DIREXION SHARES ETF TRUST

ANNUAL REPORT OCTOBER 31, 2021

1301 Avenue of the Americas (6th Ave.), 28th Floor  New York, New York 10019  www.direxioninvestments.com

STRATEGIC ETFS

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

Direxion Dynamic Hedge ETF

Direxion Fallen Knives ETF

Direxion Flight to Safety Strategy ETF (Consolidated)

Direxion Low Priced Stock ETF

Direxion NASDAQ-100® Equal Weighted Index Shares

Direxion Russell 1000® Growth Over Value ETF

Direxion Russell 1000® Value Over Growth ETF

THEMATIC ETFS

Direxion Hydrogen ETF

Direxion Moonshot Innovators ETF

Direxion Work From Home ETF

Direxion World Without Waste 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.

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Table of Contents

Letter to Shareholders (Unaudited)

   

4

   
Performance Summary (Unaudited)    

12

   
Expense Example (Unaudited)    

24

   
Allocation of Portfolio Holdings (Unaudited)    

26

   
Schedules of Investments    

27

   
Statements of Assets and Liabilities    

43

   
Statements of Operations    

46

   
Statements of Changes in Net Assets    

49

   
Financial Highlights    

55

   
Notes to the Financial Statements    

57

   
Report of Independent Registered Public
Accounting Firm
   

75

   
Supplemental Information (Unaudited)    

77

   
Board Review of Investment Advisory
Agreement (Unaudited)
   

78

   
Board Review of Liquidity Risk
Management Program (Unaudited)
   

83

   
Trustees and Officers (Unaudited)    

84

   

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Letter to Shareholders (Unaudited)

Dear Shareholders,

This Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2020 to October 31, 2021 (the "Annual Period").

Market Review:

Worsening COVID-19 case counts in the US, on the heels of a resurgence of the virus in Europe, bore fears of a second wave, all while hopes of a vaccine began to materialize to start the Annual Period. As a result, equity markets ended down for October. The election of Joseph Biden, as President of the United States, generated sharp returns for domestic equity markets in November, which was in stark contrast to what was widely expected if a Democrat were to win the race. A pledge of essentially unlimited monetary support from the Federal Reserve, coupled with stimulus for families and small businesses, served as necessary bolster to an economy reeling from the pandemic. Hopes of an effective vaccine began to emerge in November as well. Emerging markets performed well during the fourth quarter of 2020, largely on the back of U.S. dollar weakness. Equities were mixed amid higher volatility in January, on slower than expected vaccine rollout, frenzied retail trading and further stimulus expectations. Rising bond yields in February became a signal the economy was on the mend. On balance with dovish statements from the Federal Reserve, yields abated somewhat into the end of February as the global economy attempted to navigate the road to a post-COVID economy. Optimism took hold in March of 2021 as promises of a $1.9 trillion fiscal stimulus package, along with a $2 trillion infrastructure package, bolstered hopes for an economic recovery. Spring saw the re-opening trade, as COVID-19 vaccine rollout began to see broad traction, allowing an uptick in economic activity while also bringing inflation data into the broader discussion as the consumer price index rose from 3% to 3.8%. July saw added volatility in equity markets relating to the Delta variant of COVID-19, a more transmissible variant, along with concerns of a moderating economic recovery and tightening regulatory scrutiny in China on its tech sector, which hit emerging markets particularly hard. Despite the headwinds, the S&P 500 continued to post gains through summer on a strong second quarter 2021 earnings season. In August, dovish tones from Federal Reserve Chairman, Jerome Powell, regarding the pace and timing of tapering were enough to offset concerns of inflation running too hot in the near term, and that the COVID-19 Delta variant could potentially derail the ongoing economic recovery. Equities pulled back in September amid concerns that rising inflation would eat into growth, along with a statement from the Federal Reserve that it would announce a plan for tapering its asset purchases at its November meeting. Profit margins and the supply chain were the themes for Q3 earnings. The consumer discretionary sector was the big winner for October, as a broad swathe of companies were able to navigate supply-chain issues while, also maintaining margins that were under threat of being eaten away by rising inflation.

The Federal Reserve continued to keep the federal funds rate at the low range of .00 – .25bps, and pledged to continue through 2023, in hopes fiscal stimulus plans and the development and deployment of vaccines will encourage economic growth. At the end of the Annual Period, 67% of the US population has received at least one dose of a vaccine. The continued low benchmark set by the Federal Reserve, put in place in March of 2019, has increased expectations of inflation. This caused CPI to increase 6.2% through the end of the Annual Period, to a CPI of 276.724, marking the highest rate of inflation in years. This, in turn, drove bond prices lower, and yields even higher. The 2 to 10 year yield curve, which is an indication that short term yields have dropped more than long term yields, increased from .71% to 1.07%. For the Annual Period, the 10 year treasury yield finished at 1.55%, as the market rallied back from pandemic lows.

Factors Affecting the ETFs Performance:

Benchmark Performance – The performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. The market conditions that affected the benchmark indexes during the past year are described in the Market Review section above.

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4


Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index funds' fees, which cause a greater negative impact on ETF performance. Transaction costs are not included in the expense ratio of the ETFs.

The ETFs Performance Review:

The following discussion relates to the performance of the ETFs for the Annual Period. The performance of the ETFs for the Annual Period is important primarily for understanding whether the ETFs meet their investment goals. All ETF returns are NAV (net asset value) returns.

Non-Leveraged ETFs

The Direxion Auspice Broad Commodity Strategy ETF seeks to provide total returns that exceed that of the Auspice Broad Commodity Index over a complete market cycle. The Auspice Broad Commodity Index attempts to capture upward trends in the commodity markets while minimizing risk during down trends. The Auspice Broad Commodity Index will use a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 different commodity futures contracts, or "components", which cover the energy, metal, and agricultural sectors. It attempts to incorporate dynamic risk management and contract rolling methods. For the Annual Period, the Auspice Broad Commodity Index returned 42.48%, while the Direxion Auspice Broad Commodity Strategy ETF returned 41.37%.

The Direxion Auspice Broad Commodity Strategy ETF began the Annual Period long 10 of 12 possible commodities, with only natural gas and gold being flat. The positive Fund performance to start the Period was partially fueled by a weaker U.S. dollar, but also strong gains from its crude oil position as part of the economic reopening trade. December was a very strong month for performance, as positive vaccine news continued to fuel the reopening trade on both the energy and agriculture fronts, particularly corn, as China boosted imports. Remaining long 10 of 12 commodities heading into 2021, the agricultural sector continued to shine with China putting pressure on corn supplies, and wheat advanced as an alternative livestock feed with the pressure on corn. February Fund performance benefitted primarily from its energy positions, as a record cold snap put pressure on Texas' electrical grid. March saw some weakness as pullbacks in cotton, sugar and wheat were enough to outweigh gains made elsewhere, leading to a down month overall. The Fund saw a strong bounce back as the narrative in the commodities space reached the mainstream media, with the price of lumber skyrocketing as part of the reopening trade in April. Positive performance for April was led by the agriculture space, particularly corn and soybeans, on tightening global supplies. May saw the Fund benefit from its positions in energy and metals, as crude oil prices continued to creep upward amid increasing mentions of inflation in the broader economic dialogue. As equities surged, commodities were mixed for the month of June. Crude continued its strong run on tightening supply, while the agricultural positions performed well on similar concerns, as well as rising food prices. A pullback in metals though, was enough to offset a large portion of those gains, as gold lost some luster amid a stronger U.S. Dollar and a hawkish Federal Reserve. Upward performance in July was led by the energy sector, with natural gas having a strong month on demand from the continued economic reopening trade. Gold also bounced back after selling off the prior month. Weakness in oil and gasoline was offset by a continued move up in natural gas as the Fund benefitted mainly from strong gains in its sugar position, as that crop suffered from hot and dry weather in August. Into the end of the Annual Period, September and October saw strong positive performance driven by energy and agricultural exposures. Natural gas continued to surge, as petroleum exposure also moved up amid energy shortages and supply disruptions. Cotton also saw strong upward performance to compliment the energy moves, as rain interfered with harvest season leading to tight supplies in the US.

The Direxion Dynamic Hedge ETF seeks investment results, before fees and expenses, that track the Salt truVolTM US Large Cap Dynamic Hedge Index. The Salt truVolTM US Large Cap Dynamic Hedge Index is designed to adjust net exposure to the S&P 500 Index in an attempt to capitalize on the inverse relationship between volatility and the returns of the S&P 500® Index. The Index utilizes a proprietary volatility model developed by Salt Financial Indices, LLC., to estimate future market volatility to determine the size of the Index's hedge (short position). The Index's hedge or short position is reviewed daily and may range from 0% to 100% of the long position in the S&P 500 Index. For the Annual Period, the Salt truVolTM US Large Cap Dynamic Hedge Index returned 22.85%, while the Direxion Dynamic Hedge ETF returned 22.22%.

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5


The Direxion Dynamic Hedge ETF's performance was consistent with the overall broad market uptrend, following the global pandemic earlier in the year 2020. Despite a brief market correction in the February of 2021 due to rising 10 year yield, the broad market's volatility was exceptionally calm, as highlighted by CBOE Volatility Index's daily average level of roughly 20 for the entire Annual Period. As such, the Fund was heavily exposed to the S&P 500 Index, which also performed well, driven primarily by the financial, technology and healthcare sectors. All were big winners on the heels of the pandemic driven market. With the market at all-time highs, there were certain periods when the Fund was hedged in anticipation of a sell off. The hedge contributed to the underperformance of the Fund, when compared to the S&P 500, as the market continued to trend higher during the Annual Period.

The Direxion Fallen Knives ETF seeks investment results, before fees and expenses, that track the Indxx US Fallen Knives Index. The Indxx US Fallen Knives Index is designed by Indxx, LLC to consist of U.S equity securities that have experienced considerable share price declines over the prior year and have financial health, suggesting that the security has potential for share price recovery in the future. For the Annual Period, the Indxx US Fallen Knives Index returned 35.09%, while the Direxion Fallen Knives ETF returned 34.30%.

The Direxion Fallen Knives ETF was weighted towards financials, healthcare and information technology for a large part of the Annual Period. Financial sector names, which comprised approximately one third of the Fund, gained 71.14% as investors seized upon the opportunity to buy financial names at bargain prices, while earnings grew faster relative to the S&P 500 Index. The industrials sector posted gains of 39.70%, bolstered by growing optimism over cyclical economic growth, and reopening of the economy after a vaccine was developed on November of 2020. Finally, the technology sector was the most popular theme during the Annual Period, as it gained 43.61% due to the demand for an increased data capacity surged as people sheltered in place for work and school. The Fund successfully caught equities on a rebound, after it fell out of favor during the onset of the COVID-19.

The Direxion Flight to Safety Strategy ETF seeks to provide total returns that exceed the total return of the Solactive Flight to Safety Index over a complete market cycle. The Solactive Flight to Safety Index measures the performance of a volatility-weighted basket of gold, U.S. listed large-capitalization utility stocks, and U.S. treasury bonds with remaining maturities of greater than 20 years. The Index rebalances on a quarterly basis such that the weight of each component (U.S. treasury bonds, utility stocks, and gold) will be based on the contribution of the volatility of each component to the overall Index. The least volatile component of the Index, based on each component's trailing 5 year volatility measure, will receive the largest weighting. The gold component will be limited to 22.5% of the Index and its volatility will be based on the volatility of the spot price of gold. For the Annual Period, the Solactive Flight to Safety Index returned -1.72%, while the Direxion Flight to Safety Strategy ETF returned -1.51%.

The Direxion Flight to Safety Strategy ETF underperformed during the Annual Period as the equity markets rallied very strongly from pandemic lows, coinciding with a higher vaccination rate. During this period, defensive investors who were looking for safe havens were disappointed. The utilities sector of the Fund was able to capture some of the equity market upside, but not enough to mitigate the performance of gold and treasuries. Since the Fund seeks to provide risk mitigation, as well as a long-term appreciation potential, the uncertain nature of the overall market bouncing back so strongly from pandemic lows created a difficult environment.

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, fuel cells, hydrogen stations, and hydrogen-based vehicles. 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. Since the Fund's inception on March 25, 2021, Indxx Hydrogen Economy Index returned 2.90%, while the Direxion Hydrogen ETF returned 1.37%.

The Direxion Hydrogen ETF initially benefitted from a newly elected democratic congress, and President Biden's focal shift to a green energy-friendly mandate. After ending 2020 near the highs, hydrogen stocks reversed course towards the end of March 2021. Hydrogen fuel cell names such Plug Power Inc. lost as much as 30.79%, as investors were concerned over high production costs and weak progress. However, the Fund had a positive outlook to close out the Annual Period, due to

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6


news of bipartisan support for the $1 trillion infrastructure bill. As a result of this deal, green hydrogen fuel production is expected to significantly reduce costs and increase its output by multiples, potentially benefitting the Fund both short- and long-term.

The Direxion Low Priced Stock ETF seeks investment results, before fees and expenses, that track the Solactive Two Bucks Index. The Solactive Two Bucks Index is an equal-weighted index provided by Solactive AG that is designed to measure the performance of U.S.-listed securities with relatively low trading prices. The Index Provider begins with the Solactive GBS United States All Cap Index and applies certain requirements that vary depending on the quarter at which the Index is rebalanced in order to select a total of 50 securities. The Index is rebalanced and reconstituted quarterly in February, May, August, and November. Since the Fund's inception on July 22, 2021, Solactive Two Bucks Index returned -6.37%, while the Direxion Low Priced Stock ETF returned -6.27%.

The Direxion Low Priced Stock ETF underperformed the broader equity markets during the Annual Period, but did have some standout performers. Uranium Energy Corporation returned 95%, Accuray Incorporated 20.91%, and Endo International PLC 19.43%. Culprits for the overall underperformance Kala Pharmaceuticals, Inc. returning -53.97%, Xeris Biopharma Holdings, Inc. -47.16%, and Orbital Energy Group, Inc. -28.03%.

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. Since the Fund's inception on November 12, 2020, the S&P Kensho Moonshots Index returned 34.73%, while the Direxion Moonshot Innovators ETF returned 35.54%.

The Direxion Moonshot Innovators ETF outperformed a range of major indexes through the end of 2020. The Fund has a small cap tilt, with standout names including Asana, Inc. returning 537.26%, LendingClub Corporation 741.76%, Ambarella, Inc. 220.18%. These three names were also the highest weightings for the Fund at Period-end. The Fund continued to rally into February 2021, before softening a bit through the summer, and then falling to an 11-month low at the end of the Annual Period.

The Direxion NASDAQ-100® Equal Weighted Index Shares seeks investment results, before fees and expenses, that track the NASDAQ-100® Equal Weighted Index. The NASDAQ-100® Equal Weighted Index is the equal weighted version of the NASDAQ-100 Index® which includes approximately 100 of the largest domestic and international non-financial companies listed on the NASDAQ® Stock Market based on market capitalization selected by NASDAQ, Inc., the index provider. Equal weighting is a method of weighting index stocks whereby the same exposure is provided to both the smallest and largest companies included in the Index. The Index is rebalanced quarterly and reconstituted annually. For the Annual Period, the NASDAQ-100® Equal Weighted Index returned 39.84%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned 39.30%.

The Direxion NASDAQ-100® Equal Weighted Index Shares tracked very closely to the NASDAQ 100 during the Annual Period, as the top performers for each had very similar weightings. A large part of the Fund's gains took place between June and August of 2021, as investors shifted back into tech stocks on growing vaccine rollouts and promising Q2 earnings. Even in the face of the delta variant fears, fading optimism in Federal Reserve policy, slower growth and high inflation in September, the Fund continued to reach new highs at the end of the Annual Period.

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 ADRs of companies that provide products and services in at least one of the following business segments that facilitate the ability of people to work from home: remote communications, cyber security, online project and document management, and cloud computing technologies ("WFH Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the

DIREXION ANNUAL REPORT
7


four WFH Industries. The Index is equal weighted at each semi-annual reconstitution and rebalance date. For the Annual Period, the Solactive Remote Work Index returned 46.05%, while the Direxion Work From Home ETF returned 45.69%.

The Direxion Work from Home ETF performed well to star the Annual Period, as it gained approximately 40% through mid-February. The Fund, which is technology sector-heavy, then experienced a setback due to rising 10 year yields and fears of a Federal Reserve rate hike. Concerned investors believed the potentially higher interest rate would erode the present value of the future earnings on these tech growth stocks, and subsequently rotated into value stocks. As a result, the Fund suffered an almost -11% loss from mid-February through mid-May. However, the market was assured by the Federal Reserve that the inflation was transitory and a rate hike will happen gradually, which calmed the market and halted the tech sell-off. Currently, with the American workforce gradually returning back to work, there is a concern that the core objective of the Fund will be challenged. However, with more than half of the American companies committing to a permanent hybrid work from home model, persistent COVID-19 flare-ups, along with accelerating technological transformation, it is reasonable to say the remote work model has staying power.

The Direxion World Without Waste ETF seeks investment results, before fees and expenses, that track the Indxx US Circular Economy Index. The Indxx US Circular Economy Index tracks the performance of 50 US-listed companies that are representative of the transformative shift from the linear model of economy to a circular one. The index includes five sub-themes central to the circular economy, providing investors access to the shifting paradigm in growing segments such as biofuels, solar power, and waste management, along with collaboration and content sharing platforms. Companies that cumulatively derive revenue greater than, or equal to, 50% from categories comprising a sub-theme, are 'pure-play' companies. All of the 'pure-play' companies from the sub-themes will form the selection list. The top 10 companies from each sub-theme, by largest total market capitalization, will form the final index. Since the Fund's inception on December 17, 2020, the Indxx US Circular Economy Index returned 25.00%, while the Direxion World Without Waste ETF returned 24.36%.

The Direxion World Without Waste ETF' best performing holdings include Atlassian Corporation, an enterprise software company, which gained 84.69%, Tesla, an electric vehicle company, which gained 69.84%, and Intuit Inc. a business and financial management software company, which gained 65.49%. The Fund's strongest returns occurred from mid-May through the end of June, and then again in October to close out the Annual Period.

Relative Weight ETFs

The Direxion Russell 1000® Growth Over Value ETF seeks investment results, before fees and expenses, that track the Russell 1000® Growth/Value 150/50 Net Spread Index. Russell 1000® Growth/Value 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Growth Index (the "Long Component") and 50% short exposure to the Russell 1000® Value Index (the "Short Component"). On a monthly basis, the index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the index value. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a growth over value investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. For the Annual Period, the Russell 1000® Growth/Value 150/50 Net Spread Index returned 41.66%, while the Direxion Russell 1000® Growth Over Value ETF returned 41.11%.

The Direxion Russell 1000® Value Over Growth ETF seeks investment results, before fees and expenses, that track the Russell 1000® Value/Growth 150/50 Net Spread Index. The Russell 1000® Value/Growth 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Value Index (the "Long Component") and 50% short exposure to the Russell 1000® Growth Index (the "Short Component"). On a monthly basis, the index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the index value. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a value over growth investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. For the Annual Period, the Russell 1000® Value/Growth 150/50 Net Spread Index returned 42.74%, while the Direxion Russell 1000® Value Over Growth ETF returned 41.96%.

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8


Index Volatility:

After the initial onslaught of the equity sell off during the height of the pandemic, the CBOE Volatility Index reached a low point in October 2021, trading around 15, which was a remarkable improvement from the index peak that touched 37 in late January 2021. The decline was a result of the decreasing case counts, an increase in vaccinations, and the passing of the initial uncertainty in the equity market. However, upon entering the Annual Period, the volatility spiked and the downward trend was due to the failure to agree on an economic aid package before the November 3rd election by lawmakers. Volatility spiked once again in mid-February, following the tech sector's rout due to the fear of rising 10 year rates. The tech and work from home thematic names, which were some of the best performing stocks during the pandemic in the prior year, were hit the hardest by the uptick in the interest rates. The rates have since stabilized through the summer, but continued to decrease through Period end. This further emphasized inflation fears. Even though the CBOE Volatility Index finished the period at 16.53, volatility is slated to remain tied to geopolitical risk, as the U.S. and world leaders continue to adjust to the pandemic and inflation fears.

Index

 

Return

 

Volatility

 

Auspice Broad Commodity Index

   

42.48

%

   

11.51

%

 

Salt truVolTM US Large Cap Dynamic Hedge Index

   

22.85

%

   

9.86

%

 

Indxx US Fallen Knives Index

   

35.09

%

   

20.97

%

 

Solactive Flight to Safety Index

   

-1.72

%

   

8.95

%

 

Indxx Hydrogen Economy Index1

   

2.90

%

   

28.70

%

 

Solactive Two Bucks Index2

   

-6.37

%

   

33.41

%

 

S&P Kensho Moonshots Index3

   

34.73

%

   

44.51

%

 

NASDAQ-100® Equal Weighted Index

   

39.84

%

   

16.75

%

 

Solactive Remote Work Index

   

46.05

%

   

20.80

%

 

Indxx US Circular Economy Index4

   

25.00

%

   

23.04

%

 

Russell 1000® Growth/Value 150/50 Net Spread Index

   

41.66

%

   

20.80

%

 

Russell 1000® Value/Growth 150/50 Net Spread Index

   

42.74

%

   

16.69

%

 

1  March 25, 2021 through October 31, 2021

2  July 22, 2021 through October 31, 2021

3  November 12, 2020 through October 31, 2021

4  December 17, 2020 through October 31, 2021

As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.

Best Regards,

 

 

Patrick Rudnick

 

Corey Nolter

 

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

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for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Fund's website at direxion.com.

Short-term performance, in particular, is not a good indication of the Fund's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, Fund performance may be subject to substantial short-term changes. For additional information, see the Fund's prospectus.

Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense reimbursements or recoupments and fee waivers in effect during certain periods shown. Absent these reimbursements or recoupments and fee waivers, results would have been less favorable.

LIBOR (London Interbank Offered Rate) is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks.

Futures Contract: an agreement traded on an organized exchange to buy or sell assets, especially commodities or shares, at a fixed price but to be delivered and paid for later.

ESG (Environmental, Social and Governance: Environmental criteria considers how a company performs as a steward of nature. Social criteria examine how it manages relationships with employees, suppliers, customers, and the communities where it operates. Governance deals with a company's leadership, executive pay, audits, internal controls, and shareholder rights.

Direxion Auspice Broad Commodity Strategy ETF – Commodities and futures generally are volatile and are not suitable for all investors. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Commodity linked derivatives also may be subject to credit and interest rate risks that in general affect the values of debt securities. The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to leverage, imperfect correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Futures contracts are typically exchange traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. Futures markets are highly volatile and the use of futures may increase the volatility of the Fund. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Under amended regulations promulgated by the U.S. Commodities Futures Trading Commission ("CFTC"), the Fund and the Subsidiary are considered commodity pools, and therefore each is subject to regulation under the Commodity Exchange Act and CFTC rules. The Adviser is registered as a commodity pool operator ("CPO") and will manage both the Fund and Subsidiary in accordance with CFTC rules, as well as the rules that apply to registered investment companies, which includes registering both the Fund and the Subsidiary as commodity pools. Registration as a commodity pool subjects the registrant to additional laws, regulations and enforcement policies, all of which may potentially increase compliance costs and may affect the operations and financial performance of the Fund or the Subsidiary. Additionally, the Subsidiary's positions in futures contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC. Such actions may subject the Fund to substantial losses.

DIREXION ANNUAL REPORT
10


Direxion Relative Weight ETFs Risks – Investing involves risk including possible loss of principal. The ETFs' investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in or shorting securities or other investments. There is no guarantee that the returns on an ETF's long or short positions will produce high, or even positive returns and the ETF could lose money if either or both of the ETF's long and short positions produce negative returns. Please see the summary and full prospectuses for a more complete description of these and other risks of the ETFs.

Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration that results from an ETF's investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts and swaps are subject to market risks that may cause their price to fluctuate over time. The ETFs do not attempt to, and should not be expected to, provide returns which are a multiple of the return of their respective index for periods other than a single day. For other risks including leverage, correlation, daily compounding, market volatility and risks specific to an industry or sector, please read the prospectus.

The views of this letter were those of the Adviser as of October 31, 2021 and may not necessarily reflect his views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.

Distributed by: Foreside Fund Services, LLC

DIREXION ANNUAL REPORT
11


Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

Performance Summary (Unaudited)

March 30, 20171 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Year

 

Since Inception

 
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
(NAV)
   

41.37

%

   

11.10

%

   

6.87

%

 
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
(Market Price)
   

41.76

%

   

11.17

%

   

6.91

%

 

Auspice Broad Commodity Index

   

42.48

%

   

10.05

%

   

5.77

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.70%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Auspice Broad Commodity Index is a tactical long strategy that focuses on Momentum and Term Structure to track either long or flat positions in a diversified portfolio of commodity futures which cover the energy, metal, and agricultural sectors. The index incorporates dynamic risk management and contract rolling methods. The index is available in total return (collateralized) and excess return (non-collateralized) versions. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
12


Direxion Dynamic Hedge ETF

Performance Summary (Unaudited)

June 11, 20201 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

Since Inception

 

Direxion Dynamic Hedge ETF (NAV)

   

22.22

%

   

14.52

%

 

Direxion Dynamic Hedge ETF (Market Price)

   

22.49

%

   

14.58

%

 

Salt truVolTM US Large Cap Dynamic Hedge Index

   

22.85

%

   

15.05

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.55%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Salt truVolTM US Large Cap Dynamic Hedge Index is designed to adjust net exposure to the S&P 500® Index in an attempt to capitalize on the inverse relationship between volatility and the returns of the S&P 500® Index. The Index utilizes a proprietary volatility model developed by Salt Financial Indices, LLC to estimate future market volatility to determine the size of the Index's hedge (short position). The Index's hedge or short position may range from 0% to 100% of the long position in the S&P 500® Index. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
13


Direxion Fallen Knives ETF

Performance Summary (Unaudited)

June 11, 20201 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

Since Inception

 

Direxion Fallen Knives ETF (NAV)

   

34.30

%

   

32.04

%

 

Direxion Fallen Knives ETF (Market Price)

   

34.43

%

   

31.88

%

 

Indxx US Fallen Knives Index

   

35.09

%

   

32.83

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.50%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Indxx US Fallen Knives Index is designed to consist of U.S equity securities that have experienced considerable share price declines over the prior year and have financial health, suggesting that the security has potential for share price recovery in the future. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
14


Direxion Flight to Safety Strategy ETF (Consolidated)

Performance Summary (Unaudited)

February 5, 20201 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

Since Inception

 

Direxion Flight to Safety Strategy ETF (Consolidated) (NAV)

   

(1.51

)%

   

2.42

%

 

Direxion Flight to Safety Strategy ETF (Consolidated) (Market Price)

   

(1.54

)%

   

2.41

%

 

Solactive Flight to Safety Index

   

(1.72

)%

   

2.70

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.30%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Solactive Flight to Safety Index measures the performance of a volatility-weighted basket of gold, U.S. listed large-capitalization utility stocks, and U.S. treasury bonds with remaining maturities of greater than 20 years. The Index rebalances on a quarterly basis such that the weight of each component (U.S. treasury bonds, utility stocks, and gold) will be based on the contribution of the volatility of each component to the overall Index. The least volatile component of the Index, based on each component's trailing 5 year volatility measure, will receive the largest weighting. The gold component will be limited to 22.5% of the Index and its volatility will be based on the volatility of the spot price of gold. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
15


Direxion Hydrogen ETF

Performance Summary (Unaudited)

March 25, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Hydrogen ETF (NAV)

   

1.37

%

 

Direxion Hydrogen ETF (Market Price)

   

(2.09

)%

 

Indxx Hydrogen Economy Index

   

2.90

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The 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, fuel cells, hydrogen stations, and hydrogen-based vehicles. The Index will include 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
16


Direxion Low Priced Stock ETF

Performance Summary (Unaudited)

July 22, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Low Priced Stock ETF (NAV)

   

(6.27

)%

 

Direxion Low Priced Stock ETF (Market Price)

   

(6.22

)%

 

Solactive Two Bucks Index

   

(6.37

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.50%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Solactive Two Bucks Index is an equal-weighted index provided by Solactive AG that is designed to measure the performance of U.S.-listed securities with relatively low trading prices. The Index Provider begins with the Solactive GBS United States All Cap Index and applies certain requirements that vary depending on the quarter at which the Index is rebalanced in order to select a total of 50 securities. The Index is rebalanced and reconstituted quarterly in February, May, August, and November. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
17


Direxion Moonshot Innovators ETF

Performance Summary (Unaudited)

November 12, 20201 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Moonshot Innovators ETF (NAV)

   

35.54

%

 

Direxion Moonshot Innovators ETF (Market Price)

   

35.41

%

 

S&P Kensho Moonshots Index

   

34.73

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.65%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The S&P 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. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
18


Direxion NASDAQ-100® Equal Weighted Index Shares

Performance Summary (Unaudited)

March 21, 20121 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion NASDAQ-100® Equal Weighted Index Shares
(NAV)
   

39.30

%

   

27.25

%

   

22.00

%

   

17.57

%

 
Direxion NASDAQ-100® Equal Weighted Index Shares
(Market Price)
   

39.25

%

   

27.23

%

   

21.96

%

   

17.56

%

 

NASDAQ-100® Equal Weighted Index

   

39.84

%

   

27.73

%

   

22.46

%

   

18.06

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.35%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The NASDAQ-100® Equal Weighted Index includes 100 of the largest non-financial securities listed on NASDAQ®, but instead of being weighted by market capitalization, each of the constituents is initially set at 1.00%. The Index is reviewed and adjusted annually in December, but replacements may be made any time throughout the year. The Index is rebalanced quarterly in March, June, September and December. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
19


Direxion Work From Home ETF

Performance Summary (Unaudited)

June 25, 20201 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

Since Inception

 

Direxion Work From Home ETF (NAV)

   

45.69

%

   

39.40

%

 

Direxion Work From Home ETF (Market Price)

   

45.58

%

   

39.33

%

 

Solactive Remote Work Index

   

46.05

%

   

39.71

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Solactive Remote Work Index is comprised of U.S. listed securities and American Depository Receipts of companies that provide products and services in at least one of the following business segments that facilitate the ability of people to work from home: remote communications, cyber security, online project and document management, and cloud computing technologies ("WFH Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the four WFH Industries. The Index is equal weighted at each semi-annual reconstitution and rebalance date. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
20


Direxion World Without Waste ETF

Performance Summary (Unaudited)

December 17, 20201 - October 31, 2021

    Average Annual
Total Return2
 
   

Since Inception

 

Direxion World Without Waste ETF (NAV)

   

24.36

%

 

Direxion World Without Waste (Market Price)

   

24.40

%

 

Indxx US Circular Economy Index

   

25.00

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.50%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Indxx US Circular Economy Index tracks the performance of 50 US-listed companies that are representative of the transformative shift from the linear model of economy to a circular one. The index includes five sub-themes central to the circular economy, providing investors access to the shifting paradigm in growing segments such as biofuels, solar power, and waste management, along with collaboration and content sharing platforms. Companies that cumulatively derive revenue greater than, or equal to, 50% from categories comprising a sub-theme, are 'pure-play' companies. All of the 'pure-play' companies from the sub-themes will form the selection list. The top 10 companies from each sub-theme, by largest total market capitalization, will form the final index. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through equities. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
21


Direxion Russell 1000® Growth Over Value ETF

Performance Summary (Unaudited)

January 16, 20191 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

Since Inception

 

Direxion Russell 1000® Growth Over Value ETF (NAV)

   

41.11

%

   

41.23

%

 

Direxion Russell 1000® Growth Over Value ETF (Market Price)

   

41.05

%

   

41.08

%

 

Russell 1000® Growth/Value 150/50 Net Spread Index

   

41.66

%

   

41.85

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

Russell 1000® Growth/Value 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Growth Index (the "Long Component") and 50% short exposure to the Russell 1000® Value Index (the "Short Component"). On a monthly basis, the Index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the Index value. In tracking the Index, the Fund seeks to provide a vehicle for investors looking to efficiently express a growth over value investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
22


Direxion Russell 1000® Value Over Growth ETF

Performance Summary (Unaudited)

January 16, 20191 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

Since Inception

 

Direxion Russell 1000® Value Over Growth ETF (NAV)

   

41.96

%

   

7.20

%

 

Direxion Russell 1000® Value Over Growth ETF (Market Price)

   

42.71

%

   

7.21

%

 

Russell 1000® Value/Growth 150/50 Net Spread Index

   

42.74

%

   

7.69

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.

The Russell 1000® Value/Growth 150/50 Net Spread Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Value Index (the "Long Component") and 50% short exposure to the Russell 1000® Growth Index (the "Short Component"). On a monthly basis, the Index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the Index value. In tracking the Index, the Fund seeks to provide a vehicle for investors looking to efficiently express a value over growth investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents, if any, divided by Net Assets.

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
23


Expense Example (Unaudited)

October 31, 2021

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other funds.

The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (May 1, 2021 to October 31, 2021).

Actual expenses

The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period May 1, 2021 to October 31, 2021" to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Expense Example (Unaudited)

October 31, 2021

    Annualized
Expense Ratio
  Beginning
Account Value
May 1, 2021
  Ending
Account Value
October 31, 2021
  Expenses Paid
During Period
May 1, 2021 to
October 31, 2021*
 

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

 

Based on actual fund return

   

0.70

%

 

$

1,000.00

   

$

1,111.90

   

$

3.73

   

Based on hypothetical 5% return

   

0.70

%

   

1,000.00

     

1,021.68

     

3.57

   

Direxion Dynamic Hedge ETF

 

Based on actual fund return

   

0.55

%

   

1,000.00

     

1,056.90

     

2.85

   

Based on hypothetical 5% return

   

0.55

%

   

1,000.00

     

1,022.43

     

2.80

   

Direxion Fallen Knives ETF

 

Based on actual fund return

   

0.50

%

   

1,000.00

     

894.50

     

2.39

   

Based on hypothetical 5% return

   

0.50

%

   

1,000.00

     

1,022.68

     

2.55

   

Direxion Flight to Safety Strategy ETF (Consolidated)

 

Based on actual fund return

   

0.30

%

   

1,000.00

     

1,042.50

     

1.54

   

Based on hypothetical 5% return

   

0.30

%

   

1,000.00

     

1,023.69

     

1.53

   

DIREXION ANNUAL REPORT
24


Expense Example (Unaudited)

October 31, 2021

    Annualized
Expense Ratio
  Beginning
Account Value
May 1, 2021
  Ending
Account Value
October 31, 2021
  Expenses Paid
During Period
May 1, 2021 to
October 31, 2021*
 

Direxion Hydrogen ETF

 

Based on actual fund return

   

0.45

%

 

$

1,000.00

   

$

1,014.20

   

$

2.28

   

Based on hypothetical 5% return

   

0.45

%

   

1,000.00

     

1,022.94

     

2.29

   

Direxion Low Priced Stock ETF1

 

Based on actual fund return

   

0.50

%

   

1,000.00

     

937.30

     

1.35

   

Based on hypothetical 5% return

   

0.50

%

   

1,000.00

     

1,012.58

     

1.41

   

Direxion Moonshot Innovators ETF

 

Based on actual fund return

   

0.65

%

   

1,000.00

     

921.00

     

3.15

   

Based on hypothetical 5% return

   

0.65

%

   

1,000.00

     

1,021.93

     

3.31

   

Direxion NASDAQ-100® Equal Weighted Index Shares

 

Based on actual fund return

   

0.35

%

   

1,000.00

     

1,098.30

     

1.85

   

Based on hypothetical 5% return

   

0.35

%

   

1,000.00

     

1,023.44

     

1.79

   

Direxion Work From Home ETF

 

Based on actual fund return

   

0.45

%

   

1,000.00

     

1,080.80

     

2.36

   

Based on hypothetical 5% return

   

0.45

%

   

1,000.00

     

1,022.94

     

2.29

   

Direxion World Without Waste ETF

 

Based on actual fund return

   

0.50

%

   

1,000.00

     

1,172.30

     

2.74

   

Based on hypothetical 5% return

   

0.50

%

   

1,000.00

     

1,022.68

     

2.55

   

Direxion Russell 1000® Growth Over Value ETF

 

Based on actual fund return

   

0.45

%

   

1,000.00

     

1,195.00

     

2.49

   

Based on hypothetical 5% return

   

0.45

%

   

1,000.00

     

1,022.94

     

2.29

   

Direxion Russell 1000® Value Over Growth ETF

 

Based on actual fund return

   

0.45

%

   

1,000.00

     

1,001.20

     

2.27

   

Based on hypothetical 5% return

   

0.45

%

   

1,000.00

     

1,022.94

     

2.29

   

*  Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days (the number of days in the period of May 1, 2021 to October 31, 2021), then divided by 365.

1  Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from July 22, 2021 (commencement of operations) to October 31, 2021, multiplied by 102 days (the number of days since commencement of operations to October 31, 2021), then divided by 365.

DIREXION ANNUAL REPORT
25


Allocation of Portfolio Holdings (Unaudited)

October 31, 2021

   

Cash*

  Common
Stocks
  Investment
Companies
 

Futures

 

Swaps

 

Total

 

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

   

94

%

   

     

     

6

%

   

     

100

%

 

Direxion Dynamic Hedge ETF

   

6

%

   

     

94

%

   

     

0

%**

   

100

%

 

Direxion Fallen Knives ETF

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion Flight to Safety Strategy ETF (Consolidated)

   

9

%

   

27

%

   

64

%

   

0

%**

   

     

100

%

 

Direxion Moonshot Innovators ETF

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion Hydrogen ETF

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion Low Priced Stock ETF

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion NASDAQ-100® Equal Weighted Index Shares

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion Work From Home ETF

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion World Without Waste ETF

   

0

%**

   

100

%

   

     

     

     

100

%

 

Direxion Russell 1000® Growth Over Value ETF

   

6

%

   

     

92

%

   

     

2

%

   

100

%

 

Direxion Russell 1000® Value Over Growth ETF

   

7

%

   

     

97

%

   

     

(4

)%

   

100

%

 

*  Cash and other assets less liabilities.

**  Percentage is less than 0.5%.

DIREXION ANNUAL REPORT
26


Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

SHORT TERM INVESTMENTS - 97.0%

 

Money Market Funds - 97.0%

 
 

245,882,426

    Dreyfus Government Cash
Management Institutional
Shares, 0.03% (a)
 

$

245,882,426

   
    TOTAL SHORT TERM
INVESTMENTS
(Cost $245,882,426)
 

$

245,882,426

   
    TOTAL INVESTMENTS
(Cost $245,882,426) - 97.0%
 

$

245,882,426

   
    Other Assets in Excess of
Liabilities - 3.0% (b)
   

7,548,512

   
   

TOTAL NET ASSETS - 100.0%

 

$

253,430,938

   

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 October 31, 2021.

(b)  $8,303,341 of cash is pledged as collateral for futures contracts.

    

Long Futures Contracts

October 31, 2021

Reference Entity

  Expiration
Date
  Number of
Contracts
  Notional
Amount
  Variation
Margin
Receivable/
(Payable), net
  Unrealized
Appreciation
(Depreciation)
 

Copper

 

12/29/2021

   

167

   

$

18,236,400

   

$

(294,338

)

 

$

1,190,299

   

Cotton No. 2

 

12/8/2021

   

459

     

26,358,075

     

257,040

     

6,512,093

   

Gasoline RBOB

 

11/30/2021

   

190

     

18,910,206

     

86,184

     

5,161,670

   

Natural Gas

 

4/27/2022

   

152

     

6,011,600

     

(124,640

)

   

1,533,190

   

NY Harbor ULSD

 

5/31/2022

   

212

     

20,719,608

     

(110,410

)

   

(770,836

)

 

Sugar

 

9/30/2022

   

949

     

19,620,765

     

(255,091

)

   

(137,207

)

 

Wheat

 

7/14/2022

   

489

     

18,967,087

     

(67,237

)

   

618,738

   

WTI Crude Oil

 

9/20/2022

   

219

     

15,886,260

     

(70,080

)

   

1,214,309

   
           

$

144,710,001

   

$

(578,572

)

 

$

15,322,256

   

All futures contracts held by Direxion BCS Fund Ltd. See Note 1.

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
27


Direxion Dynamic Hedge ETF

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

INVESTMENT COMPANIES - 94.4%

     
 

9,164

   

iShares Core S&P 500 ETF (a)

 

$

4,224,512

   
        TOTAL INVESTMENT COMPANIES
(Cost $3,341,732)
 

$

4,224,512

   

SHORT TERM INVESTMENTS - 3.3%

     

Money Market Funds - 3.3%

     
 

145,865

    Dreyfus Government Cash
Management Institutional
Shares, 0.03% (b)
 

$

145,865

   
 

3,823

    Goldman Sachs Financial
Square Treasury Instruments
Fund Institutional
Shares, 0.01% (b)
   

3,823

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $149,688)
 

$

149,688

   
        TOTAL INVESTMENTS
(Cost $3,491,420) - 97.7% (c)
 

$

4,374,200

   
        Other Assets in Excess of
Liabilities - 2.3%
   

99,935

   
       

TOTAL NET ASSETS - 100.0%

 

$

4,474,135

   

Percentages are stated as a percent of net assets.

The geographic location of all investments is United States unless otherwise indicated.

(a)  Shareholders may obtain the financial statements of these investment companies at www.sec.gov.

(b)  Represents annualized seven-day yield at October 31, 2021.

(c)  All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,044,738.

  

Long Total Return Swap Contracts

October 31, 2021

Terms of Payments
to be Received at
Termination
  Terms of Payments to be
Paid at Termination
 

Counterparty

  Termination
Date
 

Contracts

  Notional
Amount
  Unrealized
Appreciation
 
Total return of
S&P 500® Index
  0.5858% representing
1 month LIBOR
rate + spread
  Credit Suisse
International
 

12/7/2021

   

6

   

$

25,959

   

$

1,690

   

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
28


Direxion Fallen Knives ETF

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

COMMON STOCKS - 100.0%

     

Accommodation - 4.9%

     
 

6,473

   

Las Vegas Sands Corp. (a)

 

$

251,218

   

Administrative and Support Services - 1.6%

     
 

11,591

   

MultiPlan Corporation (a)

   

49,957

   
 

5,091

   

Workhorse Group, Inc. (a)(b)

   

34,263

   
     

84,220

   

Ambulatory Health Care Services - 5.4%

     
 

9,373

   

Invitae Corp. (a)(b)

   

248,385

   
 

1,054

   

Tabula Rasa HealthCare, Inc. (a)

   

28,616

   
     

277,001

   

Chemical Manufacturing - 25.8%

     
 

1,709

   

ADC Therapeutics SA (a)

   

49,544

   
 

11,680

   

Amicus Therapeutics, Inc. (a)

   

122,640

   
 

3,180

   

Coherus BioSciences, Inc. (a)

   

53,201

   
 

1,699

   

Forma Therapeutics Holdings, Inc. (a)

   

31,533

   
 

2,006

   

Generation Bio Co. (a)

   

42,046

   
 

2,452

   

Gossamer Bio, Inc. (a)

   

30,454

   
 

6,239

   

Ionis Pharmaceuticals, Inc. (a)

   

198,837

   
 

1,338

   

iTeos Therapeutics, Inc. (a)

   

35,791

   
 

7,436

   

Kadmon Holdings, Inc. (a)

   

70,270

   
 

1,333

   

ORIC Pharmaceuticals Inc. (a)

   

19,515

   
 

3,055

   

PTC Therapeutics, Inc. (a)

   

115,876

   
 

2,307

   

Sage Therapeutics, Inc. (a)

   

93,111

   
 

3,385

   

Sarepta Therapeutics, Inc. (a)

   

267,855

   
 

2,683

   

Travere Therapeutics, Inc. (a)

   

77,297

   
 

1,927

   

Turning Point Therapeutics, Inc. (a)

   

80,125

   
 

1,563

   

uniQure N.V. ADR (Netherlands) (a)

   

47,625

   
     

1,335,720

   

Credit Intermediation and Related Activities - 1.6%

     
 

514

   

LendingTree, Inc. (a)

   

82,954

   

Food and Beverage Stores - 1.6%

     
 

3,786

   

Grocery Outlet Holding Corp. (a)

   

84,011

   

Food Manufacturing - 4.6%

     
 

2,965

   

McCormick & Co, Inc.

   

237,882

   

Hospitals - 0.1%

     
 

388

   

Ontrak, Inc. (a)(b)

   

3,337

   

Merchant Wholesalers, Durable Goods - 1.7%

     
 

1,504

   

Silk Road Medical, Inc. (a)

   

88,300

   

Merchant Wholesalers, Nondurable Goods - 3.5%

     
 

2,719

   

Global Blood Therapeutics, Inc. (a)

   

99,298

   
 

2,503

   

Relay Therapeutics, Inc. (a)

   

83,225

   
     

182,523

   

Mining (except Oil and Gas) - 1.4%

     
 

10,127

   

NovaGold Resources Inc. ADR (a)

   

74,028

   

Miscellaneous Manufacturing - 5.2%

     
 

7,463

   

Cerus Corp. (a)

   

49,256

   
 

2,261

   

Haemonetics Corp. (a)

   

155,353

   
 

9,253

   

Inovio Pharmaceuticals, Inc. (a)(b)

   

66,067

   
     

270,676

   

Performing Arts, Spectator Sports, and Related Industries - 2.7%

     
 

16,919

   

iQIYI, Inc. ADR (a)

   

140,089

   

Shares

     

Fair Value

 

Petroleum and Coal Products Manufacturing - 1.4%

     
 

17,592

   

YPF Sociedad Anónima ADR (a)

 

$

73,886

   

Printing and Related Support Activities - 0.6%

     
 

3,141

   

Arko Corp. (a)

   

30,122

   

Professional, Scientific, and Technical Services - 7.2%

     
 

3,192

   

Allogene Therapeutics, Inc. (a)

   

55,030

   
 

2,604

   

Alteryx, Inc. (a)

   

190,587

   
 

2,734

   

Kura Oncology, Inc. (a)

   

44,892

   
 

1,425

   

Model N, Inc. (a)

   

46,184

   
 

700

   

Simulations Plus, Inc. (b)

   

35,350

   
     

372,043

   

Publishing Industries (except Internet) - 21.6%

     
 

5,716

   

21Vianet Group, Inc. ADR (a)

   

89,627

   
 

2,512

   

Citrix Systems, Inc.

   

237,962

   
 

1,144

   

Coupa Software, Inc. (a)

   

260,489

   
 

4,665

   

Fastly, Inc. (a)

   

236,095

   
 

1,773

   

Splunk, Inc. (a)

   

292,226

   
     

1,116,399

   

Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 7.0%

     
 

4,453

   

Canoo Inc. (a)(b)

   

35,713

   
 

4,839

   

GDS Holdings Ltd. ADR (China) (a)

   

287,437

   
 

4,935

   

Hyliion Holdings Corp. (a)(b)

   

39,924

   
     

363,074

   

Telecommunications - 1.7%

     
 

1,014

   

Bandwidth Inc. (a)

   

86,474

   

Transportation Equipment Manufacturing - 0.4%

     
 

4,248

   

XL Fleet Corp. (a)(b)

   

23,279

   
        TOTAL COMMON STOCKS
(Cost $5,511,175)
 

$

5,177,236

   

SHORT TERM INVESTMENTS - 3.2%

     

Money Market Funds - 3.2%

     
  165,542     Dreyfus Government Cash
Management Institutional
Shares, 0.03% (c)(d)
 

$

165,542

   
        TOTAL SHORT TERM INVESTMENTS
(Cost $165,542)
 

$

165,542

   
        TOTAL INVESTMENTS
(Cost $5,676,717) - 103.2%
 

$

5,342,778

   
        Liabilities in Excess of Other
Assets - (3.2)%
   

(165,141

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

5,177,637

   

Percentages are stated as a percent of net assets.

The geographic location of all investments is United States unless otherwise indicated.

(a)  Non-income producing security.

(b)  A portion of this security represents a security on loan.

(c)  Represents annualized seven-day yield at October 31, 2021.

(d)  All or a portion of this security represents an investment of securities lending collateral.

ADR - American Depository Receipt

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
29


Direxion Flight to Safety Strategy ETF (Consolidated)

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

COMMON STOCKS - 26.7%

     

Utilities - 26.7%

     
 

1,078

   

Alliant Energy Corp.

 

$

60,982

   
 

1,096

   

Ameren Corp.

   

92,382

   
 

2,142

   

American Electric Power Co., Inc.

   

181,449

   
 

781

   

American Water Works Co., Inc.

   

136,035

   
 

549

   

Atmos Energy Corp.

   

50,574

   
 

244

   

Avangrid, Inc.

   

12,859

   
 

2,371

   

CenterPoint Energy, Inc.

   

61,741

   
 

1,243

   

CMS Energy Corp.

   

75,015

   
 

1,476

   

Consolidated Edison, Inc.

   

111,290

   
 

3,470

   

Dominion Energy, Inc.

   

263,477

   
 

831

   

DTE Energy Co.

   

94,194

   
 

3,317

   

Duke Energy Corp.

   

338,367

   
 

1,637

   

Edison International

   

103,016

   
 

865

   

Entergy Corp.

   

89,112

   
 

977

   

Evergy, Inc.

   

62,284

   
 

1,477

   

Eversource Energy

   

125,397

   
 

4,208

   

Exelon Corp.

   

223,824

   
 

2,342

   

FirstEnergy Corp.

   

90,237

   
 

8,448

   

NextEra Energy, Inc.

   

720,868

   
 

1,683

   

NiSource, Inc.

   

41,520

   
 

6,484

   

PG&E Corp. (a)

   

75,214

   
 

485

   

Pinnacle West Capital Corp.

   

31,278

   
 

3,320

   

PPL Corp.

   

95,616

   
 

2,175

   

Public Service Enterprise Group, Inc.

   

138,765

   
 

1,305

   

Sempra Energy

   

166,557

   
 

4,564

   

Southern Co.

   

284,428

   
 

1,359

   

WEC Energy Group, Inc.

   

122,392

   
 

2,313

   

Xcel Energy, Inc.

   

149,397

   
        TOTAL COMMON STOCKS
(Cost $4,070,014)
 

$

3,998,270

   

Shares

     

Fair Value

 

INVESTMENT COMPANIES - 63.7%

     
 

51,795

    iShares 20+ Year
Treasury Bond ETF (b)(c)
 

$

7,649,603

   
 

55,403

   

iShares Gold Trust (b)

   

1,879,824

   
        TOTAL INVESTMENT COMPANIES
(Cost $9,131,548)
 

$

9,529,427

   

SHORT TERM INVESTMENTS - 57.2%

     

Money Market Funds - 57.2%

     
  8,560,433     Dreyfus Government Cash
Management Institutional
Shares, 0.03% (d)(e)
 

$

8,560,433

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $8,560,433)
 

$

8,560,433

   
        TOTAL INVESTMENTS
(Cost $21,761,995) - 147.6%
 

$

22,088,130

   
 

    Liabilities in Excess of Other
Assets - (47.6)% (f)
   

(7,127,163

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

14,960,967

   

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)  Shareholders may obtain the financial statements of these investment companies at www.sec.gov.

(c)  A portion of this security represents a security on loan.

(d)  Represents annualized seven-day yield at October 31, 2021.

(e)  All or a portion of this security represents an investment of securities lending collateral.

(f)  $66,000 of cash is pledged as collateral for futures contracts.

Long Futures Contracts

October 31, 2021

Reference Entity

  Expiration
Date
  Number of
Contracts
  Notional
Amount
  Variation
Margin
Payable, net
  Unrealized
Appreciation
 

Gold

 

12/29/2021

   

8

   

$

1,427,120

   

$

(14,960

)

 

$

8,130

   

All futures contracts held by Direxion FTS Fund Ltd. See Note 1.

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
30


Direxion Hydrogen ETF

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

COMMON STOCKS - 99.5%

     

Chemical Manufacturing - 40.6%

     
 

18,515

   

Air Liquide S.A. (France) (a)

 

$

3,090,554

   
 

5,925

   

Air Products & Chemicals, Inc.

   

1,776,374

   
 

61,612

   

Air Water, Inc. (Japan) (a)

   

940,588

   
 

64,529

   

Cell Impact AB (Sweden) (a)

   

339,306

   
 

41,000

    Doosan Fuel Cell Co., Ltd
(South Korea) (a)
   

1,831,501

   
 

262,591

   

ITM Power (United Kingdom) (a)(b)

   

1,760,138

   
 

5,593

   

Linde PLC (Ireland) ADR

   

1,785,286

   
 

27,460

   

McPhy Energy SAS (France) (a)(b)

   

746,149

   
 

53,398

    Nippon Sanso Holdings Corp.
(Japan) (a)
   

1,257,388

   
 

854,828

    PTT Global Chemical PCL
(Thailand) (a)
   

1,616,528

   
 

63,488

   

Showa Denko K.K. (Japan) (a)

   

1,592,639

   

   

16,736,451

   
Computer and Electronic Product
Manufacturing - 10.6%
     
 

139,589

   

Bloom Energy Corp. (b)

   

4,363,552

   
Electrical Equipment, Appliance, and
Component Manufacturing - 15.9%
     
 

130,719

    Chung-Hsin Electric & Machinery
Manufacturing Corp. (Taiwan) (a)
   

193,433

   
 

3,254

    Hyosung Heavy Industries Corp.
(South Korea)
   

186,744

   
 

91,939

   

Plug Power, Inc.

   

3,518,506

   
 

62,518

   

PowerCell Sweden AB (Sweden) (a)

   

1,396,164

   
 

5,584

   

SFC Energy AG (Germany) (a)

   

208,535

   
 

6,816

   

VARTA AG (Germany) (a)(b)

   

1,049,079

   

   

6,552,461

   

Heavy and Civil Engineering Construction - 0.5%

     
 

6,944

   

SK D&D Co., Ltd. (South Korea) (a)

   

187,483

   

Merchant Wholesalers, Durable Goods - 0.5%

     
 

3,974

   

Hyster-Yale Materials Handling, Inc.

   

190,911

   

Miscellaneous Manufacturing - 0.5%

     
 

53,722

    Hexagon Purus Holding AS
(Norway) (a)
   

192,610

   

Oil and Gas Extraction - 8.7%

     
 

156,024

    CIMC Enric Holdings Limited
(Hong Kong) (a)
   

201,773

   
 

425,781

   

ENEOS Holdings, Inc. (Japan) (a)

   

1,716,193

   
 

60,824

   

Idemitsu Kosan Co., Ltd (Japan) (a)

   

1,661,625

   
     

3,579,591

   

Primary Metal Manufacturing - 0.5%

     
 

121,729

    Kaori Heat Treatment Co., Ltd.
(Taiwan) (a)
   

220,183

   

Transportation Equipment Manufacturing - 8.3%

     
 

189,913

    Ballard Power Systems, Inc.
(Canada) ADR (b)
   

3,441,224

   

Shares

     

Fair Value

 

Utilities - 13.4%

     
 

107,501

    Ceres Power Holdings PLC
(United Kingdom) (a)
 

$

1,834,593

   
 

355,915

   

FuelCell Energy, Inc. (b)

   

2,843,761

   
 

12,454

   

Korea Gas Corp. (South Korea) (a)

   

472,134

   
 

14,017

    S-Fuelcell Co., Ltd
(South Korea) (a)
   

393,443

   
     

5,543,931

   
        TOTAL COMMON STOCKS
(Cost $39,642,062)
 

$

41,008,397

   

SHORT TERM INVESTMENTS - 27.3%

     

Money Market Funds - 27.3%

     
 

11,240,145

    Dreyfus Government Cash
Management Institutional
Shares, 0.03% (c)(d)
 

$

11,240,145

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $11,240,145)
 

$

11,240,145

   
        TOTAL INVESTMENTS
(Cost $50,882,207) - 126.8%
 

$

52,248,542

   
        Liabilities in Excess of Other
Assets - (26.8)%
   

(11,034,321

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

41,214,221

   

Percentages are stated as a percent of net assets.

The geographic location of all investments is United States unless otherwise indicated.

(a)  Non-income producing security.

(b)  A portion of this security represents a security on loan.

(c)  Represents annualized seven-day yield at October 31, 2021.

(d)  All or a portion of this security represents an investment of securities lending collateral.

ADR - American Depository Receipt

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
31


Direxion Low Priced Stock ETF

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

COMMON STOCKS - 99.6%

     

Administrative and Support Services - 5.9%

     
 

27,509

   

CarLotz, Inc. (a)(b)

 

$

99,032

   
 

51,631

   

Citius Pharmaceuticals, Inc. (a)(b)

   

96,550

   
 

53,749

   

Ideanomics, Inc. (a)(b)

   

106,423

   
     

302,005

   

Chemical Manufacturing - 21.4%

     
 

48,078

   

Adverum Biotechnologies, Inc. (a)

   

109,137

   
 

28,637

   

Antares Pharma, Inc. (a)

   

107,102

   
 

28,251

   

CymaBay Therapeutics, Inc. (a)

   

110,179

   
 

11,816

   

Kadmon Holdings, Inc. (a)

   

111,661

   
 

38,252

   

Kala Pharmaceuticals, Inc. (a)

   

66,559

   
 

23,188

   

MannKind Corp. (a)(b)

   

109,216

   
 

34,364

   

Odonate Therapeutics, Inc. (a)

   

105,497

   
 

29,277

   

OPKO Health, Inc. (a)

   

110,960

   
 

44,038

   

Seelos Therapeutics, Inc. (a)(b)

   

95,122

   
 

67,620

   

vTv Therapeutics, Inc. (a)

   

96,697

   
 

42,433

   

Xeris Biopharma Holdings, Inc. (a)

   

78,925

   
     

1,101,055

   

Computer and Electronic Product Manufacturing - 5.7%

     
 

42,433

   

Ault Global Holdings, Inc. (a)(b)

   

98,444

   
 

34,140

   

Orbital Energy Group, Inc. (a)(b)

   

91,154

   
 

30,380

   

Senseonics Holdings, Inc. (a)(b)

   

106,330

   
     

295,928

   

Insurance Carriers and Related Activities - 4.1%

     
 

27,013

   

Genworth Financial, Inc. Class A (a)

   

111,023

   
 

22,785

   

Hippo Holdings, Inc. (a)

   

96,836

   
     

207,859

   

Merchant Wholesalers, Durable Goods - 2.1%

     
 

20,002

   

RPC, Inc. (a)

   

107,811

   

Merchant Wholesalers, Nondurable Goods - 4.5%

     
 

18,919

   

Amneal Pharmaceuticals, Inc. (a)

   

103,866

   
 

30,557

    Endo International PLC ADR
(Ireland) (a)
   

129,867

   
     

233,733

   

Mining (except Oil and Gas) - 2.5%

     
 

34,821

   

Uranium Energy Corp. (a)(b)

   

129,534

   

Miscellaneous Manufacturing - 4.4%

     
 

25,815

   

Accuray, Inc. (a)

   

128,817

   
 

57,274

   

Asensus Surgical, Inc. (a)

   

96,793

   
     

225,610

   

Oil and Gas Extraction - 8.4%

     
 

22,785

   

Contango Oil & Gas Co. (a)

   

94,102

   
 

33,919

   

Kosmos Energy Ltd. (a)

   

122,108

   
 

26,401

   

Tellurian, Inc. (a)(b)

   

103,492

   
 

26,944

   

W&T Offshore, Inc. (a)

   

110,740

   
     

430,442

   

Performing Arts, Spectator Sports, and Related Industries - 1.7%

     
 

39,402

    Hall of Fame Resort &
Entertainment Co. (a)(b)
   

90,625

   

Shares

     

Fair Value

 

Professional, Scientific, and Technical Services - 13.5%

     
 

33,701

   

22nd Century Group, Inc. (a)(b)

 

$

92,341

   
 

35,650

   

Athenex, Inc. (a)

   

90,551

   
 

36,393

    Clear Channel Outdoor
Holdings, Inc. (a)
   

105,539

   
 

37,299

   

NextDecade Corp. (a)

   

136,887

   
 

20,117

   

Pieris Pharmaceuticals, Inc. (a)

   

92,136

   
 

33,273

    Second Sight Medical
Products, Inc. (a)
   

91,168

   
 

17,070

   

Vinco Ventures, Inc. (a)(b)

   

86,545

   
     

695,167

   

Publishing Industries (except Internet) - 2.0%

     
 

55,163

   

Exela Technologies, Inc. (a)

   

103,706

   

Real Estate - 10.0%

     
 

29,691

   

Diversified Healthcare Trust

   

108,075

   
 

32,349

   

Invesco Mortgage Capital (b)

   

101,576

   
 

22,735

   

MFA Financial, Inc.

   

102,535

   
 

24,318

   

New York Mortgage Trust, Inc.

   

106,756

   
 

34,252

   

VBI Vaccines Inc. ADR (Canada) (a)

   

99,331

   
     

518,273

   

Support Activities for Mining - 3.8%

     
 

22,348

   

NexTier Oilfield Solutions, Inc. (a)

   

99,672

   
 

27,437

    Transocean Ltd. ADR
(Switzerland) (a)
   

96,853

   
     

196,525

   

Telecommunications - 2.0%

     
 

49,910

   

VEON Ltd. ADR (a)

   

105,310

   

Transportation Equipment Manufacturing - 5.9%

     
 

34,364

   

AgEagle Aerial Systems, Inc. (a)(b)

   

98,625

   
 

22,395

   

REE Automotive Ltd. ADR (Israel) (a)

   

91,372

   
 

21,881

   

Xos, Inc. (a)

   

115,532

   
     

305,529

   

Water Transportation - 1.7%

     
 

36,393

   

Nordic American Tankers Ltd. ADR

   

85,524

   
        TOTAL COMMON STOCKS
(Cost $5,205,555)
 

$

5,134,636

   

SHORT TERM INVESTMENTS - 2.6%

     

Money Market Funds - 2.6%

     
 

132,376

    Dreyfus Government Cash
Management Institutional
Shares, 0.03% (c)(d)
 

$

132,376

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $132,376)
 

$

132,376

   
        TOTAL INVESTMENTS
(Cost $5,337,931) - 102.2%
 

$

5,267,012

   
        Liabilities in Excess of Other
Assets - (2.2)%
   

(113,850

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

5,153,162

   

Percentages are stated as a percent of net assets.

The geographic location of all investments is United States unless otherwise indicated.

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
32


Direxion Low Priced Stock ETF

Schedule of Investments, continued

October 31, 2021

(a)  Non-income producing security.

(b)  A portion of this security represents a security on loan.

(c)  Represents annualized seven-day yield at October 31, 2021.

(d)  All or a portion of this security represents an investment of securities lending collateral.

ADR - American Depository Receipt

The accompanying notes are an integral part of these financial statements.

DIREXION ANNUAL REPORT
33


Direxion Moonshot Innovators ETF

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

COMMON STOCKS - 99.6%

     

Administrative and Support Services - 0.9%

     
 

199,099

   

Workhorse Group, Inc. (a)(b)

 

$

1,339,936

   

Chemical Manufacturing - 4.9%

     
 

98,667

    Arcturus Therapeutics
Holdings Inc. (a)(b)
   

4,435,082

   
 

218,777

   

ImmunityBio, Inc. (a)(b)

   

1,713,024

   
 

640,910

    Orchard Therapeutics PLC ADR
(United Kingdom) (a)
   

1,230,547

   
     

7,378,653

   

Computer and Electronic Product Manufacturing - 20.0%

     
 

79,246

   

908 Devices, Inc. (a)(b)

   

2,607,193

   
 

170,273

   

Accelerate Diagnostics, Inc. (a)(b)

   

1,004,611

   
 

34,944

   

Ambarella Inc. ADR (a)

   

6,493,644

   
 

50,898

    Mercury Computer
Systems, Inc. (a)
   

2,623,283

   
 

158,343

   

MicroVision, Inc. (a)(b)

   

1,204,990

   
 

10,182

   

MongoDB, Inc. (a)

   

5,307,775

   
 

425,922

    Nano Dimension Ltd. ADR
(Israel) (a)(b)
   

2,504,421

   
 

113,337

   

Radware Ltd. ADR (Israel) (a)

   

4,015,530

   
 

177,184

   

Vuzix Corp. (a)(b)

   

1,894,097

   
 

149,349

   

Xperi Holdings Corp.

   

2,676,334

   
     

30,331,878

   

Credit Intermediation and Related Activities - 6.2%

     
 

205,925

   

LendingClub Corp. (a)

   

9,464,313

   

Data Processing, Hosting and Related Services - 2.6%

     
 

195,400

   

Sohu.com Ltd. ADR (a)

   

3,958,804

   

Food Services and Drinking Places - 2.1%

     
 

81,891

   

Yelp, Inc. (a)

   

3,163,449

   

Machinery Manufacturing - 1.9%

     
 

34,733

   

iRobot Corp. (a)

   

2,897,427

   

Management of Companies and Enterprises - 1.4%

     
 

942,518

    Ebang International
Holdings, Inc. ADR (a)(b)
   

2,045,264

   

Merchant Wholesalers, Durable Goods - 2.5%

     
 

61,135

   

Agilysys, Inc. (a)

   

2,917,362

   
 

265,150

    OneConnect Financial
Technology Co. Ltd. ADR (a)
   

840,525

   
     

3,757,887

   

Miscellaneous Manufacturing - 2.9%

     
 

1,152,329

   

Asensus Surgical, Inc. (a)(b)

   

1,947,436

   
 

335,472

   

Inovio Pharmaceuticals, Inc. (a)(b)

   

2,395,270

   
     

4,342,706

   

Performing Arts, Spectator Sports, and Related Industries - 1.2%

     
 

606,264

   

Super League Gaming, Inc. (a)

   

1,903,669

   

Primary Metal Manufacturing - 3.1%

     
 

25,063

   

Silicon Laboratories, Inc. (a)

   

4,730,892

   

Professional, Scientific, and Technical Services - 22.1%

     
 

728,309

    Adaptimmune Therapeutics PLC
ADR (United Kingdom) ADR (a)
   

3,692,527

   
 

81,768

   

Asana, Inc. (a)

   

11,104,094

   

Shares

     

Fair Value

 

Professional, Scientific, and Technical Services (continued)

     
 

28,052

    Crispr Therapeutics AG ADR
(Switzerland) (a)
 

$

2,561,989

   
 

17,918

   

F5 Networks, Inc. (a)

   

3,783,386

   
 

118,151

   

Juniper Networks, Inc.

   

3,487,817

   
 

111,679

   

NetScout Systems, Inc. (a)

   

3,022,034

   
 

520,864

    ProQR Therapeutics NV ADR
(Netherlands) (a)(b)
   

4,021,070

   
 

655,906

   

Xunlei Ltd. ADR (a)

   

1,915,246

   
     

33,588,163

   

Publishing Industries (except Internet) - 6.9%

     
 

56,802

   

BigCommerce Holdings, Inc. (a)

   

2,624,820

   
 

115,742

   

Dropbox, Inc. (a)

   

3,528,974

   
 

67,543

   

Varonis Systems, Inc. (a)

   

4,372,734

   
     

10,526,528

   

Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 10.5%

     
 

422,183

   

Bit Mining Ltd. ADR (a)(b)

   

3,542,115

   
 

118,863

   

ChargePoint Holdings, Inc. (a)(b)

   

2,945,425

   
 

249,796

   

Desktop Metal, Inc. (a)(b)

   

1,746,074

   
 

179,073

   

EOS Enegy Enterprises, Inc. (a)(b)

   

1,889,220

   
 

137,732

   

Luminar Technologies, Inc. (a)

   

2,257,428

   
 

293,100

   

Velodyne Lidar, Inc. (a)(b)

   

1,787,910

   
 

95,701