.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 ETF | 5.3000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 172,020 | $ | 10,102,632 | $ | 185,928 | |||||||||||||||||||
Total return of iShares MSCI South Korea ETF | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 329,148 | 19,198,269 | 598,918 | |||||||||||||||||||||
Total return of iShares MSCI South Korea ETF | 5.2500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 570,267 | 35,042,002 | (703,813 | ) | ||||||||||||||||||||
Total return of iShares MSCI South Korea ETF | 5.4500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 63,006 | 3,979,331 | (214,182 | ) | ||||||||||||||||||||
$ | 68,322,234 | $ | (133,149 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion Daily Aerospace & Defense Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 65.6% | |||||||||||
Administrative and Support Services - 0.1% | |||||||||||
3,419 | V2X, Inc. (a) | $ | 147,701 | ||||||||
Computer and Electronic Product Manufacturing - 21.5% | |||||||||||
23,616 | Aerojet Rocketdyne Holdings, Inc. (a) | 1,332,178 | |||||||||
24,344 | L3 Harris Technologies, Inc. | 4,750,732 | |||||||||
18,100 | Mercury Computer Systems, Inc. (a) | 862,827 | |||||||||
8,945 | Moog, Inc. Class A | 806,034 | |||||||||
10,881 | Northrop Grumman Corp. | 5,019,079 | |||||||||
235,698 | Raytheon Technologies Corp. | 23,546,230 | |||||||||
36,317,080 | |||||||||||
Credit Intermediation and Related Activities - 0.1% | |||||||||||
14,296 | Smith & Wesson Brands, Inc. | 171,838 | |||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.6% | |||||||||||
21,058 | Axon Enterprise, Inc. (a) | 4,437,131 | |||||||||
Fabricated Metal Product Manufacturing - 3.7% | |||||||||||
28,416 | BWX Technologies, Inc. | 1,835,105 | |||||||||
11,934 | Curtiss-Wright Corp. | 2,026,751 | |||||||||
9,040 | RBC Bearings, Inc. (a) | 2,052,171 | |||||||||
5,504 | Sturm, Ruger & Co, Inc. | 316,810 | |||||||||
6,230,837 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.7% | |||||||||||
26,255 | Hexcel Corp. | 1,892,460 | |||||||||
12,414 | Huntington Ingalls Industries, Inc. | 2,503,407 | |||||||||
8,727 | Kaman Corp. | 192,605 | |||||||||
4,588,472 | |||||||||||
Miscellaneous Manufacturing - 2.6% | |||||||||||
65,033 | Textron, Inc. | 4,353,309 | |||||||||
Primary Metal Manufacturing - 3.0% | |||||||||||
114,697 | Howmet Aerospace, Inc. | 5,079,930 | |||||||||
Professional, Scientific, and Technical Services - 1.0% | |||||||||||
23,262 | Maxar Technologies, Inc. | 1,226,373 | |||||||||
10,317 | Parsons Corp. (a) | 448,789 | |||||||||
1,675,162 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.3% | |||||||||||
67,814 | Rocket Lab USA, Inc. (a) | 265,831 | |||||||||
74,405 | Virgin Galactic Holdings, Inc. (a)(b) | 270,834 | |||||||||
536,665 | |||||||||||
Textile Mills - 0.1% | |||||||||||
1,583 | National Presto Industries, Inc. | 107,676 | |||||||||
Transportation Equipment Manufacturing - 27.9% | |||||||||||
10,195 | AAR Corp. (a) | 538,092 | |||||||||
7,837 | AeroVironment, Inc. (a) | 789,108 | |||||||||
44,279 | Archer Aviation, Inc. (a) | 87,673 | |||||||||
90,474 | Boeing Co. (a) | 18,708,214 | |||||||||
22,294 | General Dynamics Corp. | 4,867,672 | |||||||||
21,594 | HEICO Corp. | 2,898,563 | |||||||||
12,314 | HEICO Corp. Class A | 2,076,633 |
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing (continued) | |||||||||||
39,236 | Kratos Defense & Security Solutions, Inc. (a) | $ | 506,144 | ||||||||
18,596 | Lockheed Martin Corp. | 8,636,912 | |||||||||
32,786 | Spirit AeroSystems Holdings, Inc. | 975,711 | |||||||||
6,621 | TransDigm Group, Inc. | 5,065,065 | |||||||||
20,251 | Triumph Group, Inc. (a) | 218,913 | |||||||||
18,607 | Woodward, Inc. | 1,786,644 | |||||||||
47,155,344 | |||||||||||
TOTAL COMMON STOCKS (Cost $104,517,929) | $ | 110,801,145 | |||||||||
SHORT TERM INVESTMENTS - 33.6% | |||||||||||
Money Market Funds - 33.6% | |||||||||||
44,039,383 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 44,039,383 | ||||||||
1 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 1 | |||||||||
12,686,036 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 12,686,036 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $56,725,420) | $ | 56,725,420 | |||||||||
TOTAL INVESTMENTS (Cost $161,243,349) - 99.2% (e) | $ | 167,526,565 | |||||||||
Other Assets in Excess of Liabilities - 0.8% | 1,381,844 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 168,908,409 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $133,263,214.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Daily Aerospace & Defense Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 5.5900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 3,531 | $ | 97,664,106 | $ | 2,499,103 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 4,051 | 114,024,892 | 1,540,222 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index | 5.3500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 6,157 | 173,661,132 | 1,131,306 | |||||||||||||||||||||
$ | 385,350,130 | $ | 5,170,631 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 76.1% | |||||||||||
Accommodation - 3.1% | |||||||||||
1,385 | Caesars Entertainment Inc. (a) | $ | 62,727 | ||||||||
1,720 | Hilton Worldwide Holdings, Inc. | 247,714 | |||||||||
2,121 | Las Vegas Sands Corp. (a) | 135,426 | |||||||||
1,737 | Marriott International, Inc. Class A | 294,144 | |||||||||
2,031 | MGM Resorts International | 91,232 | |||||||||
831,243 | |||||||||||
Administrative and Support Services - 2.5% | |||||||||||
250 | Booking Holdings, Inc. (a) | 671,579 | |||||||||
Amusement, Gambling, and Recreation Industries - 0.3% | |||||||||||
666 | Wynn Resorts Ltd. (a) | 76,110 | |||||||||
Apparel Manufacturing - 0.3% | |||||||||||
265 | Ralph Lauren Corp. | 30,420 | |||||||||
2,132 | VF Corp. | 50,123 | |||||||||
80,543 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 10.2% | |||||||||||
3,903 | Lowe's Companies, Inc. | 811,161 | |||||||||
6,297 | The Home Depot, Inc. | 1,892,500 | |||||||||
2,703,661 | |||||||||||
Clothing and Clothing Accessories Stores - 2.2% | |||||||||||
7,458 | TJX Companies, Inc. | 587,840 | |||||||||
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 1.1% | |||||||||||
1,474 | Bath & Body Works, Inc. | 51,737 | |||||||||
2,223 | Ross Stores, Inc. | 237,261 | |||||||||
288,998 | |||||||||||
Construction of Buildings - 2.3% | |||||||||||
2,017 | D.R. Horton, Inc. | 221,507 | |||||||||
1,636 | Lennar Corp. Class A | 184,557 | |||||||||
20 | NVR, Inc. (a) | 116,800 | |||||||||
1,456 | PulteGroup, Inc. | 97,771 | |||||||||
620,635 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.2% | |||||||||||
352 | Whirlpool Corp. | 49,136 | |||||||||
Electronics and Appliance Stores - 0.4% | |||||||||||
1,271 | Best Buy Co., Inc. | 94,715 | |||||||||
Food Services and Drinking Places - 9.8% | |||||||||||
178 | Chipotle Mexican Grill, Inc. (a) | 368,037 | |||||||||
786 | Darden Restaurants, Inc. | 119,417 | |||||||||
228 | Domino's Pizza, Inc. | 72,383 | |||||||||
3,225 | McDonald's Corp. | 953,794 | |||||||||
7,418 | Starbucks Corp. | 847,803 | |||||||||
1,807 | Yum! Brands, Inc. | 254,028 | |||||||||
2,615,462 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.4% | |||||||||||
990 | Garmin Ltd. ADR (Switzerland) | 97,188 |
Shares | Fair Value | ||||||||||
General Merchandise Retailers - 18.7% | |||||||||||
44,894 | Amazon.com, Inc. (a) | $ | 4,734,072 | ||||||||
3,502 | eBay, Inc. | 162,598 | |||||||||
811 | Etsy, Inc. (a) | 81,935 | |||||||||
4,978,605 | |||||||||||
Health and Personal Care Stores - 0.7% | |||||||||||
328 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 180,869 | |||||||||
Leather and Allied Product Manufacturing - 3.9% | |||||||||||
7,697 | NIKE, Inc. Class B | 975,364 | |||||||||
1,524 | Tapestry, Inc. | 62,194 | |||||||||
1,037,558 | |||||||||||
Management of Companies and Enterprises - 0.4% | |||||||||||
6,468 | Carnival Corp. ADR (Panama) (a) | 59,570 | |||||||||
2,720 | Norwegian Cruise Line Holdings Ltd. ADR (a) | 36,312 | |||||||||
95,882 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.8% | |||||||||||
1,638 | LKQ Corp. | 94,562 | |||||||||
340 | Mohawk Industries, Inc. (a) | 36,006 | |||||||||
252 | Pool Corp. | 88,532 | |||||||||
219,100 | |||||||||||
Miscellaneous Manufacturing - 0.2% | |||||||||||
838 | Hasbro, Inc. | 49,626 | |||||||||
Miscellaneous Store Retailers - 0.6% | |||||||||||
713 | Tractor Supply Co. | 169,979 | |||||||||
Motor Vehicle and Parts Dealers - 3.1% | |||||||||||
382 | Advance Auto Parts, Inc. | 47,952 | |||||||||
121 | AutoZone, Inc. (a) | 322,260 | |||||||||
1,020 | CarMax, Inc. (a) | 71,431 | |||||||||
402 | O'Reilly Automotive, Inc. (a) | 368,759 | |||||||||
810,402 | |||||||||||
Plastics and Rubber Products Manufacturing - 0.1% | |||||||||||
2,429 | Newell Rubbermaid, Inc. | 29,512 | |||||||||
Support Activities for Transportation - 0.3% | |||||||||||
954 | Expedia, Inc. (a) | 89,638 | |||||||||
Transportation Equipment Manufacturing - 13.5% | |||||||||||
1,749 | Aptiv PLC ADR (United Kingdom) (a) | 179,902 | |||||||||
1,511 | BorgWarner, Inc. | 72,724 | |||||||||
25,271 | Ford Motor Co. | 300,220 | |||||||||
9,001 | General Motors Co. | 297,393 | |||||||||
16,618 | Tesla Motors, Inc. (a) | 2,730,504 | |||||||||
3,580,743 | |||||||||||
Water Transportation - 0.3% | |||||||||||
1,417 | Royal Caribbean Cruises Ltd. ADR (Liberia) (a) | 92,714 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.6% | |||||||||||
910 | Genuine Parts Co. | $ | 153,162 | ||||||||
TOTAL COMMON STOCKS (Cost $19,934,167) | $ | 20,204,900 | |||||||||
SHORT TERM INVESTMENTS - 24.5% | |||||||||||
Money Market Funds - 24.5% | |||||||||||
2,991,217 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 2,991,217 | ||||||||
280,079 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 280,079 | |||||||||
3,229,768 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 3,229,768 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,501,064) | $ | 6,501,064 | |||||||||
TOTAL INVESTMENTS (Cost $26,435,231) - 100.5% (c) | $ | 26,705,964 | |||||||||
Liabilities in Excess of Other Assets - (0.5)% | (149,353 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 26,556,611 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $18,589,142.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 19,383 | $ | 28,282,247 | $ | 531,901 | |||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 5.4000% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 15,722 | 21,144,596 | 2,055,917 | |||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index | 5.3500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 4,718 | 7,244,202 | (263,299 | ) | ||||||||||||||||||||
$ | 56,671,045 | $ | 2,324,519 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Daily Dow Jones Internet Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 72.5% | |||||||||||
Administrative and Support Services - 1.9% | |||||||||||
29,534 | Cloudflare, Inc. (a) | $ | 1,389,575 | ||||||||
37,094 | Teladoc Health, Inc. (a) | 984,104 | |||||||||
2,373,679 | |||||||||||
Computer and Electronic Product Manufacturing - 13.8% | |||||||||||
51,276 | Alphabet, Inc. Class A (a) | 5,503,966 | |||||||||
44,704 | Alphabet, Inc. Class C (a) | 4,837,867 | |||||||||
16,348 | Arista Networks, Inc. (a) | 2,618,296 | |||||||||
98,878 | Cisco Systems, Inc. | 4,671,985 | |||||||||
17,632,114 | |||||||||||
Data Processing, Hosting and Related Services - 2.1% | |||||||||||
22,151 | Airbnb, Inc. (a) | 2,650,810 | |||||||||
General Merchandise Retailers - 10.0% | |||||||||||
87,527 | Amazon.com, Inc. (a) | 9,229,722 | |||||||||
45,800 | eBay, Inc. | 2,126,494 | |||||||||
14,289 | Etsy, Inc. (a) | 1,443,618 | |||||||||
12,799,834 | |||||||||||
Motion Picture and Sound Recording Industries - 3.4% | |||||||||||
13,280 | Netflix, Inc. (a) | 4,381,470 | |||||||||
Nonstore Retailers - 1.4% | |||||||||||
28,708 | DoorDash, Inc. (a) | 1,756,643 | |||||||||
Other Information Services - 1.2% | |||||||||||
64,921 | Pinterest, Inc. (a) | 1,493,183 | |||||||||
Professional, Scientific, and Technical Services - 16.3% | |||||||||||
24,013 | Ciena Corp. (a) | 1,105,558 | |||||||||
19,557 | GoDaddy, Inc. (a) | 1,480,074 | |||||||||
44,438 | Juniper Networks, Inc. | 1,339,806 | |||||||||
37,323 | Match Group, Inc. (a) | 1,377,219 | |||||||||
34,175 | Meta Platforms, Inc. (a) | 8,212,936 | |||||||||
42,474 | Nutanix, Inc. (a) | 1,018,526 | |||||||||
129,773 | Snap, Inc. (a) | 1,130,323 | |||||||||
17,821 | Snowflake, Inc. (a) | 2,638,933 | |||||||||
13,277 | Workday, Inc. (a) | 2,471,381 | |||||||||
20,774,756 | |||||||||||
Publishing Industries - 3.9% | |||||||||||
25,419 | Salesforce.com, Inc. (a) | 5,042,367 | |||||||||
Publishing Industries (except Internet) - 7.7% | |||||||||||
19,929 | Akamai Technologies, Inc. (a) | 1,633,580 | |||||||||
33,856 | Box, Inc. (a) | 895,830 | |||||||||
36,504 | Confluent, Inc. (a) | 803,088 | |||||||||
24,885 | Datadog, Inc. (a) | 1,676,751 | |||||||||
52,628 | Dropbox, Inc. (a) | 1,070,453 | |||||||||
44,532 | Fastly, Inc. (a) | 658,183 | |||||||||
11,811 | Veeva Systems, Inc. (a) | 2,115,114 | |||||||||
47,032 | ZoomInfo Technologies, Inc. (a) | 1,030,471 | |||||||||
9,883,470 | |||||||||||
Real Estate - 1.4% | |||||||||||
324,593 | Opendoor Technologies, Inc. (a) | 447,938 | |||||||||
8,422 | Zillow Group, Inc. Class A (a) | 360,293 | |||||||||
23,572 | Zillow Group, Inc. Class C (a) | 1,026,325 | |||||||||
1,834,556 |
Shares | Fair Value | ||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.3% | |||||||||||
89,045 | CommScope Holding Co., Inc. (a) | $ | 438,992 | ||||||||
Software - 4.1% | |||||||||||
11,944 | Atlassian Corp. (a) | 1,763,651 | |||||||||
23,823 | DocuSign, Inc. (a) | 1,177,809 | |||||||||
18,154 | Okta, Inc. (a) | 1,244,094 | |||||||||
24,479 | Smartsheet, Inc. (a) | 1,000,457 | |||||||||
5,186,011 | |||||||||||
Support Activities for Transportation - 1.2% | |||||||||||
15,834 | Expedia, Inc. (a) | 1,487,763 | |||||||||
Telecommunications - 3.8% | |||||||||||
45,119 | PayPal Holdings, Inc. (a) | 3,429,044 | |||||||||
23,959 | Zoom Video Communications, Inc. (a) | 1,471,801 | |||||||||
4,900,845 | |||||||||||
TOTAL COMMON STOCKS (Cost $89,234,362) | $ | 92,636,493 | |||||||||
SHORT TERM INVESTMENTS - 29.3% | |||||||||||
Money Market Funds - 29.3% | |||||||||||
20,100,441 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 20,100,441 | ||||||||
17,334,926 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 17,334,926 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $37,435,367) | $ | 37,435,367 | |||||||||
TOTAL INVESTMENTS (Cost $126,669,729) - 101.8% (c) | $ | 130,071,860 | |||||||||
Liabilities in Excess of Other Assets - (1.8)% | (2,245,059 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 127,826,801 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $104,012,409.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion Daily Dow Jones Internet Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 4.9000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 174,763 | $ | 113,315,176 | $ | (590,809 | ) | ||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 86,010 | 52,315,375 | 2,802,877 | |||||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 5.0500% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 94,315 | 54,268,948 | 6,064,185 | |||||||||||||||||||||
Total return of Dow Jones Internet Composite Index | 5.1000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 93,452 | 54,335,715 | 5,479,381 | |||||||||||||||||||||
$ | 274,235,214 | $ | 13,755,634 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion Daily Dow Jones Internet Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 96.6% | |||||||||||
Money Market Funds - 96.6% | |||||||||||
20,883,562 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 20,883,562 | ||||||||
22,228,582 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 22,228,582 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $43,112,144) (b) | $ | 43,112,144 | |||||||||
TOTAL INVESTMENTS (Cost $43,112,144) - 96.6% | $ | 43,112,144 | |||||||||
Other Assets in Excess of Liabilities - 3.4% | 1,509,145 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 44,621,289 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,608,153.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
4.7000% representing 1 month SOFR rate + spread | Total return of Dow Jones Internet Composite Index | Bank of America Merrill Lynch | 12/8/2023 | 117,313 | $ | 75,427,098 | $ | (388,052 | ) | ||||||||||||||||||
4.8500% representing 1 month SOFR rate + spread | Total return of Dow Jones Internet Composite Index | UBS Securities LLC | 12/13/2023 | 40,963 | 25,945,903 | (360,189 | ) | ||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of Dow Jones Internet Composite Index | Citibank N.A. | 12/19/2023 | 14,537 | 9,207,059 | (150,566 | ) | ||||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of Dow Jones Internet Composite Index | J.P. Morgan | 1/23/2024 | 33,636 | 22,168,080 | 484,189 | |||||||||||||||||||||
$ | 132,748,140 | $ | (414,618 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Daily Financial Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 65.4% | |||||||||||
Administrative and Support Services - 6.6% | |||||||||||
9,612 | FactSet Research System, Inc. | $ | 3,957,164 | ||||||||
18,537 | FleetCor Technologies, Inc. (a) | 3,965,435 | |||||||||
39,582 | Moody's Corp. | 12,393,916 | |||||||||
408,279 | Visa, Inc. Class A | 95,018,772 | |||||||||
115,335,287 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.4% | |||||||||||
66,111 | Global Payments, Inc. | 7,451,371 | |||||||||
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 1.1% | |||||||||||
159,563 | Fiserv, Inc. (a) | 19,485,833 | |||||||||
Credit Intermediation and Related Activities - 24.4% | |||||||||||
149,588 | American Express Co. | 24,134,528 | |||||||||
1,753,684 | Bank of America Corp. | 51,347,867 | |||||||||
184,810 | Bank of New York Mellon Corp. | 7,871,058 | |||||||||
95,812 | Capital One Financial Corp. | 9,322,508 | |||||||||
486,658 | Citigroup, Inc. | 22,906,992 | |||||||||
123,735 | Citizens Financial Group, Inc. | 3,828,361 | |||||||||
32,916 | Comerica, Inc. | 1,427,567 | |||||||||
67,082 | Discover Financial Services | 6,940,974 | |||||||||
149,104 | Fidelity National Information Services, Inc. | 8,755,387 | |||||||||
171,714 | Fifth Third Bancorp | 4,498,907 | |||||||||
46,678 | First Republic Bank (b) | 163,840 | |||||||||
362,596 | Huntington Bancshares, Inc. | 4,061,075 | |||||||||
737,005 | JPMorgan Chase & Co. | 101,883,571 | |||||||||
234,514 | KeyCorp | 2,640,628 | |||||||||
42,537 | M&T Bank Corp. | 5,351,155 | |||||||||
211,993 | MasterCard, Inc. Class A | 80,563,700 | |||||||||
52,371 | Northern Trust Corp. | 4,093,317 | |||||||||
100,755 | PNC Financial Services Group, Inc. | 13,123,339 | |||||||||
234,686 | Regions Financial Corp. | 4,285,366 | |||||||||
87,692 | State Street Corp. | 6,336,624 | |||||||||
109,804 | Synchrony Financial | 3,240,316 | |||||||||
333,382 | Truist Financial Corp. | 10,861,585 | |||||||||
350,054 | U.S. Bancorp | 11,999,851 | |||||||||
957,421 | Wells Fargo & Co. | 38,057,485 | |||||||||
37,597 | Zions Bancorp | 1,047,452 | |||||||||
428,743,453 | |||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.4% | |||||||||||
56,348 | T. Rowe Price Group, Inc. | 6,329,571 | |||||||||
Insurance Carriers and Related Activities - 19.5% | |||||||||||
140,667 | Aflac, Inc. | 9,825,590 | |||||||||
66,092 | Allstate Corp. | 7,650,810 | |||||||||
186,687 | American International Group, Inc. | 9,901,878 | |||||||||
51,604 | Aon PLC ADR (United Kingdom) | 16,780,589 | |||||||||
92,937 | Arch Capital Group Ltd. ADR (a) | 6,976,781 | |||||||||
53,293 | Arthur J. Gallagher & Co. | 11,088,142 | |||||||||
13,272 | Assurant, Inc. | 1,634,181 | |||||||||
452,700 | Berkshire Hathaway, Inc. Class B (a) | 148,734,585 |
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
59,056 | Brown & Brown, Inc. | $ | 3,802,616 | ||||||||
104,280 | Chubb Limited ADR (Switzerland) | 21,018,677 | |||||||||
39,500 | Cincinnati Financial Corp. | 4,204,380 | |||||||||
9,843 | Everest Re Group Ltd. ADR | 3,720,654 | |||||||||
22,733 | Globe Life, Inc. | 2,466,985 | |||||||||
79,177 | Hartford Financial Services Group, Inc. | 5,620,775 | |||||||||
38,699 | Lincoln National Corp. | 840,929 | |||||||||
49,003 | Loews Corp. | 2,821,103 | |||||||||
124,379 | Marsh & McLennan Companies, Inc. | 22,411,852 | |||||||||
165,591 | MetLife, Inc. | 10,155,696 | |||||||||
57,181 | Principal Financial Group, Inc. | 4,270,849 | |||||||||
146,962 | Progressive Corp. | 20,045,617 | |||||||||
92,464 | Prudential Financial, Inc. | 8,044,368 | |||||||||
58,077 | Travelers Companies, Inc. | 10,520,068 | |||||||||
51,185 | W.R. Berkley Corp. | 3,015,820 | |||||||||
26,819 | Willis Towers Watson PLC ADR (Ireland) | 6,211,280 | |||||||||
341,764,225 | |||||||||||
Professional, Scientific, and Technical Services - 0.2% | |||||||||||
18,329 | Jack Henry & Associates, Inc. | 2,993,859 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 11.6% | |||||||||||
26,456 | Ameriprise Financial, Inc. | 8,072,255 | |||||||||
37,620 | BlackRock, Inc. | 25,250,544 | |||||||||
26,660 | CBOE Holdings, Inc. | 3,724,402 | |||||||||
383,257 | Charles Schwab Corp. | 20,021,346 | |||||||||
90,392 | CME Group, Inc. | 16,792,122 | |||||||||
71,651 | Franklin Resources, Inc. | 1,925,979 | |||||||||
85,084 | Goldman Sachs Group, Inc. | 29,221,249 | |||||||||
140,419 | IntercontinentalExchange, Inc. | 15,295,842 | |||||||||
114,285 | Invesco Ltd. ADR (a) | 1,957,702 | |||||||||
9,458 | MarketAxess Holdings, Inc. | 3,011,144 | |||||||||
328,281 | Morgan Stanley | 29,535,441 | |||||||||
20,099 | MSCI, Inc. Class A | 9,696,762 | |||||||||
85,173 | NASDAQ OMX Group, Inc. | 4,716,029 | |||||||||
48,702 | Raymond James Financial, Inc. | 4,408,992 | |||||||||
82,705 | S&P Global, Inc. | 29,987,179 | |||||||||
203,616,988 | |||||||||||
Telecommunications - 1.2% | |||||||||||
284,257 | PayPal Holdings, Inc. (a) | 21,603,532 | |||||||||
TOTAL COMMON STOCKS (Cost $1,093,844,104) | $ | 1,147,324,119 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 40.8% | |||||||||||
Money Market Funds - 40.8% | |||||||||||
492,541,661 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 492,541,661 | ||||||||
3,303,172 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 3,303,172 | |||||||||
68,511,294 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 68,511,294 | |||||||||
152,104,577 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 152,104,577 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $716,460,704) | $ | 716,460,704 | |||||||||
TOTAL INVESTMENTS (Cost $1,810,304,808) - 106.2% (e) | $ | 1,863,784,823 | |||||||||
Liabilities in Excess of Other Assets - (6.2)% | (108,980,279 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,754,804,544 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,502,732,618.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Financials Select Sector Index | 5.6900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 1,375,000 | $ | 571,374,419 | $ | (16,355,850 | ) | ||||||||||||||||||
Total return of Financials Select Sector Index | 5.3500% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 1,291,561 | 504,529,047 | 21,814,500 | |||||||||||||||||||||
Total return of Financials Select Sector Index | 5.5000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 798,170 | 345,748,575 | (23,529,677 | ) | ||||||||||||||||||||
Total return of Financials Select Sector Index | 5.3000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 1,584,880 | 624,416,785 | 21,508,440 | |||||||||||||||||||||
Total return of Financials Select Sector Index | 5.3900% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 1,394,003 | 573,663,945 | (7,073,011 | ) | ||||||||||||||||||||
Total return of Financials Select Sector Index | 5.4500% representing 1 month SOFR rate + spread | Societe Generale | 12/18/2023 | 7,000 | 2,987,138 | (167,952 | ) | ||||||||||||||||||||
Total return of Financials Select Sector Index | 5.4000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 1,617,000 | 695,503,176 | (42,732,374 | ) | ||||||||||||||||||||
Total return of Financials Select Sector Index | 5.3500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 2,005,414 | 855,770,316 | (46,420,844 | ) | ||||||||||||||||||||
$ | 4,173,993,401 | $ | (92,956,768 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Direxion Daily Financial Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 105.8% | |||||||||||
Money Market Funds - 105.8% | |||||||||||
67,884,438 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 67,884,438 | ||||||||
28,104,237 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 28,104,237 | |||||||||
80,664,013 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 80,664,013 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $176,652,688) (b) | $ | 176,652,688 | |||||||||
TOTAL INVESTMENTS (Cost $176,652,688) - 105.8% | $ | 176,652,688 | |||||||||
Liabilities in Excess of Other Assets - (5.8)% | (9,606,082 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 167,046,606 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $116,459,355.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of Financials Select Sector Index | Goldman Sachs | 12/7/2023 | 328,880 | $ | 130,759,808 | $ | (3,553,855 | ) | ||||||||||||||||||
5.3000% representing 1 month SOFR rate + spread | Total return of Financials Select Sector Index | Bank of America Merrill Lynch | 12/8/2023 | 616,309 | 265,780,565 | 16,808,244 | |||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of Financials Select Sector Index | J.P. Morgan | 12/12/2023 | 137,185 | 57,996,510 | 2,480,934 | |||||||||||||||||||||
5.1500% representing 1 month SOFR rate + spread | Total return of Financials Select Sector Index | UBS Securities LLC | 12/13/2023 | 115,718 | 51,208,906 | 4,263,934 | |||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of Financials Select Sector Index | Societe Generale | 12/18/2023 | 28,000 | 10,713,177 | (698,590 | ) | ||||||||||||||||||||
$ | 516,458,966 | $ | 19,300,667 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 73.0% | |||||||||||
Ambulatory Health Care Services - 1.0% | |||||||||||
1,536 | DaVita, Inc. (a) | $ | 138,793 | ||||||||
2,475 | Laboratory Corp. of America Holdings | 561,107 | |||||||||
1,631 | Molina Healthcare, Inc. (a) | 485,858 | |||||||||
3,102 | Quest Diagnostics, Inc. | 430,589 | |||||||||
33,890 | Viatris, Inc. | 316,194 | |||||||||
1,932,541 | |||||||||||
Chemical Manufacturing - 26.6% | |||||||||||
49,421 | AbbVie, Inc. | 7,468,501 | |||||||||
14,922 | Amgen, Inc. | 3,577,400 | |||||||||
4,024 | Biogen, Inc. (a) | 1,224,221 | |||||||||
4,394 | Bio-Techne Corp. | 350,993 | |||||||||
59,416 | Bristol-Myers Squibb Co. | 3,967,206 | |||||||||
5,033 | Catalent, Inc. (a) | 252,254 | |||||||||
22,039 | Eli Lilly and Company | 8,724,359 | |||||||||
34,848 | Gilead Sciences, Inc. | 2,864,854 | |||||||||
5,171 | Incyte Corp. (a) | 384,774 | |||||||||
70,853 | Merck & Co., Inc. | 8,181,396 | |||||||||
7,109 | Organon & Co. | 175,095 | |||||||||
156,868 | Pfizer, Inc. | 6,100,597 | |||||||||
3,005 | Regeneron Pharmaceuticals, Inc. (a) | 2,409,379 | |||||||||
7,185 | Vertex Pharmaceuticals, Inc. (a) | 2,448,145 | |||||||||
2,069 | West Pharmaceutical Services, Inc. | 747,406 | |||||||||
13,025 | Zoetis, Inc. | 2,289,534 | |||||||||
51,166,114 | |||||||||||
Computer and Electronic Product Manufacturing - 8.4% | |||||||||||
8,268 | Agilent Technologies, Inc. | 1,119,735 | |||||||||
601 | Bio-Rad Laboratories, Inc. (a) | 270,925 | |||||||||
18,317 | Danaher Corp. | 4,339,481 | |||||||||
10,147 | GE HealthCare Technologies, Inc. (a) | 825,357 | |||||||||
6,890 | Hologic, Inc. (a) | 592,609 | |||||||||
2,315 | IDEXX Laboratories, Inc. (a) | 1,139,350 | |||||||||
4,395 | Illumina, Inc. (a) | 903,436 | |||||||||
3,531 | PerkinElmer, Inc. | 460,760 | |||||||||
10,960 | Thermo Fisher Scientific, Inc. | 6,081,704 | |||||||||
1,660 | Waters Corp. (a) | 498,598 | |||||||||
16,231,955 | |||||||||||
Health & Personal Care Stores - 1.4% | |||||||||||
35,884 | CVS Health Corp. | 2,630,656 | |||||||||
Hospitals - 1.0% | |||||||||||
5,925 | HCA Healthcare, Inc. | 1,702,430 | |||||||||
1,793 | Universal Health Services, Inc. Class B | 269,578 | |||||||||
1,972,008 | |||||||||||
Insurance Carriers and Related Activities - 10.9% | |||||||||||
15,391 | Centene Corp. (a) | 1,060,902 | |||||||||
8,347 | Cigna Corp. | 2,114,211 |
Shares | Fair Value | ||||||||||
Insurance Carriers and Related Activities (continued) | |||||||||||
6,674 | Elevance Health, Inc. | $ | 3,127,770 | ||||||||
3,492 | Humana, Inc. | 1,852,471 | |||||||||
26,111 | UnitedHealth Group, Inc. | 12,848,962 | |||||||||
21,004,316 | |||||||||||
Machinery Manufacturing - 0.5% | |||||||||||
618 | Mettler-Toledo International, Inc. (a) | 921,747 | |||||||||
Management of Companies and Enterprises - 2.8% | |||||||||||
48,726 | Abbott Laboratories | 5,382,761 | |||||||||
Merchant Wholesalers, Durable Goods - 0.2% | |||||||||||
3,789 | Henry Schein, Inc. (a) | 306,189 | |||||||||
Merchant Wholesalers, Nondurable Goods - 1.4% | |||||||||||
4,523 | AmerisourceBergen Corp. | 754,663 | |||||||||
7,200 | Cardinal Health, Inc. | 591,120 | |||||||||
3,827 | McKesson Corp. | 1,393,946 | |||||||||
2,739,729 | |||||||||||
Miscellaneous Manufacturing - 17.5% | |||||||||||
2,030 | Align Technology, Inc. (a) | 660,359 | |||||||||
14,103 | Baxter International, Inc. | 672,431 | |||||||||
7,934 | Becton, Dickinson & Co. | 2,097,036 | |||||||||
40,026 | Boston Scientific Corp. (a) | 2,086,155 | |||||||||
6,006 | Dentsply Sirona, Inc. | 251,832 | |||||||||
10,799 | DexCom, Inc. (a) | 1,310,351 | |||||||||
17,277 | Edwards Lifesciences Corp. (a) | 1,520,030 | |||||||||
1,941 | Insulet Corp. (a) | 617,316 | |||||||||
9,791 | Intuitive Surgical, Inc. (a) | 2,949,245 | |||||||||
73,062 | Johnson & Johnson | 11,960,249 | |||||||||
37,172 | Medtronic PLC ADR (Ireland) | 3,380,793 | |||||||||
4,104 | ResMed, Inc. | 988,900 | |||||||||
2,775 | Steris PLC ADR (Ireland) | 523,226 | |||||||||
9,422 | Stryker Corp. | 2,823,302 | |||||||||
1,311 | Teleflex, Inc. | 357,274 | |||||||||
1,379 | The Cooper Companies, Inc. | 526,020 | |||||||||
5,864 | Zimmer Biomet Holdings, Inc. | 811,812 | |||||||||
33,536,331 | |||||||||||
Professional, Scientific, and Technical Services - 1.3% | |||||||||||
1,422 | Charles River Laboratories International, Inc. (a) | 270,351 | |||||||||
5,190 | IQVIA Holdings, Inc. (a) | 976,914 | |||||||||
9,233 | Moderna, Inc. (a) | 1,226,973 | |||||||||
2,474,238 | |||||||||||
TOTAL COMMON STOCKS (Cost $142,834,115) | $ | 140,298,585 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 30.7% | |||||||||||
Money Market Funds - 30.7% | |||||||||||
13,782,127 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 13,782,127 | ||||||||
4,535,855 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 4,535,855 | |||||||||
40,577,815 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 40,577,815 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $58,895,797) | $ | 58,895,797 | |||||||||
TOTAL INVESTMENTS (Cost $201,729,912) - 103.7% (c) | $ | 199,194,382 | |||||||||
Liabilities in Excess of Other Assets - (3.7)% | (7,083,003 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 192,111,379 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $172,540,863.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 183,300 | $ | 249,138,780 | $ | (4,172,374 | ) | ||||||||||||||||||
Total return of Health Care Select Sector Index | 5.4400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 69,809 | 90,354,329 | 3,404,888 | |||||||||||||||||||||
Total return of Health Care Select Sector Index | 5.4000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 70,208 | 97,146,995 | (3,801,676 | ) | ||||||||||||||||||||
$ | 436,640,104 | $ | (4,569,162 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 64.3% | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 5.5% | |||||||||||
25,610 | Lowe's Companies, Inc. | $ | 5,322,526 | ||||||||
26,430 | MasterBrand, Inc. (a) | 213,290 | |||||||||
17,671 | The Home Depot, Inc. | 5,310,843 | |||||||||
10,846,659 | |||||||||||
Construction of Buildings - 38.1% | |||||||||||
17,147 | Beazer Homes USA, Inc. (a) | 365,403 | |||||||||
16,456 | Century Communities, Inc. | 1,108,147 | |||||||||
181,838 | D.R. Horton, Inc. | 19,969,449 | |||||||||
15,806 | Green Brick Partners , Inc. (a) | 589,090 | |||||||||
47,498 | KB Home | 2,081,362 | |||||||||
8,417 | Lennar Corp. | 823,351 | |||||||||
147,537 | Lennar Corp. Class A | 16,643,649 | |||||||||
11,926 | LGI Homes, Inc. (a) | 1,416,809 | |||||||||
33,791 | M.D.C Holdings, Inc. | 1,384,417 | |||||||||
15,960 | M/I Homes, Inc. (a) | 1,079,534 | |||||||||
21,281 | Meritage Homes Corp. | 2,725,032 | |||||||||
1,761 | NVR, Inc. (a) | 10,284,240 | |||||||||
131,274 | PulteGroup, Inc. | 8,815,049 | |||||||||
63,046 | Taylor Morrison Home Corp. (a) | 2,716,652 | |||||||||
59,838 | Toll Brothers, Inc. | 3,824,247 | |||||||||
58,721 | TRI Pointe Group, Inc. (a) | 1,684,118 | |||||||||
75,510,549 | |||||||||||
Fabricated Metal Product Manufacturing - 0.7% | |||||||||||
12,365 | PGT Innovations, Inc. (a) | 317,286 | |||||||||
8,779 | Simpson Manufacturing Company, Inc. | 1,104,223 | |||||||||
1,421,509 | |||||||||||
Furniture and Related Product Manufacturing - 0.1% | |||||||||||
3,426 | American Woodmark Corp. (a) | 173,081 | |||||||||
Furniture, Home Furnishings, Electronics, and Appliance Retailers - 1.2% | |||||||||||
4,702 | Ethan Allen Interiors, Inc. | 131,327 | |||||||||
21,870 | Floor & Decor Holdings, Inc. (a) | 2,172,566 | |||||||||
2,303,893 | |||||||||||
Machinery Manufacturing - 0.1% | |||||||||||
23,948 | Hayward Holdings, Inc. (a) | 288,334 | |||||||||
Management of Companies and Enterprises - 0.3% | |||||||||||
22,367 | AZEK Company, Inc. (a) | 607,040 | |||||||||
Merchant Wholesalers, Durable Goods - 5.8% | |||||||||||
10,461 | Beacon Roofing Supply, Inc. (a) | 629,543 | |||||||||
30,333 | Builders FirstSource, Inc. (a) | 2,874,659 | |||||||||
26,430 | Fortune Brands Home & Security, Inc. | 1,709,757 | |||||||||
27,327 | Leggett & Platt, Inc. | 882,935 | |||||||||
6,651 | Lennox International, Inc. | 1,874,983 | |||||||||
6,037 | Lumber Liquidators Holdings, Inc. (a) | 19,862 | |||||||||
10,866 | Mohawk Industries, Inc. (a) | 1,150,709 | |||||||||
6,855 | Watsco, Inc. | 2,374,435 | |||||||||
11,516,883 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 2.8% | |||||||||||
23,412 | The Sherwin Williams Co. | 5,561,286 |
Shares | Fair Value | ||||||||||
Nonmetallic Mineral Product Manufacturing - 1.7% | |||||||||||
7,429 | Eagle Materials, Inc. | $ | 1,101,052 | ||||||||
19,261 | Owens Corning | 2,057,267 | |||||||||
6,850 | Quanex Building Products Corp. | 130,835 | |||||||||
3,289,154 | |||||||||||
Specialty Trade Contractors - 3.0% | |||||||||||
13,648 | Installed Building Products, Inc. | 1,696,037 | |||||||||
18,606 | TopBuild Corp. (a) | 4,195,281 | |||||||||
5,891,318 | |||||||||||
Wood Product Manufacturing - 5.0% | |||||||||||
4,706 | Cavco Industries, Inc. (a) | 1,412,835 | |||||||||
17,382 | JELD-WEN Holding, Inc. (a) | 222,142 | |||||||||
14,778 | Louisiana-Pacific Corp. | 882,838 | |||||||||
46,413 | Masco Corp. | 2,483,560 | |||||||||
4,592 | Masonite International Corp. ADR (a) | 419,755 | |||||||||
30,874 | Skyline Champion Corp. (a) | 2,289,925 | |||||||||
22,617 | Trex Company, Inc. (a) | 1,236,245 | |||||||||
12,701 | UFP Industries, Inc. | 997,282 | |||||||||
9,944,582 | |||||||||||
TOTAL COMMON STOCKS (Cost $109,198,673) | $ | 127,354,288 | |||||||||
SHORT TERM INVESTMENTS - 31.7% | |||||||||||
Money Market Funds - 31.7% | |||||||||||
33,435,949 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 33,435,949 | ||||||||
451,238 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 451,238 | |||||||||
28,933,613 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 28,933,613 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $62,820,800) | $ | 62,820,800 | |||||||||
TOTAL INVESTMENTS (Cost $172,019,473) - 96.0% (c) | $ | 190,175,088 | |||||||||
Other Assets in Excess of Liabilities - 4.0% | 7,870,157 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 198,045,245 |
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.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $143,961,720.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.5900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 3,148 | $ | 39,036,349 | $ | 3,368,038 | |||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 5.3500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 7,893 | 95,157,401 | 11,237,336 | |||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 5.3500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 11,548 | 156,488,508 | (1,578,371 | ) | ||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index | 5.3000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 11,859 | 127,700,386 | 31,179,160 | |||||||||||||||||||||
$ | 418,382,644 | $ | 44,206,163 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 68.1% | |||||||||||
Administrative and Support Services - 5.1% | |||||||||||
419 | Allegion PLC ADR (Ireland) | $ | 46,291 | ||||||||
1,974 | Automatic Data Processing, Inc. | 434,280 | |||||||||
561 | Broadridge Financial Solutions, Inc. | 81,575 | |||||||||
584 | Equifax, Inc. | 121,694 | |||||||||
513 | Robert Half International, Inc. | �� | 37,449 | ||||||||
1,103 | Rollins, Inc. | 46,602 | |||||||||
1,770 | Waste Management, Inc. | 293,908 | |||||||||
1,061,799 | |||||||||||
Air Transportation - 1.6% | |||||||||||
608 | Alaska Air Group, Inc. (a) | 26,424 | |||||||||
3,100 | American Airlines Group, Inc. (a) | 42,284 | |||||||||
3,056 | Delta Air Lines, Inc. (a) | 104,851 | |||||||||
2,832 | Southwest Airlines Co. | 85,781 | |||||||||
1,558 | United Continental Holdings, Inc. (a) | 68,241 | |||||||||
327,581 | |||||||||||
Building Material and Garden Equipment and Supplies Dealers - 0.3% | |||||||||||
253 | Snap-on, Inc. | 65,631 | |||||||||
Computer and Electronic Product Manufacturing - 7.8% | |||||||||||
1,094 | AMETEK, Inc. | 150,896 | |||||||||
1,682 | Fortive Corp. | 106,117 | |||||||||
907 | L3 Harris Technologies, Inc. | 177,001 | |||||||||
686 | Northrop Grumman Corp. | 316,431 | |||||||||
1,977 | Otis Worldwide Corp. | 168,638 | |||||||||
6,981 | Raytheon Technologies Corp. | 697,402 | |||||||||
1,616,485 | |||||||||||
Couriers and Messengers - 4.2% | |||||||||||
1,106 | FedEx Corp. | 251,925 | |||||||||
3,478 | United Parcel Service, Inc. Class B | 625,379 | |||||||||
877,304 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.2% | |||||||||||
605 | A.O. Smith Corp. | 41,316 | |||||||||
2,723 | Emerson Electric Co. | 226,717 | |||||||||
302 | Generac Holdings, Inc. (a) | 30,870 | |||||||||
547 | Rockwell Automation, Inc. | 155,025 | |||||||||
453,928 | |||||||||||
Fabricated Metal Product Manufacturing - 0.5% | |||||||||||
784 | Pentair PLC ADR (Ireland) | 45,535 | |||||||||
705 | Stanley Black & Decker, Inc. | 60,869 | |||||||||
106,404 | |||||||||||
Machinery Manufacturing - 12.5% | |||||||||||
3,975 | Carrier Global Corp. | 166,234 | |||||||||
2,480 | Caterpillar, Inc. | 542,624 | |||||||||
673 | Cummins, Inc. | 158,182 | |||||||||
1,289 | Deere & Co. | 487,268 | |||||||||
5,191 | General Electric Co. | 513,753 | |||||||||
359 | IDEX Corp. | 74,069 | |||||||||
1,930 | Ingersoll Rand, Inc. | 110,049 | |||||||||
256 | Nordson Corp. | 55,375 | |||||||||
611 | Parker Hannifin Corp. | 198,502 |
Shares | Fair Value | ||||||||||
Machinery Manufacturing (continued) | |||||||||||
1,092 | Trane Technologies PLC ADR (Ireland) | $ | 202,904 | ||||||||
859 | Xylem, Inc. | 89,199 | |||||||||
2,598,159 | |||||||||||
Merchant Wholesalers, Durable Goods - 4.3% | |||||||||||
412 | Cintas Corp. | 187,777 | |||||||||
2,043 | Copart, Inc. (a) | 161,499 | |||||||||
2,720 | Fastenal Co. | 146,445 | |||||||||
190 | Huntington Ingalls Industries, Inc. | 38,316 | |||||||||
3,275 | Johnson Controls International PLC ADR (Ireland) | 195,976 | |||||||||
214 | W.W. Grainger, Inc. | 148,852 | |||||||||
878,865 | |||||||||||
Merchant Wholesalers, Nondurable Goods - 1.5% | |||||||||||
1,323 | Illinois Tool Works, Inc. | 320,087 | |||||||||
Miscellaneous Manufacturing - 2.1% | |||||||||||
2,623 | 3M Co. | 278,615 | |||||||||
666 | Dover Corp. | 97,343 | |||||||||
995 | Textron, Inc. | 66,605 | |||||||||
442,563 | |||||||||||
National Security and International Affairs - 0.3% | |||||||||||
651 | Leidos Holdings, Inc. | 60,712 | |||||||||
Primary Metal Manufacturing - 0.4% | |||||||||||
1,755 | Howmet Aerospace, Inc. | 77,729 | |||||||||
Professional, Scientific, and Technical Services - 3.7% | |||||||||||
1,895 | Eaton Corp PLC ADR (Ireland) | 316,692 | |||||||||
604 | Jacobs Solutions, Inc. | 69,738 | |||||||||
1,529 | Paychex, Inc. | 167,976 | |||||||||
230 | Paycom Software, Inc. (a) | 66,785 | |||||||||
745 | Verisk Analytics, Inc. Class A | 144,612 | |||||||||
765,803 | |||||||||||
Publishing Industries - 0.2% | |||||||||||
733 | Ceridian HCM Holding, Inc. (a) | 46,531 | |||||||||
Rail Transportation - 4.2% | |||||||||||
10,018 | CSX Corp. | 306,952 | |||||||||
2,916 | Union Pacific Corp. | 570,661 | |||||||||
877,613 | |||||||||||
Rental and Leasing Services - 0.6% | |||||||||||
331 | United Rentals, Inc. | 119,527 | |||||||||
Specialty Trade Contractors - 0.6% | |||||||||||
681 | Quanta Services, Inc. | 115,525 | |||||||||
Support Activities for Transportation - 2.1% | |||||||||||
561 | C.H. Robinson Worldwide, Inc. | 56,588 | |||||||||
758 | Expeditors International of Washington, Inc. | 86,291 | |||||||||
395 | J.B. Hunt Transport Services, Inc. | 69,239 | |||||||||
1,085 | Norfolk Southern Corp. | 220,288 | |||||||||
432,406 | |||||||||||
Transportation Equipment Manufacturing - 11.5% | |||||||||||
2,680 | Boeing Co. (a) | 554,170 | |||||||||
1,072 | General Dynamics Corp. | 234,061 | |||||||||
3,184 | Honeywell International, Inc. | 636,291 | |||||||||
1,083 | Lockheed Martin Corp. | 502,999 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Transportation Equipment Manufacturing (continued) | |||||||||||
2,487 | Paccar, Inc. | $ | 185,754 | ||||||||
247 | TransDigm Group, Inc. | 188,955 | |||||||||
867 | Wabtec Corp. | 84,680 | |||||||||
2,386,910 | |||||||||||
Truck Transportation - 0.7% | |||||||||||
432 | Old Dominion Freight Line, Inc. | 138,408 | |||||||||
Waste Management and Remediation Services - 0.7% | |||||||||||
979 | Republic Services, Inc. | 141,583 | |||||||||
Web Search Portals, Libraries, Archives, and Other Information Services - 0.7% | |||||||||||
1,938 | CoStar Group, Inc. (a) | 149,129 | |||||||||
Wood Product Manufacturing - 0.3% | |||||||||||
1,073 | Masco Corp. | 57,416 | |||||||||
TOTAL COMMON STOCKS (Cost $15,281,688) | $ | 14,118,098 | |||||||||
SHORT TERM INVESTMENTS - 32.7% | |||||||||||
Money Market Funds - 32.7% | |||||||||||
1,885,112 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 1,885,112 | ||||||||
3,270,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 3,270,000 | |||||||||
1,631,397 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 1,631,397 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,786,509) | $ | 6,786,509 | |||||||||
TOTAL INVESTMENTS (Cost $22,068,197) - 100.8% (c) | $ | 20,904,607 | |||||||||
Liabilities in Excess of Other Assets - (0.8)% | (166,473 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,738,134 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,746,418.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 16,096 | $ | 16,033,846 | $ | 91,587 | |||||||||||||||||||
Total return of Industrials Select Sector Index | 5.3000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 12,629 | 12,757,555 | (198,802 | ) | ||||||||||||||||||||
Total return of Industrials Select Sector Index | 5.1500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 18,977 | 19,027,623 | (98,852 | ) | ||||||||||||||||||||
$ | 47,819,024 | $ | (206,067 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 66.4% | |||||||||||
Administrative and Support Services - 3.0% | |||||||||||
7,961 | Royalty Pharma PLC ADR (United Kingdom) | $ | 279,829 | ||||||||
Ambulatory Health Care Services - 6.0% | |||||||||||
4,513 | Axsome Therapeutics, Inc. (a) | 322,815 | |||||||||
26,350 | Viatris, Inc. | 245,845 | |||||||||
568,660 | |||||||||||
Chemical Manufacturing - 48.7% | |||||||||||
5,749 | Aclaris Therapeutics, Inc. (a) | 51,109 | |||||||||
1,110 | Amphastar Pharmaceuticals, Inc. (a) | 39,705 | |||||||||
439 | ANI Pharmaceuticals, Inc. (a) | 16,559 | |||||||||
4,010 | Bristol-Myers Squibb Co. | 267,748 | |||||||||
4,293 | Cara Therapeutics, Inc. (a) | 18,030 | |||||||||
9,167 | Cassava Sciences, Inc. (a)(b) | 212,858 | |||||||||
3,880 | Catalent, Inc. (a) | 194,465 | |||||||||
2,499 | Collegium Pharmaceutical, Inc. (a) | 58,152 | |||||||||
4,347 | Corcept Therapeutics, Inc. (a) | 97,938 | |||||||||
6,017 | CymaBay Therapeutics, Inc. (a) | 64,743 | |||||||||
27,534 | Elanco Animal Health, Inc. (a) | 260,747 | |||||||||
836 | Eli Lilly and Company | 330,939 | |||||||||
13,287 | Esperion Therapeutics, Inc. (a) | 17,539 | |||||||||
3,795 | Harmony Biosciences Holdings, Inc. (a) | 122,351 | |||||||||
4,515 | Innoviva, Inc. (a) | 52,961 | |||||||||
4,313 | Intra-Cellular Therapies, Inc. (a) | 268,053 | |||||||||
1,966 | Jazz Pharmaceuticals PLC ADR (Ireland) (a) | 276,164 | |||||||||
915 | Ligand Pharmaceuticals, Inc. (a)�� | 69,860 | |||||||||
2,447 | Merck & Co., Inc. | 282,555 | |||||||||
11,618 | Organon & Co. | 286,151 | |||||||||
3,498 | Pacira Pharmaceuticals, Inc. (a) | 158,494 | |||||||||
7,235 | Perrigo Co. PLC ADR (Ireland) | 269,070 | |||||||||
6,690 | Pfizer, Inc. | 260,174 | |||||||||
2,477 | Pliant Therapeutics, Inc. (a) | 69,975 | |||||||||
1,724 | Prestige Consumer Healthcare, Inc. (a) | 106,078 | |||||||||
7,049 | Revance Therapeutics, Inc. (a) | 224,370 | |||||||||
2,498 | Supernus Pharmaceuticals, Inc. (a) | 92,076 | |||||||||
2,927 | Theravance Biopharma, Inc. ADR (a) | 31,699 | |||||||||
3,851 | Ventyx Biosciences, Inc. (a) | 144,798 | |||||||||
1,631 | Zoetis, Inc. | 286,697 | |||||||||
4,632,058 | |||||||||||
Computer and Electronic Product Manufacturing - 0.2% | |||||||||||
3,003 | Ocular Therapeutix, Inc. (a) | 18,619 | |||||||||
Merchant Wholesalers, Nondurable Goods - 1.6% | |||||||||||
5,451 | Amylxy Pharmaceuticals, Inc. (a) | 154,808 | |||||||||
Miscellaneous Manufacturing - 3.0% | |||||||||||
1,738 | Johnson & Johnson | 284,511 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services - 3.9% | |||||||||||
3,703 | Arvinas, Inc. (a) | $ | 97,056 | ||||||||
2,763 | DICE Therapeutics, Inc. (a) | 89,798 | |||||||||
1,854 | Reata Pharmaceuticals, Inc. (a) | 183,286 | |||||||||
370,140 | |||||||||||
TOTAL COMMON STOCKS (Cost $6,493,988) | $ | 6,308,625 | |||||||||
SHORT TERM INVESTMENTS - 33.6% | |||||||||||
Money Market Funds - 33.6% | |||||||||||
978,531 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 978,531 | ||||||||
550,595 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 550,595 | |||||||||
1,662,382 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 1,662,382 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,191,508) | $ | 3,191,508 | |||||||||
TOTAL INVESTMENTS (Cost $9,685,496) - 100.0% (e) | $ | 9,500,133 | |||||||||
Other Assets in Excess of Liabilities - 0.0% (†) | 3,427 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,503,560 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.05%.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,289,577.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.4400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 1,178 | $ | 5,570,394 | $ | 94,334 | |||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 5.2500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 1,775 | 8,587,313 | (118,029 | ) | ||||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index | 5.4000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 1,635 | 7,897,842 | (118,972 | ) | ||||||||||||||||||||
$ | 22,055,549 | $ | (142,667 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Direxion Daily Real Estate Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 76.6% | |||||||||||
Accommodation - 1.0% | |||||||||||
30,044 | Host Hotels & Resorts, Inc. | $ | 485,811 | ||||||||
Administrative and Support Services - 1.4% | |||||||||||
12,216 | Iron Mountain, Inc. | 674,812 | |||||||||
Professional, Scientific, and Technical Services - 1.8% | |||||||||||
5,625 | Extra Space Storage, Inc. | 855,225 | |||||||||
Real Estate - 64.2% | |||||||||||
6,618 | Alexandria Real Estate Equities, Inc. | 821,823 | |||||||||
19,563 | American Tower Corp. | 3,998,482 | |||||||||
5,875 | AvalonBay Communities, Inc. | 1,059,674 | |||||||||
5,995 | Boston Properties, Inc. | 319,893 | |||||||||
4,624 | Camden Property Trust | 508,871 | |||||||||
13,275 | CBRE Group, Inc. Class A (a) | 1,017,662 | |||||||||
18,189 | Crown Castle International Corp. | 2,238,884 | |||||||||
12,083 | Digital Realty Trust, Inc. | 1,198,029 | |||||||||
14,309 | Equity Residential | 905,044 | |||||||||
2,716 | Essex Property Trust, Inc. | 596,787 | |||||||||
3,075 | Federal Realty Investment Trust | 304,087 | |||||||||
22,976 | Healthpeak Properties, Inc. | 504,783 | |||||||||
24,404 | Invitation Homes, Inc. | 814,362 | |||||||||
25,989 | Kimco Realty Corp. | 498,729 | |||||||||
4,851 | Mid-America Apartment Communities, Inc. | 746,084 | |||||||||
38,785 | Prologis, Inc. | 4,857,821 | |||||||||
6,639 | Public Storage | 1,957,376 | |||||||||
26,352 | Realty Income Corp. | 1,655,960 | |||||||||
6,469 | Regency Centers Corp. | 397,391 | |||||||||
13,739 | Simon Property Group, Inc. | 1,556,903 | |||||||||
12,992 | UDR, Inc. | 536,959 | |||||||||
16,809 | Ventas, Inc. | 807,672 | |||||||||
42,172 | VICI Properties, Inc. | 1,431,318 | |||||||||
19,851 | Welltower, Inc. | 1,572,596 | |||||||||
30,786 | Weyerhaeuser Co. | 920,809 | |||||||||
31,227,999 | |||||||||||
Telecommunications - 8.2% | |||||||||||
3,890 | Equinix, Inc. | 2,816,671 | |||||||||
4,533 | SBA Communications Corp. | 1,182,615 | |||||||||
3,999,286 | |||||||||||
TOTAL COMMON STOCKS (Cost $40,126,504) | $ | 37,243,133 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 27.5% | |||||||||||
Money Market Funds - 27.5% | |||||||||||
4,214,560 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 4,214,560 | ||||||||
9,162,594 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 9,162,594 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $13,377,154) | $ | 13,377,154 | |||||||||
TOTAL INVESTMENTS (Cost $53,503,658) - 104.1% (c) | $ | 50,620,287 | |||||||||
Liabilities in Excess of Other Assets - (4.1)% | (1,981,564 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 48,638,723 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $43,261,350.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Real Estate Select Sector Index | 4.8500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 360,749 | $ | 69,135,083 | $ | (2,470,899 | ) | ||||||||||||||||||
Total return of Real Estate Select Sector Index | 5.0500% representing 1 month SOFR rate + spread | J.P. Morgan | 1/8/2024 | 225,924 | 40,387,835 | 1,400,687 | |||||||||||||||||||||
$ | 109,522,918 | $ | (1,070,212 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Direxion Daily Real Estate Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 102.2% | |||||||||||
Money Market Funds - 102.2% | |||||||||||
96,491,771 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 96,491,771 | ||||||||
77,787,625 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 77,787,625 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $174,279,396) (b) | $ | 174,279,396 | |||||||||
TOTAL INVESTMENTS (Cost $174,279,396) - 102.2% | $ | 174,279,396 | |||||||||
Liabilities in Excess of Other Assets - (2.2)% | (3,711,961 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 170,567,435 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $108,913,538.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
4.6500% representing 1 month SOFR rate + spread | Total return of Real Estate Select Sector Index | Bank of America Merrill Lynch | 12/8/2023 | 1,164,687 | $ | 223,917,575 | $ | 8,357,205 | |||||||||||||||||||
4.5500% representing 1 month SOFR rate + spread | Total return of Real Estate Select Sector Index | J.P. Morgan | 12/12/2023 | 484,384 | 88,216,631 | (1,358,011 | ) | ||||||||||||||||||||
4.6000% representing 1 month SOFR rate + spread | Total return of Real Estate Select Sector Index | UBS Securities LLC | 12/13/2023 | 1,113,353 | 207,506,089 | 1,754,021 | |||||||||||||||||||||
$ | 519,640,295 | $ | 8,753,215 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 76.6% | |||||||||||
Credit Intermediation and Related Activities - 70.2% | |||||||||||
8,118 | 1st Source Corp. | $ | 338,358 | ||||||||
31,959 | Amalgamated Financial Corp. | 520,292 | |||||||||
10,845 | Amerant Bancorp, Inc. | 201,717 | |||||||||
61,414 | Ameris Bancorp | 2,057,369 | |||||||||
230,780 | Associated Banc-Corp | 4,114,807 | |||||||||
44,864 | Atlantic Union Bankshares Corp. | 1,284,008 | |||||||||
54,786 | Axos Financial, Inc. (a) | 2,228,147 | |||||||||
15,416 | BancFirst Corp. | 1,231,584 | |||||||||
30,184 | Bank of Hawaii Corp. | 1,461,811 | |||||||||
7,496 | Bank of Marin Bancorp | 132,154 | |||||||||
166,304 | Bank OZK | 5,940,379 | |||||||||
141,161 | BankUnited, Inc. | 3,183,181 | |||||||||
29,095 | Banner Corp. | 1,452,422 | |||||||||
49,721 | Berkshire Hills Bancorp, Inc. | 1,057,566 | |||||||||
32,437 | BOK Financial Corp. | 2,720,491 | |||||||||
108,435 | Brookline Bancorp, Inc. | 1,034,470 | |||||||||
220,095 | Cadence Bank | 4,450,321 | |||||||||
7,213 | Camden National Corp. | 230,455 | |||||||||
146,114 | Capitol Federal Financial, Inc. | 905,907 | |||||||||
55,962 | Cathay General Bancorp | 1,783,509 | |||||||||
310,453 | Citizens Financial Group, Inc. | 9,605,416 | |||||||||
11,702 | City Holding Co. | 1,067,105 | |||||||||
10,660 | Coastal Financial Corp. (a) | 386,425 | |||||||||
259,880 | Columbia Banking System, Inc. | 5,551,037 | |||||||||
69,764 | Commerce Bancshares, Inc. | 3,896,319 | |||||||||
37,787 | Community Bank System, Inc. | 1,887,838 | |||||||||
9,459 | Community Trust Bancorp, Inc. | 340,619 | |||||||||
26,611 | ConnectOne Bancorp, Inc. | 419,922 | |||||||||
91,015 | Customers Bancorp, Inc. (a) | 1,987,768 | |||||||||
115,936 | CVB Financial Corp. | 1,735,562 | |||||||||
21,070 | Dime Community Bancshares, Inc. | 434,042 | |||||||||
33,431 | Eagle Bancorp, Inc. | 839,118 | |||||||||
154,404 | East West Bancorp, Inc. | 7,981,143 | |||||||||
133,216 | Eastern Bankshares, Inc. | 1,551,966 | |||||||||
22,043 | Enterprise Financial Services Corp. | 942,559 | |||||||||
372,932 | F.N.B. Corp. | 4,281,259 | |||||||||
24,183 | FB Financial Corp. | 711,706 | |||||||||
6,542 | Financial Institutions, Inc. | 114,354 | |||||||||
30,242 | First Bancorp | 930,849 | |||||||||
226,114 | First BanCorp ADR | 2,656,839 | |||||||||
24,606 | First Bancshares, Inc. | 617,611 | |||||||||
25,539 | First Busey Corp. | 464,299 | |||||||||
95,587 | First Commonwealth Financial Corp. | 1,192,926 | |||||||||
54,266 | First Financial Bancorp | 1,123,306 | |||||||||
77,925 | First Financial Bankshares, Inc. | 2,280,085 | |||||||||
7,937 | First Financial Corp. | 274,223 | |||||||||
100,259 | First Hawaiian, Inc. | 1,915,949 | |||||||||
531,977 | First Horizon National Corp. | 9,336,196 | |||||||||
30,620 | First Merchants Corp. | 893,492 | |||||||||
130,738 | First Republic Bank (b) | 458,890 | |||||||||
27,215 | Flushing Finanicial Corp. | 327,396 | |||||||||
163,212 | Fulton Financial Corp. | 1,947,119 | |||||||||
74,853 | Glacier Bancorp, Inc. | 2,487,365 | |||||||||
3,711 | Great Southern Bancorp, Inc. | 188,816 | |||||||||
90,449 | Hancock Holding Co. | 3,303,197 | |||||||||
29,111 | Hanmi Financial Corp. Class A | 470,434 |
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
26,043 | HarborOne Bancorp, Inc. | $ | 279,962 | ||||||||
24,834 | Heartland Financial USA, Inc. | 808,595 | |||||||||
46,524 | Heritage Commerce Corp. | 395,454 | |||||||||
37,355 | Heritage Financial Corp. | 657,822 | |||||||||
57,540 | Hilltop Holdings, Inc. | 1,784,891 | |||||||||
25,963 | HomeStreet, Inc. | 253,399 | |||||||||
135,809 | Hope Bancorp, Inc. | 1,235,862 | |||||||||
30,154 | Horizon Bancorp, Inc. | 317,522 | |||||||||
799,706 | Huntington Bancshares, Inc. | 8,956,707 | |||||||||
40,654 | Independent Bank Corp. (Massachusetts) | 2,276,624 | |||||||||
16,765 | Independent Bank Corp. (Michigan) | 298,752 | |||||||||
25,262 | Independent Bank Group, Inc. | 919,032 | |||||||||
40,843 | International Bancshares Corp. | 1,742,771 | |||||||||
41,404 | Kearny Financial Corp. | 322,537 | |||||||||
32,560 | Lakeland Bancorp, Inc. | 466,910 | |||||||||
17,603 | Lakeland Financial Corp. | 891,944 | |||||||||
48,972 | Live Oak Bancshares, Inc. | 1,153,780 | |||||||||
81,170 | M&T Bank Corp. | 10,211,186 | |||||||||
5,398 | Mercantile Bank Corp. | 151,468 | |||||||||
38,871 | Meta Financial Group, Inc. | 1,730,926 | |||||||||
10,882 | Midland States Bancorp, Inc. | 217,640 | |||||||||
34,874 | NBT Bancorp, Inc. | 1,124,338 | |||||||||
1,450,736 | New York Community Bancorp, Inc. | 15,508,368 | |||||||||
5,366 | Nicolet Bankshares, Inc. (a) | 307,525 | |||||||||
112,895 | Northwest Bancshares, Inc. | 1,319,743 | |||||||||
38,580 | OceanFirst Financial Corp. | 617,280 | |||||||||
34,345 | OFG Bancorp ADR | 878,202 | |||||||||
293,263 | Old National Bancorp | 3,932,657 | |||||||||
28,457 | Old Second Bancorp, Inc. | 349,736 | |||||||||
16,944 | Origin Bancorp, Inc. | 498,662 | |||||||||
80,436 | Pacific Premier Bancorp, Inc. | 1,788,897 | |||||||||
439,376 | PacWest Bancorp (b) | 4,459,666 | |||||||||
7,942 | Park National Corp. | 860,277 | |||||||||
11,672 | Peapack-Gladstone Financial Corp. | 310,008 | |||||||||
19,427 | Peoples Bancorp, Inc. | 506,268 | |||||||||
107,312 | Pinnacle Financial Partners, Inc. | 5,819,530 | |||||||||
98,827 | Popular, Inc. ADR | 5,930,608 | |||||||||
16,548 | Preferred Bank | 795,628 | |||||||||
22,014 | Premier Financial Corp. | 365,653 | |||||||||
91,388 | Prosperity Bancshares, Inc. | 5,722,717 | |||||||||
65,623 | Provident Financial Services, Inc. | 1,147,090 | |||||||||
527,260 | Regions Financial Corp. | 9,627,768 | |||||||||
36,435 | Renasant Corp. | 1,024,552 | |||||||||
25,487 | S&T Bancorp, Inc. | 701,657 | |||||||||
43,949 | Sandy Spring Bancorp, Inc. | 987,973 | |||||||||
127,160 | Seacoast Banking Corp. of Florida | 2,821,680 | |||||||||
91,984 | Simmons First National Corp. | 1,537,053 | |||||||||
16,312 | Southside Bancshares, Inc. | 517,580 | |||||||||
26,457 | Stellar Bancorp, Inc. | 606,924 | |||||||||
229,685 | Synovus Financial Corp. | 7,074,298 | |||||||||
65,038 | Texas Capital Bancshares, Inc. (a) | 3,268,159 | |||||||||
48,114 | The Bancorp, Inc. (a) | 1,535,318 | |||||||||
6,159 | Tompkins Financial Corp. | 361,041 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Credit Intermediation and Related Activities (continued) | |||||||||||
27,922 | Towne Bank | $ | 661,472 | ||||||||
12,413 | TriCo Bancshares | 444,510 | |||||||||
31,357 | Triumph Bancorp, Inc. (a) | 1,629,310 | |||||||||
275,272 | Truist Financial Corp. | 8,968,362 | |||||||||
14,728 | TrustCo Bank Corp. NY | 439,483 | |||||||||
64,703 | Trustmark Corp. | 1,545,755 | |||||||||
34,838 | UMB Financial Corp. | 2,216,045 | |||||||||
91,048 | United Bankshares, Inc. | 3,016,420 | |||||||||
92,512 | United Community Banks, Inc. | 2,303,549 | |||||||||
15,277 | Univest Corp. of Pennsylvania | 307,373 | |||||||||
532,749 | Valley National Bancorp | 4,997,186 | |||||||||
75,166 | Washington Federal, Inc. | 2,107,655 | |||||||||
14,054 | Washington Trust Bancorp, Inc. | 395,058 | |||||||||
189,386 | Webster Financial Corp. | 7,064,098 | |||||||||
27,500 | WesBanco, Inc. | 732,050 | |||||||||
34,174 | Westamerica Bancorp | 1,384,389 | |||||||||
214,994 | Western Alliance Bancorp | 7,980,577 | |||||||||
78,202 | Wintrust Financial Corp. | 5,346,671 | |||||||||
43,461 | WSFS Financial Corp. | 1,528,523 | |||||||||
264,957 | Zions Bancorp | 7,381,702 | |||||||||
288,762,926 | |||||||||||
Management of Companies and Enterprises - 6.2% | |||||||||||
67,608 | Banc of California, Inc. | 767,351 | |||||||||
16,607 | Byline Bancorp, Inc. | 321,345 | |||||||||
27,508 | Central Pacific Financial Corp. | 436,827 | |||||||||
23,655 | Colmombia Financial, Inc. (a) | 396,931 | |||||||||
72,633 | Cullen/Frost Bankers, Inc. | 8,007,788 | |||||||||
91,584 | First Foundation, Inc. | 576,063 | |||||||||
105,584 | First Interstate BancSystem, Inc. | 2,701,895 | |||||||||
128,178 | Home Bancshares, Inc. | 2,790,435 | |||||||||
19,727 | Metropolitan Bank Holding Corp. (a) | 633,039 | |||||||||
50,281 | National Bank Holdings Corp. | 1,598,936 | |||||||||
34,143 | ServisFirst Bancshares, Inc. | 1,724,222 | |||||||||
67,680 | South State Corp. | 4,668,566 | |||||||||
59,061 | Veritex Holdings, Inc. | 1,016,440 | |||||||||
25,639,838 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.2% | |||||||||||
17,871 | CrossFirst Bankshares, Inc. (a) | 179,246 | |||||||||
12,294 | QCR Holdings, Inc. | 508,972 | |||||||||
688,218 | |||||||||||
TOTAL COMMON STOCKS (Cost $322,195,007) | $ | 315,090,982 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 33.5% | |||||||||||
Money Market Funds - 33.5% | |||||||||||
47,594,566 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 47,594,566 | ||||||||
23,551,850 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 23,551,850 | |||||||||
19,114,242 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 19,114,242 | |||||||||
47,715,352 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 47,715,352 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $137,976,010) | $ | 137,976,010 | |||||||||
TOTAL INVESTMENTS (Cost $460,171,017) - 110.1% (e) | $ | 453,066,992 | |||||||||
Liabilities in Excess of Other Assets - (10.1)% | (41,408,134 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 411,658,858 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $371,069,140.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Direxion Daily Regional Banks Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Regional Banks Select Industry Index | 5.3500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 200,000 | $ | 280,009,784 | $ | (12,625,335 | ) | ||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 5.3400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 67,414 | 95,615,167 | (5,503,928 | ) | ||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 5.3000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 201,987 | 274,049,726 | (3,661,826 | ) | ||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 3/5/2024 | 215,718 | 306,480,071 | (18,180,857 | ) | ||||||||||||||||||||
$ | 956,154,748 | $ | (39,971,946 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Daily Retail Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 68.8% | |||||||||||
Administrative and Support Services - 0.7% | |||||||||||
16,211 | Revolve Group, Inc. (a) | $ | 334,757 | ||||||||
Clothing and Clothing Accessories Stores - 14.4% | |||||||||||
14,822 | Abercrombie & Fitch Co. Class A (a) | 348,910 | |||||||||
6,678 | Academy Sports & Outdoors Inc. | 424,187 | |||||||||
30,011 | American Eagle Outfitters, Inc. | 401,847 | |||||||||
5,365 | Boot Barn Holdings, Inc. (a) | 388,802 | |||||||||
16,704 | Caleres, Inc. | 380,851 | |||||||||
54,905 | Chicos FAS, Inc. (a) | 276,721 | |||||||||
9,705 | Childrens Place Retail Stores, Inc. (a)(b) | 287,656 | |||||||||
44,269 | Designer Brands, Inc. | 362,563 | |||||||||
36,773 | Gap, Inc. | 353,021 | |||||||||
5,051 | Genesco, Inc. (a) | 175,068 | |||||||||
17,946 | Guess?, Inc. | 338,282 | |||||||||
21,916 | Nordstrom, Inc. (b) | 338,821 | |||||||||
10,155 | Shoe Carnival, Inc. | 236,104 | |||||||||
5,656 | Signet Jewelers Ltd. ADR | 416,168 | |||||||||
10,602 | The Buckle, Inc. | 355,485 | |||||||||
5,379 | TJX Companies, Inc. | 423,973 | |||||||||
14,827 | Urban Outfitters, Inc. (a) | 401,219 | |||||||||
12,552 | Victoria's Secret & Co. (a) | 389,237 | |||||||||
12,117 | Zumiez, Inc. (a) | 211,866 | |||||||||
6,510,781 | |||||||||||
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 1.7% | |||||||||||
10,723 | Bath & Body Works, Inc. | 376,377 | |||||||||
3,837 | Ross Stores, Inc. | 409,523 | |||||||||
785,900 | |||||||||||
Electronics and Appliance Stores - 1.8% | |||||||||||
5,084 | Best Buy Co., Inc. | 378,860 | |||||||||
23,173 | GameStop Corp. Class A (a)(b) | 447,007 | |||||||||
825,867 | |||||||||||
Food and Beverage Stores - 4.7% | |||||||||||
20,079 | Albertsons Companies, Inc. Class A | 419,651 | |||||||||
14,971 | Grocery Outlet Holding Corp. (a) | 445,836 | |||||||||
2,480 | Ingles Markets, Inc. | 228,259 | |||||||||
8,487 | Kroger Co. | 412,723 | |||||||||
12,106 | Sprouts Farmers Market, Inc. (a) | 419,594 | |||||||||
2,158 | Weis Markets, Inc. | 178,014 | |||||||||
2,104,077 | |||||||||||
Food Services and Drinking Places - 1.0% | |||||||||||
1,889 | Casey's General Stores, Inc. | 432,241 | |||||||||
Gasoline Stations - 0.3% | |||||||||||
1,651 | TravelCenters of America Inc. (a) | 142,201 | |||||||||
General Merchandise Retailers - 4.8% | |||||||||||
4,405 | Amazon.com, Inc. (a) | 464,507 | |||||||||
848 | Costco Wholesale Corp. | 426,731 | |||||||||
2,848 | Dollar Tree, Inc. (a) | 437,766 | |||||||||
9,509 | eBay, Inc. | 441,503 | |||||||||
3,773 | Etsy, Inc. (a) | 381,186 | |||||||||
2,151,693 |
Shares | Fair Value | ||||||||||
General Merchandise Stores - 8.8% | |||||||||||
29,052 | Big Lots, Inc. (b) | $ | 261,177 | ||||||||
5,345 | BJ's Wholesale Club Holdings, Inc. (a) | 408,198 | |||||||||
1,910 | Burlington Stores, Inc. (a) | 368,267 | |||||||||
1,190 | Dillard's, Inc. Class A | 355,084 | |||||||||
1,847 | Dollar General Corp. | 409,037 | |||||||||
2,038 | Five Below, Inc. (a) | 402,220 | |||||||||
16,099 | Kohl's Corp. | 354,661 | |||||||||
20,404 | Macy's, Inc. | 333,401 | |||||||||
3,039 | PriceSmart, Inc. | 223,914 | |||||||||
2,527 | Target Corp. | 398,634 | |||||||||
2,918 | Wal-Mart Stores, Inc. | 440,530 | |||||||||
3,955,123 | |||||||||||
Health and Personal Care Retailers - 0.9% | |||||||||||
12,021 | Walgreens Boots Alliance, Inc. | 423,740 | |||||||||
Health and Personal Care Stores - 1.4% | |||||||||||
12,496 | Petmed Express, Inc. | 192,064 | |||||||||
766 | Ulta Salon, Cosmetics & Fragrance, Inc. (a) | 422,395 | |||||||||
614,459 | |||||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.2% | |||||||||||
306 | Winmark Corp. | 102,180 | |||||||||
Machinery Manufacturing - 0.8% | |||||||||||
33,146 | Leslie's, Inc. (a) | 359,634 | |||||||||
Merchant Wholesalers, Durable Goods - 0.5% | |||||||||||
2,598 | America's Car-Mart, Inc. (a) | 208,853 | |||||||||
Merchant Wholesalers, Nondurable Goods - 0.9% | |||||||||||
9,322 | Foot Locker, Inc. | 391,431 | |||||||||
Miscellaneous Manufacturing - 1.8% | |||||||||||
19,917 | National Vision Holdings, Inc. (a) | 419,054 | |||||||||
39,776 | Petco Health & Wellness Co., Inc. (a) | 396,169 | |||||||||
815,223 | |||||||||||
Miscellaneous Store Retailers - 4.3% | |||||||||||
10,304 | Chewy, Inc. (a)(b) | 319,527 | |||||||||
7,446 | Ollie's Bargain Outlet Holdings, Inc. (a) | 485,851 | |||||||||
25,992 | Sally Beauty Holdings, Inc. (a) | 369,866 | |||||||||
8,385 | The ODP Corp. (a) | 362,316 | |||||||||
1,757 | Tractor Supply Co. | 418,869 | |||||||||
1,956,429 | |||||||||||
Motor Vehicle and Parts Dealers - 11.5% | |||||||||||
3,120 | Advance Auto Parts, Inc. | 391,654 | |||||||||
1,776 | Asbury Automotive Group, Inc. (a) | 343,585 | |||||||||
2,892 | AutoNation, Inc. (a) | 380,876 | |||||||||
168 | AutoZone, Inc. (a) | 447,436 | |||||||||
6,272 | CarMax, Inc. (a) | 439,228 | |||||||||
54,686 | Carvana Co. (a)(b) | 379,521 | |||||||||
67,186 | EVgo, Inc. (a)(b) | 402,444 | |||||||||
1,823 | Group 1 Automotive, Inc. | 409,227 | |||||||||
11,848 | MarineMax, Inc. (a) | 345,014 | |||||||||
1,577 | Murphy USA, Inc. | 434,038 | |||||||||
486 | O'Reilly Automotive, Inc. (a) | 445,813 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Daily Retail Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Motor Vehicle and Parts Dealers (continued) | |||||||||||
3,234 | OneWater Marine. Inc. (a)(b) | $ | 85,378 | ||||||||
2,818 | Penske Automotive Group, Inc. | 390,518 | |||||||||
7,141 | Sonic Automotive, Inc. | 317,917 | |||||||||
5,212,649 | |||||||||||
Nonstore Retailers - 1.4% | |||||||||||
81,331 | Stitch Fix, Inc. (a) | 277,339 | |||||||||
34,754 | Warby Parker, Inc. (a)(b) | 365,959 | |||||||||
643,298 | |||||||||||
Printing and Related Support Activities - 0.1% | |||||||||||
6,273 | Arko Corp. | 52,442 | |||||||||
Professional, Scientific, and Technical Services - 1.5% | |||||||||||
14,677 | Franchise Group, Inc. (b) | 429,302 | |||||||||
335,926 | Qurate Retail, Inc. (a) | 267,599 | |||||||||
696,901 | |||||||||||
Rental and Leasing Services - 0.9% | |||||||||||
15,482 | Upbound Group, Inc. | 412,750 | |||||||||
Repair and Maintenance - 0.9% | |||||||||||
8,320 | Monro Muffler Brake, Inc. | 406,682 | |||||||||
Sporting Goods, Hobby, Musical Instrument, and Book Stores - 2.7% | |||||||||||
18,152 | Camping World Holdings, Inc. (b) | 406,423 | |||||||||
2,733 | Dick's Sporting Goods, Inc. | 396,313 | |||||||||
6,118 | Hibbett Sports, Inc. | 332,391 | |||||||||
12,333 | Sportsman's Warehouse Holdings, Inc. (a) | 76,711 | |||||||||
1,211,838 | |||||||||||
Truck Transportation - 0.8% | |||||||||||
1,625 | Lithia Motors, Inc. Class A | 358,945 | |||||||||
TOTAL COMMON STOCKS (Cost $30,376,430) | $ | 31,110,094 | |||||||||
SHORT TERM INVESTMENTS - 43.5% | |||||||||||
Money Market Funds - 43.5% | |||||||||||
11,026,448 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 11,026,448 | ||||||||
1 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 1 | |||||||||
8,637,328 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 8,637,328 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $19,663,777) | $ | 19,663,777 | |||||||||
TOTAL INVESTMENTS (Cost $50,040,207) - 112.3% (e) | $ | 50,773,871 | |||||||||
Liabilities in Excess of Other Assets - (12.3)% | (5,579,541 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 45,194,330 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $36,393,617.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Direxion Daily Retail Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Retail Select Industry® Index | 5.2000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 6,244 | $ | 41,678,552 | $ | (1,530,028 | ) | ||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 5.3900% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 4,842 | 31,837,648 | (584,543 | ) | ||||||||||||||||||||
Total return of S&P Retail Select Industry® Index | 5.2500% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 5,045 | 34,221,446 | (1,979,664 | ) | ||||||||||||||||||||
$ | 107,737,646 | $ | (4,094,235 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 76.0% | |||||||||||
Accommodation - 1.9% | |||||||||||
14,439 | Caesars Entertainment Inc. (a) | $ | 653,942 | ||||||||
12,941 | MGM Resorts International | 581,310 | |||||||||
1,235,252 | |||||||||||
Air Transportation - 2.0% | |||||||||||
32,887 | American Airlines Group, Inc. (a) | 448,579 | |||||||||
11,774 | Delta Air Lines, Inc. (a) | 403,966 | |||||||||
10,152 | United Continental Holdings, Inc. (a) | 444,657 | |||||||||
1,297,202 | |||||||||||
Amusement, Gambling, and Recreation Industries - 0.9% | |||||||||||
4,783 | Wynn Resorts Ltd. (a) | 546,601 | |||||||||
Apparel Manufacturing - 0.7% | |||||||||||
4,060 | Ralph Lauren Corp. | 466,047 | |||||||||
Broadcasting and Content Providers - 1.2% | |||||||||||
41,799 | Dish Network Corp. (a) | 313,911 | |||||||||
32,881 | Warner Bros Discovery, Inc. (a) | 447,510 | |||||||||
761,421 | |||||||||||
Chemical Manufacturing - 1.0% | |||||||||||
1,852 | Albemarle Corp. | 343,472 | |||||||||
6,231 | Catalent, Inc. (a) | 312,298 | |||||||||
655,770 | |||||||||||
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 0.6% | |||||||||||
11,602 | Bath & Body Works, Inc. | 407,230 | |||||||||
Computer and Electronic Product Manufacturing - 22.2% | |||||||||||
8,586 | Advanced Micro Devices, Inc. (a) | 767,331 | |||||||||
4,782 | Alphabet, Inc. Class C (a) | 517,508 | |||||||||
2,580 | Analog Devices, Inc. | 464,090 | |||||||||
3,041 | Apple, Inc. | 515,997 | |||||||||
3,547 | Arista Networks, Inc. (a) | 568,088 | |||||||||
757 | Broadcom, Inc. | 474,260 | |||||||||
2,533 | Enphase Energy, Inc. (a) | 415,919 | |||||||||
9,284 | Fortinet, Inc. (a) | 585,356 | |||||||||
15,058 | HP, Inc. | 447,373 | |||||||||
894 | IDEXX Laboratories, Inc. (a) | 439,991 | |||||||||
2,551 | Illumina, Inc. (a) | 524,384 | |||||||||
15,579 | Intel Corp. | 483,884 | |||||||||
6,716 | Microchip Technology, Inc. | 490,201 | |||||||||
8,751 | Micron Technology, Inc. | 563,214 | |||||||||
1,560 | Monolithic Power Systems, Inc. | 720,673 | |||||||||
3,550 | NVIDIA Corp. | 985,089 | |||||||||
2,864 | NXP Semiconductors NV ADR (Netherlands) | 468,951 | |||||||||
8,422 | ON Semiconductor Corp. (a) | 606,047 | |||||||||
5,153 | Qorvo, Inc. (a) | 474,488 | |||||||||
4,117 | Qualcomm, Inc. | 480,866 | |||||||||
6,292 | Seagate Technology Holdings PLC (Ireland) | 369,781 | |||||||||
4,431 | Skyworks Solutions, Inc. | 469,243 | |||||||||
1,649 | SolarEdge Technologies, Inc. (a) | 471,004 | |||||||||
5,383 | Teradyne, Inc. | 491,899 | |||||||||
9,245 | Trimble, Inc. (a) | 435,439 | |||||||||
11,884 | Western Digital Corp. (a) | 409,285 |
Shares | Fair Value | ||||||||||
Computer and Electronic Product Manufacturing (continued) | |||||||||||
1,656 | Zebra Technologies Corp. Class A (a) | $ | 476,978 | ||||||||
14,117,339 | |||||||||||
Construction of Buildings - 2.5% | |||||||||||
4,560 | D.R. Horton, Inc. | 500,779 | |||||||||
4,486 | Lennar Corp. Class A | 506,066 | |||||||||
8,473 | PulteGroup, Inc. | 568,962 | |||||||||
1,575,807 | |||||||||||
Credit Intermediation and Related Activities - 2.4% | |||||||||||
4,120 | Capital One Financial Corp. | 400,876 | |||||||||
3,837 | Discover Financial Services | 397,014 | |||||||||
3,290 | First Republic Bank (b) | 11,548 | |||||||||
4,837 | State Street Corp. | 349,522 | |||||||||
13,379 | Synchrony Financial | 394,814 | |||||||||
1,553,774 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.9% | |||||||||||
5,823 | Generac Holdings, Inc. (a) | 595,227 | |||||||||
Funds, Trusts, and Other Financial Vehicles - 0.8% | |||||||||||
4,383 | T. Rowe Price Group, Inc. | 492,342 | |||||||||
General Merchandise Retailers - 1.8% | |||||||||||
5,855 | Amazon.com, Inc. (a) | 617,410 | |||||||||
5,068 | Etsy, Inc. (a) | 512,020 | |||||||||
1,129,430 | |||||||||||
Insurance Carriers and Related Activities - 0.5% | |||||||||||
14,871 | Lincoln National Corp. | 323,147 | |||||||||
Leather and Allied Product Manufacturing - 1.5% | |||||||||||
3,941 | NIKE, Inc. Class B | 499,404 | |||||||||
11,357 | Tapestry, Inc. | 463,479 | |||||||||
962,883 | |||||||||||
Machinery Manufacturing - 2.0% | |||||||||||
5,260 | Applied Materials, Inc. | 594,538 | |||||||||
1,232 | Lam Research Corp. | 645,666 | |||||||||
1,240,204 | |||||||||||
Management of Companies and Enterprises - 1.8% | |||||||||||
61,661 | Carnival Corp. ADR (Panama) (a) | 567,898 | |||||||||
41,729 | Norwegian Cruise Line Holdings Ltd. ADR (a) | 557,082 | |||||||||
1,124,980 | |||||||||||
Merchant Wholesalers, Durable Goods - 2.1% | |||||||||||
1,421 | KLA-Tencor Corp. | 549,273 | |||||||||
3,653 | Mohawk Industries, Inc. (a) | 386,853 | |||||||||
1,149 | Pool Corp. | 403,667 | |||||||||
1,339,793 | |||||||||||
Mining (except Oil and Gas) - 0.7% | |||||||||||
11,548 | Freeport-McMoRan Copper & Gold, Inc. | 437,785 | |||||||||
Miscellaneous Manufacturing - 3.4% | |||||||||||
1,719 | Align Technology, Inc. (a) | 559,191 | |||||||||
4,644 | DexCom, Inc. (a) | 563,503 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Miscellaneous Manufacturing (continued) | |||||||||||
1,791 | Estee Lauder Companies, Inc. Class A | $ | 441,876 | ||||||||
1,925 | Intuitive Surgical, Inc. (a) | 579,848 | |||||||||
2,144,418 | |||||||||||
Motion Picture and Sound Recording Industries - 0.8% | |||||||||||
1,557 | Netflix, Inc. (a) | 513,701 | |||||||||
Motor Vehicle and Parts Dealers - 0.7% | |||||||||||
6,624 | CarMax, Inc. (a) | 463,879 | |||||||||
Professional, Scientific, and Technical Services - 5.1% | |||||||||||
1,569 | EPAM Systems, Inc. (a) | 443,148 | |||||||||
13,103 | Match Group, Inc. (a) | 483,501 | |||||||||
3,377 | Meta Platforms, Inc. (a) | 811,561 | |||||||||
3,190 | Moderna, Inc. (a) | 423,919 | |||||||||
1,798 | Paycom Software, Inc. (a) | 522,085 | |||||||||
1,271 | ServiceNow, Inc. (a) | 583,923 | |||||||||
3,268,137 | |||||||||||
Publishing Industries - 8.6% | |||||||||||
1,336 | Adobe Systems, Inc. (a) | 504,420 | |||||||||
1,906 | ANSYS, Inc. (a) | 598,331 | |||||||||
2,578 | Autodesk, Inc. (a) | 502,169 | |||||||||
2,495 | Cadence Design Systems, Inc. (a) | 522,578 | |||||||||
8,549 | Ceridian HCM Holding, Inc. (a) | 542,691 | |||||||||
1,418 | Intuit, Inc. | 629,521 | |||||||||
1,729 | Microsoft Corp. | 531,253 | |||||||||
3,105 | Salesforce.com, Inc. (a) | 615,939 | |||||||||
1,317 | Synopsys, Inc. (a) | 489,028 | |||||||||
1,413 | Tyler Technologies, Inc. (a) | 535,569 | |||||||||
5,471,499 | |||||||||||
Rental and Leasing Services - 0.6% | |||||||||||
1,048 | United Rentals, Inc. | 378,443 | |||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 3.3% | |||||||||||
1,280 | Ameriprise Financial, Inc. | 390,553 | |||||||||
638 | BlackRock, Inc. | 428,226 | |||||||||
14,348 | Franklin Resources, Inc. | 385,674 | |||||||||
27,222 | Invesco Ltd. ADR (a) | 466,313 | |||||||||
871 | MSCI, Inc. Class A | 420,214 | |||||||||
2,090,980 | |||||||||||
Support Activities for Transportation - 0.6% | |||||||||||
4,214 | Expedia, Inc. (a) | 395,947 | |||||||||
Telecommunications - 0.9% | |||||||||||
7,131 | PayPal Holdings, Inc. (a) | 541,956 | |||||||||
Transportation Equipment Manufacturing - 3.0% | |||||||||||
5,129 | Aptiv PLC ADR (United Kingdom) (a) | 527,569 | |||||||||
37,936 | Ford Motor Co. | 450,680 | |||||||||
11,774 | General Motors Co. | 389,013 | |||||||||
3,119 | Tesla Motors, Inc. (a) | 512,483 | |||||||||
1,879,745 | |||||||||||
Truck Transportation - 0.6% | |||||||||||
1,243 | Old Dominion Freight Line, Inc. | 398,245 |
Shares | Fair Value | ||||||||||
Water Transportation - 0.9% | |||||||||||
8,521 | Royal Caribbean Cruises Ltd. ADR (Liberia) (a) | $ | 557,529 | ||||||||
TOTAL COMMON STOCKS (Cost $48,059,971) | $ | 48,366,713 | |||||||||
SHORT TERM INVESTMENTS - 27.9% | |||||||||||
Money Market Funds - 27.9% | |||||||||||
12,061,657 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 12,061,657 | ||||||||
233,563 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 233,563 | |||||||||
5,412,671 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 5,412,671 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $17,707,891) | $ | 17,707,891 | |||||||||
TOTAL INVESTMENTS (Cost $65,767,862) - 103.9% (e) | $ | 66,074,604 | |||||||||
Liabilities in Excess of Other Assets - (3.9)% | (2,484,002 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 63,590,602 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $51,312,201.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Direxion Daily S&P 500® High Beta Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 4.8300% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 3,671 | $ | 60,453,001 | $ | (2,574,541 | ) | ||||||||||||||||||
Total return of S&P 500® High Beta Index | 5.2000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 1,792 | 28,809,314 | (592,070 | ) | ||||||||||||||||||||
Total return of S&P 500® High Beta Index | 5.2500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 3,512 | 53,353,015 | 1,794,776 | |||||||||||||||||||||
$ | 142,615,330 | $ | (1,371,835 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Direxion Daily S&P 500® High Beta Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 105.8% | |||||||||||
Money Market Funds - 105.8% | |||||||||||
41,110,530 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 41,110,530 | ||||||||
15,401,045 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 15,401,045 | |||||||||
11,778,479 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 11,778,479 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $68,290,054) (b) | $ | 68,290,054 | |||||||||
TOTAL INVESTMENTS (Cost $68,290,054) - 105.8% | $ | 68,290,054 | |||||||||
Liabilities in Excess of Other Assets - (5.8)% | (3,728,547 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 64,561,507 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $39,353,840.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of S&P 500® High Beta Index | Bank of America Merrill Lynch | 12/8/2023 | 1,752 | $ | 30,298,851 | $ | 2,774,671 | |||||||||||||||||||
4.5500% representing 1 month SOFR rate + spread | Total return of S&P 500® High Beta Index | J.P. Morgan | 12/12/2023 | 1,623 | 25,633,609 | 49,314 | |||||||||||||||||||||
4.6200% representing 1 month SOFR rate + spread | Total return of S&P 500® High Beta Index | UBS Securities LLC | 12/13/2023 | 4,719 | 81,162,114 | 6,865,899 | |||||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of S&P 500® High Beta Index | Barclays | 12/20/2023 | 4,113 | 66,565,594 | 1,595,828 | |||||||||||||||||||||
$ | 203,660,168 | $ | 11,285,712 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 75.8% | |||||||||||
Administrative and Support Services - 0.3% | |||||||||||
196,256 | Day One Biopharmaceuticals (a) | $ | 2,433,574 | ||||||||
Ambulatory Health Care Services - 1.3% | |||||||||||
417,657 | CareDx, Inc. (a) | 3,378,845 | |||||||||
64,585 | Keros Therapeutics, Inc. (a) | 2,864,668 | |||||||||
129,020 | Natera, Inc. (a) | 6,543,894 | |||||||||
12,787,407 | |||||||||||
Apparel Manufacturing - 0.2% | |||||||||||
418,659 | Sana Biotechnology, Inc. (a)(b) | 2,214,706 | |||||||||
Chemical Manufacturing - 48.3% | |||||||||||
227,622 | 2seventy bio, Inc. (a) | 2,164,685 | |||||||||
327,601 | 89BIO, Inc. (a) | 5,235,064 | |||||||||
46,430 | AbbVie, Inc. | 7,016,502 | |||||||||
340,828 | Acadia Pharmaceuticals Inc. (a) | 7,269,861 | |||||||||
1,006,313 | ADMA Biologics, Inc. (a) | 3,371,149 | |||||||||
211,319 | Agios Pharmaceuticals, Inc. (a) | 4,832,866 | |||||||||
262,174 | Alkermes PLC ADR (Ireland) (a) | 7,485,068 | |||||||||
38,100 | Alnylam Pharmaceuticals, Inc. (a) | 7,589,520 | |||||||||
529,761 | Altimmune, Inc. (a) | 2,675,293 | |||||||||
30,685 | Amgen, Inc. | 7,356,422 | |||||||||
609,876 | Amicus Therapeutics, Inc. (a) | 7,037,969 | |||||||||
145,081 | Arcellx, Inc. (a) | 6,192,057 | |||||||||
163,847 | Arcturus Therapeutics Holdings, Inc. (a) | 4,361,607 | |||||||||
421,471 | Arcus Biosciences Inc. (a) | 7,523,257 | |||||||||
312,566 | Arcutis Biotherapeutics, Inc. (a) | 4,325,913 | |||||||||
181,288 | Avid Bioservices, Inc. (a) | 3,272,248 | |||||||||
216,964 | Beam Therapeutics, Inc. (a) | 6,662,964 | |||||||||
841,462 | BioCryst Pharmaceuticals, Inc. (a) | 6,403,526 | |||||||||
27,244 | Biogen, Inc. (a) | 8,288,442 | |||||||||
77,148 | BioMarin Pharmaceutical, Inc. (a) | 7,409,294 | |||||||||
152,932 | Bioxcel Therapeutics Inc. (a)(b) | 3,153,458 | |||||||||
1,664,350 | bluebird bio, Inc. (a) | 7,239,922 | |||||||||
165,926 | Blueprint Medicines Corp. (a) | 8,470,522 | |||||||||
274,768 | BridgeBio Pharma, Inc. (a) | 3,989,631 | |||||||||
239,718 | Caribou Biosciences, Inc. (a) | 1,030,787 | |||||||||
476,561 | Catalyst Pharmaceuticals, Inc. (a) | 7,586,851 | |||||||||
149,512 | Celldex Therapeutics, Inc. (a) | 4,700,657 | |||||||||
185,685 | Chinook Therapeutics, Inc. (a)(b) | 3,715,557 | |||||||||
248,289 | Cogent Biosciences, Inc. (a) | 2,671,590 | |||||||||
410,890 | Coherus BioSciences, Inc. (a) | 2,970,735 | |||||||||
132,062 | Crinetics Pharmaceuticals, Inc. (a) | 2,580,491 | |||||||||
1,165,290 | CTI BioPharma Corp. (a) | 5,663,309 | |||||||||
239,977 | Deciphera Pharmaceuticals, Inc. (a) | 3,410,073 | |||||||||
263,515 | Denali Therapeutics, Inc. (a) | 6,545,713 | |||||||||
392,912 | Emergent Biosolutions, Inc. (a) | 3,469,413 | |||||||||
52,412 | Enanta Pharmaceuticals, Inc. (a) | 1,863,247 | |||||||||
251,988 | FibroGen, Inc. (a) | 4,314,035 | |||||||||
1,891,596 | Geron Corp. (a) | 4,653,326 |
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
87,768 | Gilead Sciences, Inc. | $ | 7,215,407 | ||||||||
167,651 | Halozyme Therapeutics, Inc. (a) | 5,386,627 | |||||||||
1,402,786 | Immunogen, Inc. (a) | 7,561,017 | |||||||||
97,040 | Incyte Corp. (a) | 7,220,746 | |||||||||
387,793 | Insmed, Inc. (a) | 7,561,963 | |||||||||
194,544 | Intellia Therapeutics, Inc. (a) | 7,344,036 | |||||||||
267,082 | Intercept Pharmaceuticals, Inc. (a) | 4,625,860 | |||||||||
205,379 | Ionis Pharmaceuticals, Inc. (a) | 7,264,255 | |||||||||
638,007 | Ironwood Pharmaceuticals, Inc. Class A (a) | 6,641,653 | |||||||||
116,995 | iTeos Therapeutics, Inc. (a) | 1,607,511 | |||||||||
38,973 | Karuna Therapeutics, Inc. (a) | 7,733,802 | |||||||||
936,522 | Karyopharm Therapeutics, Inc. (a) | 3,352,749 | |||||||||
132,612 | Kiniksa Pharmaceuticals, Ltd. (a) | 1,425,579 | |||||||||
63,083 | Krystal Biotech, Inc. (a) | 5,298,972 | |||||||||
28,802 | Madrigal Pharmaceuticals, Inc. (a) | 8,986,224 | |||||||||
1,418,176 | MannKind Corp. (a) | 5,459,978 | |||||||||
498,014 | Mersana Therapeutics Inc. (a) | 2,181,301 | |||||||||
32,664 | Mink Therapeutics, Inc. (a) | 58,469 | |||||||||
88,300 | Mirum Pharmaceuticals, Inc. (a) | 2,370,855 | |||||||||
60,292 | Morphic Holding, Inc. (a) | 2,849,400 | |||||||||
174,180 | Myriad Genetics, Inc. (a) | 3,708,292 | |||||||||
72,845 | Neurocrine Biosciences, Inc. (a) | 7,360,259 | |||||||||
1,069,841 | Novavax, Inc. (a)(b) | 8,205,680 | |||||||||
60,969 | Prometheus Biosciences, Inc. (a) | 11,824,938 | |||||||||
145,244 | Prothena Corp. PLC ADR (Ireland) (a) | 7,642,739 | |||||||||
157,634 | PTC Therapeutics, Inc. (a) | 8,691,939 | |||||||||
114,278 | RAPT Therapeutics, Inc. (a) | 2,079,860 | |||||||||
9,305 | Regeneron Pharmaceuticals, Inc. (a) | 7,460,656 | |||||||||
132,319 | REGENXBIO, Inc. (a) | 2,561,696 | |||||||||
222,227 | Replimune Group Inc. (a) | 3,717,858 | |||||||||
261,674 | Rhythm Pharmaceuticals, Inc. (a) | 5,277,965 | |||||||||
307,078 | Rocket Pharmaceuticals, Inc. (a) | 5,502,838 | |||||||||
169,939 | Sage Therapeutics, Inc. (a) | 8,301,520 | |||||||||
632,340 | Sangamo Therapeutics, Inc. (a) | 929,540 | |||||||||
48,548 | Sarepta Therapeutics, Inc. (a) | 5,960,238 | |||||||||
40,384 | Seagen, Inc. (a) | 8,076,800 | |||||||||
245,347 | Seres Therapeutics, Inc. (a) | 1,196,067 | |||||||||
224,385 | SpringWorks Therapeutics, Inc. (a) | 5,246,121 | |||||||||
221,240 | Sutro Biopharma, Inc. (a) | 942,482 | |||||||||
290,065 | Syndax Pharmaceuticals Inc. (a) | 5,960,836 | |||||||||
495,253 | TG Therapeutics, Inc. (a) | 12,297,132 | |||||||||
334,813 | Travere Therapeutics, Inc. (a) | 7,221,916 | |||||||||
442,072 | Twist Bioscience Corp. (a) | 5,517,059 | |||||||||
180,055 | Ultragenyx Pharmaceutical, Inc. (a) | 7,863,002 | |||||||||
221,261 | uniQure N.V. ADR (Netherlands) (a) | 4,294,676 | |||||||||
30,572 | United Therapeutics Corp. (a) | 7,035,534 | |||||||||
235,913 | Vanda Pharmaceuticals, Inc. (a) | 1,448,506 | |||||||||
298,137 | Veracyte, Inc. (a) | 6,749,822 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
Chemical Manufacturing (continued) | |||||||||||
111,654 | Vericel Corp. (a) | $ | 3,518,218 | ||||||||
24,338 | Vertex Pharmaceuticals, Inc. (a) | 8,292,687 | |||||||||
181,402 | Viridian Therapeutics, Inc. (a) | 5,084,698 | |||||||||
130,135 | Xencor, Inc. (a) | 3,440,769 | |||||||||
480,061,771 | |||||||||||
Hospitals - 0.3% | |||||||||||
70,274 | Nuvalent, Inc. (a) | 2,486,997 | |||||||||
Merchant Wholesalers, Nondurable Goods - 3.6% | |||||||||||
168,723 | Akero Therapeutics, Inc. (a) | 7,548,667 | |||||||||
387,290 | Allakos, Inc. (a) | 1,645,983 | |||||||||
579,110 | Atara Biotherapeutics, Inc. (a) | 1,569,388 | |||||||||
157,222 | Protagonist Therapeutics Inc. (a) | 3,553,217 | |||||||||
454,942 | Relay Therapeutics, Inc. (a) | 5,172,691 | |||||||||
554,133 | Viking Therapeutics, Inc. (a) | 11,808,574 | |||||||||
214,149 | Zentalis Pharmaceuticals, Inc. (a) | 4,717,702 | |||||||||
36,016,222 | |||||||||||
Miscellaneous Manufacturing - 1.1% | |||||||||||
29,722 | Anika Therapeutics, Inc. (a) | 762,666 | |||||||||
2,335,413 | Inovio Pharmaceuticals, Inc. (a) | 1,804,107 | |||||||||
175,860 | MiMedx Group, Inc. (a) | 673,544 | |||||||||
177,938 | Mirati Therapeutics, Inc. (a) | 7,884,433 | |||||||||
11,124,750 | |||||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 0.5% | |||||||||||
365,473 | Biohaven, Ltd. (a) | 4,780,387 | |||||||||
Professional, Scientific, and Technical Services - 17.0% | |||||||||||
138,227 | 4D Molecular Therapeutics, Inc. (a) | 2,489,468 | |||||||||
2,237,137 | Agenus, Inc. (a) | 3,378,077 | |||||||||
254,477 | Alector, Inc. (a) | 1,679,548 | |||||||||
694,313 | Allogene Therapeutics, Inc. (a)(b) | 3,770,120 | |||||||||
79,230 | AnaptysBio, Inc. (a) | 1,649,569 | |||||||||
477,039 | Anavex Life Sciences Corp. (a)(b) | 3,883,097 | |||||||||
112,159 | Apellis Pharmaceuticals, Inc. (a) | 9,357,425 | |||||||||
1,587,522 | Ardelyx, Inc. (a) | 7,080,348 | |||||||||
265,170 | Arrowhead Pharmaceuticals, Inc. (a) | 9,389,670 | |||||||||
316,489 | Avidity Biosciences, Inc. (a) | 3,924,464 | |||||||||
161,455 | Crispr Therapeutics AG ADR (Switzerland) (a) | 7,901,608 | |||||||||
195,969 | Cytokinetics, Inc. (a) | 7,329,241 | |||||||||
554,776 | Dynavax Technologies Corp. (a)(b) | 5,775,218 | |||||||||
701,797 | Editas Medicine, Inc. (a) | 5,726,664 | |||||||||
112,508 | Exact Sciences Corp. (a) | 7,208,388 | |||||||||
418,222 | Exelixis, Inc. (a) | 7,653,463 | |||||||||
1,429,506 | Fate Therapeutics, Inc. (a) | 8,677,101 | |||||||||
63,451 | Horizon Therapeutics PLC ADR (Ireland) (a) | 7,053,213 | |||||||||
130,847 | IDEAYA Biosciences, Inc. (a) | 2,389,266 | |||||||||
158,985 | Inhibrx, Inc. (a) | 3,338,685 | |||||||||
323,543 | Iveric Bio, Inc. (a) | 10,641,329 | |||||||||
255,559 | Kezar Life Sciences, Inc. (a) | 621,008 | |||||||||
281,563 | Kura Oncology, Inc. (a) | 2,742,424 |
Shares | Fair Value | ||||||||||
Professional, Scientific, and Technical Services (continued) | |||||||||||
214,343 | Kymera Therapeutics, Inc. (a) | $ | 6,760,378 | ||||||||
519,145 | Lyell Immunopharma, Inc. (a) | 1,053,864 | |||||||||
50,398 | Moderna, Inc. (a) | 6,697,390 | |||||||||
143,760 | Nurix Therapeutics, Inc. (a) | 1,384,409 | |||||||||
386,977 | Recursion Pharmaceuticals, Inc. (a) | 1,845,880 | |||||||||
335,955 | Revolution Medicines, Inc. (a) | 7,891,583 | |||||||||
184,410 | Vaxcyte, Inc. (a) | 7,898,280 | |||||||||
269,750 | Verve Therapeutics, Inc. (a) | 4,297,117 | |||||||||
308,577 | Vir Biotechnology, Inc. (a) | 7,760,712 | |||||||||
169,249,007 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 2.6% | |||||||||||
215,562 | Cerevel Therapeutics Holdings, Inc. (a) | 6,259,921 | |||||||||
1,130,452 | EQRx, Inc. (a) | 1,899,159 | |||||||||
336,310 | Immunovant Inc. (a) | 5,428,043 | |||||||||
175,090 | POINT Biopharma Global Inc. (a) | 1,355,197 | |||||||||
764,904 | Roivant Sciences Ltd. ADR (Ireland) (a) | 6,539,929 | |||||||||
620,131 | Scilex Holding Co. (a)(b) | 4,489,749 | |||||||||
25,971,998 | |||||||||||
Support Activities for Transportation - 0.6% | |||||||||||
1,123,268 | Iovance Biotherapeutics, Inc. (a) | 6,335,231 | |||||||||
TOTAL COMMON STOCKS (Cost $753,433,050) | $ | 753,462,050 | |||||||||
SHORT TERM INVESTMENTS - 25.8% | |||||||||||
Money Market Funds - 25.8% | |||||||||||
128,630,858 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 128,630,858 | ||||||||
28,004,275 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 28,004,275 | |||||||||
12,300,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (c) | 12,300,000 | |||||||||
87,006,471 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 87,006,471 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $255,941,604) | $ | 255,941,604 | |||||||||
TOTAL INVESTMENTS (Cost $1,009,374,654) - 101.6% (e) | $ | 1,009,403,654 | |||||||||
Liabilities in Excess of Other Assets - (1.6)% | (15,516,217 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 993,887,437 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(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 $815,875,454.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 | 5.3000% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 48,000 | $ | 301,269,600 | $ | (8,416,543 | ) | ||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 54,082 | 334,620,339 | (4,547,833 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 4.6000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 74,212 | 433,227,547 | 26,521,195 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 5.0500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 44,107 | 269,805,403 | 3,596,863 | |||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 5.3200% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 48,819 | 303,369,827 | (1,929,880 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 5.3400% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 45,828 | 282,594,291 | (957,286 | ) | ||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index | 5.7500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 43,321 | 270,413,158 | (5,375,707 | ) | ||||||||||||||||||||
$ | 2,195,300,165 | $ | 8,890,809 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Direxion Daily S&P Biotech Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 107.9% | |||||||||||
Money Market Funds - 107.9% | |||||||||||
44,309,426 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 44,309,426 | ||||||||
9,563,289 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 9,563,289 | |||||||||
8,370,000 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 8,370,000 | |||||||||
33,800,139 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 33,800,139 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $96,042,854) (b) | $ | 96,042,854 | |||||||||
TOTAL INVESTMENTS (Cost $96,042,854) - 107.9% | $ | 96,042,854 | |||||||||
Liabilities in Excess of Other Assets - (7.9)% | (7,035,830 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 89,007,024 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $59,060,686.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of S&P Biotechnology Select Industry Index | Goldman Sachs | 12/7/2023 | 7,104 | $ | 47,793,155 | $ | 4,226,265 | |||||||||||||||||||
4.4000% representing 1 month SOFR rate + spread | Total return of S&P Biotechnology Select Industry Index | Bank of America Merrill Lynch | 12/8/2023 | 6,049 | 35,079,163 | (2,413,512 | ) | ||||||||||||||||||||
4.6500% representing 1 month SOFR rate + spread | Total return of S&P Biotechnology Select Industry Index | J.P. Morgan | 12/12/2023 | 14,129 | 87,603,530 | 163,250 | |||||||||||||||||||||
4.9100% representing 1 month SOFR rate + spread | Total return of S&P Biotechnology Select Industry Index | UBS Securities LLC | 12/13/2023 | 2,785 | 19,843,235 | 2,870,917 | |||||||||||||||||||||
5.0700% representing 1 month SOFR rate + spread | Total return of S&P Biotechnology Select Industry Index | Citibank N.A. | 12/19/2023 | 6,078 | 38,038,310 | 440,529 | |||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of S&P Biotechnology Select Industry Index | Barclays | 12/20/2023 | 6,806 | 47,598,039 | 5,814,154 | |||||||||||||||||||||
$ | 275,955,432 | $ | 11,101,603 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Direxion Daily Semiconductor Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 76.4% | |||||||||||
Computer and Electronic Product Manufacturing - 62.5% | |||||||||||
2,920,065 | Advanced Micro Devices, Inc. (a) | $ | 260,966,209 | ||||||||
817,325 | Analog Devices, Inc. | 147,020,421 | |||||||||
2,895,733 | ASE Technology Holding Co., Ltd. ADR (Taiwan) | 19,864,728 | |||||||||
503,816 | Broadcom, Inc. | 315,640,724 | |||||||||
6,011,647 | Intel Corp. | 186,721,756 | |||||||||
613,328 | Lattice Semiconductor Corp. (a) | 48,882,242 | |||||||||
3,320,173 | Marvell Technology, Inc. | 131,080,430 | |||||||||
1,849,551 | Microchip Technology, Inc. | 134,998,727 | |||||||||
2,591,644 | Micron Technology, Inc. | 166,798,208 | |||||||||
260,007 | MKS Instruments, Inc. | 21,806,787 | |||||||||
201,317 | Monolithic Power Systems, Inc. | 93,002,414 | |||||||||
1,291,001 | NVIDIA Corp. | 358,239,867 | |||||||||
839,474 | NXP Semiconductors NV ADR (Netherlands) | 137,455,473 | |||||||||
1,935,686 | ON Semiconductor Corp. (a) | 139,291,965 | |||||||||
448,996 | Qorvo, Inc. (a) | 41,343,552 | |||||||||
1,857,678 | Qualcomm, Inc. | 216,976,790 | |||||||||
717,357 | Skyworks Solutions, Inc. | 75,968,106 | |||||||||
1,207,477 | STMicroelectronics NV ADR (Netherlands) | 51,776,614 | |||||||||
1,544,102 | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) ADR | 130,167,799 | |||||||||
702,283 | Teradyne, Inc. | 64,174,621 | |||||||||
1,748,242 | Texas Instruments, Inc. | 292,306,062 | |||||||||
3,316,032 | United Microelectronics Corp. ADR (Taiwan) (b) | 26,627,737 | |||||||||
558,306 | Wolfspeed, Inc. (a) | 25,989,144 | |||||||||
3,087,100,376 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% | |||||||||||
175,036 | Synaptics, Inc. (a) | 15,501,188 | |||||||||
Machinery Manufacturing - 9.1% | |||||||||||
1,291,001 | Applied Materials, Inc. | 145,921,843 | |||||||||
217,795 | ASML Holding NV ADR (Netherlands) | 138,704,924 | |||||||||
307,979 | Lam Research Corp. | 161,405,634 | |||||||||
446,032,401 | |||||||||||
Merchant Wholesalers, Durable Goods - 4.1% | |||||||||||
672,106 | Entegris, Inc. | 50,354,182 | |||||||||
395,706 | KLA-Tencor Corp. | 152,956,197 | |||||||||
203,310,379 | |||||||||||
Primary Metal Manufacturing - 0.4% | |||||||||||
140,998 | Silicon Laboratories, Inc. (a) | 19,641,022 | |||||||||
TOTAL COMMON STOCKS (Cost $3,434,042,221) | $ | 3,771,585,366 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 19.9% | |||||||||||
Money Market Funds - 19.9% | |||||||||||
300,257,210 | Dreyfus Government Cash Management Institutional Shares, 4.76% (c)(d) | $ | 300,257,210 | ||||||||
679,600,000 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (c) | 679,600,000 | |||||||||
927,604 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (c) | 927,604 | |||||||||
4,000,000 | JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 4.46% (c) | 4,000,000 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $984,784,814) | $ | 984,784,814 | |||||||||
TOTAL INVESTMENTS (Cost $4,418,827,035) - 96.3% (e) | $ | 4,756,370,180 | |||||||||
Other Assets in Excess of Liabilities - 3.7% | 182,573,987 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 4,938,944,167 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2023.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,055,906,580.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Direxion Daily Semiconductor Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 ICE Semiconductor Index | 5.6900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 2,363,493 | $ | 1,599,231,140 | $ | 43,864,233 | |||||||||||||||||||
Total return of ICE Semiconductor Index | 5.6500% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 3,365,639 | 2,198,435,010 | 143,833,253 | |||||||||||||||||||||
Total return of ICE Semiconductor Index | 5.4000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 2,234,793 | 1,516,290,915 | 33,103,041 | |||||||||||||||||||||
Total return of ICE Semiconductor Index | 5.1000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 1,605,363 | 1,018,222,173 | 98,243,454 | |||||||||||||||||||||
Total return of ICE Semiconductor Index | 5.6100% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 2,155,181 | 1,405,272,035 | 91,108,018 | |||||||||||||||||||||
Total return of ICE Semiconductor Index | 5.4400% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 2,348,400 | 1,563,943,712 | 66,851,579 | |||||||||||||||||||||
Total return of ICE Semiconductor Index | 5.5800% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 1,666,852 | 1,042,682,479 | 115,057,055 | |||||||||||||||||||||
$ | 10,344,077,464 | $ | 592,060,633 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Direxion Daily Semiconductor Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 108.3% | |||||||||||
Money Market Funds - 108.3% | |||||||||||
711,651,028 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 711,651,028 | ||||||||
192,884,954 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 192,884,954 | |||||||||
128,823,245 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 128,823,245 | |||||||||
251,596,047 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 251,596,047 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,284,955,274) (b) | $ | 1,284,955,274 | |||||||||
TOTAL INVESTMENTS (Cost $1,284,955,274) - 108.3% | $ | 1,284,955,274 | |||||||||
Liabilities in Excess of Other Assets - (8.3)% | (98,415,229 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,186,540,045 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $769,989,852.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
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) | |||||||||||||||||||||
4.8400% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | BNP Paribas | 12/5/2023 | 404,553 | $ | 272,218,851 | $ | (9,576,215 | ) | ||||||||||||||||||
4.9500% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | Goldman Sachs | 12/7/2023 | 1,075,199 | 762,144,433 | 13,788,236 | |||||||||||||||||||||
5.2000% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | Bank of America Merrill Lynch | 12/8/2023 | 277,876 | 183,092,496 | (9,380,862 | ) | ||||||||||||||||||||
4.6500% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | J.P. Morgan | 12/12/2023 | 582,587 | 403,695,288 | (3,043,765 | ) | ||||||||||||||||||||
5.2100% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | UBS Securities LLC | 12/13/2023 | 1,100,592 | 815,480,364 | 47,500,976 | |||||||||||||||||||||
5.2200% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | Citibank N.A. | 12/19/2023 | 697,631 | 493,512,572 | 6,797,830 | |||||||||||||||||||||
5.1300% representing 1 month SOFR rate + spread | Total return of ICE Semiconductor Index | Barclays | 12/20/2023 | 934,452 | 676,064,523 | 24,524,582 | |||||||||||||||||||||
$ | 3,606,208,527 | $ | 70,610,782 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Direxion Daily Technology Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 69.2% | |||||||||||
Administrative and Support Services - 0.2% | |||||||||||
13,460 | Gartner, Inc. (a) | $ | 4,071,112 | ||||||||
Computer and Electronic Product Manufacturing - 36.8% | |||||||||||
274,634 | Advanced Micro Devices, Inc. (a) | 24,544,041 | |||||||||
101,279 | Amphenol Corp. Class A | 7,643,526 | |||||||||
86,333 | Analog Devices, Inc. | 15,529,580 | |||||||||
1,766,681 | Apple, Inc. | 299,770,432 | |||||||||
42,159 | Arista Networks, Inc. (a) | 6,752,185 | |||||||||
71,179 | Broadcom, Inc. | 44,593,644 | |||||||||
699,736 | Cisco Systems, Inc. | 33,062,526 | |||||||||
23,152 | Enphase Energy, Inc. (a) | 3,801,558 | |||||||||
110,447 | Fortinet, Inc. (a) | 6,963,683 | |||||||||
147,215 | HP, Inc. | 4,373,758 | |||||||||
704,658 | Intel Corp. | 21,886,678 | |||||||||
154,000 | International Business Machines Corp. | 19,467,140 | |||||||||
30,377 | Keysight Technologies, Inc. (a) | 4,393,729 | |||||||||
93,306 | Microchip Technology, Inc. | 6,810,405 | |||||||||
185,861 | Micron Technology, Inc. | 11,962,014 | |||||||||
7,623 | Monolithic Power Systems, Inc. | 3,521,597 | |||||||||
28,480 | Motorola Solutions, Inc. | 8,299,072 | |||||||||
36,719 | NetApp, Inc. | 2,309,258 | |||||||||
204,947 | NVIDIA Corp. | 56,870,743 | |||||||||
44,139 | NXP Semiconductors NV ADR (Netherlands) | 7,227,320 | |||||||||
73,577 | ON Semiconductor Corp. (a) | 5,294,601 | |||||||||
17,014 | Qorvo, Inc. (a) | 1,566,649 | |||||||||
189,919 | Qualcomm, Inc. | 22,182,539 | |||||||||
18,064 | Roper Technologies, Inc. | 8,215,146 | |||||||||
32,709 | Seagate Technology Holdings PLC ADR (Ireland) | 1,922,308 | |||||||||
27,078 | Skyworks Solutions, Inc. | 2,867,560 | |||||||||
9,521 | SolarEdge Technologies, Inc. (a) | 2,719,483 | |||||||||
26,530 | Teradyne, Inc. | 2,424,311 | |||||||||
154,355 | Texas Instruments, Inc. | 25,808,156 | |||||||||
42,008 | Trimble, Inc. (a) | 1,978,577 | |||||||||
54,390 | Western Digital Corp. (a) | 1,873,192 | |||||||||
8,794 | Zebra Technologies Corp. Class A (a) | 2,532,936 | |||||||||
669,168,347 | |||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.4% | |||||||||||
53,902 | TE Connectivity Ltd. ADR (Switzerland) | 6,595,988 | |||||||||
Machinery Manufacturing - 1.5% | |||||||||||
143,602 | Applied Materials, Inc. | 16,231,334 | |||||||||
22,984 | Lam Research Corp. | 12,045,455 | |||||||||
28,276,789 | |||||||||||
Merchant Wholesalers, Durable Goods - 0.5% | |||||||||||
23,587 | KLA-Tencor Corp. | 9,117,319 |
Shares | Fair Value | ||||||||||
Nonmetallic Mineral Product Manufacturing - 0.2% | |||||||||||
129,661 | Corning, Inc. | $ | 4,307,338 | ||||||||
Professional, Scientific, and Technical Services - 3.8% | |||||||||||
107,264 | Accenture PLC Class A ADR (Ireland) | 30,065,027 | |||||||||
23,061 | CDW Corp. | 3,910,915 | |||||||||
86,698 | Cognizant Technology Solutions Corp. Class A | 5,176,738 | |||||||||
38,781 | DXC Technology Co. (a) | 924,927 | |||||||||
9,796 | EPAM Systems, Inc. (a) | 2,766,782 | |||||||||
10,240 | F5 Networks, Inc. (a) | 1,375,846 | |||||||||
55,180 | Juniper Networks, Inc. | 1,663,677 | |||||||||
34,577 | ServiceNow, Inc. (a) | 15,885,365 | |||||||||
7,984 | Teledyne Technologies, Inc. (a) | 3,308,570 | |||||||||
15,604 | VeriSign, Inc. (a) | 3,460,967 | |||||||||
68,538,814 | |||||||||||
Publishing Industries - 23.7% | |||||||||||
77,977 | Adobe Systems, Inc. (a) | 29,440,996 | |||||||||
14,838 | ANSYS, Inc. (a) | 4,657,945 | |||||||||
36,752 | Autodesk, Inc. (a) | 7,158,922 | |||||||||
46,724 | Cadence Design Systems, Inc. (a) | 9,786,342 | |||||||||
47,850 | Intuit, Inc. | 21,243,007 | |||||||||
1,009,816 | Microsoft Corp. | 310,276,064 | |||||||||
18,129 | PTC, Inc. (a) | 2,280,447 | |||||||||
170,331 | Salesforce.com, Inc. (a) | 33,788,560 | |||||||||
25,961 | Synopsys, Inc. (a) | 9,639,839 | |||||||||
7,093 | Tyler Technologies, Inc. (a) | 2,688,460 | |||||||||
430,960,582 | |||||||||||
Publishing Industries (except Internet) - 1.9% | |||||||||||
26,783 | Akamai Technologies, Inc. (a) | 2,195,402 | |||||||||
4,285 | Fair Isaac Corp. (a) | 3,119,266 | |||||||||
218,333 | Hewlett Packard Enterprise Co. | 3,126,529 | |||||||||
96,888 | NortonLifeLock, Inc. | 1,712,011 | |||||||||
261,775 | Oracle Corp. | 24,795,328 | |||||||||
34,948,536 | |||||||||||
Utilities - 0.2% | |||||||||||
16,887 | First Solar, Inc. (a) | 3,083,228 | |||||||||
TOTAL COMMON STOCKS (Cost $1,076,853,246) | $ | 1,259,068,053 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Direxion Daily Technology Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 27.6% | |||||||||||
Money Market Funds - 27.6% | |||||||||||
256,032,200 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 256,032,200 | ||||||||
103,683,649 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 103,683,649 | |||||||||
56,050,002 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 56,050,002 | |||||||||
86,412,865 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | $ | 86,412,865 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $502,178,716) | $ | 502,178,716 | |||||||||
TOTAL INVESTMENTS (Cost $1,579,031,962) - 96.8% (c) | $ | 1,761,246,769 | |||||||||
Other Assets in Excess of Liabilities - 3.2% | 58,328,182 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,819,574,951 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,190,275,599.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of Technology Select Sector Index | 5.5900% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 375,714 | $ | 507,886,150 | $ | 56,610,518 | |||||||||||||||||||
Total return of Technology Select Sector Index | 5.3000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 507,712 | 670,640,649 | 90,763,892 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 5.4000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 280,688 | 389,231,983 | 32,122,505 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 404,144 | 540,839,322 | 68,390,111 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 5.4800% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 319,157 | 440,768,776 | 38,699,412 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 5.3400% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 282,925 | 394,563,633 | 30,838,028 | |||||||||||||||||||||
Total return of Technology Select Sector Index | 5.3900% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 593,276 | 828,032,668 | 68,334,517 | |||||||||||||||||||||
$ | 3,771,963,181 | $ | 385,758,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Direxion Daily Technology Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 113.7% | |||||||||||
Money Market Funds - 113.7% | |||||||||||
89,179,041 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 89,179,041 | ||||||||
17,845,950 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 17,845,950 | |||||||||
24,662,088 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 24,662,088 | |||||||||
40,447,445 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 40,447,445 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $172,134,524) (b) | $ | 172,134,524 | |||||||||
TOTAL INVESTMENTS (Cost $172,134,524) - 113.7% | $ | 172,134,524 | |||||||||
Liabilities in Excess of Other Assets - (13.7)% | (20,777,290 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 151,357,234 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $115,519,270.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
4.8400% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | BNP Paribas | 12/5/2023 | 61,298 | $ | 91,683,297 | $ | (1,230,787 | ) | ||||||||||||||||||
5.0000% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | Goldman Sachs | 12/7/2023 | 43,784 | 59,186,556 | (6,663,664 | ) | ||||||||||||||||||||
5.2000% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | Bank of America Merrill Lynch | 12/8/2023 | 50,523 | 70,253,805 | (5,680,335 | ) | ||||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | J.P. Morgan | 12/12/2023 | 12,210 | 17,076,420 | (1,374,635 | ) | ||||||||||||||||||||
5.1900% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | UBS Securities LLC | 12/13/2023 | 47,118 | 66,440,837 | (4,640,787 | ) | ||||||||||||||||||||
5.0500% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | Citibank N.A. | 12/19/2023 | 33,000 | 47,540,553 | (2,353,437 | ) | ||||||||||||||||||||
5.0300% representing 1 month SOFR rate + spread | Total return of Technology Select Sector Index | Barclays | 12/20/2023 | 50,880 | 73,371,116 | (3,547,762 | ) | ||||||||||||||||||||
$ | 425,552,584 | $ | (25,491,407 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Direxion Daily Transportation Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 72.1% | |||||||||||
Administrative and Support Services - 1.1% | |||||||||||
3,543 | GXO Logistics, Inc. (a) | $ | 188,239 | ||||||||
3,476 | RXO, Inc. (a) | 62,881 | |||||||||
251,120 | |||||||||||
Air Transportation - 10.2% | |||||||||||
3,810 | Alaska Air Group, Inc. (a) | 165,583 | |||||||||
467 | Allegiant Travel Co. (a) | 48,526 | |||||||||
19,434 | American Airlines Group, Inc. (a) | 265,080 | |||||||||
19,153 | Delta Air Lines, Inc. (a) | 657,139 | |||||||||
1,106 | Frontier Group Holdings, Inc. (a) | 10,496 | |||||||||
1,536 | Hawaiian Holdings, Inc. (a) | 12,795 | |||||||||
9,673 | JetBlue Airways Corp. (a) | 69,065 | |||||||||
1,511 | Skywest, Inc. (a) | 42,761 | |||||||||
17,750 | Southwest Airlines Co. | 537,648 | |||||||||
3,259 | Spirit Airlines, Inc. | 55,729 | |||||||||
9,765 | United Continental Holdings, Inc. (a) | 427,707 | |||||||||
2,292,529 | |||||||||||
Couriers and Messengers - 17.4% | |||||||||||
1,695 | Air Transport Services Group, Inc. (a) | 34,425 | |||||||||
3,680 | FedEx Corp. | 838,230 | |||||||||
16,997 | United Parcel Service, Inc. Class B | 3,056,231 | |||||||||
3,928,886 | |||||||||||
Management of Companies and Enterprises - 0.2% | |||||||||||
973 | Sun Country Airlines Holdings, Inc. (a) | 19,197 | |||||||||
293 | U-Haul Holding Co. | 17,891 | |||||||||
37,088 | |||||||||||
Rail Transportation - 15.9% | |||||||||||
25,473 | CSX Corp. | 780,493 | |||||||||
14,250 | Union Pacific Corp. | 2,788,725 | |||||||||
3,569,218 | |||||||||||
Rental and Leasing Services - 1.5% | |||||||||||
742 | Avis Budget Group, Inc. (a) | 131,089 | |||||||||
4,815 | Hertz Global Holdings, Inc. (a) | 80,314 | |||||||||
1,502 | Ryder System, Inc. | 118,899 | |||||||||
330,302 | |||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.2% | |||||||||||
8,728 | Joby Aviation, Inc. (a) | 37,792 | |||||||||
Support Activities for Transportation - 10.9% | |||||||||||
3,515 | C.H. Robinson Worldwide, Inc. | 354,558 | |||||||||
1,782 | Daseke, Inc. (a) | 14,577 | |||||||||
4,753 | Expeditors International of Washington, Inc. | 541,081 | |||||||||
794 | Forward Air Corp. | 83,775 | |||||||||
975 | Hub Group, Inc. (a) | 73,515 | |||||||||
2,479 | J.B. Hunt Transport Services, Inc. | 434,544 | |||||||||
1,128 | Matson, Inc. | 76,738 | |||||||||
3,564 | Norfolk Southern Corp. | 723,599 | |||||||||
3,435 | XPO Logistics, Inc. (a) | 151,758 | |||||||||
2,454,145 |
Shares | Fair Value | ||||||||||
Transit and Ground Passenger Transportation - 6.8% | |||||||||||
9,611 | Lyft, Inc. (a) | $ | 98,513 | ||||||||
46,449 | Uber Technologies, Inc. (a) | 1,442,241 | |||||||||
1,540,754 | |||||||||||
Truck Transportation - 6.4% | |||||||||||
724 | ArcBest Corp. | 68,346 | |||||||||
1,391 | Heartland Express, Inc. | 20,142 | |||||||||
4,799 | Knight-Swift Transportation Holdings, Inc. Class A | 270,280 | |||||||||
1,720 | Marten Transport Ltd. | 34,727 | |||||||||
2,201 | Old Dominion Freight Line, Inc. | 705,178 | |||||||||
791 | Saia, Inc. (a) | 235,536 | |||||||||
1,106 | Schneider National, Inc. | 28,944 | |||||||||
1,756 | Werner Enterprises, Inc. | 79,318 | |||||||||
1,442,471 | |||||||||||
Warehousing and Storage - 0.8% | |||||||||||
1,074 | Landstar System, Inc. | 189,056 | |||||||||
Water Transportation - 0.7% | |||||||||||
286 | Eagle Bulk Shipping, Inc. ADR | 12,790 | |||||||||
1,112 | Genco Shipping & Trading, Ltd. ADR | 17,136 | |||||||||
1,789 | Kirby Corp. (a) | 128,522 | |||||||||
158,448 | |||||||||||
TOTAL COMMON STOCKS (Cost $17,125,858) | $ | 16,231,809 | |||||||||
SHORT TERM INVESTMENTS - 30.7% | |||||||||||
Money Market Funds - 30.7% | |||||||||||
5,813,512 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 5,813,512 | ||||||||
1,094,459 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 1,094,459 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,907,971) | $ | 6,907,971 | |||||||||
TOTAL INVESTMENTS (Cost $24,033,829) - 102.8% (c) | $ | 23,139,780 | |||||||||
Liabilities in Excess of Other Assets - (2.8)% | (637,041 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 22,502,739 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,140,651.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Direxion Daily Transportation Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
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 Transportation Select Industry FMC Capped Index | 5.4400% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 2,646 | $ | 13,664,387 | $ | (338,748 | ) | ||||||||||||||||||
Total return of S&P Transportation Select Industry FMC Capped Index | 5.4000% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 7,490 | 37,883,370 | (339,973 | ) | ||||||||||||||||||||
$ | 51,547,757 | $ | (678,721 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Direxion Daily Utilities Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
COMMON STOCKS - 63.8% | |||||||||||
Oil and Gas Extraction - 3.0% | |||||||||||
9,515 | Dominion Energy, Inc. | $ | 543,687 | ||||||||
Utilities - 60.8% | |||||||||||
7,627 | AES Corp. | 180,455 | |||||||||
2,866 | Alliant Energy Corp. | 158,031 | |||||||||
2,952 | Ameren Corp. | 262,639 | |||||||||
5,867 | American Electric Power Co., Inc. | 542,228 | |||||||||
2,203 | American Water Works Co., Inc. | 326,595 | |||||||||
1,634 | Atmos Energy Corp. | 186,505 | |||||||||
7,188 | CenterPoint Energy, Inc. | 219,018 | |||||||||
3,325 | CMS Energy Corp. | 207,015 | |||||||||
4,052 | Consolidated Edison, Inc. | 399,000 | |||||||||
3,734 | Constellation Energy Corp. | 289,012 | |||||||||
2,212 | DTE Energy Co. | 248,651 | |||||||||
8,792 | Duke Energy Corp. | 869,353 | |||||||||
4,360 | Edison International | 320,896 | |||||||||
2,324 | Entergy Corp. | 250,016 | |||||||||
2,621 | Evergy, Inc. | 162,790 | |||||||||
3,978 | Eversource Energy | 308,733 | |||||||||
11,347 | Exelon Corp. | 481,567 | |||||||||
6,202 | FirstEnergy Corp. | 246,840 | |||||||||
22,689 | NextEra Energy, Inc. | 1,738,658 | |||||||||
4,637 | NiSource, Inc. | 131,969 | |||||||||
2,631 | NRG Energy, Inc. | 89,901 | |||||||||
18,384 | PG&E Corp. (a) | 314,550 | |||||||||
1,292 | Pinnacle West Capital Corp. | 101,370 | |||||||||
8,408 | PPL Corp. | 241,478 | |||||||||
5,697 | Public Service Enterprise Group, Inc. | 360,050 | |||||||||
3,590 | Sempra Energy | 558,209 | |||||||||
12,430 | Southern Co. | 914,227 | |||||||||
3,601 | WEC Energy Group, Inc. | 346,308 | |||||||||
6,248 | Xcel Energy, Inc. | 436,798 | |||||||||
10,892,862 | |||||||||||
TOTAL COMMON STOCKS (Cost $11,454,353) | $ | 11,436,549 |
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 38.3% | |||||||||||
Money Market Funds - 38.3% | |||||||||||
4,736,192 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 4,736,192 | ||||||||
394,121 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 394,121 | |||||||||
1,737,517 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 1,737,517 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,867,830) | $ | 6,867,830 | |||||||||
TOTAL INVESTMENTS (Cost $18,322,183) - 102.1% (c) | $ | 18,304,379 | |||||||||
Liabilities in Excess of Other Assets - (2.1)% | (373,212 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 17,931,167 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $12,820,487.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total return of Utilities Select Sector Index | 5.2500% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 21,700 | $ | 15,280,800 | $ | (209,615 | ) | ||||||||||||||||||
Total return of Utilities Select Sector Index | 5.2000% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 33,674 | 22,234,327 | 1,168,319 | |||||||||||||||||||||
Total return of Utilities Select Sector Index | 5.3500% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 5,280 | 3,780,533 | (131,979 | ) | ||||||||||||||||||||
$ | 41,295,660 | $ | 826,725 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
78
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 76.7% | |||||||||||
275,185 | iShares 7-10 Year Treasury Bond ETF (a) | $ | 27,444,200 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $27,344,295) | $ | 27,444,200 | |||||||||
SHORT TERM INVESTMENTS - 22.0% | |||||||||||
Money Market Funds - 22.0% | |||||||||||
7,604,385 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 7,604,385 | ||||||||
67 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (b) | 67 | |||||||||
272,584 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 272,584 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,877,036) | $ | 7,877,036 | |||||||||
TOTAL INVESTMENTS (Cost $35,221,331) - 98.7% (c) | $ | 35,321,236 | |||||||||
Other Assets in Excess of Liabilities - 1.3% | 449,948 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 35,771,184 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,356,930.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 4.2100% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 351,842 | $ | 34,358,058 | $ | 562,215 | |||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 4.9500% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 227,651 | 22,470,673 | 39,665 | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 5.0000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 192,126 | 18,711,298 | 374,352 | |||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF | 5.1000% representing 1 month SOFR rate + spread | Barclays | 12/20/2023 | 29,247 | 2,877,198 | 7,201 | |||||||||||||||||||||
$ | 78,417,227 | $ | 983,433 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
79
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 103.1% | |||||||||||
Money Market Funds - 103.1% | |||||||||||
15,543,798 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 15,543,798 | ||||||||
530,066 | Goldman Sachs Financial Square Government Fund Institutional Shares, 4.77% (a) | 530,066 | |||||||||
10,261,631 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 10,261,631 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $26,335,495) (b) | $ | 26,335,495 | |||||||||
TOTAL INVESTMENTS (Cost $26,335,495) - 103.1% | $ | 26,335,495 | |||||||||
Liabilities in Excess of Other Assets - (3.1)% | (793,729 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 25,541,766 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,087,018.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
3.9100% representing 1 month SOFR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | BNP Paribas | 12/5/2023 | 262,700 | $ | 26,001,323 | $ | (73,811 | ) | ||||||||||||||||||
3.8500% representing 1 month SOFR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | J.P. Morgan | 12/12/2023 | 478,960 | 47,007,428 | (580,445 | ) | ||||||||||||||||||||
4.7100% representing 1 month SOFR rate + spread | Total return of iShares 7-10 Year Treasury Bond ETF | Barclays | 12/20/2023 | 26,680 | 2,622,111 | (13,682 | ) | ||||||||||||||||||||
$ | 75,630,862 | $ | (667,938 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
80
Direxion Daily 20+ Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
INVESTMENT COMPANIES - 65.1% | |||||||||||
9,908,119 | iShares 20+ Year Treasury Bond ETF (a) | $ | 1,054,818,349 | ||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,023,357,969) | $ | 1,054,818,349 | |||||||||
SHORT TERM INVESTMENTS - 31.4% | |||||||||||
Money Market Funds - 31.4% | |||||||||||
273,850,441 | Dreyfus Government Cash Management Institutional Shares, 4.76% (b) | $ | 273,850,441 | ||||||||
62,560,444 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (b) | 62,560,444 | |||||||||
171,702,864 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (b) | 171,702,864 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $508,113,749) | $ | 508,113,749 | |||||||||
TOTAL INVESTMENTS (Cost $1,531,471,718) - 96.5% (c) | $ | 1,562,932,098 | |||||||||
Other Assets in Excess of Liabilities - 3.5% | 56,626,635 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,619,558,733 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2023.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,060,334,843.
Long Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 5.1100% representing 1 month SOFR rate + spread | BNP Paribas | 12/5/2023 | 5,890,447 | $ | 619,115,829 | $ | 5,143,451 | |||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 5.0000% representing 1 month SOFR rate + spread | Goldman Sachs | 12/7/2023 | 6,066,975 | 631,992,539 | 11,717,655 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 4.6000% representing 1 month SOFR rate + spread | Bank of America Merrill Lynch | 12/8/2023 | 4,445,773 | 469,579,025 | 1,804,194 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 5.1000% representing 1 month SOFR rate + spread | J.P. Morgan | 12/12/2023 | 4,993,598 | 525,765,805 | 2,948,605 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 5.3000% representing 1 month SOFR rate + spread | UBS Securities LLC | 12/13/2023 | 6,968,135 | 733,783,581 | 3,910,038 | |||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF | 5.0200% representing 1 month SOFR rate + spread | Citibank N.A. | 12/19/2023 | 7,366,930 | 770,486,244 | 10,327,649 | |||||||||||||||||||||
$ | 3,750,723,023 | $ | 35,851,592 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
81
Direxion Daily 20+ Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2023
Shares | Fair Value | ||||||||||
SHORT TERM INVESTMENTS - 100.6% | |||||||||||
Money Market Funds - 100.6% | |||||||||||
285,782,173 | Dreyfus Government Cash Management Institutional Shares, 4.76% (a) | $ | 285,782,173 | ||||||||
29,110,808 | Dreyfus Treasury Securities Cash Management Institutional Shares, 4.31% (a) | 29,110,808 | |||||||||
105,659,583 | Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 4.31% (a) | 105,659,583 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $420,552,564) (b) | $ | 420,552,564 | |||||||||
TOTAL INVESTMENTS (Cost $420,552,564) - 100.6% | $ | 420,552,564 | |||||||||
Liabilities in Excess of Other Assets - (0.6)% | (2,604,184 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 417,948,380 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2023.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $251,450,934.
Short Total Return Swap Contracts (Unaudited)
April 30, 2023
Terms of Payments to be Received at Termination | Terms of Payments to be Paid at Termination | Counterparty | Termination Date | Contracts | Notional Amount | Unrealized Appreciation | |||||||||||||||||||||
4.8900% representing 1 month SOFR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | BNP Paribas | 12/5/2023 | 2,627,065 | $ | 283,217,732 | $ | 5,330,015 | |||||||||||||||||||
4.8000% representing 1 month SOFR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Goldman Sachs | 12/7/2023 | 1,360,742 | 145,558,410 | 1,429,136 | |||||||||||||||||||||
4.3000% representing 1 month SOFR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Bank of America Merrill Lynch | 12/8/2023 | 680,655 | 73,056,572 | 939,750 | |||||||||||||||||||||
4.6000% representing 1 month SOFR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | J.P. Morgan | 12/12/2023 | 920,884 | 97,703,599 | 177,069 | |||||||||||||||||||||
4.9000% representing 1 month SOFR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | UBS Securities LLC | 12/13/2023 | 3,306,673 | 355,063,724 | 5,055,526 | |||||||||||||||||||||
4.7800% representing 1 month SOFR rate + spread | Total return of iShares 20+ Year Treasury Bond ETF | Citibank N.A. | 12/19/2023 | 2,881,876 | 308,517,254 | 3,782,260 | |||||||||||||||||||||
$ | 1,263,117,291 | $ | 16,713,756 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
82
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily S&P 500® Bull 3X Shares | Direxion Daily S&P 500® Bear 3X Shares | Direxion Daily Small Cap Bull 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 47,080,769 | $ | 2,612,282,050 | $ | 1,066,910,153 | $ | 1,189,928,719 | |||||||||||
Cash | — | 20,300,797 | — | — | |||||||||||||||
Receivable for Fund shares sold | 1,788,665 | 130,519,785 | 219,589,173 | 7,318,982 | |||||||||||||||
Dividend and interest receivable | 47,368 | 4,216,280 | 3,937,789 | 1,719,163 | |||||||||||||||
Due from broker for swap contracts | 1 | 2,963,220 | 51,300,050 | 2,647,563 | |||||||||||||||
Unrealized appreciation on swap contracts | 274,211 | 261,189,313 | — | 1,544,214 | |||||||||||||||
Prepaid expenses and other assets | 18,316 | 88,797 | 11,777 | 35,751 | |||||||||||||||
Total Assets | 49,209,330 | 3,031,560,242 | 1,341,748,942 | 1,203,194,392 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 23,003 | — | — | |||||||||||||||
Payable for Fund shares redeemed | — | 58,653,818 | 115,831,323 | 419,184 | |||||||||||||||
Payable for investments purchased | — | — | — | 17,368,900 | |||||||||||||||
Unrealized depreciation on swap contracts | 849,347 | — | 29,574,919 | 49,725,641 | |||||||||||||||
Due to Adviser, net (Note 6) | 28,956 | 1,046,059 | 429,656 | 462,767 | |||||||||||||||
Due to broker for swap contracts | — | 226,625,197 | 64,797,796 | 2 | |||||||||||||||
Accrued expenses and other liabilities | 33,910 | 1,527,806 | 492,552 | 465,616 | |||||||||||||||
Total Liabilities | 912,213 | 287,875,883 | 211,126,246 | 68,442,110 | |||||||||||||||
Net Assets | $ | 48,297,117 | $ | 2,743,684,359 | $ | 1,130,622,696 | $ | 1,134,752,282 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 65,482,803 | $ | 3,332,895,130 | $ | 4,008,749,700 | $ | 2,301,810,024 | |||||||||||
Total distributable loss | (17,185,686 | ) | (589,210,771 | ) | (2,878,127,004 | ) | (1,167,057,742 | ) | |||||||||||
Net Assets | $ | 48,297,117 | $ | 2,743,684,359 | $ | 1,130,622,696 | $ | 1,134,752,282 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 48,297,117 | $ | 2,743,684,359 | $ | 1,130,622,696 | $ | 1,134,752,282 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,350,132 | 36,200,002 | 66,376,918 | 37,700,002 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 35.77 | $ | 75.79 | $ | 17.03 | $ | 30.10 | |||||||||||
Cost of Investments | $ | 46,951,951 | $ | 2,468,089,293 | $ | 1,066,910,153 | $ | 1,198,299,197 |
* Securities loaned with values of $–, $21,906, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
83
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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) | $ | 479,472,167 | $ | 613,437,197 | $ | 134,934,373 | $ | 34,053,563 | |||||||||||
Receivable for Fund shares sold | 42,010,570 | 614 | 3,711,986 | — | |||||||||||||||
Dividend and interest receivable | 1,766,471 | 862,445 | 532,410 | 74,481 | |||||||||||||||
Due from broker for swap contracts | 17,590,000 | — | 5,810,299 | 1,347,926 | |||||||||||||||
Unrealized appreciation on swap contracts | 66,692,722 | — | 17,307,093 | 7,642,644 | |||||||||||||||
Prepaid expenses and other assets | 17,902 | 9,293 | 16,602 | 20,536 | |||||||||||||||
Total Assets | 607,549,832 | 614,309,549 | 162,312,763 | 43,139,150 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 23,368,044 | 2,207,873 | 1,583,732 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 245,885 | 32,553,706 | 1,720,463 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 184,759 | 254,249 | 55,711 | 15,223 | |||||||||||||||
Due to broker for swap contracts | 98,697,328 | — | 24,119,325 | 7,001,000 | |||||||||||||||
Accrued expenses and other liabilities | 143,527 | 330,453 | 84,273 | 15,618 | |||||||||||||||
Total Liabilities | 122,639,543 | 35,346,281 | 27,563,504 | 7,031,841 | |||||||||||||||
Net Assets | $ | 484,910,289 | $ | 578,963,268 | $ | 134,749,259 | $ | 36,107,309 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 4,153,321,758 | $ | 1,389,799,619 | $ | 283,551,685 | $ | 51,969,513 | |||||||||||
Total distributable loss | (3,668,411,469 | ) | (810,836,351 | ) | (148,802,426 | ) | (15,862,204 | ) | |||||||||||
Net Assets | $ | 484,910,289 | $ | 578,963,268 | $ | 134,749,259 | $ | 36,107,309 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 484,910,289 | $ | 578,963,268 | $ | 134,749,259 | $ | 36,107,309 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 14,772,797 | 14,142,767 | 12,877,337 | 1,500,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 32.82 | $ | 40.94 | $ | 10.46 | $ | 24.07 | |||||||||||
Cost of Investments | $ | 479,472,167 | $ | 609,353,457 | $ | 134,934,373 | $ | 33,528,584 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
84
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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 (including securities loaned*) (Note 2) | $ | 92,407,395 | $ | 32,115,829 | $ | 23,007,310 | $ | 28,504,885 | |||||||||||
Cash | — | — | 2,299,227 | — | |||||||||||||||
Receivable for Fund shares sold | — | 1,299,896 | — | — | |||||||||||||||
Dividend and interest receivable | 352,337 | 121,491 | 42,744 | 63,469 | |||||||||||||||
Due from broker for swap contracts | — | 700,000 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 298,716 | 2,161,571 | 5,794,625 | 784,846 | |||||||||||||||
Prepaid expenses and other assets | 18,414 | 21,526 | 15,177 | 19,932 | |||||||||||||||
Total Assets | 93,076,862 | 36,420,313 | 31,159,083 | 29,373,132 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | — | 6,217,729 | — | |||||||||||||||
Payable for Fund shares redeemed | 38,182 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 4,597,513 | 1,963,965 | — | 917,995 | |||||||||||||||
Due to Adviser, net (Note 6) | 58,061 | 14,018 | 10,559 | 18,843 | |||||||||||||||
Due to broker for swap contracts | 1 | 3,058,376 | 5,949,667 | 730,000 | |||||||||||||||
Accrued expenses and other liabilities | 58,889 | 41,559 | 14,702 | 20,264 | |||||||||||||||
Total Liabilities | 4,752,646 | 5,077,918 | 12,192,657 | 1,687,102 | |||||||||||||||
Net Assets | $ | 88,324,216 | $ | 31,342,395 | $ | 18,966,426 | $ | 27,686,030 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 357,297,673 | $ | 363,828,112 | $ | 10,422,844 | $ | 63,832,608 | |||||||||||
Total distributable earnings (loss) | (268,973,457 | ) | (332,485,717 | ) | 8,543,582 | (36,146,578 | ) | ||||||||||||
Net Assets | $ | 88,324,216 | $ | 31,342,395 | $ | 18,966,426 | $ | 27,686,030 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 88,324,216 | $ | 31,342,395 | $ | 18,966,426 | $ | 27,686,030 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 2,931,598 | 2,445,232 | 133,205 | 3,300,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 30.13 | $ | 12.82 | $ | 142.39 | $ | 8.39 | |||||||||||
Cost of Investments | $ | 92,584,943 | $ | 32,115,829 | $ | 21,710,099 | $ | 28,162,462 |
* Securities loaned with values of $–, $–, $6,058,753 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
85
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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) | $ | 167,526,565 | $ | 26,705,964 | $ | 130,071,860 | $ | 43,112,144 | |||||||||||
Receivable for Fund shares sold | — | — | 12,420 | 2,057,554 | |||||||||||||||
Dividend and interest receivable | 279,909 | 35,557 | 160,015 | 160,905 | |||||||||||||||
Due from broker for swap contracts | — | — | 62,930 | 2,490,000 | |||||||||||||||
Unrealized appreciation on swap contracts | 5,170,631 | 2,587,818 | 14,346,443 | 484,189 | |||||||||||||||
Prepaid expenses and other assets | 46,887 | 40,563 | 22,472 | 12,326 | |||||||||||||||
Total Assets | 173,023,992 | 29,369,902 | 144,676,140 | 48,317,118 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 223,039 | — | — | — | |||||||||||||||
Payable for Fund shares redeemed | — | — | 45,550 | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 263,299 | 590,809 | 898,807 | |||||||||||||||
Due to Adviser, net (Note 6) | 73,182 | 15,747 | 56,638 | 24,713 | |||||||||||||||
Due to broker for swap contracts | 3,734,000 | 2,510,000 | 16,101,036 | 2,750,000 | |||||||||||||||
Accrued expenses and other liabilities | 85,362 | 24,245 | 55,306 | 22,309 | |||||||||||||||
Total Liabilities | 4,115,583 | 2,813,291 | 16,849,339 | 3,695,829 | |||||||||||||||
Net Assets | $ | 168,908,409 | $ | 26,556,611 | $ | 127,826,801 | $ | 44,621,289 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 143,581,723 | $ | 59,500,666 | $ | 366,437,308 | $ | 67,763,210 | |||||||||||
Total distributable earnings (loss) | 25,326,686 | (32,944,055 | ) | (238,610,507 | ) | (23,141,921 | ) | ||||||||||||
Net Assets | $ | 168,908,409 | $ | 26,556,611 | $ | 127,826,801 | $ | 44,621,289 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 168,908,409 | $ | 26,556,611 | $ | 127,826,801 | $ | 44,621,289 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 8,450,001 | 1,200,001 | 16,200,001 | 2,119,952 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 19.99 | $ | 22.13 | $ | 7.89 | $ | 21.05 | |||||||||||
Cost of Investments | $ | 161,243,349 | $ | 26,435,231 | $ | 126,669,729 | $ | 43,112,144 |
* Securities loaned with values of $212,983, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
86
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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 (including securities loaned*) (Note 2) | $ | 1,863,784,823 | $ | 176,652,688 | $ | 199,194,382 | $ | 190,175,088 | |||||||||||
Cash | 8,170,000 | — | 44,447 | — | |||||||||||||||
Receivable for Fund shares sold | 3,129,365 | 5,105,170 | — | 550 | |||||||||||||||
Dividend and interest receivable | 4,666,586 | 662,621 | 409,503 | 291,081 | |||||||||||||||
Due from broker for swap contracts | 950,000 | 8,690,655 | — | 25,993,237 | |||||||||||||||
Unrealized appreciation on swap contracts | 43,322,940 | 23,553,112 | 3,404,888 | 45,784,534 | |||||||||||||||
Prepaid expenses and other assets | 60,602 | 19,938 | 17,867 | 45,246 | |||||||||||||||
Total Assets | 1,924,084,316 | 214,684,184 | 203,071,087 | 262,289,736 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 8,047 | — | — | — | |||||||||||||||
Payable for Fund shares redeemed | 330,327 | 6,035,574 | — | 220,913 | |||||||||||||||
Unrealized depreciation on swap contracts | 136,279,708 | 4,252,445 | 7,974,050 | 1,578,371 | |||||||||||||||
Due to Adviser, net (Note 6) | 716,487 | 72,134 | 83,061 | 76,381 | |||||||||||||||
Due to broker for swap contracts | 30,933,299 | 37,191,772 | 2,805,060 | 62,285,000 | |||||||||||||||
Accrued expenses and other liabilities | 1,011,904 | 85,653 | 97,537 | 83,826 | |||||||||||||||
Total Liabilities | 169,279,772 | 47,637,578 | 10,959,708 | 64,244,491 | |||||||||||||||
Net Assets | $ | 1,754,804,544 | $ | 167,046,606 | $ | 192,111,379 | $ | 198,045,245 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 2,390,751,552 | $ | 3,291,003,659 | $ | 219,018,956 | $ | 198,106,464 | |||||||||||
Total distributable loss | (635,947,008 | ) | (3,123,957,053 | ) | (26,907,577 | ) | (61,219 | ) | |||||||||||
Net Assets | $ | 1,754,804,544 | $ | 167,046,606 | $ | 192,111,379 | $ | 198,045,245 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,754,804,544 | $ | 167,046,606 | $ | 192,111,379 | $ | 198,045,245 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 28,049,289 | 8,303,350 | 1,850,008 | 3,600,000 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 62.56 | $ | 20.12 | $ | 103.84 | $ | 55.01 | |||||||||||
Cost of Investments | $ | 1,810,304,808 | $ | 176,652,688 | $ | 201,729,912 | $ | 172,019,473 |
* Securities loaned with values of $7,663, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
87
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
Direxion Daily Industrials Bull 3X Shares | Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Real Estate Bull 3X Shares | Direxion Daily Real Estate Bear 3X Shares | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) | $ | 20,904,607 | $ | 9,500,133 | $ | 50,620,287 | $ | 174,279,396 | |||||||||||
Cash | — | 218,650 | — | — | |||||||||||||||
Receivable for Fund shares sold | — | — | — | 2,428,599 | |||||||||||||||
Receivable for investments sold | 113,544 | — | — | — | |||||||||||||||
Dividend and interest receivable | 34,524 | 15,514 | 82,987 | 648,322 | |||||||||||||||
Due from broker for swap contracts | — | 6,225 | — | 11,928,000 | |||||||||||||||
Unrealized appreciation on swap contracts | 91,587 | 94,334 | 1,400,687 | 10,111,226 | |||||||||||||||
Prepaid expenses and other assets | 43,179 | 52,634 | 96,696 | 57,925 | |||||||||||||||
Total Assets | 21,187,441 | 9,887,490 | 52,200,657 | 199,453,468 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | — | 131,284 | — | — | |||||||||||||||
Payable for Fund shares redeemed | — | — | 64,148 | — | |||||||||||||||
Payable for investments purchased | 113,325 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | 297,654 | 237,001 | 2,470,899 | 1,358,011 | |||||||||||||||
Due to Adviser, net (Note 6) | 12,081 | 3,271 | 20,580 | 74,705 | |||||||||||||||
Due to broker for swap contracts | — | — | 970,000 | 27,370,151 | |||||||||||||||
Accrued expenses and other liabilities | 26,247 | 12,374 | 36,307 | 83,166 | |||||||||||||||
Total Liabilities | 449,307 | 383,930 | 3,561,934 | 28,886,033 | |||||||||||||||
Net Assets | $ | 20,738,134 | $ | 9,503,560 | $ | 48,638,723 | $ | 170,567,435 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 22,900,678 | $ | 19,803,902 | $ | 75,983,676 | $ | 320,164,439 | |||||||||||
Total distributable loss | (2,162,544 | ) | (10,300,342 | ) | (27,344,953 | ) | (149,597,004 | ) | |||||||||||
Net Assets | $ | 20,738,134 | $ | 9,503,560 | $ | 48,638,723 | $ | 170,567,435 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 20,738,134 | $ | 9,503,560 | $ | 48,638,723 | $ | 170,567,435 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 650,001 | 1,050,001 | 5,000,000 | 3,634,045 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 31.90 | $ | 9.05 | $ | 9.73 | $ | 46.94 | |||||||||||
Cost of Investments | $ | 22,068,197 | $ | 9,685,496 | $ | 53,503,658 | $ | 174,279,396 |
* Securities loaned with values of $–, $128,562, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
88
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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 (including securities loaned*) (Note 2) | $ | 453,066,992 | $ | 50,773,871 | $ | 66,074,604 | $ | 68,290,054 | |||||||||||
Receivable for Fund shares sold | 3,307 | — | — | — | |||||||||||||||
Dividend and interest receivable | 624,054 | 76,633 | 94,343 | 248,829 | |||||||||||||||
Due from broker for swap contracts | 405,434 | — | 1 | 3,180,000 | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | 1,794,776 | 11,285,712 | |||||||||||||||
Prepaid expenses and other assets | 90,111 | 61,460 | 51,618 | 13,853 | |||||||||||||||
Total Assets | 454,189,898 | 50,911,964 | 68,015,342 | 83,018,448 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 1,450,530 | 1,577,746 | 8,515 | — | |||||||||||||||
Payable for Fund shares redeemed | 871,370 | — | — | 579,051 | |||||||||||||||
Payable for investments purchased | — | — | 166,817 | — | |||||||||||||||
Unrealized depreciation on swap contracts | 39,971,946 | 4,094,235 | 3,166,611 | — | |||||||||||||||
Due to Adviser, net (Note 6) | 158,243 | 18,704 | 41,411 | 41,131 | |||||||||||||||
Due to broker for swap contracts | 4 | — | 1,010,000 | 17,810,573 | |||||||||||||||
Accrued expenses and other liabilities | 78,947 | 26,949 | 31,386 | 26,186 | |||||||||||||||
Total Liabilities | 42,531,040 | 5,717,634 | 4,424,740 | 18,456,941 | |||||||||||||||
Net Assets | $ | 411,658,858 | $ | 45,194,330 | $ | 63,590,602 | $ | 64,561,507 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 688,260,273 | $ | 149,923,794 | $ | 103,339,435 | $ | 197,794,499 | |||||||||||
Total distributable loss | (276,601,415 | ) | (104,729,464 | ) | (39,748,833 | ) | (133,232,992 | ) | |||||||||||
Net Assets | $ | 411,658,858 | $ | 45,194,330 | $ | 63,590,602 | $ | 64,561,507 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 411,658,858 | $ | 45,194,330 | $ | 63,590,602 | $ | 64,561,507 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 59,748,590 | 6,871,105 | 2,364,370 | 11,706,828 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 6.89 | $ | 6.58 | $ | 26.90 | $ | 5.51 | |||||||||||
Cost of Investments | $ | 460,171,017 | $ | 50,040,207 | $ | 65,767,862 | $ | 68,290,054 |
* Securities loaned with values of $1,486,618, $1,535,522, $8,301 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
89
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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 (including securities loaned*) (Note 2) | $ | 1,009,403,654 | $ | 96,042,854 | $ | 4,756,370,180 | $ | 1,284,955,274 | |||||||||||
Receivable for Fund shares sold | 131,601 | 5,389,386 | 14,307,143 | 4,284 | |||||||||||||||
Dividend and interest receivable | 1,531,685 | 332,894 | 3,121,707 | 5,494,168 | |||||||||||||||
Due from broker for swap contracts | 4,767,293 | 1,104,896 | 2,202,072 | 10,181,956 | |||||||||||||||
Unrealized appreciation on swap contracts | 30,118,058 | 13,515,115 | 592,060,633 | 92,611,624 | |||||||||||||||
Prepaid expenses and other assets | 218,880 | 31,270 | 97,283 | 11,583 | |||||||||||||||
Total Assets | 1,046,171,171 | 116,416,415 | 5,368,159,018 | 1,393,258,889 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral for securities loaned (Note 2) | 7,835,890 | — | 14,943,224 | — | |||||||||||||||
Payable for Fund shares redeemed | — | 5,282,895 | 651,085 | 25,042,829 | |||||||||||||||
Unrealized depreciation on swap contracts | 21,227,249 | 2,413,512 | — | 22,000,842 | |||||||||||||||
Due to Adviser, net (Note 6) | 415,012 | 37,943 | 1,662,448 | 549,394 | |||||||||||||||
Due to broker for swap contracts | 22,337,293 | 19,613,724 | 409,299,453 | 158,736,488 | |||||||||||||||
Accrued expenses and other liabilities | 468,290 | 61,317 | 2,658,641 | 389,291 | |||||||||||||||
Total Liabilities | 52,283,734 | 27,409,391 | 429,214,851 | 206,718,844 | |||||||||||||||
Net Assets | $ | 993,887,437 | $ | 89,007,024 | $ | 4,938,944,167 | $ | 1,186,540,045 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 2,657,107,363 | $ | 433,263,207 | $ | 8,702,891,466 | $ | 2,443,166,200 | |||||||||||
Total distributable loss | (1,663,219,926 | ) | (344,256,183 | ) | (3,763,947,299 | ) | (1,256,626,155 | ) | |||||||||||
Net Assets | $ | 993,887,437 | $ | 89,007,024 | $ | 4,938,944,167 | $ | 1,186,540,045 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 993,887,437 | $ | 89,007,024 | $ | 4,938,944,167 | $ | 1,186,540,045 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 177,861,600 | 5,266,024 | 345,950,060 | 58,173,440 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 5.59 | $ | 16.90 | $ | 14.28 | $ | 20.40 | |||||||||||
Cost of Investments | $ | 1,009,374,654 | $ | 96,042,854 | $ | 4,418,827,035 | $ | 1,284,955,274 |
* Securities loaned with values of $7,803,487, $–, $14,477,673 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
90
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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) | $ | 1,761,246,769 | $ | 172,134,524 | $ | 23,139,780 | $ | 18,304,379 | |||||||||||
Cash | 15,560,000 | — | — | — | |||||||||||||||
Receivable for Fund shares sold | 109,928 | 5,578,712 | — | — | |||||||||||||||
Receivable for investments sold | 4,036,077 | — | 80 | — | |||||||||||||||
Dividend and interest receivable | 2,147,276 | 657,231 | 20,675 | 36,072 | |||||||||||||||
Due from broker for swap contracts | — | 1,620,000 | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | 385,758,983 | — | — | 1,168,319 | |||||||||||||||
Prepaid expenses and other assets | 50,855 | 24,538 | 50,913 | 22,686 | |||||||||||||||
Total Assets | 2,168,909,888 | 180,015,005 | 23,211,448 | 19,531,456 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for Fund shares redeemed | 208,854 | — | — | — | |||||||||||||||
Payable for investments purchased | 4,080,167 | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 25,491,407 | 678,721 | 341,594 | |||||||||||||||
Due to Adviser, net (Note 6) | 710,620 | 66,176 | 13,503 | 10,991 | |||||||||||||||
Due to broker for swap contracts | 343,477,515 | 3,030,672 | 1 | 1,223,976 | |||||||||||||||
Accrued expenses and other liabilities | 857,781 | 69,516 | 16,484 | 23,728 | |||||||||||||||
Total Liabilities | 349,334,937 | 28,657,771 | 708,709 | 1,600,289 | |||||||||||||||
Net Assets | $ | 1,819,574,951 | $ | 151,357,234 | $ | 22,502,739 | $ | 17,931,167 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 2,528,350,944 | $ | 511,636,993 | $ | 29,598,765 | $ | 17,319,803 | |||||||||||
Total distributable earnings (loss) | (708,775,993 | ) | (360,279,759 | ) | (7,096,026 | ) | 611,364 | ||||||||||||
Net Assets | $ | 1,819,574,951 | $ | 151,357,234 | $ | 22,502,739 | $ | 17,931,167 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 1,819,574,951 | $ | 151,357,234 | $ | 22,502,739 | $ | 17,931,167 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 49,850,000 | 7,000,260 | 1,000,001 | 600,001 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 36.50 | $ | 21.62 | $ | 22.50 | $ | 29.89 | |||||||||||
Cost of Investments | $ | 1,579,031,962 | $ | 172,134,524 | $ | 24,033,829 | $ | 18,322,183 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
91
Statements of Assets and Liabilities (Unaudited)
April 30, 2023
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) | $ | 35,321,236 | $ | 26,335,495 | $ | 1,562,932,098 | $ | 420,552,564 | |||||||||||
Receivable for Fund shares sold | — | — | — | 16,762,806 | |||||||||||||||
Receivable for investments sold | — | — | 52,380,081 | — | |||||||||||||||
Dividend and interest receivable | 32,585 | 104,098 | 2,019,203 | 1,646,970 | |||||||||||||||
Due from broker for swap contracts | 360,000 | — | 14,965,258 | — | |||||||||||||||
Unrealized appreciation on swap contracts | 983,433 | — | 35,851,592 | 16,713,756 | |||||||||||||||
Prepaid expenses and other assets | 23,180 | 33,581 | 4,579 | 72,530 | |||||||||||||||
Total Assets | 36,720,434 | 26,473,174 | 1,668,152,811 | 455,748,626 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for investments purchased | — | — | 31,940,700 | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | 667,938 | — | — | |||||||||||||||
Due to Adviser, net (Note 6) | 14,945 | 16,503 | 613,307 | 175,334 | |||||||||||||||
Due to broker for swap contracts | 900,000 | 209,091 | 15,719,733 | 37,416,166 | |||||||||||||||
Accrued expenses and other liabilities | 34,305 | 37,876 | 320,338 | 208,746 | |||||||||||||||
Total Liabilities | 949,250 | 931,408 | 48,594,078 | 37,800,246 | |||||||||||||||
Net Assets | $ | 35,771,184 | $ | 25,541,766 | $ | 1,619,558,733 | $ | 417,948,380 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||
Capital stock | $ | 47,052,430 | $ | 75,001,783 | $ | 1,996,680,284 | $ | 1,196,834,315 | |||||||||||
Total distributable loss | (11,281,246 | ) | (49,460,017 | ) | (377,121,551 | ) | (778,885,935 | ) | |||||||||||
Net Assets | $ | 35,771,184 | $ | 25,541,766 | $ | 1,619,558,733 | $ | 417,948,380 | |||||||||||
Calculation of Net Asset Value Per Share: | |||||||||||||||||||
Net assets | $ | 35,771,184 | $ | 25,541,766 | $ | 1,619,558,733 | $ | 417,948,380 | |||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) | 1,100,000 | 2,150,000 | 182,900,000 | 3,924,261 | |||||||||||||||
Net assets value, redemption price and offering price per share | $ | 32.52 | $ | 11.88 | $ | 8.85 | $ | 106.50 | |||||||||||
Cost of Investments | $ | 35,221,331 | $ | 26,335,495 | $ | 1,531,471,718 | $ | 420,552,564 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
92
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 (net of foreign withholding tax of $—, $4,246, $— and $—, respectively) | $ | 266,993 | $ | 16,534,294 | $ | — | $ | 6,049,490 | |||||||||||
Interest income | 369,882 | 14,414,546 | 20,931,617 | 8,421,371 | |||||||||||||||
Securities lending income | — | 311 | — | 85,673 | |||||||||||||||
Total investment income | 636,875 | 30,949,151 | 20,931,617 | 14,556,534 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 191,108 | 9,713,093 | 3,659,527 | 4,197,594 | |||||||||||||||
Interest expense | 70,234 | 1,908,105 | 1,598,232 | 1,416,011 | |||||||||||||||
Licensing fees | 20,385 | 1,036,063 | 390,350 | 335,808 | |||||||||||||||
Fund servicing fees | 9,990 | 482,979 | 182,594 | 209,185 | |||||||||||||||
Professional fees | 7,013 | 109,286 | 44,385 | 50,113 | |||||||||||||||
Management service fees (Note 6) | 6,321 | 321,252 | 121,047 | 138,838 | |||||||||||||||
Reports to shareholders | 3,593 | 182,572 | 68,996 | 79,019 | |||||||||||||||
Pricing fees | 2,977 | 2,976 | 2,975 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 3,595 | 2,697 | 2,697 | |||||||||||||||
Excise tax | 2,155 | — | 54,187 | 82,735 | |||||||||||||||
Trustees' fees and expenses | 667 | 33,823 | 12,715 | 14,709 | |||||||||||||||
Insurance fees | 576 | 29,272 | 11,062 | 12,669 | |||||||||||||||
Other | 697 | 32,654 | 9,482 | 14,842 | |||||||||||||||
Total Expenses | 318,413 | 13,855,670 | 6,158,249 | 6,557,196 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 5 | — | 111,900 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (3,958 | ) | — | — | — | ||||||||||||||
Less: Investment advisory fees waived (Note 6) | — | (455,124 | ) | — | — | ||||||||||||||
Net Expenses | 314,460 | 13,400,546 | 6,270,148 | 6,557,195 | |||||||||||||||
Net investment income | 322,415 | 17,548,605 | 14,661,469 | 7,999,339 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | (122,901,710 | ) | — | (46,171,584 | ) | |||||||||||||
In-kind redemptions | 768,995 | 152,220,634 | — | 16,018,718 | |||||||||||||||
Swap contracts | 2,567,889 | 77,952,606 | (171,125,676 | ) | (14,281,142 | ) | |||||||||||||
Net realized gain (loss) | 3,336,884 | 107,271,530 | (171,125,676 | ) | (44,434,008 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | (419,754 | ) | 85,688,421 | — | (3,908,140 | ) | |||||||||||||
Swap contracts | (4,463,046 | ) | 196,715,963 | (107,242,661 | ) | (163,269,946 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (4,882,800 | ) | 282,404,384 | (107,242,661 | ) | (167,178,086 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1,545,916 | ) | 389,675,914 | (278,368,337 | ) | (211,612,094 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,223,501 | ) | $ | 407,224,519 | $ | (263,706,868 | ) | $ | (203,612,755 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
93
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 | $ | — | $ | 6,132,773 | $ | — | $ | 113,152 | |||||||||||
Interest income | 10,502,110 | 5,298,880 | 3,661,962 | 332,315 | |||||||||||||||
Securities lending income | — | — | — | 9,633 | |||||||||||||||
Total investment income | 10,502,110 | 11,431,653 | 3,661,962 | 455,100 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 1,773,358 | 2,055,218 | 593,413 | 106,574 | |||||||||||||||
Interest expense | 654,301 | 882,781 | 451,182 | 28,339 | |||||||||||||||
Licensing fees | 141,869 | 238,679 | 68,915 | 4,641 | |||||||||||||||
Fund servicing fees | 88,738 | 102,270 | 30,021 | 5,771 | |||||||||||||||
Management service fees (Note 6) | 58,658 | 67,963 | 19,628 | 3,524 | |||||||||||||||
Reports to shareholders | 33,434 | 38,422 | 11,186 | 1,991 | |||||||||||||||
Professional fees | 24,065 | 26,915 | 11,351 | 6,097 | |||||||||||||||
Trustees' fees and expenses | 6,196 | 6,905 | 2,049 | 360 | |||||||||||||||
Insurance fees | 5,360 | 6,160 | 1,793 | 319 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 5,392 | 2,697 | 2,697 | |||||||||||||||
Excise tax | — | 40,150 | 14,616 | 1,427 | |||||||||||||||
Other | 5,067 | 6,002 | 1,519 | 381 | |||||||||||||||
Total Expenses | 2,796,719 | 3,479,833 | 1,211,346 | 165,097 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 46,555 | 6,307 | 901 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (180 | ) | (199 | ) | (1,238 | ) | ||||||||||||
Net Expenses | 2,796,718 | 3,526,208 | 1,217,454 | 164,760 | |||||||||||||||
Net investment income | 7,705,392 | 7,905,445 | 2,444,508 | 290,340 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | — | (30,985,315 | ) | — | — | ||||||||||||||
In-kind redemptions | — | 32,383,532 | — | 1,056,115 | |||||||||||||||
Swap contracts | (49,351,315 | ) | 49,226,636 | (125,721,719 | ) | 4,216,661 | |||||||||||||
Net realized gain (loss) | (49,351,315 | ) | 50,624,853 | (125,721,719 | ) | 5,272,776 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | — | 33,029,764 | — | 1,302,753 | |||||||||||||||
Swap contracts | 96,770,228 | 119,494,830 | (38,526,797 | ) | 8,807,764 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 96,770,228 | 152,524,594 | (38,526,797 | ) | 10,110,517 | ||||||||||||||
Net realized and unrealized gain (loss) | 47,418,913 | 203,149,447 | (164,248,516 | ) | 15,383,293 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 55,124,305 | $ | 211,054,892 | $ | (161,804,008 | ) | $ | 15,673,633 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
94
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 | $ | 77,430 | $ | — | $ | 112,108 | $ | 163,553 | |||||||||||
Interest income | 1,855,952 | 719,951 | 177,823 | 350,618 | |||||||||||||||
Securities lending income | — | — | 24,563 | — | |||||||||||||||
Total investment income | 1,933,382 | 719,951 | 314,494 | 514,171 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 330,764 | 122,926 | 57,036 | 111,087 | |||||||||||||||
Interest expense | 100,667 | 83,608 | 55,330 | 44,896 | |||||||||||||||
Licensing fees | 44,105 | 33,472 | 3,042 | 11,849 | |||||||||||||||
Fund servicing fees | 16,880 | 6,641 | 3,322 | 6,004 | |||||||||||||||
Management service fees (Note 6) | 10,938 | 4,067 | 1,886 | 3,674 | |||||||||||||||
Professional fees | 8,495 | 6,295 | 5,569 | 6,149 | |||||||||||||||
Reports to shareholders | 6,187 | 2,338 | 1,067 | 2,081 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Trustees' fees and expenses | 1,120 | 446 | 194 | 382 | |||||||||||||||
Insurance fees | 992 | 375 | 171 | 334 | |||||||||||||||
Excise tax | — | — | — | 3,630 | |||||||||||||||
Other | 1,161 | 366 | 180 | 381 | |||||||||||||||
Total Expenses | 526,982 | 266,207 | 133,470 | 196,140 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 22 | — | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (7,368 | ) | (26,892 | ) | (5,894 | ) | (6,904 | ) | |||||||||||
Net Expenses | 519,636 | 239,315 | 127,576 | 189,236 | |||||||||||||||
Net investment income | 1,413,746 | 480,636 | 186,918 | 324,935 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | 97,078 | — | (38,369 | ) | (441,189 | ) | |||||||||||||
In-kind redemptions | 131,905 | — | — | 1,088,176 | |||||||||||||||
Swap contracts | (1,480,089 | ) | (7,018,375 | ) | 3,063,982 | 4,708,306 | |||||||||||||
Net realized gain (loss) | (1,251,106 | ) | (7,018,375 | ) | 3,025,613 | 5,355,293 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 179,537 | — | 1,123,607 | 741,609 | |||||||||||||||
Swap contracts | 17,869,505 | (13,995,163 | ) | 3,144,382 | 1,342,809 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 18,049,042 | (13,995,163 | ) | 4,267,989 | 2,084,418 | ||||||||||||||
Net realized and unrealized gain (loss) | 16,797,936 | (21,013,538 | ) | 7,293,602 | 7,439,711 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 18,211,682 | $ | (20,532,902 | ) | $ | 7,480,520 | $ | 7,764,646 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
95
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 867,878 | $ | 114,928 | $ | 115,067 | $ | — | |||||||||||
Interest income | 1,372,836 | 151,714 | 908,327 | 1,004,163 | |||||||||||||||
Securities lending income | 421 | — | — | — | |||||||||||||||
Total investment income | 2,241,135 | 266,642 | 1,023,394 | 1,004,163 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 708,697 | 91,257 | 468,355 | 180,830 | |||||||||||||||
Interest expense | 322,038 | 22,620 | 149,064 | 195,323 | |||||||||||||||
Licensing fees | 75,593 | 9,329 | 49,958 | 19,289 | |||||||||||||||
Fund servicing fees | 35,774 | 5,020 | 23,709 | 9,528 | |||||||||||||||
Management service fees (Note 6) | 23,442 | 3,018 | 15,488 | 5,983 | |||||||||||||||
Reports to shareholders | 13,371 | 1,709 | 8,769 | 3,432 | |||||||||||||||
Professional fees | 12,600 | 5,936 | 9,970 | 6,920 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Trustees' fees and expenses | 2,495 | 314 | 1,608 | 652 | |||||||||||||||
Insurance fees | 2,144 | 274 | 1,406 | 550 | |||||||||||||||
Other | 2,428 | 387 | 1,572 | 433 | |||||||||||||||
Total Expenses | 1,204,255 | 145,537 | 735,572 | 428,613 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | 6,968 | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (7,324 | ) | (225 | ) | (4,238 | ) | ||||||||||||
Net Expenses | 1,204,255 | 138,213 | 742,315 | 424,375 | |||||||||||||||
Net investment income | 1,036,880 | 128,429 | 281,079 | 579,788 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (746,232 | ) | (2,293,595 | ) | (12,055,673 | ) | — | ||||||||||||
In-kind redemptions | 7,539,491 | 386,198 | 7,289,580 | — | |||||||||||||||
Swap contracts | 47,501,974 | (3,267,862 | ) | (13,360,531 | ) | 35,826 | |||||||||||||
Net realized gain (loss) | 54,295,233 | (5,175,259 | ) | (18,126,624 | ) | 35,826 | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,502,604 | 1,863,058 | 9,707,164 | — | |||||||||||||||
Swap contracts | (35,475,793 | ) | 2,437,055 | 26,324,423 | (20,239,669 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (33,973,189 | ) | 4,300,113 | 36,031,587 | (20,239,669 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 20,322,044 | (875,146 | ) | 17,904,963 | (20,203,843 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 21,358,924 | $ | (746,717 | ) | $ | 18,186,042 | $ | (19,624,055 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
96
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 | $ | 13,852,199 | $ | — | $ | 1,179,459 | $ | 642,652 | |||||||||||
Interest income | 13,839,331 | 3,964,866 | 1,356,707 | 1,035,125 | |||||||||||||||
Securities lending income | 659 | — | — | 43 | |||||||||||||||
Total investment income | 27,692,189 | 3,964,866 | 2,536,166 | 1,677,820 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 6,968,697 | 680,164 | 726,545 | 585,632 | |||||||||||||||
Interest expense | 2,388,865 | 223,710 | 115,543 | 401,466 | |||||||||||||||
Licensing fees | 582,730 | 56,953 | 62,906 | 62,467 | |||||||||||||||
Fund servicing fees | 347,190 | 34,383 | 36,673 | 29,525 | |||||||||||||||
Management service fees (Note 6) | 230,504 | 22,500 | 24,033 | 19,367 | |||||||||||||||
Excise tax | 207,837 | 265 | — | — | |||||||||||||||
Reports to shareholders | 131,341 | 12,852 | 13,715 | 10,966 | |||||||||||||||
Professional fees | 80,011 | 12,303 | 12,796 | 11,226 | |||||||||||||||
Trustees' fees and expenses | 24,573 | 2,401 | 2,574 | 2,000 | |||||||||||||||
Insurance fees | 21,058 | 2,060 | 2,199 | 1,758 | |||||||||||||||
Exchange listing fees | 3,595 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Other | 25,484 | 1,879 | 2,440 | 2,453 | |||||||||||||||
Total Expenses | 11,014,861 | 1,055,143 | 1,005,097 | 1,132,533 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 26,836 | 8,520 | 301 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | — | (100 | ) | (301 | ) | |||||||||||||
Less: Investment advisory fees waived (Note 6) | (92,663 | ) | — | — | — | ||||||||||||||
Net Expenses | 10,922,198 | 1,081,978 | 1,013,517 | 1,132,533 | |||||||||||||||
Net investment income | 16,769,991 | 2,882,888 | 1,522,649 | 545,287 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (100,018,098 | ) | — | (3,289,051 | ) | (533,411 | ) | ||||||||||||
In-kind redemptions | 46,369,711 | — | 2,497,072 | 8,470,533 | |||||||||||||||
Swap contracts | 101,748,143 | (37,012,674 | ) | 16,347,305 | 52,647,436 | ||||||||||||||
Net realized gain (loss) | 48,099,756 | (37,012,674 | ) | 15,555,326 | 60,584,558 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 6,025,943 | — | 1,010,996 | 22,900,330 | |||||||||||||||
Swap contracts | (245,034,259 | ) | 44,822,852 | (23,576,890 | ) | 35,871,318 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (239,008,316 | ) | 44,822,852 | (22,565,894 | ) | 58,771,648 | |||||||||||||
Net realized and unrealized gain (loss) | (190,908,560 | ) | 7,810,178 | (7,010,568 | ) | 119,356,206 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (174,138,569 | ) | $ | 10,693,066 | $ | (5,487,919 | ) | $ | 119,901,493 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
97
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
Direxion Daily Industrials Bull 3X Shares | Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Direxion Daily Real Estate Bull 3X Shares | Direxion Daily Real Estate Bear 3X Shares | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income | $ | 139,482 | $ | 36,766 | $ | 636,351 | $ | — | |||||||||||
Interest income | 166,152 | 76,450 | 324,502 | 3,986,895 | |||||||||||||||
Securities lending income | — | 4,919 | — | — | |||||||||||||||
Total investment income | 305,634 | 118,135 | 960,853 | 3,986,895 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 86,838 | 37,633 | 183,543 | 679,878 | |||||||||||||||
Interest expense | 22,993 | 6,056 | 77,338 | 302,172 | |||||||||||||||
Licensing fees | 8,962 | 9,917 | 15,350 | 56,938 | |||||||||||||||
Professional fees | 5,895 | 5,365 | 6,929 | 12,320 | |||||||||||||||
Fund servicing fees | 4,817 | 2,369 | 9,608 | 34,421 | |||||||||||||||
Pricing fees | 2,975 | 2,976 | 2,976 | 2,975 | |||||||||||||||
Management service fees (Note 6) | 2,872 | 1,245 | 6,070 | 22,492 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Reports to shareholders | 1,637 | 710 | 3,447 | 12,881 | |||||||||||||||
Trustees' fees and expenses | 306 | 133 | 636 | 2,415 | |||||||||||||||
Insurance fees | 262 | 114 | 553 | 2,065 | |||||||||||||||
Excise tax | — | 302 | — | 11,703 | |||||||||||||||
Other | 336 | 163 | 826 | 1,630 | |||||||||||||||
Total Expenses | 140,590 | 69,680 | 309,973 | 1,144,587 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | — | 894 | 30,466 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (7,603 | ) | (15,655 | ) | (1,042 | ) | — | ||||||||||||
Net Expenses | 132,987 | 54,025 | 309,825 | 1,175,053 | |||||||||||||||
Net investment income | 172,647 | 64,110 | 651,028 | 2,811,842 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (188,340 | ) | (345,957 | ) | (3,421,682 | ) | — | ||||||||||||
In-kind redemptions | 422,736 | 70,080 | 779,013 | — | |||||||||||||||
Swap contracts | 3,756,835 | (422,719 | ) | 5,345,712 | (52,749,826 | ) | |||||||||||||
Net realized gain (loss) | 3,991,231 | (698,596 | ) | 2,703,043 | (52,749,826 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 548,370 | 245,337 | 2,304,395 | — | |||||||||||||||
Swap contracts | (2,509,820 | ) | (744,797 | ) | (5,183,394 | ) | 8,572,417 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,961,450 | ) | (499,460 | ) | (2,878,999 | ) | 8,572,417 | ||||||||||||
Net realized and unrealized gain (loss) | 2,029,781 | (1,198,056 | ) | (175,956 | ) | (44,177,409 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 2,202,428 | $ | (1,133,946 | ) | $ | 475,072 | $ | (41,365,567 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
98
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income (net of foreign withholding tax of $8,340, $—, $820 and $—, respectively) | $ | 1,794,528 | $ | 304,511 | $ | 214,568 | $ | — | |||||||||||
Interest income | 1,779,960 | 299,564 | 358,373 | 1,460,417 | |||||||||||||||
Securities lending income | 18,081 | 80,736 | 90 | — | |||||||||||||||
Total investment income | 3,592,569 | 684,811 | 573,031 | 1,460,417 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 812,130 | 186,943 | 256,795 | 246,369 | |||||||||||||||
Interest expense | 177,484 | 72,572 | 144,512 | 170,973 | |||||||||||||||
Licensing fees | 43,711 | 10,525 | 27,392 | 26,280 | |||||||||||||||
Fund servicing fees | 40,659 | 9,782 | 13,242 | 12,794 | |||||||||||||||
Management service fees (Note 6) | 26,854 | 6,183 | 8,493 | 8,151 | |||||||||||||||
Reports to shareholders | 15,147 | 3,514 | 4,820 | 4,670 | |||||||||||||||
Professional fees | 13,615 | 6,967 | 7,714 | 7,628 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Trustees' fees and expenses | 2,757 | 655 | 894 | 877 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Insurance fees | 2,428 | 563 | 773 | 749 | |||||||||||||||
Excise tax | — | 2,616 | — | 4,278 | |||||||||||||||
Other | 3,160 | 804 | 908 | 639 | |||||||||||||||
Total Expenses | 1,143,618 | 306,797 | 471,216 | 489,081 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 1,851 | 399 | 10 | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (16 | ) | (1,830 | ) | (1,772 | ) | ||||||||||||
Net Expenses | 1,143,616 | 308,632 | 469,785 | 487,319 | |||||||||||||||
Net investment income | 2,448,953 | 376,179 | 103,246 | 973,098 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (51,117,679 | ) | (5,481,148 | ) | (4,619,529 | ) | — | ||||||||||||
In-kind redemptions | 3,295,699 | 2,670,271 | 4,047,160 | — | |||||||||||||||
Swap contracts | (101,369,607 | ) | 1,267,004 | 9,706,773 | (25,181,814 | ) | |||||||||||||
Net realized gain (loss) | (149,191,587 | ) | (1,543,873 | ) | 9,134,404 | (25,181,814 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 3,802,648 | 912,108 | 3,248,416 | — | |||||||||||||||
Swap contracts | (63,974,195 | ) | (8,127,333 | ) | (7,012,840 | ) | (2,045,506 | ) | |||||||||||
Change in net unrealized depreciation | (60,171,547 | ) | (7,215,225 | ) | (3,764,424 | ) | (2,045,506 | ) | |||||||||||
Net realized and unrealized gain (loss) | (209,363,134 | ) | (8,759,098 | ) | 5,369,980 | (27,227,320 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (206,914,181 | ) | $ | (8,382,919 | ) | $ | 5,473,226 | $ | (26,254,222 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
99
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 (net of foreign withholding tax of $—, $—, $612,903 and $—, respectively) | $ | 3,595,583 | $ | — | $ | 22,535,460 | $ | — | |||||||||||
Interest income | 6,775,026 | 2,748,457 | 27,684,696 | 29,906,897 | |||||||||||||||
Securities lending income | 181,103 | — | 91,336 | — | |||||||||||||||
Total investment income | 10,551,712 | 2,748,457 | 50,311,492 | 29,906,897 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 3,757,318 | 459,568 | 17,327,861 | 4,733,961 | |||||||||||||||
Interest expense | 1,610,606 | 307,451 | 11,888,262 | 1,672,127 | |||||||||||||||
Licensing fees | 400,781 | 49,021 | 693,115 | 189,359 | |||||||||||||||
Fund servicing fees | 187,545 | 23,435 | 1,476,479 | 235,065 | |||||||||||||||
Management service fees (Note 6) | 124,285 | 15,204 | 573,025 | 156,549 | |||||||||||||||
Reports to shareholders | 70,895 | 8,712 | 324,340 | 88,596 | |||||||||||||||
Professional fees | 45,471 | 9,937 | 190,296 | 55,586 | |||||||||||||||
Trustees' fees and expenses | 13,213 | 1,648 | 59,466 | 15,903 | |||||||||||||||
Insurance fees | 11,367 | 1,397 | 52,001 | 14,205 | |||||||||||||||
Exchange listing fees | 3,595 | 2,697 | 5,392 | 3,595 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Excise tax | — | 8,573 | 90,507 | 82,606 | |||||||||||||||
Other | 11,266 | 1,174 | 55,307 | 11,353 | |||||||||||||||
Total Expenses | 6,239,318 | 891,793 | 32,739,027 | 7,261,881 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 6,365 | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | (8 | ) | — | — | ||||||||||||||
Less: Investment advisory fees waived (Note 6) | — | — | (2,879,784 | ) | — | ||||||||||||||
Net Expenses | 6,239,317 | 898,150 | 29,859,243 | 7,261,880 | |||||||||||||||
Net investment income | 4,312,395 | 1,850,307 | 20,452,249 | 22,645,017 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (106,810,803 | ) | — | (145,057,113 | ) | — | |||||||||||||
In-kind redemptions | 102,512,577 | — | 362,423,316 | — | |||||||||||||||
Swap contracts | (70,555,703 | ) | (10,455,969 | ) | 133,575,723 | (797,699,792 | ) | ||||||||||||
Net realized gain (loss) | (74,853,929 | ) | (10,455,969 | ) | 350,941,926 | (797,699,792 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 652,771 | — | 407,971,994 | — | |||||||||||||||
Swap contracts | (95,330,666 | ) | 10,652,127 | 1,400,854,068 | (77,065,525 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (94,677,895 | ) | 10,652,127 | 1,808,826,062 | (77,065,525 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (169,531,824 | ) | 196,158 | 2,159,767,988 | (874,765,317 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (165,219,429 | ) | $ | 2,046,465 | $ | 2,180,220,237 | $ | (852,120,300 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
100
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 (net of foreign withholding tax of $8,391, $—, $— and $—, respectively) | $ | 5,764,479 | $ | — | $ | 142,095 | $ | 179,044 | |||||||||||
Interest income | 10,056,311 | 3,520,276 | 191,080 | 141,288 | |||||||||||||||
Securities lending income | — | — | 46 | — | |||||||||||||||
Total investment income | 15,820,790 | 3,520,276 | 333,221 | 320,332 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 5,537,652 | 592,282 | 94,395 | 65,892 | |||||||||||||||
Interest expense | 1,927,903 | 467,330 | 20,524 | 13,169 | |||||||||||||||
Licensing fees | 463,146 | 49,604 | 10,412 | 7,212 | |||||||||||||||
Fund servicing fees | 274,952 | 30,038 | 5,186 | 3,783 | |||||||||||||||
Management service fees (Note 6) | 183,129 | 19,594 | 3,122 | 2,180 | |||||||||||||||
Reports to shareholders | 103,679 | 11,214 | 1,775 | 1,248 | |||||||||||||||
Professional fees | 64,204 | 11,367 | 5,974 | 5,672 | |||||||||||||||
Trustees' fees and expenses | 19,054 | 2,089 | 330 | 238 | |||||||||||||||
Insurance fees | 16,623 | 1,798 | 285 | 200 | |||||||||||||||
Exchange listing fees | 3,595 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Pricing fees | 2,976 | 2,976 | 2,976 | 2,976 | |||||||||||||||
Excise tax | — | 12,698 | 2,759 | — | |||||||||||||||
Other | 22,753 | 1,495 | 425 | 238 | |||||||||||||||
Total Expenses | 8,619,666 | 1,205,182 | 150,860 | 105,505 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | — | 25,069 | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | — | — | (8,010 | ) | (8,872 | ) | |||||||||||||
Less: Investment advisory fees waived (Note 6) | (9,965 | ) | — | — | — | ||||||||||||||
Net Expenses | 8,609,701 | 1,230,251 | 142,850 | 96,633 | |||||||||||||||
Net investment income | 7,211,089 | 2,290,025 | 190,371 | 223,699 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (13,623,001 | ) | — | (1,102,152 | ) | (320,302 | ) | ||||||||||||
In-kind redemptions | 32,093,986 | — | 126,545 | 1,190,385 | |||||||||||||||
Swap contracts | (111,011,790 | ) | (30,738,392 | ) | (1,268,190 | ) | 1,882,380 | ||||||||||||
Net realized gain (loss) | (92,540,805 | ) | (30,738,392 | ) | (2,243,797 | ) | 2,752,463 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 143,359,477 | — | 1,347,128 | (139,477 | ) | ||||||||||||||
Swap contracts | 501,333,943 | (67,514,115 | ) | 1,090,636 | (338,855 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 644,693,420 | (67,514,115 | ) | 2,437,764 | (478,332 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 552,152,615 | (98,252,507 | ) | 193,967 | 2,274,131 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 559,363,704 | $ | (95,962,482 | ) | $ | 384,338 | $ | 2,497,830 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
101
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2023
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 | $ | 246,860 | $ | — | $ | 8,632,072 | $ | — | |||||||||||
Interest income | 161,433 | 703,489 | 8,242,606 | 10,062,138 | |||||||||||||||
Securities lending income | 671 | — | 495 | — | |||||||||||||||
Total investment income | 408,964 | 703,489 | 16,875,173 | 10,062,138 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees (Note 6) | 101,997 | 125,313 | 3,599,854 | 1,785,986 | |||||||||||||||
Professional fees | 6,054 | 6,323 | 43,264 | 24,296 | |||||||||||||||
Fund servicing fees | 5,561 | 6,767 | 178,359 | 89,618 | |||||||||||||||
Licensing fees | 5,007 | 5,378 | 143,995 | 71,440 | |||||||||||||||
Interest expense | 4,331 | 48,726 | 237,294 | 1,282,497 | |||||||||||||||
Management service fees (Note 6) | 3,373 | 4,146 | 119,026 | 59,085 | |||||||||||||||
Pricing fees | 2,976 | 2,975 | 2,976 | 2,976 | |||||||||||||||
Exchange listing fees | 2,697 | 2,697 | 2,697 | 2,697 | |||||||||||||||
Reports to shareholders | 1,917 | 2,386 | 67,033 | 33,839 | |||||||||||||||
Excise tax | 574 | 39 | 23,583 | 11,620 | |||||||||||||||
Trustees' fees and expenses | 353 | 457 | 11,912 | 6,382 | |||||||||||||||
Insurance fees | 307 | 383 | 10,747 | 5,425 | |||||||||||||||
Other | 305 | 370 | 9,827 | 5,047 | |||||||||||||||
Total Expenses | 135,452 | 205,960 | 4,450,567 | 3,380,908 | |||||||||||||||
Recoupment of expenses to Adviser (Note 6) | 671 | 1,820 | — | — | |||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) | (2,021 | ) | (285 | ) | — | — | |||||||||||||
Less: Investment advisory fees waived (Note 6) | — | — | (984 | ) | — | ||||||||||||||
Net Expenses | 134,102 | 207,495 | 4,449,583 | 3,380,907 | |||||||||||||||
Net investment income | 274,862 | 495,994 | 12,425,590 | 6,681,231 | |||||||||||||||
Net realized and unrealized gain (loss) on investments: | |||||||||||||||||||
Net realized gain (loss) on: Investment securities | (624,135 | ) | — | (21,737,490 | ) | — | |||||||||||||
In-kind redemptions | — | — | 6,858,066 | — | |||||||||||||||
Swap contracts | (2,627,534 | ) | (196,078 | ) | (82,065,311 | ) | (87,636,249 | ) | |||||||||||
Net realized loss | (3,251,669 | ) | (196,078 | ) | (96,944,735 | ) | (87,636,249 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,726,840 | — | 58,990,495 | — | |||||||||||||||
Swap contracts | 5,064,335 | (6,983,544 | ) | 212,032,651 | (132,115,871 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 6,791,175 | (6,983,544 | ) | 271,023,146 | (132,115,871 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 3,539,506 | (7,179,622 | ) | 174,078,411 | (219,752,120 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,814,368 | $ | (6,683,628 | ) | $ | 186,504,001 | $ | (213,070,889 | ) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
102
Statements of Changes in Net Assets
Direxion Daily Mid Cap Bull 3X Shares | Direxion Daily S&P 500® Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 322,415 | $ | 197,964 | $ | 17,548,605 | $ | 6,620,057 | |||||||||||
Net realized gain (loss) | 3,336,884 | (12,168,044 | ) | 107,271,530 | (713,784,752 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (4,882,800 | ) | (28,211,169 | ) | 282,404,384 | (926,143,940 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,223,501 | ) | (40,181,249 | ) | 407,224,519 | (1,633,308,635 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (188,084 | ) | — | (14,449,674 | ) | (5,786,419 | ) | ||||||||||||
Total distributions | (188,084 | ) | — | (14,449,674 | ) | (5,786,419 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 9,403,934 | 15,988,184 | 8,371,954,779 | 5,901,080,779 | |||||||||||||||
Cost of shares redeemed | (7,497,514 | ) | (18,593,897 | ) | (8,570,131,878 | ) | (5,065,561,898 | ) | |||||||||||
Transaction fees (Note 4) | 1,674 | 3,395 | 2,458,898 | 1,453,652 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,908,094 | (2,602,318 | ) | (195,718,201 | ) | 836,972,533 | |||||||||||||
Total increase (decrease) in net assets | 496,509 | (42,783,567 | ) | 197,056,644 | (802,122,521 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 47,800,608 | 90,584,175 | 2,546,627,715 | 3,348,750,236 | |||||||||||||||
End of year/period | $ | 48,297,117 | $ | 47,800,608 | $ | 2,743,684,359 | $ | 2,546,627,715 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,300,132 | 1,350,132 | 38,600,002 | 25,700,002 | |||||||||||||||
Shares sold | 250,000 | 300,000 | 121,450,000 | 70,600,000 | |||||||||||||||
Shares repurchased | (200,000 | ) | (350,000 | ) | (123,850,000 | ) | (57,700,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,350,132 | 1,300,132 | 36,200,002 | 38,600,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
103
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bear 3X Shares | Direxion Daily Small Cap Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 14,661,469 | $ | 1,096,956 | $ | 7,999,339 | $ | 3,032,831 | |||||||||||
Net realized loss | (171,125,676 | ) | (1,820,867 | ) | (44,434,008 | ) | (1,095,460,021 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (107,242,661 | ) | 157,306,258 | (167,178,086 | ) | (35,224,542 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (263,706,868 | ) | 156,582,347 | (203,612,755 | ) | (1,127,651,732 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (10,762,794 | ) | — | (4,641,815 | ) | (1,367,545 | ) | ||||||||||||
Total distributions | (10,762,794 | ) | — | (4,641,815 | ) | (1,367,545 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 4,684,998,262 | 2,964,867,622 | 1,151,742,708 | 3,879,258,584 | |||||||||||||||
Cost of shares redeemed | (4,168,867,596 | ) | (2,622,881,335 | ) | (1,026,478,256 | ) | (3,033,085,709 | ) | |||||||||||
Transaction fees (Note 4) | 1,250,660 | 785,779 | 279,599 | 790,344 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 517,381,326 | 342,772,066 | 125,544,051 | 846,963,219 | |||||||||||||||
Total increase (decrease) in net assets | 242,911,664 | 499,354,413 | (82,710,519 | ) | (282,056,058 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 887,711,032 | 388,356,619 | 1,217,462,801 | 1,499,518,859 | |||||||||||||||
End of year/period | $ | 1,130,622,696 | $ | 887,711,032 | $ | 1,134,752,282 | $ | 1,217,462,801 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 39,176,918 | 20,676,918 | 31,800,002 | 16,100,002 | |||||||||||||||
Shares sold | 240,200,000 | 130,200,000 | 34,650,000 | 68,400,000 | |||||||||||||||
Shares repurchased | (213,000,000 | ) | (111,700,000 | ) | (28,750,000 | ) | (52,700,000 | ) | |||||||||||
Shares outstanding, end of year/period | 66,376,918 | 39,176,918 | 37,700,002 | 31,800,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
104
Statements of Changes in Net Assets
Direxion Daily Small Cap Bear 3X Shares | Direxion Daily FTSE China Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 7,705,392 | $ | 182,640 | $ | 7,905,445 | $ | 3,525,681 | |||||||||||
Net realized gain (loss) | (49,351,315 | ) | 111,315,116 | 50,624,853 | (708,349,811 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 96,770,228 | 35,918,628 | 152,524,594 | (127,503,386 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 55,124,305 | 147,416,384 | 211,054,892 | (832,327,516 | ) | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (5,993,352 | ) | — | (7,440,434 | ) | (1,246,902 | ) | ||||||||||||
Total distributions | (5,993,352 | ) | — | (7,440,434 | ) | (1,246,902 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,310,855,116 | 2,072,458,147 | 351,069,439 | 938,956,467 | |||||||||||||||
Cost of shares redeemed | (1,422,667,745 | ) | (2,178,146,093 | ) | (193,119,390 | ) | (370,386,970 | ) | |||||||||||
Transaction fees (Note 4) | 426,800 | 653,444 | 41,519 | 74,418 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (111,385,829 | ) | (105,034,502 | ) | 157,991,568 | 568,643,915 | |||||||||||||
Total increase (decrease) in net assets | (62,254,876 | ) | 42,381,882 | 361,606,026 | (264,930,503 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 547,165,165 | 504,783,283 | 217,357,242 | 482,287,745 | |||||||||||||||
End of year/period | $ | 484,910,289 | $ | 547,165,165 | $ | 578,963,268 | $ | 217,357,242 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 16,922,797 | 18,772,797 | 10,892,767 | 2,155,001 | |||||||||||||||
Shares sold | 42,750,000 | 60,600,000 | 7,450,000 | 13,580,000 | |||||||||||||||
Shares repurchased | (44,900,000 | ) | (62,450,000 | ) | (4,200,000 | ) | (4,842,234 | ) | |||||||||||
Shares outstanding, end of year/period | 14,772,797 | 16,922,797 | 14,142,767 | 10,892,767 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
105
Statements of Changes in Net Assets
Direxion Daily FTSE China Bear 3X Shares | Direxion Daily FTSE Europe Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 2,444,508 | $ | 88,588 | $ | 290,340 | $ | 331,159 | |||||||||||
Net realized gain (loss) | (125,721,719 | ) | 68,000,459 | 5,272,776 | (15,944,028 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (38,526,797 | ) | 61,784,025 | 10,110,517 | (12,282,624 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (161,804,008 | ) | 129,873,072 | 15,673,633 | (27,895,493 | ) | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,999,539 | ) | — | (191,688 | ) | (316,935 | ) | ||||||||||||
Total distributions | (1,999,539 | ) | — | (191,688 | ) | (316,935 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 541,699,613 | 486,188,664 | 10,268,079 | 19,998,922 | |||||||||||||||
Cost of shares redeemed | (412,218,527 | ) | (513,549,364 | ) | (7,609,425 | ) | (21,749,479 | ) | |||||||||||
Transaction fees (Note 4) | 123,666 | 205,413 | 1,522 | 4,350 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 129,604,752 | (27,155,287 | ) | 2,660,176 | (1,746,207 | ) | |||||||||||||
Total increase (decrease) in net assets | (34,198,795 | ) | 102,717,785 | 18,142,121 | (29,958,635 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 168,948,054 | 66,230,269 | 17,965,188 | 47,923,823 | |||||||||||||||
End of year/period | $ | 134,749,259 | $ | 168,948,054 | $ | 36,107,309 | $ | 17,965,188 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 4,427,337 | 3,927,337 | 1,400,001 | 1,250,001 | |||||||||||||||
Shares sold | 50,300,000 | 30,550,000 | 500,000 | 1,000,000 | |||||||||||||||
Shares repurchased | (41,850,000 | ) | (30,050,000 | ) | (400,000 | ) | (850,000 | ) | |||||||||||
Shares outstanding, end of year/period | 12,877,337 | 4,427,337 | 1,500,001 | 1,400,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
106
Statements of Changes in Net Assets
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Direxion Daily MSCI Emerging Markets Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,413,746 | $ | 803,533 | $ | 480,636 | $ | (194 | ) | ||||||||||
Net realized gain (loss) | (1,251,106 | ) | (124,088,995 | ) | (7,018,375 | ) | 21,149,834 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 18,049,042 | (6,189,460 | ) | (13,995,163 | ) | 12,129,823 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 18,211,682 | (129,474,922 | ) | (20,532,902 | ) | 33,279,463 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,028,045 | ) | — | (356,944 | ) | — | |||||||||||||
Total distributions | (1,028,045 | ) | — | (356,944 | ) | — | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 47,037,951 | 84,616,572 | 9,850,949 | 60,339,424 | |||||||||||||||
Cost of shares redeemed | (25,269,685 | ) | (74,971,504 | ) | (14,076,094 | ) | (63,788,096 | ) | |||||||||||
Transaction fees (Note 4) | 5,250 | 15,888 | 4,223 | 31,918 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 21,773,516 | 9,660,956 | (4,220,922 | ) | (3,416,754 | ) | |||||||||||||
Total increase (decrease) in net assets | 38,957,153 | (119,813,966 | ) | (25,110,768 | ) | 29,862,709 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 49,367,063 | 169,181,029 | 56,453,163 | 26,590,454 | |||||||||||||||
End of year/period | $ | 88,324,216 | $ | 49,367,063 | $ | 31,342,395 | $ | 56,453,163 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,281,598 | 2,081,598 | 2,695,232 | 2,945,232 | |||||||||||||||
Shares sold | 1,450,000 | 1,700,000 | 750,000 | 4,350,000 | |||||||||||||||
Shares repurchased | (800,000 | ) | (1,500,000 | ) | (1,000,000 | ) | (4,600,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,931,598 | 2,281,598 | 2,445,232 | 2,695,232 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
107
Statements of Changes in Net Assets
Direxion Daily MSCI Mexico Bull 3X Shares | Direxion Daily MSCI South Korea Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 186,918 | $ | 158,185 | $ | 324,935 | $ | 227,711 | |||||||||||
Net realized gain (loss) | 3,025,613 | 2,635,316 | 5,355,293 | (38,741,856 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 4,267,989 | (2,364,795 | ) | 2,084,418 | 3,845,839 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 7,480,520 | 428,706 | 7,764,646 | (34,668,306 | ) | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (163,712 | ) | (148,179 | ) | (279,431 | ) | (227,711 | ) | |||||||||||
Return of capital | — | — | — | (87,142 | ) | ||||||||||||||
Total distributions | (163,712 | ) | (148,179 | ) | (279,431 | ) | (314,853 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | — | 3,561,223 | 7,276,731 | 42,506,823 | |||||||||||||||
Cost of shares redeemed | — | (7,418,820 | ) | (7,171,292 | ) | (34,458,616 | ) | ||||||||||||
Transaction fees (Note 4) | — | 1,483 | 1,477 | 6,958 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | — | (3,856,114 | ) | 106,916 | 8,055,165 | ||||||||||||||
Total increase (decrease) in net assets | 7,316,808 | (3,575,587 | ) | 7,592,131 | (26,927,994 | ) | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 11,649,618 | 15,225,205 | 20,093,899 | 47,021,893 | |||||||||||||||
End of year/period | $ | 18,966,426 | $ | 11,649,618 | $ | 27,686,030 | $ | 20,093,899 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 133,205 | 183,205 | 3,350,001 | 1,800,001 | |||||||||||||||
Shares sold | — | 50,000 | 800,000 | 3,450,000 | |||||||||||||||
Shares repurchased | — | (100,000 | ) | (850,000 | ) | (1,900,000 | ) | ||||||||||||
Shares outstanding, end of year/period | 133,205 | 133,205 | 3,300,001 | 3,350,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
108
Statements of Changes in Net Assets
Direxion Daily Aerospace & Defense Bull 3X Shares | Direxion Daily Consumer Discretionary Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,036,880 | $ | 448,982 | $ | 128,429 | $ | (100,922 | ) | ||||||||||
Net realized gain (loss) | 54,295,233 | (25,295,357 | ) | (5,175,259 | ) | (30,238,947 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (33,973,189 | ) | 14,263,833 | 4,300,113 | (21,136,117 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 21,358,924 | (10,582,542 | ) | (746,717 | ) | (51,475,986 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (908,259 | ) | (5,900,582 | ) | (53,136 | ) | — | ||||||||||||
Total distributions | (908,259 | ) | (5,900,582 | ) | (53,136 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 15,978,308 | 124,137,695 | 5,675,999 | 33,900,420 | |||||||||||||||
Cost of shares redeemed | (62,315,120 | ) | (193,807,810 | ) | (2,972,946 | ) | (13,037,902 | ) | |||||||||||
Transaction fees (Note 4) | 14,401 | 43,247 | 594 | 2,775 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (46,322,411 | ) | (69,626,868 | ) | 2,703,647 | 20,865,293 | |||||||||||||
Total increase (decrease) in net assets | (25,871,746 | ) | (86,109,992 | ) | 1,903,794 | (30,610,693 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 194,780,155 | 280,890,147 | 24,652,817 | 55,263,510 | |||||||||||||||
End of year/period | $ | 168,908,409 | $ | 194,780,155 | $ | 26,556,611 | $ | 24,652,817 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 10,750,001 | 13,650,001 | 1,050,001 | 600,001 | |||||||||||||||
Shares sold | 800,000 | 6,850,000 | 300,000 | 750,000 | |||||||||||||||
Shares repurchased | (3,100,000 | ) | (9,750,000 | ) | (150,000 | ) | (300,000 | ) | |||||||||||
Shares outstanding, end of year/period | 8,450,001 | 10,750,001 | 1,200,001 | 1,050,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
109
Statements of Changes in Net Assets
Direxion Daily Dow Jones Internet Bull 3X Shares | Direxion Daily Dow Jones Internet Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 281,079 | $ | (488,175 | ) | $ | 579,788 | $ | 163,010 | ||||||||||
Net realized gain (loss) | (18,126,624 | ) | (253,307,924 | ) | 35,826 | (5,074,902 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 36,031,587 | (42,716,872 | ) | (20,239,669 | ) | 20,263,013 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 18,186,042 | (296,512,971 | ) | (19,624,055 | ) | 15,351,121 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | — | (7,017,671 | ) | (423,337 | ) | (26,648 | ) | ||||||||||||
Total distributions | — | (7,017,671 | ) | (423,337 | ) | (26,648 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 80,058,586 | 402,775,715 | 76,950,933 | 180,515,545 | |||||||||||||||
Cost of shares redeemed | (73,534,263 | ) | (96,132,641 | ) | (68,485,563 | ) | (144,304,284 | ) | |||||||||||
Transaction fees (Note 4) | 16,091 | 19,522 | 20,546 | 43,291 | |||||||||||||||
Net increase in net assets resulting from capital transactions | 6,540,414 | 306,662,596 | 8,485,916 | 36,254,552 | |||||||||||||||
Total increase (decrease) in net assets | 24,726,456 | 3,131,954 | (11,561,476 | ) | 51,579,025 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 103,100,345 | 99,968,391 | 56,182,765 | 4,603,740 | |||||||||||||||
End of year/period | $ | 127,826,801 | $ | 103,100,345 | $ | 44,621,289 | $ | 56,182,765 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 14,300,001 | 1,150,001 | 1,469,952 | 319,952 | |||||||||||||||
Shares sold | 12,300,000 | 20,800,000 | 2,850,000 | 5,150,000 | |||||||||||||||
Shares repurchased | (10,400,000 | ) | (7,650,000 | ) | (2,200,000 | ) | (4,000,000 | ) | |||||||||||
Shares outstanding, end of year/period | 16,200,001 | 14,300,001 | 2,119,952 | 1,469,952 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
110
Statements of Changes in Net Assets
Direxion Daily Financial Bull 3X Shares | Direxion Daily Financial Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 16,769,991 | $ | 20,993,339 | $ | 2,882,888 | $ | 72,700 | |||||||||||
Net realized gain (loss) | 48,099,756 | (358,555,513 | ) | (37,012,674 | ) | 14,512,157 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (239,008,316 | ) | (1,336,880,880 | ) | 44,822,852 | 3,952,927 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (174,138,569 | ) | (1,674,443,054 | ) | 10,693,066 | 18,537,784 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (12,985,377 | ) | (19,073,316 | ) | (2,267,811 | ) | — | ||||||||||||
Total distributions | (12,985,377 | ) | (19,073,316 | ) | (2,267,811 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 571,576,355 | 1,546,073,426 | 245,368,622 | 559,923,134 | |||||||||||||||
Cost of shares redeemed | (521,992,926 | ) | (1,542,877,671 | ) | (277,520,530 | ) | (518,160,627 | ) | |||||||||||
Transaction fees (Note 4) | 122,031 | 383,657 | 83,256 | 155,449 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 49,705,460 | 3,579,412 | (32,068,652 | ) | 41,917,956 | ||||||||||||||
Total increase (decrease) in net assets | (137,418,486 | ) | (1,689,936,958 | ) | (23,643,397 | ) | 60,455,740 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 1,892,223,030 | 3,582,159,988 | 190,690,003 | 130,234,263 | |||||||||||||||
End of year/period | $ | 1,754,804,544 | $ | 1,892,223,030 | $ | 167,046,606 | $ | 190,690,003 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 25,699,289 | 24,799,289 | 9,303,350 | 7,103,350 | |||||||||||||||
Shares sold | 9,750,000 | 15,650,000 | 12,750,000 | 25,050,000 | |||||||||||||||
Shares repurchased | (7,400,000 | ) | (14,750,000 | ) | (13,750,000 | ) | (22,850,000 | ) | |||||||||||
Shares outstanding, end of year/period | 28,049,289 | 25,699,289 | 8,303,350 | 9,303,350 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
111
Statements of Changes in Net Assets
Direxion Daily Healthcare Bull 3X Shares | Direxion Daily Homebuilders & Supplies Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,522,649 | $ | 760,009 | $ | 545,287 | $ | (23,901 | ) | ||||||||||
Net realized gain (loss) | 15,555,326 | 23,094,065 | 60,584,558 | (65,511,947 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (22,565,894 | ) | (57,503,787 | ) | 58,771,648 | (132,743,393 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (5,487,919 | ) | (33,649,713 | ) | 119,901,493 | (198,279,241 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,168,280 | ) | (597,569 | ) | (584,353 | ) | — | ||||||||||||
Total distributions | (1,168,280 | ) | (597,569 | ) | (584,353 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 24,831,323 | 106,529,364 | 22,580,298 | 222,149,836 | |||||||||||||||
Cost of shares redeemed | (22,098,967 | ) | (130,393,496 | ) | (75,015,135 | ) | (275,864,016 | ) | |||||||||||
Transaction fees (Note 4) | 4,927 | 26,079 | 18,251 | 62,717 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 2,737,283 | (23,838,053 | ) | (52,416,586 | ) | (53,651,463 | ) | ||||||||||||
Total increase (decrease) in net assets | (3,918,916 | ) | (58,085,335 | ) | 66,900,554 | (251,930,704 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 196,030,295 | 254,115,630 | 131,144,691 | 383,075,395 | |||||||||||||||
End of year/period | $ | 192,111,379 | $ | 196,030,295 | $ | 198,045,245 | $ | 131,144,691 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,800,008 | 2,050,008 | 5,000,000 | 4,600,000 | |||||||||||||||
Shares sold | 250,000 | 900,000 | 600,000 | 4,850,000 | |||||||||||||||
Shares repurchased | (200,000 | ) | (1,150,000 | ) | (2,000,000 | ) | (4,450,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,850,008 | 1,800,008 | 3,600,000 | 5,000,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
112
Statements of Changes in Net Assets
Direxion Daily Industrials Bull 3X Shares | Direxion Daily Pharmaceutical & Medical Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 172,647 | $ | 105,061 | $ | 64,110 | $ | 43,717 | |||||||||||
Net realized gain (loss) | 3,991,231 | (1,191,547 | ) | (698,596 | ) | (6,497,162 | ) | ||||||||||||
Change in net unrealized (depreciation) | (1,961,450 | ) | (13,301,032 | ) | (499,460 | ) | (539,333 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 2,202,428 | (14,387,518 | ) | (1,133,946 | ) | (6,992,778 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (149,983 | ) | (94,102 | ) | (54,946 | ) | (36,713 | ) | |||||||||||
Total distributions | (149,983 | ) | (94,102 | ) | (54,946 | ) | (36,713 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 4,720,122 | 3,972,857 | — | 25,410,241 | |||||||||||||||
Cost of shares redeemed | (4,908,327 | ) | (34,145,073 | ) | (480,667 | ) | (38,908,274 | ) | |||||||||||
Transaction fees (Note 4) | 981 | 6,829 | 96 | 7,782 | |||||||||||||||
Net decrease in net assets resulting from capital transactions | (187,224 | ) | (30,165,387 | ) | (480,571 | ) | (13,490,251 | ) | |||||||||||
Total increase (decrease) in net assets | 1,865,221 | (44,647,007 | ) | (1,669,463 | ) | (20,519,742 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 18,872,913 | 63,519,920 | 11,173,023 | 31,692,765 | |||||||||||||||
End of year/period | $ | 20,738,134 | $ | 18,872,913 | $ | 9,503,560 | $ | 11,173,023 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 650,001 | 1,400,001 | 1,100,001 | 1,750,001 | |||||||||||||||
Shares sold | 150,000 | 100,000 | — | 1,750,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (850,000 | ) | (50,000 | ) | (2,400,000 | ) | |||||||||||
Shares outstanding, end of year/period | 650,001 | 650,001 | 1,050,001 | 1,100,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
113
Statements of Changes in Net Assets
Direxion Daily Real Estate Bull 3X Shares | Direxion Daily Real Estate Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 651,028 | $ | 1,162,344 | $ | 2,811,842 | $ | 520,977 | |||||||||||
Net realized gain (loss) | 2,703,043 | (136,809 | ) | (52,749,826 | ) | 24,704,385 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (2,878,999 | ) | (63,747,069 | ) | 8,572,417 | 5,287,833 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 475,072 | (62,721,534 | ) | (41,365,567 | ) | 30,513,195 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (529,296 | ) | (6,886,474 | ) | (2,158,041 | ) | — | ||||||||||||
Total distributions | (529,296 | ) | (6,886,474 | ) | (2,158,041 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 18,434,749 | 35,165,502 | 116,444,728 | 252,540,741 | |||||||||||||||
Cost of shares redeemed | (17,013,647 | ) | (66,006,865 | ) | (107,819,414 | ) | (97,576,159 | ) | |||||||||||
Transaction fees (Note 4) | 3,798 | 13,531 | 32,346 | 29,260 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,424,900 | (30,827,832 | ) | 8,657,660 | 154,993,842 | ||||||||||||||
Total increase (decrease) in net assets | 1,370,676 | (100,435,840 | ) | (34,865,948 | ) | 185,507,037 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 47,268,047 | 147,703,887 | 205,433,383 | 19,926,346 | |||||||||||||||
End of year/period | $ | 48,638,723 | $ | 47,268,047 | $ | 170,567,435 | $ | 205,433,383 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 4,800,000 | 5,650,000 | 3,384,045 | 485,144 | |||||||||||||||
Shares sold | 1,900,000 | 2,450,000 | 2,400,000 | 4,650,000 | |||||||||||||||
Shares repurchased | (1,700,000 | ) | (3,300,000 | ) | (2,150,000 | ) | (1,751,099 | ) | |||||||||||
Shares outstanding, end of year/period | 5,000,000 | 4,800,000 | 3,634,045 | 3,384,045 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
114
Statements of Changes in Net Assets
Direxion Daily Regional Banks Bull 3X Shares1 | Direxion Daily Retail Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 2,448,953 | $ | 3,002,792 | $ | 376,179 | $ | 583,026 | |||||||||||
Net realized (loss) | (149,191,587 | ) | (29,515,400 | ) | (1,543,873 | ) | (108,775,496 | ) | |||||||||||
Change in net unrealized (depreciation) | (60,171,547 | ) | (133,852,353 | ) | (7,215,225 | ) | (28,565,366 | ) | |||||||||||
Net decrease in net assets resulting from operations | (206,914,181 | ) | (160,364,961 | ) | (8,382,919 | ) | (136,757,836 | ) | |||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (1,721,266 | ) | (2,874,970 | ) | (272,893 | ) | (473,179 | ) | |||||||||||
Total distributions | (1,721,266 | ) | (2,874,970 | ) | (272,893 | ) | (473,179 | ) | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 577,224,347 | 256,508,930 | 19,811,005 | 137,251,024 | |||||||||||||||
Cost of shares redeemed | (169,399,709 | ) | (322,182,252 | ) | (16,984,160 | ) | (77,856,410 | ) | |||||||||||
Transaction fees (Note 4) | 37,104 | 69,762 | 3,673 | 17,045 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 407,861,742 | (65,603,560 | ) | 2,830,518 | 59,411,659 | ||||||||||||||
Total increase (decrease) in net assets | 199,226,295 | (228,843,491 | ) | (5,825,294 | ) | (77,819,356 | ) | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 212,432,563 | 441,276,054 | 51,019,624 | 128,838,980 | |||||||||||||||
End of year/period | $ | 411,658,858 | $ | 212,432,563 | $ | 45,194,330 | $ | 51,019,624 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 7,098,590 | 8,648,590 | 6,271,105 | 3,071,105 | |||||||||||||||
Shares sold | 70,500,000 | 5,800,000 | 2,550,000 | 7,500,000 | |||||||||||||||
Shares repurchased | (17,850,000 | ) | (7,350,000 | ) | (1,950,000 | ) | (4,300,000 | ) | |||||||||||
Shares outstanding, end of year/period | 59,748,590 | 7,098,590 | 6,871,105 | 6,271,105 |
1 Effective June 5, 2023, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
115
Statements of Changes in Net Assets
Direxion Daily S&P 500® High Beta Bull 3X Shares | Direxion Daily S&P 500® High Beta Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 103,246 | $ | (122,072 | ) | $ | 973,098 | $ | 57,673 | ||||||||||
Net realized gain (loss) | 9,134,404 | (27,568,719 | ) | (25,181,814 | ) | (11,036,973 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (3,764,424 | ) | (40,463,289 | ) | (2,045,506 | ) | 21,185,720 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,473,226 | (68,154,080 | ) | (26,254,222 | ) | 10,206,420 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (98,917 | ) | — | (736,494 | ) | — | |||||||||||||
Total distributions | (98,917 | ) | — | (736,494 | ) | — | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 30,908,872 | 128,760,161 | 91,805,684 | 168,513,712 | |||||||||||||||
Cost of shares redeemed | (41,936,208 | ) | (101,920,791 | ) | (66,701,147 | ) | (135,959,210 | ) | |||||||||||
Transaction fees (Note 4) | 9,064 | 20,511 | 20,010 | 40,788 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (11,018,272 | ) | 26,859,881 | 25,124,547 | 32,595,290 | ||||||||||||||
Total increase (decrease) in net assets | (5,643,963 | ) | (41,294,199 | ) | (1,866,169 | ) | 42,801,710 | ||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 69,234,565 | 110,528,764 | 66,427,676 | 23,625,966 | |||||||||||||||
End of year/period | $ | 63,590,602 | $ | 69,234,565 | $ | 64,561,507 | $ | 66,427,676 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 2,714,370 | 1,464,370 | 7,706,828 | 2,606,828 | |||||||||||||||
Shares sold | 1,050,000 | 3,800,000 | 15,200,000 | 18,500,000 | |||||||||||||||
Shares repurchased | (1,400,000 | ) | (2,550,000 | ) | (11,200,000 | ) | (13,400,000 | ) | |||||||||||
Shares outstanding, end of year/period | 2,364,370 | 2,714,370 | 11,706,828 | 7,706,828 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
116
Statements of Changes in Net Assets
Direxion Daily S&P Biotech Bull 3X Shares | Direxion Daily S&P Biotech Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 4,312,395 | $ | (4,697,375 | ) | $ | 1,850,307 | $ | 653,447 | ||||||||||
Net realized loss | (74,853,929 | ) | (1,556,399,343 | ) | (10,455,969 | ) | (16,969,252 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (94,677,895 | ) | 199,471,339 | 10,652,127 | (274,321 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (165,219,429 | ) | (1,361,625,379 | ) | 2,046,465 | (16,590,126 | ) | ||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | — | — | (1,628,450 | ) | — | ||||||||||||||
Total distributions | — | — | (1,628,450 | ) | — | ||||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,104,294,905 | 3,442,750,306 | 703,851,419 | 1,423,731,319 | |||||||||||||||
Cost of shares redeemed | (1,105,299,422 | ) | (1,694,450,607 | ) | (805,478,822 | ) | (1,264,813,343 | ) | |||||||||||
Transaction fees (Note 4) | 264,566 | 376,244 | 241,644 | 379,444 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (739,951 | ) | 1,748,675,943 | (101,385,759 | ) | 159,297,420 | |||||||||||||
Total increase (decrease) in net assets | (165,959,380 | ) | 387,050,564 | (100,967,744 | ) | 142,707,294 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 1,159,846,817 | 772,796,253 | 189,974,768 | 47,267,474 | |||||||||||||||
End of year/period | $ | 993,887,437 | $ | 1,159,846,817 | $ | 89,007,024 | $ | 189,974,768 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 156,261,600 | 14,511,600 | 9,416,024 | 2,216,024 | |||||||||||||||
Shares sold | 177,050,000 | 295,550,000 | 42,600,000 | 50,250,000 | |||||||||||||||
Shares repurchased | (155,450,000 | ) | (153,800,000 | ) | (46,750,000 | ) | (43,050,000 | ) | |||||||||||
Shares outstanding, end of year/period | 177,861,600 | 156,261,600 | 5,266,024 | 9,416,024 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
117
Statements of Changes in Net Assets
Direxion Daily Semiconductor Bull 3X Shares | Direxion Daily Semiconductor Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 20,452,249 | $ | 24,099,574 | $ | 22,645,017 | $ | 1,307,168 | |||||||||||
Net realized gain (loss) | 350,941,926 | (5,271,582,760 | ) | (797,699,792 | ) | 221,587,899 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 1,808,826,062 | (1,537,628,928 | ) | (77,065,525 | ) | 165,141,018 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,180,220,237 | (6,785,112,114 | ) | (852,120,300 | ) | 388,036,085 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (22,153,380 | ) | (18,952,312 | ) | (16,494,874 | ) | — | ||||||||||||
Total distributions | (22,153,380 | ) | (18,952,312 | ) | (16,494,874 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 3,880,648,719 | 14,029,647,329 | 5,092,102,083 | 4,367,830,060 | |||||||||||||||
Cost of shares redeemed | (4,575,015,270 | ) | (7,908,295,563 | ) | (3,629,006,515 | ) | (4,311,606,686 | ) | |||||||||||
Transaction fees (Note 4) | 1,171,591 | 1,685,971 | 1,088,702 | 1,293,464 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (693,194,960 | ) | 6,123,037,737 | 1,464,184,270 | 57,516,838 | ||||||||||||||
Total increase (decrease) in net assets | 1,464,871,897 | (681,026,689 | ) | 595,569,096 | 445,552,923 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 3,474,072,270 | 4,155,098,959 | 590,970,949 | 145,418,026 | |||||||||||||||
End of year/period | $ | 4,938,944,167 | $ | 3,474,072,270 | $ | 1,186,540,045 | $ | 590,970,949 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 390,950,060 | 87,250,060 | 9,923,440 | 2,530,107 | |||||||||||||||
Shares sold | 286,750,000 | 644,650,000 | 194,200,000 | 91,435,000 | |||||||||||||||
Shares repurchased | (331,750,000 | ) | (340,950,000 | ) | (145,950,000 | ) | (84,041,667 | ) | |||||||||||
Shares outstanding, end of year/period | 345,950,060 | 390,950,060 | 58,173,440 | 9,923,440 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
118
Statements of Changes in Net Assets
Direxion Daily Technology Bull 3X Shares | Direxion Daily Technology Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 7,211,089 | $ | (1,097,830 | ) | $ | 2,290,025 | $ | 371,278 | ||||||||||
Net realized loss | (92,540,805 | ) | (739,111,544 | ) | (30,738,392 | ) | (12,493,515 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 644,693,420 | (1,370,501,859 | ) | (67,514,115 | ) | 64,453,561 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 559,363,704 | (2,110,711,233 | ) | (95,962,482 | ) | 52,331,324 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (6,478,177 | ) | (11,889,234 | ) | (1,569,955 | ) | — | ||||||||||||
Total distributions | (6,478,177 | ) | (11,889,234 | ) | (1,569,955 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 268,331,141 | 1,140,561,864 | 510,257,792 | 822,314,776 | |||||||||||||||
Cost of shares redeemed | (370,530,749 | ) | (710,702,242 | ) | (421,028,937 | ) | (782,288,457 | ) | |||||||||||
Transaction fees (Note 4) | 94,092 | 176,439 | 126,308 | 234,672 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (102,105,516 | ) | 430,036,061 | 89,355,163 | 40,260,991 | ||||||||||||||
Total increase (decrease) in net assets | 450,780,011 | (1,692,564,406 | ) | (8,177,274 | ) | 92,592,315 | |||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 1,368,794,940 | 3,061,359,346 | 159,534,508 | 66,942,193 | |||||||||||||||
End of year/period | $ | 1,819,574,951 | $ | 1,368,794,940 | $ | 151,357,234 | $ | 159,534,508 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 53,300,000 | 43,050,000 | 3,800,260 | 1,801,485 | |||||||||||||||
Shares sold | 9,800,000 | 24,750,000 | 15,600,000 | 20,300,000 | |||||||||||||||
Shares repurchased | (13,250,000 | ) | (14,500,000 | ) | (12,400,000 | ) | (18,301,225 | ) | |||||||||||
Shares outstanding, end of year/period | 49,850,000 | 53,300,000 | 7,000,260 | 3,800,260 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
119
Statements of Changes in Net Assets
Direxion Daily Transportation Bull 3X Shares | Direxion Daily Utilities Bull 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 190,371 | $ | (15,247 | ) | $ | 223,699 | $ | 283,546 | ||||||||||
Net realized gain (loss) | (2,243,797 | ) | 3,113,802 | 2,752,463 | 6,257,659 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 2,437,764 | (31,874,575 | ) | (478,332 | ) | (3,670,521 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 384,338 | (28,776,020 | ) | 2,497,830 | 2,870,684 | ||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (198,360 | ) | — | (194,484 | ) | (363,008 | ) | ||||||||||||
Total distributions | (198,360 | ) | — | (194,484 | ) | (363,008 | ) | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 2,430,038 | 15,083,398 | 9,598,721 | 20,912,861 | |||||||||||||||
Cost of shares redeemed | (3,356,565 | ) | (52,875,378 | ) | (15,856,696 | ) | (38,819,781 | ) | |||||||||||
Transaction fees (Note 4) | 778 | 12,464 | 3,171 | 7,764 | |||||||||||||||
Net decrease in net assets resulting from capital transactions | (925,749 | ) | (37,779,516 | ) | (6,254,804 | ) | (17,899,156 | ) | |||||||||||
Total decrease in net assets | (739,771 | ) | (66,555,536 | ) | (3,951,458 | ) | (15,391,480 | ) | |||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 23,242,510 | 89,798,046 | 21,882,625 | 37,274,105 | |||||||||||||||
End of year/period | $ | 22,502,739 | $ | 23,242,510 | $ | 17,931,167 | $ | 21,882,625 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 1,050,001 | 1,850,001 | 750,001 | 1,150,001 | |||||||||||||||
Shares sold | 100,000 | 350,000 | 350,000 | 700,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (1,150,000 | ) | (500,000 | ) | (1,100,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,000,001 | 1,050,001 | 600,001 | 750,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
120
Statements of Changes in Net Assets
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Direxion Daily 7-10 Year Treasury Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 274,862 | $ | 108,970 | $ | 495,994 | $ | 18,850 | |||||||||||
Net realized gain (loss) | (3,251,669 | ) | (8,203,502 | ) | (196,078 | ) | 14,428,932 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 6,791,175 | (5,317,042 | ) | (6,983,544 | ) | 5,753,324 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,814,368 | (13,411,574 | ) | (6,683,628 | ) | 20,201,106 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (217,657 | ) | — | (381,668 | ) | — | |||||||||||||
Total distributions | (217,657 | ) | — | (381,668 | ) | — | |||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 15,455,964 | 19,813,138 | 8,749,813 | 48,953,433 | |||||||||||||||
Cost of shares redeemed | (7,565,497 | ) | (5,460,055 | ) | (32,300,501 | ) | (42,655,103 | ) | |||||||||||
Transaction fees (Note 4) | 2,270 | 1,424 | 22,302 | 12,797 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 7,892,737 | 14,354,507 | (23,528,386 | ) | 6,311,127 | ||||||||||||||
Total increase (decrease) in net assets | 11,489,448 | 942,933 | (30,593,682 | ) | 26,512,233 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 24,281,736 | 23,338,803 | 56,135,448 | 29,623,215 | |||||||||||||||
End of year/period | $ | 35,771,184 | $ | 24,281,736 | $ | 25,541,766 | $ | 56,135,448 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 850,000 | 450,000 | 3,950,000 | 3,400,000 | |||||||||||||||
Shares sold | 500,000 | 550,000 | 650,000 | 4,300,000 | |||||||||||||||
Shares repurchased | (250,000 | ) | (150,000 | ) | (2,450,000 | ) | (3,750,000 | ) | |||||||||||
Shares outstanding, end of year/period | 1,100,000 | 850,000 | 2,150,000 | 3,950,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
121
Statements of Changes in Net Assets
Direxion Daily 20+ Year Treasury Bull 3X Shares | Direxion Daily 20+ Year Treasury Bear 3X Shares | ||||||||||||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 12,425,590 | $ | 3,318,740 | $ | 6,681,231 | $ | 286,716 | |||||||||||
Net realized gain (loss) | (96,944,735 | ) | (301,126,220 | ) | (87,636,249 | ) | 324,325,126 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 271,023,146 | (204,797,974 | ) | (132,115,871 | ) | 177,391,380 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 186,504,001 | (502,605,454 | ) | (213,070,889 | ) | 502,003,222 | |||||||||||||
Distributions to shareholders: | |||||||||||||||||||
Net distributions to shareholders | (8,972,206 | ) | (2,244,754 | ) | (5,040,515 | ) | — | ||||||||||||
Total distributions | (8,972,206 | ) | (2,244,754 | ) | (5,040,515 | ) | — | ||||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from shares sold | 1,321,166,445 | 706,074,203 | 464,380,686 | 348,379,936 | |||||||||||||||
Cost of shares redeemed | (316,412,426 | ) | (123,804,932 | ) | (517,125,697 | ) | (487,348,808 | ) | |||||||||||
Transaction fees (Note 4) | 87,599 | 31,440 | 155,137 | 281,810 | |||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,004,841,618 | 582,300,711 | (52,589,874 | ) | (138,687,062 | ) | |||||||||||||
Total increase (decrease) in net assets | 1,182,373,413 | 77,450,503 | (270,701,278 | ) | 363,316,160 | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of year/period | 437,185,320 | 359,734,817 | 688,649,658 | 325,333,498 | |||||||||||||||
End of year/period | $ | 1,619,558,733 | $ | 437,185,320 | $ | 417,948,380 | $ | 688,649,658 | |||||||||||
Changes in shares outstanding | |||||||||||||||||||
Shares outstanding, beginning of year/period | 62,350,000 | 12,800,000 | 4,324,261 | 5,674,261 | |||||||||||||||
Shares sold | 156,200,000 | 58,350,000 | 3,950,000 | 3,900,000 | |||||||||||||||
Shares repurchased | (35,650,000 | ) | (8,800,000 | ) | (4,350,000 | ) | (5,250,000 | ) | |||||||||||
Shares outstanding, end of year/period | 182,900,000 | 62,350,000 | 3,924,261 | 4,324,261 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
122
Financial Highlights
April 30, 2023
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 36.77 | $ | 0.24 | $ | 0.30 | $ | (1.10 | ) | $ | (0.86 | ) | $ | (0.14 | ) | $ | — | $ | — | $ | (0.14 | ) | $ | 35.77 | -2.32 | % | $ | 48,297 | 1.23 | % | 1.25 | % | 1.27 | % | 0.95 | % | 0.97 | % | 1.55 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 67.09 | 0.15 | 0.17 | (30.47 | ) | (30.32 | ) | — | — | — | — | 36.77 | -45.19 | % | 47,801 | 0.98 | % | 0.99 | % | 0.31 | % | 0.95 | % | 0.96 | % | 0.34 | % | 54 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 22.89 | (0.08 | ) | (0.07 | ) | 44.29 | 44.21 | (0.01 | ) | — | — | (0.01 | ) | 67.09 | 193.19 | % | 90,584 | 0.96 | % | 0.95 | % | (0.14 | )% | 0.95 | % | 0.94 | % | (0.13 | )% | 33 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 65.97 | 0.48 | 0.53 | 9.73 | 10.21 | (0.39 | ) | — | — | (0.39 | ) | 75.79 | 15.56 | % | 2,743,684 | 1.04 | % | 1.07 | % | 1.35 | % | 0.89 | % | 0.92 | % | 1.50 | % | 10 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 130.30 | 0.22 | 0.25 | (64.36 | ) | (64.14 | ) | (0.19 | ) | — | — | (0.19 | ) | 65.97 | -49.27 | % | 2,546,628 | 0.91 | % | 0.96 | % | 0.23 | % | 0.88 | % | 0.93 | % | 0.26 | % | 113 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 48.08 | 0.13 | 0.14 | 82.25 | 82.38 | (0.16 | ) | — | — | (0.16 | ) | 130.30 | 171.57 | % | 3,348,750 | 0.91 | % | 0.93 | % | 0.14 | % | 0.90 | % | 0.92 | % | 0.15 | % | 28 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 22.66 | 0.28 | 0.31 | (5.68 | ) | (5.40 | ) | (0.23 | ) | — | — | (0.23 | ) | 17.03 | -23.93 | % | 1,130,623 | 1.29 | % | 1.26 | % | 3.00 | % | 0.95 | % | 0.92 | % | 3.34 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 18.78 | 0.04 | 0.07 | 3.84 | 3.88 | — | — | — | — | 22.66 | 20.66 | % | 887,711 | 1.08 | % | 1.06 | % | 0.20 | % | 0.95 | % | 0.93 | % | 0.33 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 61.00 | (0.27 | ) | (0.27 | ) | (41.95 | ) | (42.22 | ) | — | — | — | — | 18.78 | -69.21 | % | 388,357 | 0.95 | % | 0.92 | % | (0.92 | )% | 0.95 | % | 0.92 | % | (0.92 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 160.60 | (0.40 | ) | (0.40 | ) | (98.60 | ) | (99.00 | ) | (0.40 | ) | — | (0.20 | ) | (0.60 | ) | 61.00 | -61.87 | % | 803,180 | 0.96 | % | 0.99 | % | (0.45 | )% | 0.95 | % | 0.98 | % | (0.44 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 259.20 | 2.90 | 2.90 | (98.60 | ) | (95.70 | ) | (2.90 | ) | — | — | (2.90 | ) | 160.60 | -37.21 | % | 488,984 | 0.96 | % | 0.96 | % | 1.44 | % | 0.95 | % | 0.95 | % | 1.45 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 339.40 | 1.80 | 1.80 | (81.20 | ) | (79.40 | ) | (0.80 | ) | — | — | (0.80 | ) | 259.20 | -23.38 | % | 267,114 | 0.95 | % | 0.96 | % | 0.68 | % | 0.94 | % | 0.95 | % | 0.69 | % | 1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 38.28 | 0.25 | 0.30 | (8.29 | ) | (8.04 | ) | (0.14 | ) | — | — | (0.14 | ) | 30.10 | -21.04 | % | 1,134,752 | 1.17 | % | 1.17 | % | 1.43 | % | 0.90 | % | 0.90 | % | 1.70 | % | 33 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 93.14 | 0.11 | 0.13 | (54.92 | ) | (54.81 | ) | (0.05 | ) | — | — | (0.05 | ) | 38.28 | -58.86 | % | 1,217,463 | 0.94 | % | 0.94 | % | 0.22 | % | 0.91 | % | 0.91 | % | 0.25 | % | 114 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 32.03 | (0.23 | ) | (0.22 | ) | 61.35 | 61.12 | (0.01 | ) | — | — | (0.01 | ) | 93.14 | 190.83 | % | 1,499,519 | 0.91 | % | 0.91 | % | (0.28 | )% | 0.90 | % | 0.90 | % | (0.27 | )% | 62 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 32.33 | 0.49 | 0.53 | 0.46 | 0.95 | (0.46 | ) | — | — | (0.46 | ) | 32.82 | 2.95 | % | 484,910 | 1.19 | % | 1.19 | % | 3.26 | % | 0.91 | % | 0.91 | % | 3.54 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 26.89 | 0.01 | 0.04 | 5.43 | 5.44 | — | — | — | — | 32.33 | 20.23 | % | 547,165 | 0.99 | % | 0.99 | % | 0.04 | % | 0.91 | % | 0.91 | % | 0.12 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 124.40 | (0.33 | ) | (0.33 | ) | (97.18 | ) | (97.51 | ) | — | — | — | — | 26.89 | -78.38 | % | 504,783 | 0.94 | % | 0.90 | % | (0.91 | )% | 0.94 | % | 0.90 | % | (0.91 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 345.52 | (0.88 | ) | (0.88 | ) | (218.88 | ) | (219.76 | ) | (0.96 | ) | — | (0.40 | ) | (1.36 | ) | 124.40 | -63.86 | % | 545,802 | 0.97 | % | 0.97 | % | (0.46 | )% | �� | 0.95 | % | 0.95 | % | (0.44 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 462.40 | 5.44 | 5.60 | (116.64 | ) | (111.20 | ) | (5.68 | ) | — | — | (5.68 | ) | 345.52 | -24.30 | % | 321,403 | 0.99 | % | 0.99 | % | 1.36 | % | 0.95 | % | 0.95 | % | 1.40 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 532.00 | 3.20 | 3.20 | (70.80 | ) | (67.60 | ) | (2.00 | ) | — | — | (2.00 | ) | 462.40 | -12.65 | % | 282,984 | 0.95 | % | 0.96 | % | 0.73 | % | 0.95 | % | 0.96 | % | 0.73 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 19.95 | 0.67 | 0.75 | 20.96 | 21.63 | (0.64 | ) | — | — | (0.64 | ) | 40.94 | 108.32 | % | 578,963 | 1.29 | % | 1.27 | % | 2.88 | % | 0.95 | % | 0.93 | % | 3.22 | % | 73 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 223.80 | 0.70 | 0.71 | (204.20 | ) | (203.50 | ) | (0.35 | ) | — | — | (0.35 | ) | 19.95 | -91.06 | % | 217,357 | 0.97 | % | 0.97 | % | 0.78 | % | 0.95 | % | 0.95 | % | 0.80 | % | 102 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 335.60 | 0.60 | 0.60 | (109.60 | ) | (109.00 | ) | (2.80 | ) | — | — | (2.80 | ) | 223.80 | -32.82 | % | 482,288 | 0.95 | % | 0.93 | % | 0.17 | % | 0.95 | % | 0.93 | % | 0.17 | % | 50 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 361.00 | 3.00 | 3.20 | (24.80 | ) | (21.80 | ) | (3.20 | ) | — | (0.40 | ) | (3.60 | ) | 335.60 | -6.03 | % | 260,909 | 0.99 | % | 1.01 | % | 0.96 | % | 0.95 | % | 0.97 | % | 1.00 | % | 264 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 357.00 | 4.40 | 4.80 | 4.00 | 8.40 | (4.40 | ) | — | — | (4.40 | ) | 361.00 | 2.23 | % | 329,403 | 1.05 | % | 1.07 | % | 1.12 | % | 0.95 | % | 0.97 | % | 1.22 | % | 142 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 653.20 | 9.60 | 10.00 | (295.60 | ) | (286.00 | ) | (10.20 | ) | — | — | (10.20 | ) | 357.00 | -44.39 | % | 307,058 | 1.02 | % | 1.05 | % | 1.63 | % | 0.95 | % | 0.98 | % | 1.70 | % | 158 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
123
Financial Highlights
April 30, 2023
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 38.16 | $ | 0.16 | $ | 0.19 | $ | (27.70 | ) | $ | (27.54 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | $ | 10.46 | -72.20 | % | $ | 134,749 | 1.54 | % | 1.53 | % | 3.09 | % | 0.95 | % | 0.94 | % | 3.68 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 16.86 | 0.02 | 0.03 | 21.28 | 21.30 | — | — | — | — | 38.16 | 126.33 | % | 168,948 | 1.06 | % | 1.06 | % | 0.09 | % | 0.95 | % | 0.95 | % | 0.20 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 20.91 | (0.14 | ) | (0.14 | ) | (3.91 | ) | (4.05 | ) | — | — | — | — | 16.86 | -19.37 | % | 66,230 | 0.95 | % | 0.98 | % | (0.93 | )% | 0.95 | % | 0.98 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 12.83 | 0.20 | 0.22 | 11.18 | 11.38 | (0.14 | ) | — | — | (0.14 | ) | 24.07 | 89.05 | % | 36,107 | 1.16 | % | 1.16 | % | 2.04 | % | 0.95 | % | 0.95 | % | 2.25 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 38.34 | 0.28 | 0.29 | (25.53 | ) | (25.25 | ) | (0.26 | ) | — | — | (0.26 | ) | 12.83 | -66.00 | % | 17,965 | 0.98 | % | 0.99 | % | 1.16 | % | 0.95 | % | 0.96 | % | 1.19 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 14.48 | 0.15 | 0.15 | 23.85 | 24.00 | (0.14 | ) | — | — | (0.14 | ) | 38.34 | 165.99 | % | 47,924 | 0.96 | % | 0.93 | % | 0.45 | % | 0.95 | % | 0.92 | % | 0.46 | % | 51 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 21.64 | 0.50 | 0.54 | 8.33 | 8.83 | (0.34 | ) | — | — | (0.34 | ) | 30.13 | 40.90 | % | 88,324 | 1.18 | % | 1.20 | % | 3.20 | % | 0.95 | % | 0.97 | % | 3.43 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 81.27 | 0.37 | 0.38 | (60.00 | ) | (59.63 | ) | — | — | — | — | 21.64 | -73.37 | % | 49,367 | 0.96 | % | 0.97 | % | 0.74 | % | 0.95 | % | 0.96 | % | 0.75 | % | 262 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 59.82 | (0.15 | ) | (0.14 | ) | 21.73 | 21.58 | (0.09 | ) | — | (0.04 | ) | (0.13 | ) | 81.27 | 36.04 | % | 169,181 | 0.96 | % | 0.94 | % | (0.16 | )% | 0.95 | % | 0.93 | % | (0.15 | )% | 87 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 20.95 | 0.19 | 0.23 | (8.17 | ) | (7.98 | ) | (0.15 | ) | — | — | (0.15 | ) | 12.82 | -38.13 | % | 31,342 | 1.46 | % | 1.62 | % | 2.93 | % | 0.95 | % | 1.11 | % | 3.44 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 9.03 | (0.00 | )10 | 0.02 | 11.92 | 11.92 | — | — | — | — | 20.95 | 132.00 | % | 56,453 | 1.10 | % | 1.23 | % | — | % | 0.95 | % | 1.08 | % | 0.15 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 17.25 | (0.08 | ) | (0.08 | ) | (8.14 | ) | (8.22 | ) | — | — | — | — | 9.03 | -47.65 | % | 26,590 | 0.95 | % | 1.17 | % | (0.93 | )% | 0.95 | % | 1.17 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 87.46 | 1.40 | 1.82 | 54.76 | 56.15 | (1.23 | ) | — | — | (1.23 | ) | 142.39 | 64.88 | % | 18,966 | 1.68 | % | 1.76 | % | 2.46 | % | 0.95 | % | 1.03 | % | 3.19 | % | 16 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 83.10 | 1.05 | 1.07 | 4.13 | 5.18 | (0.82 | ) | — | — | (0.82 | ) | 87.46 | 6.35 | % | 11,650 | 0.98 | % | 1.09 | % | 1.27 | % | 0.95 | % | 1.06 | % | 1.30 | % | 25 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 31.99 | (0.03 | ) | (0.02 | ) | 51.33 | 51.30 | (0.19 | ) | — | — | (0.19 | ) | 83.10 | 160.49 | % | 15,225 | 0.96 | % | 0.99 | % | (0.04 | )% | 0.95 | % | 0.98 | % | (0.03 | )% | 180 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 6.00 | 0.09 | 0.11 | 2.38 | 2.47 | (0.08 | ) | — | — | (0.08 | ) | 8.39 | 41.22 | % | 27,686 | 1.28 | % | 1.33 | % | 2.19 | % | 0.95 | % | 1.00 | % | 2.52 | % | 25 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 26.12 | 0.11 | 0.11 | (20.04 | ) | (19.93 | ) | (0.14 | ) | — | (0.05 | ) | (0.19 | ) | 6.00 | -76.86 | % | 20,094 | 0.96 | % | 1.01 | % | 0.78 | % | 0.95 | % | 1.00 | % | 0.79 | % | 27 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 16.66 | (0.27 | ) | (0.27 | ) | 9.73 | 9.46 | (0.00 | )10 | — | — | (0.00 | ) | 26.12 | 56.80 | % | 47,022 | 0.96 | % | 0.97 | % | (0.73 | )% | 0.95 | % | 0.96 | % | (0.72 | )% | 97 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
124
Financial Highlights
April 30, 2023
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 Aerospace & Defense Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 18.12 | $ | 0.11 | $ | 0.14 | $ | 1.86 | $ | 1.97 | $ | (0.10 | ) | $ | — | $ | — | $ | (0.10 | ) | $ | 19.99 | 10.87 | % | $ | 168,908 | 1.27 | % | 1.27 | % | 1.10 | % | 0.93 | % | 0.93 | % | 1.44 | % | 13 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 20.58 | 0.04 | 0.04 | (2.12 | ) | (2.08 | ) | (0.04 | ) | (0.34 | ) | — | (0.38 | ) | 18.12 | -10.07 | % | 194,780 | 0.98 | % | 0.97 | % | 0.19 | % | 0.94 | % | 0.93 | % | 0.23 | % | 77 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 8.87 | (0.03 | ) | (0.03 | ) | 11.75 | 11.72 | (0.01 | ) | — | — | (0.01 | ) | 20.58 | 132.19 | % | 280,890 | 0.96 | % | 0.93 | % | (0.17 | )% | 0.95 | % | 0.92 | % | (0.16 | )% | 64 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 55.54 | 0.01 | (0.01 | ) | (46.58 | ) | (46.57 | ) | (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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 23.48 | 0.11 | 0.13 | (1.42 | ) | (1.31 | ) | (0.04 | ) | — | — | (0.04 | ) | 22.13 | -5.56 | % | 26,557 | 1.14 | % | 1.20 | % | 1.05 | % | 0.95 | % | 1.01 | % | 1.24 | % | 47 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 92.11 | (0.12 | ) | (0.08 | ) | (68.51 | ) | (68.63 | ) | — | — | — | — | 23.48 | -74.51 | % | 24,653 | 1.03 | % | 1.06 | % | (0.25 | )% | 0.95 | % | 0.98 | % | (0.17 | )% | 149 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 36.13 | (0.33 | ) | (0.33 | ) | 56.31 | 55.98 | — | — | — | — | 92.11 | 154.94 | % | 55,264 | 0.96 | % | 0.99 | % | (0.54 | )% | 0.95 | % | 0.98 | % | (0.53 | )% | 18 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2023 (Unaudited) | 7.21 | 0.02 | 0.02 | 0.66 | 0.68 | — | — | — | — | 7.89 | 9.43 | % | 127,827 | 1.19 | % | 1.18 | % | 0.45 | % | 0.95 | % | 0.94 | % | 0.69 | % | 74 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 86.93 | (0.07 | ) | (0.06 | ) | (76.60 | ) | (76.67 | ) | — | (3.05 | ) | — | (3.05 | ) | 7.21 | -91.32 | % | 103,100 | 0.98 | % | 0.99 | % | (0.39 | )% | 0.95 | % | 0.96 | % | (0.36 | )% | 55 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 45.47 | (0.62 | ) | (0.62 | ) | 42.08 | 41.46 | — | — | — | — | 86.93 | 91.18 | % | 99,968 | 0.96 | % | 0.96 | % | (0.81 | )% | 0.95 | % | 0.95 | % | (0.80 | )% | 65 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 38.22 | 0.32 | 0.43 | (17.24 | ) | (16.92 | ) | (0.25 | ) | — | — | (0.25 | ) | 21.05 | -44.34 | % | 44,621 | 1.76 | % | 1.78 | % | 2.40 | % | 0.95 | % | 0.97 | % | 3.21 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 14.39 | 0.17 | 0.20 | 23.67 | 23.84 | (0.01 | ) | — | — | (0.01 | ) | 38.22 | 165.69 | % | 56,183 | 1.06 | % | 1.11 | % | 0.49 | % | 0.95 | % | 1.00 | % | 0.60 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 44.23 | (0.18 | ) | (0.18 | ) | (29.66 | ) | (29.84 | ) | — | — | — | — | 14.39 | -67.47 | % | 4,604 | 0.95 | % | 1.56 | % | (0.93 | )% | 0.95 | % | 1.56 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 73.63 | 0.66 | 0.76 | (11.24 | ) | (10.58 | ) | (0.49 | ) | — | — | (0.49 | ) | 62.56 | -14.39 | % | 1,754,805 | 1.18 | % | 1.19 | % | 1.80 | % | 0.90 | % | 0.91 | % | 2.08 | % | 55 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 144.45 | 0.81 | 0.83 | (70.93 | ) | (70.12 | ) | (0.70 | ) | — | — | (0.70 | ) | 73.63 | -48.61 | % | 1,892,223 | 0.89 | % | 0.93 | % | 0.82 | % | 0.87 | % | 0.91 | % | 0.84 | % | 109 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 33.61 | 0.52 | 0.53 | 110.82 | 111.34 | (0.50 | ) | — | — | (0.50 | ) | 144.45 | 332.26 | % | 3,582,160 | 0.86 | % | 0.91 | % | 0.56 | % | 0.85 | % | 0.90 | % | 0.57 | % | 70 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 20.50 | 0.30 | 0.32 | (0.41 | ) | (0.11 | ) | (0.27 | ) | — | — | (0.27 | ) | 20.12 | -0.67 | % | 167,047 | 1.20 | % | 1.17 | % | 3.18 | % | 0.95 | % | 0.92 | % | 3.43 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 18.33 | 0.01 | 0.03 | 2.16 | 2.17 | — | — | — | — | 20.50 | 11.84 | % | 190,690 | 1.04 | % | 1.01 | % | 0.05 | % | 0.95 | % | 0.92 | % | 0.14 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 118.00 | (0.33 | ) | (0.33 | ) | (99.34 | ) | (99.67 | ) | — | — | — | — | 18.33 | -84.47 | % | 130,234 | 0.95 | % | 0.92 | % | (0.93 | )% | 0.95 | % | 0.92 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 261.76 | (0.88 | ) | (0.80 | ) | (141.92 | ) | (142.80 | ) | (0.64 | ) | — | (0.32 | ) | (0.96 | ) | 118.00 | -54.76 | % | 271,668 | 0.96 | % | 0.98 | % | (0.48 | )% | 0.95 | % | 0.97 | % | (0.47 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 449.20 | 4.72 | 4.88 | (187.52 | ) | (182.80 | ) | (4.64 | ) | — | — | (4.64 | ) | 261.76 | -40.98 | % | 175,801 | 0.99 | % | 1.00 | % | 1.37 | % | 0.95 | % | 0.96 | % | 1.41 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 538.40 | 2.80 | 2.80 | (90.40 | ) | (87.60 | ) | (1.60 | ) | — | — | (1.60 | ) | 449.20 | -16.26 | % | 141,799 | 0.95 | % | 0.96 | % | 0.69 | % | 0.95 | % | 0.96 | % | 0.69 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
125
Financial Highlights
April 30, 2023
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 108.91 | $ | 0.83 | $ | 0.89 | $ | (5.27 | ) | $ | (4.44 | ) | $ | (0.63 | ) | $ | — | $ | — | $ | (0.63 | ) | $ | 103.84 | -4.03 | % | $ | 192,111 | 1.05 | % | 1.04 | % | 1.57 | % | 0.93 | % | 0.92 | % | 1.69 | % | 10 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 123.96 | 0.40 | 0.44 | (15.12 | ) | (14.72 | ) | (0.33 | ) | — | — | (0.33 | ) | 108.91 | -11.85 | % | 196,030 | 0.98 | % | 0.96 | % | 0.35 | % | 0.95 | % | 0.93 | % | 0.38 | % | 16 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 55.70 | (0.04 | ) | (0.04 | ) | 68.31 | 68.27 | (0.01 | ) | — | — | (0.01 | ) | 123.96 | 122.57 | % | 254,116 | 0.96 | % | 0.94 | % | (0.05 | )% | 0.95 | % | 0.93 | % | (0.04 | )% | 2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 26.23 | 0.13 | 0.23 | 28.80 | 28.93 | (0.15 | ) | — | — | (0.15 | ) | 55.01 | 110.49 | % | 198,045 | 1.45 | % | 1.45 | % | 0.70 | % | 0.94 | % | 0.94 | % | 1.21 | % | 10 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 83.28 | (0.01 | ) | 0.02 | (57.04 | ) | (57.05 | ) | — | — | — | — | 26.23 | -68.50 | % | 131,145 | 0.97 | % | 0.97 | % | (0.01 | )% | 0.93 | % | 0.93 | % | 0.03 | % | 98 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 39.58 | (0.25 | ) | (0.24 | ) | 43.95 | 43.70 | — | — | — | — | 83.28 | 110.41 | % | 383,075 | 0.96 | % | 0.94 | % | (0.37 | )% | 0.94 | % | 0.92 | % | (0.35 | )% | 95 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 29.04 | 0.25 | 0.28 | 2.82 | 3.07 | (0.21 | ) | — | — | (0.21 | ) | 31.90 | 10.60 | % | 20,738 | 1.15 | % | 1.22 | % | 1.49 | % | 0.95 | % | 1.02 | % | 1.69 | % | 7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 45.37 | 0.12 | 0.13 | (16.33 | ) | (16.21 | ) | (0.12 | ) | — | — | (0.12 | ) | 29.04 | -35.71 | % | 18,873 | 0.97 | % | 1.01 | % | 0.33 | % | 0.95 | % | 0.99 | % | 0.35 | % | 20 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 18.48 | (0.00 | )10 | (0.00 | )10 | 26.96 | 26.96 | (0.03 | ) | (0.04 | ) | — | (0.07 | ) | 45.37 | 146.14 | % | 63,520 | 0.96 | % | 0.96 | % | (0.01 | )% | 0.95 | % | 0.95 | % | — | % | 3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 10.16 | 0.06 | 0.07 | (1.12 | ) | (1.06 | ) | (0.05 | ) | — | — | (0.05 | ) | 9.05 | -10.41 | % | 9,504 | 1.08 | % | 1.39 | % | 1.27 | % | 0.95 | % | 1.26 | % | 1.40 | % | 30 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 18.11 | 0.03 | 0.04 | (7.95 | ) | (7.92 | ) | (0.03 | ) | — | — | (0.03 | ) | 10.16 | -43.75 | % | 11,173 | 0.98 | % | 1.11 | % | 0.25 | % | 0.95 | % | 1.08 | % | 0.28 | % | 189 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 15.76 | (0.09 | ) | (0.08 | ) | 2.44 | 2.35 | — | — | — | — | 18.11 | 14.91 | % | 31,693 | 0.95 | % | 1.07 | % | (0.39 | )% | 0.95 | % | 1.07 | % | (0.39 | )% | 115 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 9.85 | 0.14 | 0.15 | (0.15 | ) | (0.01 | ) | (0.11 | ) | — | — | (0.11 | ) | 9.73 | -0.01 | % | 48,639 | 1.27 | % | 1.27 | % | 2.66 | % | 0.95 | % | 0.95 | % | 2.98 | % | 39 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 26.14 | 0.25 | 0.26 | (15.16 | ) | (14.91 | ) | (0.25 | ) | (1.13 | ) | — | (1.38 | ) | 9.85 | -60.04 | % | 47,268 | 0.98 | % | 0.97 | % | 1.24 | % | 0.95 | % | 0.94 | % | 1.27 | % | 84 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 9.03 | 0.22 | 0.22 | 17.08 | 17.30 | (0.19 | ) | — | — | (0.19 | ) | 26.14 | 192.60 | % | 147,704 | 0.96 | % | 0.94 | % | 1.18 | % | 0.95 | % | 0.93 | % | 1.19 | % | 20 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
126
Financial Highlights
April 30, 2023
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 Real Estate Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 60.71 | $ | 0.76 | $ | 0.84 | $ | (13.89 | ) | $ | (13.13 | ) | $ | (0.64 | ) | $ | — | $ | — | $ | (0.64 | ) | $ | 46.94 | -21.77 | % | $ | 170,567 | 1.30 | % | 1.27 | % | 3.10 | % | 0.95 | % | 0.92 | % | 3.45 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 41.07 | 0.37 | 0.40 | 19.27 | 19.64 | — | — | — | — | 60.71 | 47.82 | % | 205,433 | 1.01 | % | 1.03 | % | 0.75 | % | 0.95 | % | 0.97 | % | 0.81 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 153.40 | (0.64 | ) | (0.64 | ) | (111.69 | ) | (112.33 | ) | — | — | — | — | 41.07 | -73.23 | % | 19,926 | 0.95 | % | 1.17 | % | (0.93 | )% | 0.95 | % | 1.17 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 257.60 | (1.10 | ) | (1.10 | ) | (102.20 | ) | (103.30 | ) | (0.60 | ) | — | (0.30 | ) | (0.90 | ) | 153.40 | -40.31 | % | 45,283 | 0.96 | % | 1.14 | % | (0.60 | )% | 0.95 | % | 1.13 | % | (0.59 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 502.00 | 5.00 | 5.00 | (244.60 | ) | (239.60 | ) | (4.80 | ) | — | — | (4.80 | ) | 257.60 | -47.94 | % | 15,495 | 0.97 | % | 1.28 | % | 1.41 | % | 0.95 | % | 1.26 | % | 1.43 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 564.00 | 4.00 | 4.00 | (64.50 | ) | (60.50 | ) | (1.50 | ) | — | — | (1.50 | ) | 502.00 | -10.68 | % | 19,156 | 0.99 | % | 1.36 | % | 0.71 | % | 0.95 | % | 1.32 | % | 0.75 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 29.93 | 0.14 | 0.15 | (23.10 | ) | (22.96 | ) | (0.08 | ) | — | — | (0.08 | ) | 6.89 | -76.84 | % | 411,659 | 1.05 | % | 1.05 | % | 2.27 | % | 0.89 | % | 0.89 | % | 2.43 | % | 35 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 51.02 | 0.37 | 0.39 | (21.10 | ) | (20.73 | ) | (0.36 | ) | — | — | (0.36 | ) | 29.93 | -40.71 | % | 212,433 | 0.93 | % | 0.93 | % | 0.94 | % | 0.89 | % | 0.89 | % | 0.98 | % | 138 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 13.19 | 0.28 | 0.28 | 37.83 | 38.11 | (0.28 | ) | — | — | (0.28 | ) | 51.02 | 290.09 | % | 441,276 | 0.91 | % | 0.89 | % | 0.70 | % | 0.90 | % | 0.88 | % | 0.71 | % | 147 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 83.12 | 0.21 | 0.21 | (69.69 | ) | (69.48 | ) | (0.45 | ) | — | — | (0.45 | ) | 13.19 | -83.83 | % | 111,397 | 0.97 | % | 1.00 | % | 1.64 | % | 0.95 | % | 0.98 | % | 1.66 | % | 331 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 99.44 | 1.40 | 1.44 | (16.30 | ) | (14.90 | ) | (1.42 | ) | — | — | (1.42 | ) | 83.12 | -14.83 | % | 20,780 | 0.99 | % | 1.07 | % | 1.64 | % | 0.95 | % | 1.03 | % | 1.68 | % | 81 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 133.96 | 1.24 | 1.34 | (34.54 | ) | (33.30 | ) | (1.22 | ) | — | — | (1.22 | ) | 99.44 | -25.20 | % | 29,835 | 1.02 | % | 1.04 | % | 0.79 | % | 0.95 | % | 0.97 | % | 0.86 | % | 76 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 8.14 | 0.06 | 0.07 | (1.58 | ) | (1.52 | ) | (0.04 | ) | — | — | (0.04 | ) | 6.58 | -18.64 | % | 45,194 | 1.24 | % | 1.23 | % | 1.51 | % | 0.94 | % | 0.93 | % | 1.81 | % | 89 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 41.95 | 0.13 | 0.13 | (33.83 | ) | (33.70 | ) | (0.11 | ) | — | — | (0.11 | ) | 8.14 | -80.48 | % | 51,020 | 0.98 | % | 0.95 | % | 0.74 | % | 0.95 | % | 0.92 | % | 0.77 | % | 83 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 8.58 | (0.09 | ) | (0.08 | ) | 33.46 | 33.37 | (0.00 | )10 | — | — | (0.00 | )10 | 41.95 | 389.07 | % | 128,839 | 0.97 | % | 0.92 | % | (0.24 | )% | 0.95 | % | 0.90 | % | (0.22 | )% | 112 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 9.43 | 0.01 | 0.01 | (0.82 | ) | (0.81 | ) | (0.02 | ) | — | (0.02 | ) | (0.04 | ) | 8.58 | -7.65 | % | 22,485 | 0.99 | % | 1.17 | % | 0.12 | % | 0.95 | % | 1.13 | % | 0.16 | % | 171 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 14.76 | 0.13 | 0.13 | (5.34 | ) | (5.21 | ) | (0.12 | ) | — | — | (0.12 | ) | 9.43 | -35.35 | % | 12,967 | 1.01 | % | 1.16 | % | 1.15 | % | 0.95 | % | 1.10 | % | 1.21 | % | 84 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 9.80 | 0.08 | 0.11 | 4.98 | 5.06 | (0.10 | ) | — | — | (0.10 | ) | 14.76 | 51.66 | % | 31,367 | 1.09 | % | 1.15 | % | 0.59 | % | 0.95 | % | 1.01 | % | 0.73 | % | 81 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 25.51 | 0.04 | 0.11 | 1.39 | 1.43 | (0.04 | ) | — | — | (0.04 | ) | 26.90 | 5.60 | % | 63,591 | 1.37 | % | 1.38 | % | 0.30 | % | 0.95 | % | 0.96 | % | 0.72 | % | 68 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 75.48 | (0.07 | ) | (0.04 | ) | (49.90 | ) | (49.97 | ) | — | — | — | — | 25.51 | -66.20 | % | 69,235 | 1.01 | % | 1.01 | % | (0.16 | )% | 0.95 | % | 0.95 | % | (0.10 | )% | 144 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 14.43 | (0.01 | ) | (0.01 | ) | 61.10 | 61.09 | (0.04 | ) | — | — | (0.04 | ) | 75.48 | 423.32 | % | 110,529 | 0.96 | % | 0.97 | % | (0.02 | )% | 0.95 | % | 0.96 | % | (0.01 | )% | 151 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 | 35.71 | — | — | (21.14 | ) | (21.14 | ) | (0.04 | ) | — | (0.10 | ) | (0.14 | ) | 14.43 | -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 Six Months Ended April 30, 2023 (Unaudited) | 8.62 | 0.09 | 0.10 | (3.13 | ) | (3.04 | ) | (0.07 | ) | — | — | (0.07 | ) | 5.51 | -35.29 | % | 64,562 | 1.48 | % | 1.49 | % | 2.97 | % | 0.95 | % | 0.96 | % | 3.50 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 9.06 | 0.01 | 0.03 | (0.45 | ) | (0.44 | ) | — | — | — | — | 8.62 | -4.86 | % | 66,428 | 1.14 | % | 1.17 | % | 0.13 | % | 0.95 | % | 0.98 | % | 0.32 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 101.00 | (0.15 | ) | (0.15 | ) | (91.79 | ) | (91.94 | ) | — | — | — | — | 9.06 | -91.03 | % | 23,626 | 0.95 | % | 1.03 | % | (0.93 | )% | 0.95 | % | 1.03 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 | 500.00 | (1.00 | ) | (1.00 | ) | (397.20 | ) | (398.20 | ) | (0.40 | ) | — | (0.40 | ) | (0.80 | ) | 101.00 | -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 Six Months Ended April 30, 2023 (Unaudited) | 7.42 | 0.03 | 0.04 | (1.86 | ) | (1.83 | ) | — | — | — | — | 5.59 | -24.66 | % | 993,887 | 1.24 | % | 1.24 | % | 0.86 | % | 0.92 | % | 0.92 | % | 1.18 | % | 55 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 53.25 | (0.06 | ) | (0.04 | ) | (45.77 | ) | (45.83 | ) | — | — | — | — | 7.42 | -86.07 | % | 1,159,847 | 1.09 | % | 1.09 | % | (0.51 | )% | 0.94 | % | 0.94 | % | (0.36 | )% | 148 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 53.52 | (0.57 | ) | (0.57 | ) | 0.30 | (0.27 | ) | — | — | — | — | 53.25 | -0.50 | % | 772,796 | 0.95 | % | 0.93 | % | (0.82 | )% | 0.94 | % | 0.92 | % | (0.81 | )% | 169 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
127
Financial Highlights
April 30, 2023
RATIOS TO AVERAGE NET ASSETS7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period | Net Investment Income (Loss)1,2 | Net Investment Income (Loss)1,3 | Net Realized and Unrealized Gain (Loss) on Investments4 | Net Increase (Decrease) in Net Asset Value Resulting from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Distributions from Return of Capital | Total Distributions | Net Asset Value, End of Year/ Period | Total Return5 | Net Assets, End of Year/ Period (000's omitted) | Net Expenses2,6 | Total Expenses2 | Net Investment Income (Loss) after Expense Reimbursement2 | Net Expenses3,6 | Total Expenses3 | Net Investment Income (Loss) after Expense Reimbursement3 | Portfolio Turnover Rate8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 20.18 | $ | 0.25 | $ | 0.30 | $ | (3.22 | ) | $ | (2.97 | ) | $ | (0.31 | ) | $ | — | $ | — | $ | (0.31 | ) | $ | 16.90 | -14.93 | % | $ | 89,007 | 1.47 | % | 1.46 | % | 3.02 | % | 0.95 | % | 0.94 | % | 3.54 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 21.33 | 0.17 | 0.18 | (1.32 | ) | (1.15 | ) | — | — | — | — | 20.18 | -5.39 | % | 189,975 | 1.02 | % | 1.03 | % | 0.63 | % | 0.95 | % | 0.96 | % | 0.70 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 54.51 | (0.20 | ) | (0.20 | ) | (32.98 | ) | (33.18 | ) | — | — | — | — | 21.33 | -60.87 | % | 47,267 | 0.95 | % | 0.95 | % | (0.93 | )% | 0.95 | % | 0.95 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 8.89 | 0.06 | 0.09 | 5.39 | 5.45 | (0.06 | ) | — | — | (0.06 | ) | 14.28 | 61.46 | % | 4,938,944 | 1.29 | % | 1.42 | % | 0.88 | % | 0.77 | % | 0.90 | % | 1.40 | % | 63 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 47.62 | 0.12 | 0.14 | (38.77 | ) | (38.65 | ) | (0.08 | ) | — | — | (0.08 | ) | 8.89 | -81.24 | % | 3,474,072 | 0.85 | % | 0.97 | % | 0.51 | % | 0.77 | % | 0.89 | % | 0.59 | % | 241 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 16.59 | (0.00 | )10 | (0.00 | )10 | 31.05 | 31.05 | (0.02 | ) | — | — | (0.02 | ) | 47.62 | 187.22 | % | 4,155,099 | 0.83 | % | 0.90 | % | (0.01 | )% | 0.82 | % | 0.89 | % | — | % | 170 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 13.21 | 0.02 | 0.03 | 3.39 | 3.41 | (0.03 | ) | — | — | (0.03 | ) | 16.59 | 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 | 6.70 | 0.07 | 0.10 | 6.51 | 6.58 | (0.07 | ) | — | — | (0.07 | ) | 13.21 | 98.82 | % | 634,080 | 1.35 | % | 1.35 | % | 0.74 | % | 0.93 | % | 0.93 | % | 1.16 | % | 92 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 9.87 | 0.05 | 0.07 | (3.16 | ) | (3.11 | ) | (0.06 | ) | — | — | (0.06 | ) | 6.70 | -31.68 | % | 582,998 | 1.10 | % | 1.09 | % | 0.56 | % | 0.94 | % | 0.93 | % | 0.72 | % | 101 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 59.55 | 0.42 | 0.45 | (39.31 | ) | (38.89 | ) | (0.26 | ) | — | — | (0.26 | ) | 20.40 | -65.32 | % | 1,186,540 | 1.15 | % | 1.15 | % | 3.59 | % | 0.87 | % | 0.87 | % | 3.87 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 57.50 | 0.20 | 0.29 | 1.85 | 2.05 | — | — | — | — | 59.55 | 3.57 | % | 590,971 | 1.09 | % | 1.08 | % | 0.41 | % | 0.89 | % | 0.88 | % | 0.61 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 374.90 | (0.80 | ) | (0.80 | ) | (316.60 | ) | (317.40 | ) | ��� | — | — | — | 57.50 | -84.66 | % | 145,418 | 0.95 | % | 0.91 | % | (0.93 | )% | 0.95 | % | 0.91 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 3,681.60 | (0.20 | ) | 0.10 | (3,292.40 | ) | (3,292.60 | ) | (10.20 | ) | — | (3.90 | ) | (14.10 | ) | 374.90 | -89.76 | % | 93,777 | 0.98 | % | 1.00 | % | (0.02 | )% | 0.95 | % | 0.97 | % | 0.01 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 15,996.00 | 92.40 | 96.00 | (12,285.60 | ) | (12,193.20 | ) | (121.20 | ) | — | — | (121.20 | ) | 3,681.60 | -76.67 | % | 237,361 | 1.02 | % | 1.01 | % | 1.45 | % | 0.95 | % | 0.94 | % | 1.52 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 19,500.00 | 96.00 | 108.00 | (3,552.00 | ) | (3,456.00 | ) | (48.00 | ) | — | — | (48.00 | ) | 15,996.00 | -17.63 | % | 65,459 | 0.97 | % | 0.98 | % | 0.73 | % | 0.95 | % | 0.96 | % | 0.75 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 25.68 | 0.14 | 0.18 | 10.81 | 10.95 | (0.13 | ) | — | — | (0.13 | ) | 36.50 | 42.77 | % | 1,819,575 | 1.16 | % | 1.17 | % | 0.98 | % | 0.90 | % | 0.91 | % | 1.24 | % | 36 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 71.11 | (0.02 | ) | (0.01 | ) | (45.13 | ) | (45.15 | ) | — | (0.28 | ) | — | (0.28 | ) | 25.68 | -63.77 | % | 1,368,795 | 0.94 | % | 0.96 | % | (0.05 | )% | 0.90 | % | 0.92 | % | (0.01 | )% | 96 | % | ||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 25.58 | (0.14 | ) | (0.14 | ) | 45.86 | 45.72 | — | (0.19 | ) | — | (0.19 | ) | 71.11 | 179.53 | % | 3,061,359 | 0.91 | % | 0.93 | % | (0.29 | )% | 0.90 | % | 0.92 | % | (0.28 | )% | 25 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 18.44 | (0.02 | ) | — | 7.19 | 7.17 | (0.03 | ) | — | — | (0.03 | ) | 25.58 | 38.98 | % | 1,560,088 | 1.06 | % | 1.06 | % | (0.11 | )% | 0.95 | % | 0.95 | % | — | % | 376 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 12.55 | 0.04 | 0.09 | 5.91 | 5.95 | (0.05 | ) | — | — | (0.05 | ) | 18.44 | 47.55 | % | 774,641 | 1.36 | % | 1.36 | % | 0.27 | % | 0.95 | % | 0.95 | % | 0.68 | % | 47 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 10.76 | 0.04 | 0.07 | 1.80 | 1.84 | (0.05 | ) | — | — | (0.05 | ) | 12.55 | 16.99 | % | 671,151 | 1.17 | % | 1.17 | % | 0.29 | % | 0.95 | % | 0.95 | % | 0.51 | % | 41 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 41.98 | 0.43 | 0.52 | (20.52 | ) | (20.09 | ) | (0.27 | ) | — | — | (0.27 | ) | 21.62 | -47.93 | % | 151,357 | 1.56 | % | 1.53 | % | 2.90 | % | 0.95 | % | 0.92 | % | 3.51 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 37.16 | 0.12 | 0.17 | 4.70 | 4.82 | — | — | — | — | 41.98 | 12.97 | % | 159,535 | 1.08 | % | 1.07 | % | 0.31 | % | 0.95 | % | 0.94 | % | 0.44 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 147.80 | (0.57 | ) | (0.57 | ) | (110.07 | ) | (110.64 | ) | — | — | — | — | 37.16 | -74.86 | % | 66,942 | 0.95 | % | 0.95 | % | (0.93 | )% | 0.95 | % | 0.95 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 | 957.00 | (0.50 | ) | (0.40 | ) | (805.00 | ) | (805.50 | ) | (2.30 | ) | — | (1.40 | ) | (3.70 | ) | 147.80 | -84.47 | % | 80,036 | 0.96 | % | 1.03 | % | (0.18 | )% | 0.95 | % | 1.02 | % | (0.17 | )% | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 | 2,218.00 | 22.00 | 22.00 | (1,260.00 | ) | (1,238.00 | ) | (23.00 | ) | — | — | (23.00 | ) | 957.00 | -56.25 | % | 59,340 | 0.98 | % | 1.03 | % | 1.53 | % | 0.95 | % | 1.00 | % | 1.56 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 | 3,680.00 | 20.00 | 21.00 | (1,470.00 | ) | (1,450.00 | ) | (12.00 | ) | — | — | (12.00 | ) | 2,218.00 | -39.38 | % | 33,349 | 0.96 | % | 1.05 | % | 0.85 | % | 0.95 | % | 1.04 | % | 0.86 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
128
Financial Highlights
April 30, 2023
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 Transportation Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 22.14 | $ | 0.19 | $ | 0.21 | $ | 0.37 | $ | 0.56 | $ | (0.20 | ) | $ | — | $ | — | $ | (0.20 | ) | $ | 22.50 | 2.50 | % | $ | 22,503 | 1.13 | % | 1.19 | % | 1.52 | % | 0.95 | % | 1.01 | % | 1.70 | % | 29 | % | |||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 48.54 | (0.01 | ) | (0.01 | ) | (26.39 | ) | (26.40 | ) | — | — | — | — | 22.14 | -54.39 | % | 23,243 | 0.96 | % | 0.98 | % | (0.03 | )% | 0.95 | % | 0.97 | % | (0.02 | )% | 54 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 18.08 | (0.09 | ) | (0.09 | ) | 30.56 | 30.47 | (0.01 | ) | — | — | (0.01 | ) | 48.54 | 168.57 | % | 89,798 | 0.96 | % | 0.95 | % | (0.24 | )% | 0.95 | % | 0.94 | % | (0.23 | )% | 49 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 29.18 | 0.39 | 0.41 | 0.64 | 1.03 | (0.32 | ) | — | — | (0.32 | ) | 29.89 | 3.68 | % | 17,931 | 1.10 | % | 1.20 | % | 2.55 | % | 0.95 | % | 1.05 | % | 2.70 | % | 18 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 32.41 | 0.46 | 0.51 | (3.10 | ) | (2.64 | ) | (0.51 | ) | (0.08 | ) | — | (0.59 | ) | 29.18 | -8.50 | % | 21,883 | 1.08 | % | 1.17 | % | 1.25 | % | 0.95 | % | 1.04 | % | 1.38 | % | 63 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 26.76 | 0.31 | 0.31 | 5.70 | 6.01 | (0.36 | ) | — | — | (0.36 | ) | 32.41 | 22.72 | % | 37,274 | 0.96 | % | 1.03 | % | 1.04 | % | 0.95 | % | 1.02 | % | 1.05 | % | 69 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | %12 | 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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 28.57 | 0.31 | 0.32 | 3.88 | 4.19 | (0.24 | ) | — | — | (0.24 | ) | 32.52 | 14.72 | % | 35,771 | 0.99 | % | 1.00 | % | 2.02 | % | 0.95 | % | 0.96 | % | 2.06 | % | 19 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 51.86 | 0.20 | 0.20 | (23.49 | ) | (23.29 | ) | — | — | — | — | 28.57 | -44.91 | % | 24,282 | 0.96 | % | 1.01 | % | 0.48 | % | 0.95 | % | 1.00 | % | 0.49 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 65.11 | (0.22 | ) | (0.22 | ) | (7.29 | ) | (7.51 | ) | — | (5.18 | ) | (0.56 | ) | (5.74 | ) | 51.86 | -12.64 | % | 23,339 | 0.95 | % | 1.06 | % | (0.40 | )% | 0.95 | % | 1.06 | % | (0.40 | )% | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 14.21 | 0.19 | 0.21 | (2.37 | ) | (2.18 | ) | (0.15 | ) | — | — | (0.15 | ) | 11.88 | -15.36 | % | 25,542 | 1.24 | % | 1.23 | % | 2.97 | % | 0.95 | % | 0.94 | % | 3.26 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 8.71 | (0.00 | )10 | 0.01 | 5.50 | 5.50 | — | — | — | — | 14.21 | 63.15 | % | 56,135 | 1.01 | % | 0.99 | % | 0.04 | % | 0.95 | % | 0.93 | % | 0.10 | % | 0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 8.10 | (0.08 | ) | (0.08 | ) | 0.69 | 0.61 | — | — | — | — | 8.71 | 7.53 | % | 29,623 | 0.95 | % | 1.12 | % | (0.93 | )% | 0.95 | % | 1.12 | % | (0.93 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | 7.01 | 0.11 | 0.11 | 1.81 | 1.92 | (0.08 | ) | — | — | (0.08 | ) | 8.85 | 27.60 | % | 1,619,559 | 0.92 | % | 0.92 | % | 2.59 | % | 0.87 | % | 0.87 | % | 2.64 | % | 56 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 28.10 | 0.14 | 0.14 | (21.15 | ) | (21.01 | ) | (0.08 | ) | — | — | (0.08 | ) | 7.01 | -74.89 | % | 437,185 | 0.91 | % | 0.91 | % | 0.92 | % | 0.90 | % | 0.90 | % | 0.93 | % | 8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 35.81 | 0.03 | 0.03 | (7.01 | ) | (6.98 | ) | (0.03 | ) | (0.69 | ) | (0.01 | ) | (0.73 | ) | 28.10 | -19.90 | % | 359,735 | 0.88 | % | 0.88 | % | 0.11 | % | 0.88 | % | 0.88 | % | 0.11 | % | 33 | % | ||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
129
Financial Highlights
April 30, 2023
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 Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2023 (Unaudited) | $ | 159.25 | $ | 1.66 | $ | 1.98 | $ | (53.22 | ) | $ | (51.56 | ) | $ | (1.19 | ) | $ | — | $ | — | $ | (1.19 | ) | $ | 106.50 | -32.41 | % | $ | 417,948 | 1.42 | % | 1.42 | % | 2.81 | % | 0.88 | % | 0.88 | % | 3.35 | % | 0 | % | |||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2022 | 57.33 | 0.05 | 0.17 | 101.87 | 101.92 | — | — | — | — | 159.25 | 177.78 | % | 688,650 | 1.01 | % | 1.01 | % | 0.06 | % | 0.88 | % | 0.88 | % | 0.19 | % | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 | 55.80 | (0.55 | ) | (0.55 | ) | 2.08 | 1.53 | — | — | — | — | 57.33 | 2.74 | % | 325,333 | 0.88 | % | 0.88 | % | (0.86 | )% | 0.88 | % | 0.88 | % | (0.86 | )% | 0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % |
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 June 5, 2023, 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 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.
DIREXION SEMI-ANNUAL REPORT
130
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2023
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 76 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 Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Real Estate Bull 3X Shares | Direxion Daily Real Estate Bear 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.
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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 | Financials Select Sector 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 Pharmaceutical & Medical Bull 3X Shares | S&P Pharmaceuticals Select Industry Index | 300 | % | ||||||||
Direxion Daily Real Estate Bull 3X Shares | 300 | % | |||||||||
Direxion Daily Real Estate Bear 3X Shares | Real Estate Select Sector 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 | ICE Semiconductor 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 | S&P Transportation Select Industry FMC Capped Index | 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 SEMI-ANNUAL REPORT
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a) 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.
b) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivatives contracts and related cash collateral on the Statement of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. The Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Fund's custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized gains or losses on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps."
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest.
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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 April 30, 2023, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at April 30, 2023 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.
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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 | $ | — | $ | — | $ | — | $ | — | $ | 103,495 | $ | — | $ | 103,4951 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 37,387,101 | — | 33,430,000 | 3,957,101 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 2,767,765 | — | 2,767,7651 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,502,870 | — | — | 1,502,870 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 7,637,245 | — | 7,637,2451 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | 3,139,826 | — | 3,139,8261 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | 1,720,463 | — | 1,720,4631 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 185,928 | — | 170,000 | 15,928 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | — | — | — | 590,809 | — | 590,8091 | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | 388,052 | — | 388,0521 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 23,529,677 | — | 23,529,6771 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 16,808,244 | — | 16,808,2441 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 11,237,336 | — | 9,370,000 | 1,867,336 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | — | — | — | — | 2,470,899 | — | 2,470,8991 | — | |||||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 8,357,205 | — | 8,357,2051 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 2,774,671 | — | 2,774,6711 | — | — | — | — | — |
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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 | $ | 26,521,195 | $ | — | $ | 17,570,000 | $ | 8,951,195 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | 2,413,512 | — | 2,413,5121 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 33,103,041 | — | 5,960,000 | 27,143,041 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 9,380,862 | — | 9,380,8621 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 32,122,505 | — | 27,720,000 | 4,402,505 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 5,680,335 | — | 5,680,3351 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 39,665 | — | — | 39,665 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 1,804,194 | — | — | 1,804,194 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 939,750 | — | 939,7501 | — | — | — | — | — |
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: 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 | $ | 30,783,104 | $ | — | $ | 27,090,000 | $ | 3,693,104 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 2,795,467 | — | 2,795,4671 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 4,090,204 | — | 4,090,2041 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 15,390,296 | — | 15,390,2961 | — | — | — | — | — |
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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 | $ | — | $ | — | $ | — | $ | — | $ | 6,347,223 | $ | — | $ | 6,347,2231 | $ | — | |||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 7,438,011 | — | 7,438,0111 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 2,509,032 | — | 2,470,000 | 39,032 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 2,499,103 | — | 2,120,000 | 379,103 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 16,355,850 | — | 16,355,8501 | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 3,368,038 | — | 2,620,000 | 748,038 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 8,416,543 | — | 8,416,5431 | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 43,864,233 | — | 15,190,000 | 28,674,233 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 9,576,215 | — | 9,576,2151 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 56,610,518 | — | 50,710,000 | 5,900,518 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 1,230,787 | — | 1,230,7871 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 562,215 | — | 320,000 | 242,215 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 73,811 | — | 73,8111 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 5,143,451 | — | — | 5,143,451 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 5,330,015 | — | 5,330,0151 | — | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION SEMI-ANNUAL REPORT
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Description: Swap Contract
Counterparty: 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 S&P 500® Bull 3X Shares | $ | 44,009,844 | $ | — | $ | 35,560,000 | $ | 8,449,844 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 3,781,406 | — | 3,781,4061 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 12,279,012 | — | 12,279,0121 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | 245,885 | — | 245,8851 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | 13,892,813 | — | 13,892,8131 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 965,306 | — | 820,000 | 145,306 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | — | — | — | 214,182 | — | 214,1821 | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | — | — | — | 263,299 | — | 263,2991 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 46,420,844 | — | 46,420,8441 | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | — | 3,801,676 | — | 3,801,6761 | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 31,179,160 | — | 28,360,000 | 2,819,160 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | — | — | — | 98,852 | — | 98,8521 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | — | — | — | 118,972 | — | 118,9721 | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | — | 3,661,826 | — | 3,661,8261 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 1,794,776 | — | 1,010,000 | 784,776 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 1,595,828 | — | 1,595,8281 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
138
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 | $ | — | $ | — | $ | — | $ | — | $ | 5,375,707 | $ | — | $ | 5,375,7071 | $ | — | |||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 5,814,154 | — | 5,814,1541 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 115,057,055 | — | 94,790,000 | 20,267,055 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 24,524,582 | — | 24,524,5821 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 68,334,517 | — | 60,280,000 | 8,054,517 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 3,547,762 | — | 3,547,7621 | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | — | — | 131,979 | — | 131,9791 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 7,201 | — | — | 7,201 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 13,682 | — | 13,6821 | — |
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 Mid Cap Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 397,496 | $ | — | $ | 397,4961 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 36,927,361 | — | 34,368,997 | 2,558,364 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 4,299,434 | — | 4,299,4341 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 2,657,182 | — | 2,657,1821 | — |
DIREXION SEMI-ANNUAL REPORT
139
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 Small Cap Bear 3X Shares | $ | 18,019,678 | $ | — | $ | 18,019,6781 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,648,858 | — | 1,591,000 | 57,858 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | — | 4,585,552 | — | 4,585,5521 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 1,287,147 | — | 1,287,1471 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | — | — | — | 703,813 | — | 703,8131 | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 1,131,306 | — | 483,998 | 647,308 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 5,479,381 | — | 5,479,3811 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | 150,566 | — | 150,5661 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 42,732,374 | — | 42,732,3741 | — | |||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | — | — | — | 1,578,371 | — | 1,578,3711 | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | — | — | — | 198,802 | — | 198,8021 | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | — | — | — | 118,029 | — | 118,0291 | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | — | — | — | 1,979,664 | — | 1,979,6641 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | — | — | — | 592,070 | — | 592,0701 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 957,286 | — | 957,2861 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 440,529 | — | 440,5291 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
140
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 Semiconductor Bull 3X Shares | $ | 66,851,579 | $ | — | $ | 38,323,000 | $ | 28,528,579 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 6,797,830 | — | 6,797,8301 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 30,838,028 | — | 26,396,000 | 4,442,028 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 2,353,437 | — | 2,353,4371 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | — | 339,973 | — | 339,9731 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 10,327,649 | — | 2 | 10,327,647 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 3,782,260 | — | 3,782,2601 | — | — | — | — | — |
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: Goldman Sachs
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 | $ | 33,770,704 | $ | — | $ | 28,320,000 | $ | 5,450,704 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 10,210,988 | — | 10,210,9881 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,687,209 | — | — | 1,687,209 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 673,744 | — | 330,000 | 343,744 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 21,814,500 | — | 15,490,000 | 6,324,500 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 3,553,855 | — | 3,553,8551 | — |
DIREXION SEMI-ANNUAL REPORT
141
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 | $ | — | $ | — | $ | — | $ | — | $ | 18,180,857 | $ | — | $ | 18,180,8571 | $ | — | |||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 4,547,833 | — | 4,547,8331 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 4,226,265 | — | 4,226,2651 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 143,833,253 | — | 109,230,000 | 34,603,253 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 13,788,236 | — | 13,788,2361 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 90,763,892 | — | 82,620,000 | 8,143,892 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 6,663,664 | — | 6,663,6641 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 11,717,655 | — | 840,000 | 10,877,655 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 1,429,136 | — | 1,429,1361 | — | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: J.P. Morgan
Assets: 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 | $ | — | $ | — | $ | — | $ | — | $ | 348,356 | $ | — | $ | 348,3561 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 36,099,130 | — | 31,110,000 | 4,989,130 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 4,435,062 | — | 4,435,0621 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 16,510,283 | — | 16,510,2831 | — |
DIREXION SEMI-ANNUAL REPORT
142
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 Small Cap Bear 3X Shares | $ | 15,026,800 | $ | — | $ | 15,026,8001 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 1,306,409 | — | 1,120,000 | 186,409 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 298,716 | — | — | 298,716 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | 1,963,965 | — | 1,963,9651 | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 1,851,980 | — | 1,560,000 | 291,980 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 598,918 | — | 560,000 | 38,918 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 1,540,222 | — | 1,130,000 | 410,222 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 531,901 | — | 490,000 | 41,901 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 2,802,877 | — | 2,802,8771 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 484,189 | — | 350,000 | 134,189 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 21,508,440 | — | 15,320,000 | 6,188,440 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 2,480,934 | — | 2,480,9341 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | — | 4,172,374 | — | 4,172,3741 | — | |||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 91,587 | — | — | 91,587 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 1,400,687 | — | 970,000 | 430,687 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | — | — | — | — | 1,358,011 | — | 1,358,0111 | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | — | 12,625,335 | — | 12,625,3351 | — |
DIREXION SEMI-ANNUAL REPORT
143
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 Retail Bull 3X Shares | $ | — | $ | — | $ | — | $ | — | $ | 1,530,028 | $ | — | $ | 1,530,0281 | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 49,314 | — | 49,3141 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 3,596,863 | — | — | 3,596,863 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 163,250 | — | 163,2501 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 98,243,454 | — | 80,530,000 | 17,713,454 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | 3,043,765 | — | 3,043,7651 | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 68,390,111 | — | 62,030,000 | 6,360,111 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 1,374,635 | — | 1,374,6351 | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | — | — | 209,615 | — | 209,6151 | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 374,352 | — | 220,000 | 154,352 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | 580,445 | — | 580,4451 | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 2,948,605 | — | — | 2,948,605 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 177,069 | — | 177,0691 | — | — | — | — | — |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION SEMI-ANNUAL REPORT
144
Description: Swap Contract
Counterparty: Societe Generale
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 Small Cap Bull 3X Shares | $ | 41,344 | $ | — | $ | — | $ | 41,344 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 167,952 | — | 167,9521 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | 698,590 | — | 698,5901 | — |
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 Mid Cap Bull 3X Shares | $ | 274,211 | $ | — | $ | — | $ | 274,211 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 42,212,069 | — | 36,190,000 | 6,022,069 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | 1,284,797 | — | 1,284,7971 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | 14,188,960 | — | 14,188,9601 | — | |||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 10,618,703 | — | 10,618,7031 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | — | — | — | 9,173,844 | — | 9,173,8441 | — | |||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 9,869,082 | — | 9,869,0821 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 491,136 | — | 470,000 | 21,136 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | — | — | — | 11,961 | — | 11,9611 | — |
DIREXION SEMI-ANNUAL REPORT
145
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 Bear 3X Shares | $ | 874,424 | $ | — | $ | 874,4241 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 2,303,595 | — | 2,040,000 | 263,595 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 2,055,917 | — | 2,020,000 | 35,917 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 6,064,185 | — | 6,064,1851 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | 360,189 | — | 360,1891 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | 7,073,011 | — | 7,073,0111 | — | |||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 4,263,934 | — | 4,263,9341 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 3,404,888 | — | 2,800,000 | 604,888 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 94,334 | — | — | 94,334 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 1,754,021 | — | 1,754,0211 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | — | 5,503,928 | — | 5,503,9281 | — | |||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | — | — | — | 584,543 | — | 584,5431 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | — | — | — | 2,574,541 | — | 2,574,5411 | — | |||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 6,865,899 | — | 6,865,8991 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | 1,929,880 | — | 1,929,8801 | — | |||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 2,870,917 | — | 2,870,9171 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 91,108,018 | — | 64,930,000 | 26,178,018 | — | — | — | — |
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146
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 Semiconductor Bear 3X Shares | $ | 47,500,976 | $ | — | $ | 47,500,9761 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 38,699,412 | — | 33,690,000 | 5,009,412 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | 4,640,787 | — | 4,640,7871 | — | |||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | — | — | — | 338,748 | — | 338,7481 | — | |||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,168,319 | — | 1,168,3191 | — | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 3,910,038 | — | — | 3,910,038 | — | — | — | — | |||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 5,055,526 | — | 5,055,5261 | — | — | — | — | — |
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.
c) 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.
d) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended April 30, 2023.
e) 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
DIREXION SEMI-ANNUAL REPORT
147
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.
f) 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.
g) Securities Lending – The Funds may lend its investment securities to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of April 30, 2023, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished if required.
As of April 30, 2023, 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 S&P 500® Bull 3X Shares | $ | 21,906 | $ | 23,003 | $ | — | $ | 23,003 | |||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 6,058,753 | 6,217,729 | — | 6,217,729 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 212,983 | 223,039 | — | 223,039 | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 7,663 | 8,047 | — | 8,047 | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 128,562 | 131,284 | — | 131,284 | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 1,486,618 | 1,450,530 | 94,060 | 1,544,590 | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 1,535,522 | 1,577,746 | — | 1,577,746 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 8,301 | 8,515 | — | 8,515 | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 7,803,487 | 7,835,890 | 187,432 | 8,023,322 | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 14,477,673 | 14,943,224 | — | 14,943,224 |
h) 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 April 30, 2023, which is disclosed on the Statements of Operations.
DIREXION SEMI-ANNUAL REPORT
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i) 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. Certain Funds paid this excise tax during the period ended April 30, 2023.
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.
j) 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.
k) 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.
l) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2023 and October 31, 2022, 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.
Period Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||||||||||||
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 | $ | 188,084 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 14,449,674 | — | — | 5,786,419 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 10,762,794 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 4,641,815 | — | — | 1,367,545 | — | — | |||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 5,993,352 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 7,440,434 | — | — | 1,246,902 | — | — | |||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 1,999,539 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 191,688 | — | — | 316,935 | — | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 1,028,045 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 356,944 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 163,712 | — | — | 148,179 | — | — |
DIREXION SEMI-ANNUAL REPORT
149
Period Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||||||||||||||||||||||||
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 South Korea Bull 3X Shares | $ | 279,431 | $ | — | $ | — | $ | 227,711 | $ | — | $ | 87,142 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 908,259 | — | — | 5,900,582 | — | — | |||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 53,136 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | — | — | 7,017,671 | — | — | |||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 423,337 | — | — | 26,648 | — | — | |||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | 12,985,377 | — | — | 19,073,316 | — | — | |||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 2,267,811 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 1,168,280 | — | — | 597,569 | — | — | |||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 584,353 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 149,983 | — | — | 94,102 | — | — | |||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 54,946 | — | — | 36,713 | — | — | |||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 529,296 | — | — | 6,886,474 | — | — | |||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 2,158,041 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 1,721,266 | — | — | 2,874,970 | — | — | |||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 272,893 | — | — | 473,179 | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 98,917 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 736,494 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 1,628,450 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 22,153,380 | — | — | 18,952,312 | — | — | |||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 16,494,874 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | 6,478,177 | — | — | 11,889,234 | — | — | |||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 1,569,955 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 198,360 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 194,484 | — | — | 363,008 | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 217,657 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 381,668 | — | — | — | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 8,972,206 | — | — | 2,244,754 | — | — | |||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 5,040,515 | — | — | — | — | — |
DIREXION SEMI-ANNUAL REPORT
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At October 31, 2022, 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 | $ | (15,809,870 | ) | $ | 35,769 | $ | — | $ | — | $ | (15,774,101 | ) | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | (982,789,056 | ) | 809,840 | — | (6,400 | ) | (981,985,616 | ) | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | (130,026,007 | ) | — | — | (2,473,631,335 | ) | (2,603,657,342 | ) | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | (607,584,814 | ) | 1,663,421 | — | (352,881,779 | ) | (958,803,172 | ) | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | (265,017,174 | ) | — | — | (3,452,525,248 | ) | (3,717,542,422 | ) | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | (684,243,393 | ) | 450,862 | — | (330,658,278 | ) | (1,014,450,809 | ) | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 30,032,672 | — | — | (15,031,551 | ) | 15,001,121 | |||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | (12,301,218 | ) | 63,887 | — | (19,106,818 | ) | (31,344,149 | ) | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | (99,944,773 | ) | — | — | (186,212,321 | ) | (286,157,094 | ) | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 7,345,241 | — | — | (318,941,112 | ) | (311,595,871 | ) | ||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 1,216,768 | 10,006 | — | — | 1,226,774 | ||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | (23,639,927 | ) | — | — | (19,991,866 | ) | (43,631,793 | ) | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 9,970,993 | 1,383 | — | (5,096,355 | ) | 4,876,021 | |||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | (15,990,608 | ) | — | — | (16,153,594 | ) | (32,144,202 | ) | |||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | (155,451,604 | ) | — | — | (101,344,945 | ) | (256,796,549 | ) | |||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | (3,195,016 | ) | 100,487 | — | — | (3,094,529 | ) | ||||||||||||||||
Direxion Daily Financial Bull 3X Shares | (94,887,824 | ) | 7,929,725 | — | (361,864,963 | ) | (448,823,062 | ) | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | (38,095,971 | ) | — | — | (3,094,286,337 | ) | (3,132,382,308 | ) | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | (20,413,818 | ) | 162,440 | — | — | (20,251,378 | ) | ||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | (119,378,359 | ) | — | — | — | (119,378,359 | ) | ||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | (4,225,948 | ) | 10,959 | — | — | (4,214,989 | ) | ||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | (3,871,470 | ) | 21,428 | — | (5,261,408 | ) | (9,111,450 | ) | |||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | (27,290,729 | ) | — | — | — | (27,290,729 | ) | ||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | (12,101,576 | ) | 337,583 | — | (94,309,403 | ) | (106,073,396 | ) | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | (68,093,790 | ) | 127,822 | — | — | (67,965,968 | ) | ||||||||||||||||
Direxion Daily Retail Bull 3X Shares | (55,402,957 | ) | 109,847 | — | (40,780,542 | ) | (96,073,652 | ) | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | (45,123,142 | ) | — | — | — | (45,123,142 | ) | ||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | (199,033 | ) | — | — | (106,043,243 | ) | (106,242,276 | ) |
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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 S&P Biotech Bull 3X Shares | $ | (717,227,736 | ) | $ | — | $ | — | $ | (780,772,761 | ) | $ | (1,498,000,497 | ) | ||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | (99,244,371 | ) | 132,796 | — | (245,562,623 | ) | (344,674,198 | ) | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | (5,687,559,552 | ) | 5,147,262 | — | (239,601,866 | ) | (5,922,014,156 | ) | |||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 67,452,062 | 496,283 | — | (455,959,326 | ) | (388,010,981 | ) | ||||||||||||||||
Direxion Daily Technology Bull 3X Shares | (1,261,661,520 | ) | — | — | — | (1,261,661,520 | ) | ||||||||||||||||
Direxion Daily Technology Bear 3X Shares | (361,187 | ) | — | — | (262,386,135 | ) | (262,747,322 | ) | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | (6,811,940 | ) | — | — | (470,064 | ) | (7,282,004 | ) | |||||||||||||||
Direxion Daily Utilities Bull 3X Shares | (1,691,982 | ) | — | — | — | (1,691,982 | ) | ||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | (10,952,005 | ) | 33,455 | — | (3,959,407 | ) | (14,877,957 | ) | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 4,956,400 | — | — | (47,351,121 | ) | (42,394,721 | ) | ||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | (492,076,892 | ) | 1,083,546 | — | (63,660,000 | ) | (554,653,346 | ) | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 127,636,244 | — | — | (688,410,775 | ) | (560,774,531 | ) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At April 30, 2023, 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 | $ | 46,951,951 | $ | 128,818 | $ | — | $ | 128,818 | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 2,468,089,293 | 166,110,929 | (21,918,172 | ) | 144,192,757 | ||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 1,066,910,153 | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,198,299,197 | — | (8,370,478 | ) | (8,370,478 | ) | |||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 479,472,167 | — | — | — | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 609,353,457 | 4,083,740 | — | 4,083,740 | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 134,934,373 | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 33,528,584 | 524,979 | — | 524,979 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 92,584,943 | — | (177,548 | ) | (177,548 | ) | |||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 32,115,829 | — | — | — | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 21,710,099 | 1,297,211 | — | 1,297,211 | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 28,162,462 | 342,423 | — | 342,423 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 161,243,349 | 10,085,442 | (3,802,226 | ) | 6,283,216 | ||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 26,435,231 | 1,386,179 | (1,115,446 | ) | 270,733 | ||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 126,669,729 | 7,728,224 | (4,326,093 | ) | 3,402,131 | ||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 43,112,144 | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 1,810,304,808 | 91,034,874 | (37,554,859 | ) | 53,480,015 | ||||||||||||||
Direxion Daily Financial Bear 3X Shares | 176,652,688 | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 201,729,912 | 8,114,205 | (10,649,735 | ) | (2,535,530 | ) | |||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 172,019,473 | 19,003,482 | (847,867 | ) | 18,155,615 | ||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 22,068,197 | 375,379 | (1,538,969 | ) | (1,163,590 | ) | |||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 9,685,496 | 722,753 | (908,116 | ) | (185,363 | ) |
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Funds | Tax Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | $ | 53,503,658 | $ | 279,167 | $ | (3,162,538 | ) | $ | (2,883,371 | ) | |||||||||
Direxion Daily Real Estate Bear 3X Shares | 174,279,396 | — | — | — | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 460,171,017 | 7,944,982 | (15,049,007 | ) | (7,104,025 | ) | |||||||||||||
Direxion Daily Retail Bull 3X Shares | 50,040,207 | 2,281,431 | (1,547,767 | ) | 733,664 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 65,767,862 | 3,507,679 | (3,200,937 | ) | 306,742 | ||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 68,290,054 | — | — | — | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 1,009,374,654 | 62,533,301 | (62,504,301 | ) | 29,000 | ||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 96,042,854 | — | — | — | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 4,418,827,035 | 379,072,511 | (41,529,366 | ) | 337,543,145 | ||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 1,284,955,274 | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 1,579,031,962 | 191,069,035 | (8,854,228 | ) | 182,214,807 | ||||||||||||||
Direxion Daily Technology Bear 3X Shares | 172,134,524 | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 24,033,829 | 354,555 | (1,248,604 | ) | (894,049 | ) | |||||||||||||
Direxion Daily Utilities Bull 3X Shares | 18,322,183 | 253,058 | (270,862 | ) | (17,804 | ) | |||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 35,221,331 | 99,905 | — | 99,905 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 26,335,495 | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 1,531,471,718 | 31,460,380 | — | 31,460,380 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 420,552,564 | — | — | — |
The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales.
In order to meet certain U.S. excise tax distribution requirements, 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, 2022.
At October 31, 2022, the Funds deferred, on a tax basis, qualified late year losses of:
Ordinary Late Year Loss Deferral | |||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | $ | 58,267 | |||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 294,260 | ||||||
Direxion Daily S&P Biotech Bull 3X Shares | 3,439,848 |
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, 2022, 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 | $ | — | $ | — | $ | — | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 2,470,297,255 | 3,329,426 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | 352,879,795 | — | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | 3,452,523,190 | — | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | — | 325,605,746 | 5,052,532 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | (81,197,814 | ) | 15,031,551 | — | |||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | — | 19,106,818 | — | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | 125,175,993 | 61,036,328 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | (15,109,098 | ) | 318,941,112 | — |
DIREXION SEMI-ANNUAL REPORT
153
Funds | Utilized in Current Year | Unlimited ST | Unlimited LT | ||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | $ | — | $ | — | $ | — | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | 19,991,866 | — | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 338,823 | 4,757,532 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 14,952,956 | 1,142,371 | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | 101,050,685 | — | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | (6,603,182 | ) | — | — | |||||||||||
Direxion Daily Financial Bull 3X Shares | — | 332,638,013 | 28,914,473 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | — | 3,094,283,146 | — | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 5,008,593 | 252,815 | ||||||||||||
Direxion Daily Real Estate Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Real Estate Bear 3X Shares | (25,333,762 | ) | 94,309,403 | — | |||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Retail Bull 3X Shares | — | 35,636,417 | 5,144,125 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | 106,043,243 | — | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | 716,192,022 | 61,140,891 | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | (43,877,769 | ) | 245,562,623 | — | |||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | 236,225,383 | 3,376,483 | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | (301,474,455 | ) | 455,959,326 | — | |||||||||||
Direxion Daily Technology Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily Technology Bear 3X Shares | — | 262,385,958 | — | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 470,064 | — | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | — | — | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 3,267,148 | 692,259 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | (13,715,213 | ) | 47,351,121 | — | |||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 60,511,910 | 3,148,090 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | (280,830,679 | ) | 688,410,775 | — |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Funds have reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of April 30, 2023, open U.S. Federal and state income tax years include the tax years ended October 31, 2020 through October 31, 2022. 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
DIREXION SEMI-ANNUAL REPORT
154
applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2023 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 | $ | 6,158,167 | $ | — | $ | 5,834,202 | $ | 5,799,100 | |||||||||||
Direxion Daily S&P 500® Bull 3X Shares | 194,369,121 | 2,894,337,388 | 3,889,116,063 | 1,116,681,779 | |||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 251,937,150 | 728,752,407 | 734,959,704 | 280,488,170 | |||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 246,854,000 | 230,193,944 | 345,188,465 | 161,211,604 | |||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 4,207,973 | — | 10,216,223 | 7,656,200 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | — | 16,030,528 | 39,261,451 | 23,671,916 | |||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 4,207,375 | 1,095,411 | — | — | |||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 8,419,189 | 3,541,257 | 5,814,850 | 6,640,627 | |||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 23,688,304 | 15,680,922 | 14,840,100 | 42,997,166 | |||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 8,725,790 | 10,647,317 | 5,691,379 | 2,964,288 | |||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 64,366,612 | 64,294,413 | 78,803,489 | 59,443,556 | |||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Financial Bull 3X Shares | 690,890,930 | 755,495,384 | 508,617,570 | 344,794,455 | |||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 25,438,151 | 14,637,324 | 25,252,251 | 17,239,111 | |||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 53,076,587 | 10,596,296 | 18,713,250 | 41,956,112 | |||||||||||||||
Direxion Daily Industrials Bull 3X Shares | 2,664,264 | 991,973 | 4,712,052 | 4,913,036 | |||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 1,994,909 | 2,001,136 | — | 475,469 | |||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 14,041,247 | 13,539,782 | 17,810,567 | 13,100,996 | |||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 58,581,401 | 215,592,862 | 517,552,887 | 140,233,013 | |||||||||||||||
Direxion Daily Retail Bull 3X Shares | 31,951,540 | 30,977,960 | 17,538,596 | 14,073,517 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 36,921,888 | 34,164,277 | 29,385,892 | 34,749,770 | |||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 400,453,217 | 505,191,404 | 842,576,337 | 657,475,138 | |||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 2,097,476,561 | 2,688,561,874 | 3,175,361,895 | 1,953,478,163 | |||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Technology Bull 3X Shares | 474,827,583 | 373,941,634 | 242,996,843 | 172,106,164 | |||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily Transportation Bull 3X Shares | 7,220,949 | 4,818,118 | 2,418,452 | 2,319,458 | |||||||||||||||
Direxion Daily Utilities Bull 3X Shares | 4,309,830 | 2,067,175 | 9,594,178 | 15,793,346 | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 6,443,015 | 4,100,960 | 6,124,134 | — | |||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | — | — | |||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 513,177,101 | 353,484,499 | 660,940,519 | 72,479,141 | |||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2023.
DIREXION SEMI-ANNUAL REPORT
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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.
The Adviser has agreed to waive a portion of its fees based upon the specific breakpoints listed in the table below based on each Fund's daily net assets. For the period ended April 30, 2023, the Adviser waived its fee in certain Funds.
Net Asset Range | Advisory Fee Limit | ||||||
$0 – $1,500,000,000 | 0.75 | % | |||||
$1,500,000,000 – $2,000,000,000 | 0.70 | % | |||||
$2,000,000,000 – $2,500,000,000 | 0.65 | % | |||||
$2,500,000,000 – $3,000,000,000 | 0.60 | % | |||||
$3,000,000,000 – $3,500,000,000 | 0.55 | % | |||||
$3,500,000,000 – $4,000,000,000 | 0.50 | % | |||||
$4,000,000,000 – $4,500,000,000 | 0.45 | % | |||||
Greater than $4,500,000,000 | 0.40 | % |
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust. This fee is allocated to each Fund based on each Fund's respective average daily net assets.
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, 2024. 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, 2023 | October 31, 2024 | October 31, 2025 | April 30, 2026 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 5 | $ | 3,958 | $ | 15,878 | $ | 1,507 | $ | 8,604 | $ | 3,958 | $ | 29,947 | |||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | 111,900 | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 46,555 | 180 | 19,507 | 379 | 49,431 | 180 | 69,497 | ||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 6,307 | 199 | 19,026 | 11,460 | 5,923 | 199 | 36,608 | ||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 901 | 1,238 | — | 1,054 | 6,174 | 1,238 | 8,466 | ||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 22 | 7,368 | 18,118 | 939 | 17,713 | 7,368 | 44,138 |
DIREXION SEMI-ANNUAL REPORT
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2023 | October 31, 2024 | October 31, 2025 | April 30, 2026 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | $ | — | $ | 26,892 | $ | 31,362 | $ | 58,889 | $ | 50,097 | $ | 26,892 | $ | 167,240 | |||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | — | 5,894 | 13,440 | 6,726 | 14,262 | 5,894 | 40,322 | ||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | — | 6,904 | 20,009 | 4,769 | 15,648 | 6,904 | 47,330 | ||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 7,324 | 24,851 | 18,769 | 24,164 | 7,324 | 75,108 | ||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 6,968 | 225 | — | 4,118 | 31,317 | 225 | 35,660 | ||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 4,238 | 16,868 | 27,407 | 18,987 | 4,238 | 67,500 | ||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares | 26,836 | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 8,520 | 100 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 301 | 301 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 7,603 | 24,556 | 5,072 | 17,849 | 7,603 | 55,080 | ||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 15,655 | 28,617 | 21,940 | 23,937 | 15,655 | 90,149 | ||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 894 | 1,042 | 21,728 | 2,655 | 26,610 | 1,042 | 52,035 | ||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 30,466 | — | 31,967 | 48,415 | 51,746 | — | 132,128 | ||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares | 1,851 | 16 | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 399 | 1,830 | 14,467 | 8,528 | 8,279 | 1,830 | 33,104 | ||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 10 | 1,772 | 18,402 | 19,907 | 14,090 | 1,772 | 54,171 | ||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 6,365 | 8 | 26,200 | 2,825 | 12,487 | 8 | 41,520 | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | 25,069 | — | 12,140 | 2,677 | — | — | 14,817 |
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Potential Recoupment Amounts Expiring: | Total Potential | ||||||||||||||||||||||||||||||
Expenses Recouped | Expenses Reimbursed | October 31, 2023 | October 31, 2024 | October 31, 2025 | April 30, 2026 | Recoupment Amount | |||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | $ | — | $ | 8,010 | $ | 15,263 | $ | 3,328 | $ | 12,108 | $ | 8,010 | $ | 38,709 | |||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 8,872 | 22,634 | 17,028 | 21,711 | 8,872 | 70,245 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 671 | 2,021 | 18,146 | 21,335 | 21,306 | 2,021 | 62,808 | ||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 1,820 | 285 | 20,488 | 26,014 | 3,162 | 285 | 49,949 | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | — | — | — | — | — |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2023 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.
The following is a summary of the inputs used to value the Funds' net assets as of April 30, 2023:
Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares | $ | 34,957,232 | $ | — | $ | 12,123,537 | $ | 274,211 | $ | (849,347 | ) | ||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | — | 2,088,958,131 | 523,323,919 | 261,189,313 | — | ||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | — | 1,066,910,153 | — | (29,574,919 | ) | |||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 720,556,428 | — | 469,372,291 | 1,544,214 | (49,725,641 | ) |
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Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | $ | — | $ | — | $ | 479,472,167 | $ | 66,692,722 | $ | (245,885 | ) | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 383,540,209 | — | 229,896,988 | — | (32,553,706 | ) | |||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | — | — | 134,934,373 | 17,307,093 | (1,720,463 | ) | |||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 15,525,079 | — | 18,528,484 | 7,642,644 | — | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 2,437,173 | — | 89,970,222 | 298,716 | (4,597,513 | ) | |||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | — | 32,115,829 | 2,161,571 | (1,963,965 | ) | |||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 8,360,529 | — | 14,646,781 | 5,794,625 | — | ||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 14,231,665 | — | 14,273,220 | 784,846 | (917,995 | ) | |||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | — | 110,801,145 | 56,725,420 | 5,170,631 | — | ||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | — | 20,204,900 | 6,501,064 | 2,587,818 | (263,299 | ) | |||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | — | 92,636,493 | 37,435,367 | 14,346,443 | (590,809 | ) | |||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | — | 43,112,144 | 484,189 | (898,807 | ) | |||||||||||||||||
Direxion Daily Financial Bull 3X Shares | — | 1,147,324,119 | 716,460,704 | 43,322,940 | (136,279,708 | ) | |||||||||||||||||
Direxion Daily Financial Bear 3X Shares | — | — | 176,652,688 | 23,553,112 | (4,252,445 | ) | |||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares | — | 140,298,585 | 58,895,797 | 3,404,888 | (7,974,050 | ) | |||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | — | 127,354,288 | 62,820,800 | 45,784,534 | (1,578,371 | ) | |||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | — | 14,118,098 | 6,786,509 | 91,587 | (297,654 | ) | |||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | — | 6,308,625 | 3,191,508 | 94,334 | (237,001 | ) | |||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | — | 37,243,133 | 13,377,154 | 1,400,687 | (2,470,899 | ) | |||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | — | — | 174,279,396 | 10,111,226 | (1,358,011 | ) | |||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | — | 315,090,982 | 137,976,010 | — | (39,971,946 | ) | |||||||||||||||||
Direxion Daily Retail Bull 3X Shares | — | 31,110,094 | 19,663,777 | — | (4,094,235 | ) | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 48,366,713 | 17,707,891 | 1,794,776 | (3,166,611 | ) | ||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | — | 68,290,054 | 11,285,712 | — | ||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | — | 753,462,050 | 255,941,604 | 30,118,058 | (21,227,249 | ) |
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Asset Class | Liability Class | ||||||||||||||||||||||
Level 1 | Level 2 | Level 2 | |||||||||||||||||||||
Funds | Investment Companies | Common Stocks | Short Term Investments | Total Return Swap Contracts* | Total Return Swap Contracts* | ||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | $ | — | $ | — | $ | 96,042,854 | $ | 13,515,115 | $ | (2,413,512 | ) | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | — | 3,771,585,366 | 984,784,814 | 592,060,633 | — | ||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | — | 1,284,955,274 | 92,611,624 | (22,000,842 | ) | |||||||||||||||||
Direxion Daily Technology Bull 3X Shares | — | 1,259,068,053 | 502,178,716 | 385,758,983 | — | ||||||||||||||||||
Direxion Daily Technology Bear 3X Shares | — | — | 172,134,524 | — | (25,491,407 | ) | |||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | — | 16,231,809 | 6,907,971 | — | (678,721 | ) | |||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | — | 11,436,549 | 6,867,830 | 1,168,319 | (341,594 | ) | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 27,444,200 | — | 7,877,036 | 983,433 | — | ||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | — | 26,335,495 | — | (667,938 | ) | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 1,054,818,349 | — | 508,113,749 | 35,851,592 | — | ||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | — | 420,552,564 | 16,713,756 | — |
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 April 30, 20223, the Funds were invested in swap contracts. At April 30, 2023, 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 | $ | 274,211 | $ | — | $ | 274,211 | |||||||||
Direxion Daily S&P 500® Bull 3X Shares | 261,189,313 | — | 261,189,313 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 1,544,214 | — | 1,544,214 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 66,692,722 | — | 66,692,722 |
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Asset Derivatives1 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | $ | 17,307,093 | $ | — | $ | 17,307,093 | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 7,642,644 | — | 7,642,644 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 298,716 | — | 298,716 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 2,161,571 | �� | — | 2,161,571 | |||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 5,794,625 | — | 5,794,625 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 784,846 | — | 784,846 | ||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 5,170,631 | — | 5,170,631 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 2,587,818 | — | 2,587,818 | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 14,346,443 | — | 14,346,443 | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 484,189 | — | 484,189 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 43,322,940 | — | 43,322,940 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | 23,553,112 | — | 23,553,112 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 3,404,888 | — | 3,404,888 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 45,784,534 | — | 45,784,534 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 91,587 | — | 91,587 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 94,334 | — | 94,334 | ||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 1,400,687 | — | 1,400,687 | ||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 10,111,226 | — | 10,111,226 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 1,794,776 | — | 1,794,776 | ||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 11,285,712 | — | 11,285,712 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 30,118,058 | — | 30,118,058 | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | 13,515,115 | — | 13,515,115 | ||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | 592,060,633 | — | 592,060,633 | ||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | 92,611,624 | — | 92,611,624 | ||||||||||||
Direxion Daily Technology Bull 3X Shares | 385,758,983 | — | 385,758,983 | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | 1,168,319 | — | 1,168,319 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | — | 983,433 | 983,433 | ||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | — | 35,851,592 | 35,851,592 | ||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 16,713,756 | 16,713,756 |
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 | $ | 849,347 | $ | — | $ | 849,347 | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | 29,574,919 | — | 29,574,919 | ||||||||||||
Direxion Daily Small Cap Bull 3X Shares | 49,725,641 | — | 49,725,641 | ||||||||||||
Direxion Daily Small Cap Bear 3X Shares | 245,885 | — | 245,885 | ||||||||||||
Direxion Daily FTSE China Bull 3X Shares | 32,553,706 | — | 32,553,706 | ||||||||||||
Direxion Daily FTSE China Bear 3X Shares | 1,720,463 | — | 1,720,463 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 4,597,513 | — | 4,597,513 | ||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 1,963,965 | — | 1,963,965 | ||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 917,995 | — | 917,995 | ||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 263,299 | — | 263,299 | ||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 590,809 | — | 590,809 | ||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 898,807 | — | 898,807 | ||||||||||||
Direxion Daily Financial Bull 3X Shares | 136,279,708 | — | 136,279,708 | ||||||||||||
Direxion Daily Financial Bear 3X Shares | 4,252,445 | — | 4,252,445 | ||||||||||||
Direxion Daily Healthcare Bull 3X Shares | 7,974,050 | — | 7,974,050 | ||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 1,578,371 | — | 1,578,371 | ||||||||||||
Direxion Daily Industrials Bull 3X Shares | 297,654 | — | 297,654 | ||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 237,001 | — | 237,001 | ||||||||||||
Direxion Daily Real Estate Bull 3X Shares | 2,470,899 | — | 2,470,899 | ||||||||||||
Direxion Daily Real Estate Bear 3X Shares | 1,358,011 | — | 1,358,011 | ||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | 39,971,946 | — | 39,971,946 | ||||||||||||
Direxion Daily Retail Bull 3X Shares | 4,094,235 | — | 4,094,235 | ||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 3,166,611 | — | 3,166,611 | ||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 21,227,249 | — | 21,227,249 |
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Liability Derivatives2 | |||||||||||||||
Fund | Equity Risk | Interest Rate Risk | Total | ||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | $ | 2,413,512 | $ | — | $ | 2,413,512 | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | 22,000,842 | — | 22,000,842 | ||||||||||||
Direxion Daily Technology Bear 3X Shares | 25,491,407 | — | 25,491,407 | ||||||||||||
Direxion Daily Transportation Bull 3X Shares | 678,721 | — | 678,721 | ||||||||||||
Direxion Daily Utilities Bull 3X Shares | 341,594 | — | 341,594 | ||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 667,938 | 667,938 |
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended April 30, 2023 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 | $ | 2,567,889 | $ | — | $ | (4,463,046 | ) | $ | — | |||||||||||||
Direxion Daily S&P 500® Bull 3X Shares | Swap Contracts | 77,952,606 | — | 196,715,963 | — | ||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares | Swap Contracts | (171,125,676 | ) | — | (107,242,661 | ) | — | ||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares | Swap Contracts | (14,281,142 | ) | — | (163,269,946 | ) | — | ||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares | Swap Contracts | (49,351,315 | ) | — | 96,770,228 | — | |||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares | Swap Contracts | 49,226,636 | — | 119,494,830 | — | ||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares | Swap Contracts | (125,721,719 | ) | — | (38,526,797 | ) | — | ||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares | Swap Contracts | 4,216,661 | — | 8,807,764 | — | ||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | Swap Contracts | (1,480,089 | ) | — | 17,869,505 | — | |||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | Swap Contracts | (7,018,375 | ) | — | (13,995,163 | ) | — | ||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | Swap Contracts | 3,063,982 | — | 3,144,382 | — | ||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | Swap Contracts | 4,708,306 | — | 1,342,809 | — | ||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | Swap Contracts | 47,501,974 | — | (35,475,793 | ) | — | |||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | Swap Contracts | (3,267,862 | ) | — | 2,437,055 | — | |||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | Swap Contracts | (13,360,531 | ) | — | 26,324,423 | — | |||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | Swap Contracts | 35,826 | — | (20,239,669 | ) | — | |||||||||||||||||
Direxion Daily Financial Bull 3X Shares | Swap Contracts | 101,748,143 | — | (245,034,259 | ) | — | |||||||||||||||||
Direxion Daily Financial Bear 3X Shares | Swap Contracts | (37,012,674 | ) | — | 44,822,852 | — |
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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 Healthcare Bull 3X Shares | Swap Contracts | $ | 16,347,305 | $ | — | $ | (23,576,890 | ) | $ | — | |||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | Swap Contracts | 52,647,436 | — | 35,871,318 | — | ||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares | Swap Contracts | 3,756,835 | — | (2,509,820 | ) | — | |||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | Swap Contracts | (422,719 | ) | — | (744,797 | ) | — | ||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares | Swap Contracts | 5,345,712 | — | (5,183,394 | ) | — | |||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares | Swap Contracts | (52,749,826 | ) | — | 8,572,417 | — | |||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | Swap Contracts | (101,369,607 | ) | — | (63,974,195 | ) | — | ||||||||||||||||
Direxion Daily Retail Bull 3X Shares | Swap Contracts | 1,267,004 | — | (8,127,333 | ) | — | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | Swap Contracts | 9,706,773 | — | (7,012,840 | ) | — | |||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | Swap Contracts | (25,181,814 | ) | — | (2,045,506 | ) | — | ||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares | Swap Contracts | (70,555,703 | ) | — | (95,330,666 | ) | — | ||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares | Swap Contracts | (10,455,969 | ) | — | 10,652,127 | — | |||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares | Swap Contracts | 133,575,723 | — | 1,400,854,068 | — | ||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares | Swap Contracts | (797,699,792 | ) | — | (77,065,525 | ) | — | ||||||||||||||||
Direxion Daily Technology Bull 3X Shares | Swap Contracts | (111,011,790 | ) | — | 501,333,943 | — | |||||||||||||||||
Direxion Daily Technology Bear 3X Shares | Swap Contracts | (30,738,392 | ) | — | (67,514,115 | ) | — | ||||||||||||||||
Direxion Daily Transportation Bull 3X Shares | Swap Contracts | (1,268,190 | ) | — | 1,090,636 | — | |||||||||||||||||
Direxion Daily Utilities Bull 3X Shares | Swap Contracts | 1,882,380 | — | (338,855 | ) | — | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | Swap Contracts | — | (2,627,534 | ) | — | 5,064,335 | |||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | Swap Contracts | — | (196,078 | ) | — | (6,983,544 | ) | ||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | Swap Contracts | — | (82,065,311 | ) | — | 212,032,651 | |||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | Swap Contracts | — | (87,636,249 | ) | — | (132,115,871 | ) |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
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For the period ended April 30, 2023, 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 | $ | 116,684,865 | $ | — | |||||||
Direxion Daily S&P 500® Bull 3X Shares | 5,887,503,466 | — | |||||||||
Direxion Daily S&P 500® Bear 3X Shares | — | 3,085,201,958 | |||||||||
Direxion Daily Small Cap Bull 3X Shares | 2,700,220,899 | — | |||||||||
Direxion Daily Small Cap Bear 3X Shares | — | 1,548,441,026 | |||||||||
Direxion Daily FTSE China Bull 3X Shares | 1,207,355,837 | — | |||||||||
Direxion Daily FTSE China Bear 3X Shares | — | 503,192,988 | |||||||||
Direxion Daily FTSE Europe Bull 3X Shares | 70,567,210 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 249,972,040 | — | |||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | — | 118,444,031 | |||||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 36,578,410 | — | |||||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 66,821,882 | — | |||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 416,549,135 | — | |||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 58,320,686 | — | |||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 275,383,965 | — | |||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | — | 151,549,736 | |||||||||
Direxion Daily Financial Bull 3X Shares | 4,412,763,827 | — | |||||||||
Direxion Daily Financial Bear 3X Shares | — | 518,947,385 | |||||||||
Direxion Daily Healthcare Bull 3X Shares | 443,789,091 | — | |||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 367,401,948 | — | |||||||||
Direxion Daily Industrials Bull 3X Shares | 48,902,463 | — | |||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 24,532,699 | — | |||||||||
Direxion Daily Real Estate Bull 3X Shares | 117,355,633 | — | |||||||||
Direxion Daily Real Estate Bear 3X Shares | — | 533,764,301 | |||||||||
Direxion Daily Regional Banks Bull 3X Shares | 611,544,376 | — | |||||||||
Direxion Daily Retail Bull 3X Shares | 119,882,684 | — | |||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 156,307,780 | — | |||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | — | 192,531,221 | |||||||||
Direxion Daily S&P Biotech Bull 3X Shares | 2,413,658,895 | — | |||||||||
Direxion Daily S&P Biotech Bear 3X Shares | — | 432,057,051 | |||||||||
Direxion Daily Semiconductor Bull 3X Shares | 9,691,091,909 | — | |||||||||
Direxion Daily Semiconductor Bear 3X Shares | — | 3,397,456,361 | |||||||||
Direxion Daily Technology Bull 3X Shares | 3,440,992,119 | — | |||||||||
Direxion Daily Technology Bear 3X Shares | — | 474,141,847 | |||||||||
Direxion Daily Transportation Bull 3X Shares | 57,623,657 | — | |||||||||
Direxion Daily Utilities Bull 3X Shares | 41,497,441 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 62,505,653 | — | |||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | — | 113,782,939 | |||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 2,408,950,055 | — | |||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | — | 1,585,380,354 |
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
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obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• 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
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and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and future agreements may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
10. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On June 5, 2023, shares of the following Fund were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split has no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse stock split is as follows:
Funds | Effective Date | Rate | Net Asset Value Before Split | Net Asset Value After Split | Shares Outstanding Before Split | Shares Outstanding After Split | |||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares | June 5, 2023 | 1 | :10 | $ | 6.06 | $ | 60.60 | 93,748,590 | 9,374,859 |
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On June 20, 2023, certain Funds declared income distributions with an ex-date of June 21, 2023 and payable date of June 28, 2023. 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 | $ | 0.21120 | |||||
Direxion Daily S&P 500® Bull 3X Shares | 0.25846 | ||||||
Direxion Daily S&P 500® Bear 3X Shares | 0.15810 | ||||||
Direxion Daily Small Cap Bull 3X Shares | 0.22752 | ||||||
Direxion Daily Small Cap Bear 3X Shares | 0.23574 | ||||||
Direxion Daily FTSE China Bull 3X Shares | 0.23636 | ||||||
Direxion Daily FTSE China Bear 3X Shares | 0.07973 | ||||||
Direxion Daily FTSE Europe Bull 3X Shares | 0.14412 | ||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares | 0.29784 | ||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares | 0.12436 | ||||||
Direxion Daily MSCI Mexico Bull 3X Shares | 0.78013 | ||||||
Direxion Daily MSCI South Korea Bull 3X Shares | 0.03135 | ||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | 0.06600 | ||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | 0.04025 | ||||||
Direxion Daily Dow Jones Internet Bull 3X Shares | 0.00011 | ||||||
Direxion Daily Dow Jones Internet Bear 3X Shares | 0.20588 | ||||||
Direxion Daily Financial Bull 3X Shares | 0.62055 | ||||||
Direxion Daily Financial Bear 3X Shares | 0.16861 | ||||||
Direxion Daily Healthcare Bull 3X Shares | 0.53725 | ||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | 0.01306 | ||||||
Direxion Daily Industrials Bull 3X Shares | 0.15117 | ||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | 0.04923 | ||||||
Direxion Daily Real Estate Bull 3X Shares | 0.07256 | ||||||
Direxion Daily Real Estate Bear 3X Shares | 0.57682 | ||||||
Direxion Daily Regional Banks Bull 3X Shares | 0.46049 | ||||||
Direxion Daily Retail Bull 3X Shares | 0.04608 | ||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares | 0.06533 | ||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares | 0.03659 | ||||||
Direxion Daily S&P Biotech Bull 3X Shares | 0.00868 | ||||||
Direxion Daily S&P Biotech Bear 3X Shares | 0.09985 | ||||||
Direxion Daily Semiconductor Bull 3X Shares | 0.03805 | ||||||
Direxion Daily Semiconductor Bear 3X Shares | 0.11927 | ||||||
Direxion Daily Technology Bull 3X Shares | 0.03993 | ||||||
Direxion Daily Technology Bear 3X Shares | 0.19739 | ||||||
Direxion Daily Transportation Bull 3X Shares | 0.07418 | ||||||
Direxion Daily Utilities Bull 3X Shares | 0.12198 | ||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares | 0.21866 | ||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares | 0.12474 | ||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares | 0.04763 | ||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares | 1.26315 |
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Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
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Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested 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(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Daniel D. O'Neill(1) Age: 55 | Chairman of the Board of Trustees | Lifetime of Trust until removal or resignation; Since 2008 | Chief Executive Officer, Rafferty Asset Management, LLC, April 2021 – September 2022; Managing Director, Rafferty Asset Management, LLC, January 1999 – January 2019. | 118 | None. | ||||||||||||||||||
Angela Brickl(2) Age: 47 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Chief Executive Officer, Rafferty Asset Management, LLC since September 2022; Chief Operating Officer, Rafferty Asset Management, LLC May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, September 2012 – March 2023. | 118 | None. |
(1) Mr. O'Neill is affiliated with Rafferty because he owns a beneficial interest in Rafferty.
(2) Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
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(3) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
David L. Driscoll Age: 53 | Trustee | Lifetime of Trust until removal or resignation; Since 2014 | Board Member, Algorithmic Research and Trading, since 2022; Board Advisor, University Common Real Estate, since 2012; Member, Kendrick LLC, since 2006; Partner, King Associates, LLP, since 2004; Principal, Grey Oaks LLP, since 2003. | 118 | None. | ||||||||||||||||||
Kathleen M. Berkery Age: 55 | Trustee | Lifetime of Trust until removal or resignation; Since 2019 | Chief Financial Officer, Metro Physical Therapy, LLC, since 2023; Chief Financial Officer, Student Sponsor Partners, 2021 – 2023; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, 2018 – 2021. | 118 | None. | ||||||||||||||||||
Carlyle Peake Age: 51 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011. | 118 | None. | ||||||||||||||||||
Mary Jo Collins Age: 66 | Trustee | Lifetime of Trust until removal or resignation; Since 2022 | Managing Director, B. Riley Financial, March – December 2022; Managing Director, Imperial Capital LLC, from 2020 – 2022; Director, Royal Bank of Canada, 2014 – 2020. | 118 | None. |
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and Age | Position(s) Held with Fund | Term of Office(3) and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(4) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Angela Brickl(1) Age: 47 | Chief Executive Officer | Since 2022 | Chief Executive Officer, Rafferty Asset Management, LLC, from September 2022; Chief Operating Officer, Rafferty Asset Management, LLC, May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, September 2012 – March 2023. | N/A | N/A | ||||||||||||||||||
Todd Sherman Age: 42 | Chief Compliance Officer | Since 2023 | Chief Risk Officer, Rafferty Asset Management, LLC, since 2018; SVP Head of Risk, 2012 – 2018. | N/A | N/A | ||||||||||||||||||
Patrick J. Rudnick Age: 49 | Principal Executive Officer | Since 2018 | Senior Vice President, Rafferty Asset Management, LLC, since March 2013. | N/A | N/A | ||||||||||||||||||
Corey Noltner Age: 34 | Principal Financial Officer | Since 2021 | Senior Business Analyst, Rafferty Asset Management, LLC, Since October 2015. | N/A | N/A |
(1) Ms. Brickl serves on the Board of Trustees of the Direxion Funds and Direxion Shares ETF Trust.
(2) Pursuant to the Trust's By-laws, each officer shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, removal or resignation. Officers serve at the pleasure of the Board of Trustees and may be removed at any time with or without cause.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age | Position(s) Held with Fund | Term of Office(3) and Length of Time Served | Principal Occupation(s) During Past Five Years | # of Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(4) | Other Trusteeships/ Directorships Held by Trustee During Past Five Years | ||||||||||||||||||
Alyssa Sherman Age: 34 | Secretary | Since 2022 | Assistant General Counsel, Rafferty Asset Management, LLC, since April 2021; Associate, K&L Gates LLP, September 2015 – March 2021. | N/A | N/A |
(2) Pursuant to the Trust's By-laws, each officer shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, removal or resignation. Officers serve at the pleasure of the Board of Trustees and may be removed at any time with or without cause.
(3) 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 75 of the 108 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.
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SEMI-ANNUAL REPORT APRIL 30, 2023
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxion.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
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports
Item 6. Schedule of Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors/trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the last fiscal half-year covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Direxion Shares ETF Trust |
By (Signature and Title) | /s/ Patrick J. Rudnick | ||
Patrick J. Rudnick, Principal Executive Officer |
Date | 7/5/2023 |
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 | 7/5/2023 |
By (Signature and Title) | /s/ Corey Noltner | ||
Corey Noltner, Principal Financial Officer |
Date | 7/5/2023 |