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 [email protected].

IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the shareholder reports from your financial intermediary such as a broker-dealer or bank. Instead, annual and semi-annual shareholder reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

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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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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 truVol^TM US Large Cap Dynamic Hedge Index. The Salt truVol^TM 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 truVol^TM US Large Cap Dynamic Hedge Index returned 22.85%, while the Direxion Dynamic Hedge ETF returned 22.22%.

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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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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

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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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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 truVol^TM 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.

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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.

¹Commencement of operations.

²As 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 truVol^TM 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.

The Salt truVol^TM 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.

¹Commencement of operations.

²As 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.

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.

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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.

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

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.

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

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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.

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

¹Commencement of operations.

²As 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

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	Virgin Galactic Holdings, Inc. ^(a)(b)		1,794,394
				15,962,566
Support Activities for Mining - 2.2%
	166,984	Energy Recovery, Inc. ^(a)		3,393,115
Transportation Equipment Manufacturing - 8.2%
	30,528	AeroVironment, Inc. ^(a)		2,720,350
	185,794	Ballard Power Systems, Inc. ADR (Canada) ^(a)(b)		3,366,587
	717,436	ElectraMeccanica Vehicles Corp. ADR (Canada) ^(a)(b)		2,546,898
	192,385	Nikola Corp. ^(a)(b)		2,270,143
	340,565	Romeo Power, Inc. ^(a)(b)		1,478,052
				12,382,030
		TOTAL COMMON STOCKS (Cost $187,534,601)	$	151,167,280
SHORT TERM INVESTMENTS - 14.8%
Money Market Funds - 14.8%
	22,476,601	Dreyfus Government Cash Management Institutional Shares, 0.03% ^(c)(d)	$	22,476,601
		TOTAL SHORT TERM INVESTMENTS (Cost $22,476,601)	$	22,476,601
		TOTAL INVESTMENTS (Cost $210,011,202) - 114.4%	$	173,643,881
		Liabilities in Excess of Other Assets - (14.4)%		(21,828,570	)
		TOTAL NET ASSETS - 100.0%	$	151,815,311

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

DIREXION ANNUAL REPORT
34

Direxion Moonshot Innovators ETF

Schedule of Investments, continued

October 31, 2021

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
35

Direxion NASDAQ-100^® Equal Weighted Index Shares

Schedule of Investments

October 31, 2021

Shares			Fair Value
COMMON STOCKS - 99.9%
Accommodation - 1.1%
	29,569	Marriott International, Inc. Class A ^(a)	$	4,731,631
Administrative and Support Services - 3.3%
	10,516	Atlassian Corp. PLC ADR (United Kingdom) ^(a)		4,817,695
	21,418	Automatic Data Processing, Inc.		4,808,127
	1,829	Booking Holdings, Inc. ^(a)		4,427,607
				14,053,429
Apparel Manufacturing - 1.1%
	9,976	Lululemon Athletica, Inc. ^(a)		4,648,916
Beverage and Tobacco Product Manufacturing - 2.9%
	121,885	Keurig Dr Pepper Inc.		4,398,830
	44,960	Monster Beverage Corp. ^(a)		3,821,600
	27,606	PepsiCo, Inc.		4,461,129
				12,681,559
Broadcasting (except Internet) - 3.8%
	5,573	Charter Communications, Inc. ^(a)		3,761,162
	74,505	Comcast Corp. Class A		3,831,792
	56,417	FOX Corp. Class A		2,242,012
	60,613	FOX Corp. Class B		2,240,256
	699,835	Sirius XM Holdings, Inc. ^(b)		4,261,995
				16,337,217
Chemical Manufacturing - 6.6%
	19,395	Amgen, Inc.		4,014,183
	14,174	Biogen, Inc. ^(a)		3,779,922
	59,419	Gilead Sciences, Inc.		3,855,105
	55,994	Incyte Corp. ^(a)		3,750,478
	6,527	Regeneron Pharmaceuticals, Inc. ^(a)		4,176,889
	27,239	Seagen Inc. ^(a)		4,803,053
	22,596	Vertex Pharmaceuticals, Inc. ^(a)		4,178,678
				28,558,308
Clothing and Clothing Accessories Stores - 1.0%
	37,122	Ross Stores, Inc.		4,202,210
Computer and Electronic Product Manufacturing - 17.9%
	40,961	Advanced Micro Devices, Inc. ^(a)		4,924,741
	24,808	Analog Devices, Inc.		4,303,940
	29,132	Apple, Inc.		4,363,974
	8,409	Broadcom, Inc.		4,470,813
	74,846	Cisco Systems, Inc.		4,189,131
	19,475	Honeywell International, Inc.		4,257,624
	6,430	IDEXX Laboratories, Inc. ^(a)		4,283,280
	9,519	Illumina, Inc. ^(a)		3,950,956
	78,419	Intel Corp.		3,842,531
	68,519	Marvell Technology, Inc.		4,693,552
	52,824	Microchip Technology, Inc.		3,913,730
	57,268	Micron Technology, Inc.		3,957,219
	19,429	NVIDIA Corp.		4,967,412
	20,326	NXP Semiconductors NV ADR (Netherlands)		4,082,680
	31,849	Qualcomm, Inc.		4,237,191
	24,278	Skyworks Solutions, Inc.		4,057,582

Shares			Fair Value
Computer and Electronic Product Manufacturing (continued)
	21,681	Texas Instruments, Inc.	$	4,064,754
	27,670	Xilinx, Inc.		4,980,600
				77,541,710
Data Processing, Hosting and Related Services - 1.8%
	39,173	Fiserv, Inc. ^(a)		3,858,149
	27,078	Match Group, Inc. ^(a)		4,082,821
				7,940,970
Food Manufacturing - 2.0%
	69,823	Mondelez International, Inc.		4,241,049
	116,416	The Kraft Heinz Co.		4,178,170
				8,419,219
Food Services and Drinking Places - 0.9%
	37,518	Starbucks Corp.		3,979,534
General Merchandise Stores - 2.2%
	9,260	Costco Wholesale Corp.		4,551,660
	47,643	Dollar Tree, Inc. ^(a)		5,134,010
				9,685,670
Health and Personal Care Stores - 0.9%
	85,752	Walgreens Boots Alliance, Inc.		4,032,059
Machinery Manufacturing - 2.8%
	30,221	Applied Materials, Inc.		4,129,700
	4,948	ASML Holding NV ADR (Netherlands)		4,022,130
	6,987	Lam Research Corp.		3,937,664
				12,089,494
Management of Companies and Enterprises - 1.0%
	147,641	Trip.com Group Ltd. ADR (China) ^(a)		4,216,627
Merchant Wholesalers, Durable Goods - 3.1%
	29,559	Copart, Inc. ^(a)		4,590,217
	80,343	Fastenal Co.		4,585,978
	11,506	KLA-Tencor Corp.		4,288,977
				13,465,172
Miscellaneous Manufacturing - 3.8%
	5,915	Align Technology, Inc. ^(a)		3,693,148
	7,555	DexCom, Inc. ^(a)		4,708,352
	12,307	Intuitive Surgical, Inc. ^(a)		4,444,427
	41,143	Peloton Interactive, Inc. ^(a)		3,762,116
				16,608,043
Motion Picture and Sound Recording Industries - 1.2%
	7,220	Netflix, Inc. ^(a)		4,984,038
Motor Vehicle and Parts Dealers - 1.0%
	7,100	O'Reilly Automotive, Inc. ^(a)		4,418,472
Nonstore Retailers - 4.6%
	1,228	Amazon.com, Inc. ^(a)		4,141,344
	57,414	eBay, Inc.		4,404,802
	54,769	JD.com, Inc. ADR (China) ^(a)		4,287,318
	2,266	MercadoLibre, Inc. ^(a)		3,355,991
	42,242	Pinduoduo Inc. ADR (China) ^(a)		3,756,159
				19,945,614

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

DIREXION ANNUAL REPORT
36

Direxion NASDAQ-100^® Equal Weighted Index Shares

Schedule of Investments, continued

October 31, 2021

Shares			Fair Value
Other Information Services - 2.0%
	756	Alphabet, Inc. Class A ^(a)	$	2,238,456
	752	Alphabet, Inc. Class C ^(a)		2,229,988
	26,231	Baidu, Inc. ADR (China) ^(a)		4,255,717
				8,724,161
Performing Arts, Spectator Sports, and Related Industries - 2.0%
	53,482	Activision Blizzard, Inc.		4,181,758
	31,782	Electronic Arts, Inc.		4,457,425
				8,639,183
Personal and Laundry Services - 1.1%
	10,830	Cintas Corp.		4,690,473
Professional, Scientific, and Technical Services - 8.7%
	22,261	CDW Corp.		4,155,016
	56,703	Cerner Corp.		4,212,466
	56,373	Cognizant Technology Solutions Corp. Class A		4,402,168
	11,667	Meta Platforms, Inc. ^(a)		3,775,091
	9,894	Moderna, Inc. ^(a)		3,415,508
	16,483	Okta, Inc. ^(a)		4,074,268
	39,115	Paychex, Inc.		4,822,097
	19,450	VeriSign, Inc. ^(a)		4,330,931
	21,159	Verisk Analytics, Inc. Class A		4,449,103
				37,636,648
Publishing Industries (except Internet) - 12.5%
	6,502	Adobe Systems, Inc. ^(a)		4,228,641
	11,669	ANSYS, Inc. ^(a)		4,429,319
	14,766	Autodesk, Inc. ^(a)		4,689,829
	26,004	Cadence Design Systems, Inc. ^(a)		4,501,553
	36,259	Check Point Software Technologies Ltd. ADR (Israel) ^(a)		4,336,576
	16,174	CrowdStrike Holdings, Inc. ^(a)		4,557,833
	15,320	DocuSign, Inc. ^(a)		4,263,403
	7,574	Intuit, Inc.		4,741,248
	14,189	Microsoft Corp.		4,705,356
	28,034	Splunk, Inc. ^(a)		4,620,564
	13,070	Synopsys, Inc. ^(a)		4,354,663
	15,847	Workday, Inc. ^(a)		4,595,313
				54,024,298
Rail Transportation - 1.2%
	140,382	CSX Corp.		5,077,617
Specialty Trade Contractors - 1.2%
	51,339	NetEase.com, Inc. ADR (China)		5,010,173
Telecommunications - 2.7%
	15,398	PayPal Holdings, Inc. ^(a)		3,581,421
	33,242	T-Mobile US, Inc. ^(a)		3,823,827
	14,791	Zoom Video Communications, Inc. ^(a)		4,062,348
				11,467,596
Transportation Equipment Manufacturing - 2.5%
	52,176	Paccar, Inc.		4,676,013
	5,603	Tesla Motors, Inc. ^(a)		6,241,742
				10,917,755

Shares			Fair Value
Utilities - 3.0%
	50,595	American Electric Power Co., Inc.	$	4,285,903
	85,339	Exelon Corp.		4,539,181
	66,484	Xcel Energy, Inc.		4,294,202
				13,119,286
		TOTAL COMMON STOCKS (Cost $312,298,648)	$	431,847,082
SHORT TERM INVESTMENTS - 1.2%
Money Market Funds - 1.2%
	4,972,505	Dreyfus Government Cash Management Institutional Shares, 0.03% ^(c)(d)	$	4,972,505
	1,888	Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.01% ^(c)		1,888
		TOTAL SHORT TERM INVESTMENTS (Cost $4,974,393)	$	4,974,393
		TOTAL INVESTMENTS (Cost $317,273,041) - 101.1%	$	436,821,475
		Liabilities in Excess of Other Assets - (1.1)%		(4,557,301	)
		TOTAL NET ASSETS - 100.0%	$	432,264,174

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
37

Direxion Work From Home ETF

Schedule of Investments

October 31, 2021

Shares			Fair Value
COMMON STOCKS - 99.9%
Administrative and Support Services - 5.6%
	16,228	Alibaba Group Holding Ltd. ADR ^(a)	$	2,676,646
	7,565	Atlassian Corp. PLC ADR (United Kingdom) ^(a)		3,465,754
				6,142,400
Computer and Electronic Product Manufacturing - 26.9%
	135,190	Avaya Holdings Corp. ^(a)		2,517,238
	5,702	Broadcom, Inc.		3,031,582
	47,627	Cisco Systems, Inc.		2,665,683
	9,116	Fortinet, Inc. ^(a)		3,066,075
	20,185	International Business Machines Corp.		2,525,144
	630,481	INTRUSION, Inc. ^(a)		2,484,095
	153,827	Mandiant, Inc. ^(a)		2,682,743
	46,309	Marvell Technology, Inc.		3,172,167
	31,482	NetApp, Inc.		2,811,343
	93,173	Plantronics, Inc ^(a)		2,493,309
	125,590	Xerox Corp.		2,235,502
				29,684,881
Data Processing, Hosting and Related Services - 2.4%
	10,770	RingCentral, Inc. ^(a)		2,625,510
Electronics and Appliance Stores - 2.1%
	34,526	Smartsheet, Inc. ^(a)		2,382,639
Management of Companies and Enterprises - 2.4%
	148,623	America Movil SAB de CV Series L ADR (Mexico)		2,642,517
Nonstore Retailers - 2.5%
	809	Amazon.com, Inc. ^(a)		2,728,296
Other Information Services - 2.6%
	968	Alphabet, Inc. Class A ^(a)		2,866,170
Professional, Scientific, and Technical Services - 17.1%
	333,564	Inseego Corp. ^(a)(b)		2,068,097
	7,361	Meta Platforms, Inc. ^(a)		2,381,799
	76,102	Nutanix, Inc. ^(a)		2,611,060
	10,620	Okta, Inc. ^(a)		2,625,051
	6,110	Palto Alto Networks, Inc. ^(a)		3,110,540
	19,148	VMware, Inc. ^(b)		2,904,752
	10,161	Zscaler, Inc. ^(a)		3,239,936
				18,941,235
Publishing Industries (except Internet) - 28.4%
	4,223	Adobe Systems, Inc. ^(a)		2,746,470
	108,152	Box, Inc. ^(a)		2,793,566
	6,801	Consensus Cloud Solutions, Inc. ^(a)		430,707
	10,415	CrowdStrike Holdings, Inc. ^(a)		2,934,947
	9,461	DocuSign, Inc. ^(a)		2,632,902
	9,316	Microsoft Corp.		3,089,372
	31,261	Oracle Corp.		2,999,181
	107,122	Ping Identity Holding Corp. ^(a)		3,034,766
	60,239	Progress Software Corp.		3,096,887
	7,827	Twilio, Inc. ^(a)		2,280,475
	71,009	Upland Software, Inc. ^(a)		2,369,570
	10,285	Workday, Inc. ^(a)		2,982,444
				31,391,287

Shares			Fair Value
Telecommunications - 9.9%
	110,924	8x8 Inc. ^(a)	$	2,513,538
	195,681	Vonage Holdings Corp. ^(a)		3,154,378
	20,402	Ziff Davis, Inc. ^(a)		2,616,964
	9,667	Zoom Video Communications, Inc. ^(a)		2,655,043
				10,939,923
		TOTAL COMMON STOCKS (Cost $93,032,040)	$	110,344,858
SHORT TERM INVESTMENTS - 3.7%
Money Market Funds - 3.7%
	4,127,981	Dreyfus Government Cash Management Institutional Shares, 0.03% ^(c)(d)	$	4,127,981
		TOTAL SHORT TERM INVESTMENTS (Cost $4,127,981)	$	4,127,981
		TOTAL INVESTMENTS (Cost $97,160,021) - 103.6%	$	114,472,839
		Liabilities in Excess of Other Assets - (3.6)%		(3,983,063	)
		TOTAL NET ASSETS - 100.0%	$	110,489,776

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
38

Direxion World Without Waste ETF

Schedule of Investments

October 31, 2021

Shares			Fair Value
COMMON STOCKS - 99.9%
Administrative and Support Services - 6.1%
	292	Atlassian Corp. PLC ADR (United Kingdom) ^(a)	$	133,774
	3,822	US Ecology, Inc ^(a)		123,030
	752	Waste Management, Inc.		120,493
				377,297
Broadcasting (except Internet) - 4.0%
	365	Roku, Inc. ^(a)		111,288
	477	Spotify Technology S.A ADR (Sweden) ^(a)		138,044
				249,332
Chemical Manufacturing - 2.0%
	548	Ecolab, Inc.		121,777
Computer and Electronic Product Manufacturing - 7.6%
	5,744	Bloom Energy Corp. ^(a)(b)		179,557
	677	Enphase Energy, Inc. ^(a)		156,814
	4,092	SunPower Corp. ^(a)(b)		137,737
				474,108
Data Processing, Hosting and Related Services - 1.9%
	490	RingCentral, Inc. ^(a)		119,452
Machinery Manufacturing - 2.0%
	2,991	Evoqua Water Technologies ^(a)		125,114
Merchant Wholesalers, Durable Goods - 5.9%
	9,580	Cars.com, Inc. ^(a)		124,732
	802	Copart, Inc. ^(a)		124,542
	8,006	KAR Auction Services, Inc. ^(a)		117,448
				366,722
Miscellaneous Store Retailers - 2.1%
	516	Etsy, Inc. ^(a)		129,356
Motion Picture and Sound Recording Industries - 2.1%
	186	Netflix, Inc. ^(a)		128,398
Motor Vehicle and Parts Dealers - 3.6%
	3,540	CarGurus, Inc. ^(a)		118,731
	5,460	Vroom, Inc. ^(a)(b)		104,450
				223,181
Nonstore Retailers - 3.8%
	1,598	eBay, Inc.		122,599
	77	MercadoLibre, Inc. ^(a)		114,038
				236,637
Other Information Services - 1.6%
	1,862	Twitter, Inc. ^(a)		99,692
Professional, Scientific, and Technical Services - 7.1%
	356	Meta Platforms, Inc. ^(a)		115,191
	469	Okta, Inc. ^(a)		115,927
	177	ServiceNow, Inc. ^(a)		123,504
	1,621	Snap, Inc. ^(a)		85,232
				439,854
Publishing Industries (except Internet) - 19.5%
	191	Adobe Systems, Inc. ^(a)		124,219
	398	Autodesk, Inc. ^(a)		126,409
	757	Datadog, Inc. ^(a)		126,457
	435	DocuSign, Inc. ^(a)		121,056
	211	Intuit, Inc.		132,084
	420	Salesforce.com, Inc. ^(a)		125,870

Shares			Fair Value
Publishing Industries (except Internet) (continued)
	81	Shopify, Inc. ADR (Canada) ^(a)	$	118,805
	330	Twilio, Inc. ^(a)		96,149
	374	Veeva Systems, Inc. ^(a)		118,561
	433	Workday, Inc. ^(a)		125,561
				1,215,171
Repair and Maintenance - 2.0%
	3,004	GFL Environmental Inc. ADR (Canada)		123,615
Specialty Trade Contractors - 2.1%
	2,299	Sunrun, Inc. ^(a)		132,606
Telecommunications - 2.0%
	443	Zoom Video Communications, Inc. ^(a)		121,670
Transit and Ground Passenger Transportation - 1.8%
	2,620	Uber Technologies, Inc. ^(a)		114,808
Transportation Equipment Manufacturing - 2.4%
	136	Tesla Motors, Inc. ^(a)		151,504
Utilities - 12.3%
	3,349	Atlantica Sustainable Infrastructure PLC ADR (United Kingdom)		131,783
	2,612	Essential Utilities, Inc.		122,947
	1,146	First Solar, Inc. ^(a)		137,050
	1,177	IDACORP, Inc.		122,785
	1,481	NextEra Energy Partners LP		127,810
	1,710	Ormat Technologies Inc.		123,684
				766,059
Waste Management and Remediation Services - 8.0%
	1,487	Casella Waste Systems, Inc ^(a)		128,953
	1,069	Clean Harbors, Inc. ^(a)		120,305
	6,037	Covanta Holding Corp.		121,827
	927	Republic Services, Inc.		124,774
				495,859
		TOTAL COMMON STOCKS (Cost $5,481,264)	$	6,212,212
SHORT TERM INVESTMENTS - 4.9%
Money Market Funds - 4.9%
	306,295	Dreyfus Government Cash Management Institutional Shares, 0.03% ^(c)(d)	$	306,295
		TOTAL SHORT TERM INVESTMENTS (Cost $306,295)	$	306,295
		TOTAL INVESTMENTS (Cost $5,787,559) - 104.8% ^(e)	$	6,518,507
		Liabilities in Excess of Other Assets - (4.8)%		(299,740	)
		TOTAL NET ASSETS - 100.0%	$	6,218,767

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

DIREXION ANNUAL REPORT
39

Direxion World Without Waste ETF

Schedule of Investments, continued

October 31, 2021

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
40

Direxion Russell 1000^® Growth Over Value ETF

Schedule of Investments

October 31, 2021

Shares			Fair Value
INVESTMENT COMPANIES - 91.5%
	49,859	iShares Russell 1000 Growth ETF ^(a)(b)	$	14,857,982
		TOTAL INVESTMENT COMPANIES (Cost $13,916,155)	$	14,857,982
SHORT TERM INVESTMENTS - 9.2%
Money Market Funds - 9.2%
	1,469,526	Dreyfus Government Cash Management Institutional Shares, 0.03% ^(c)(d)	$	1,469,526
	20,814	Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.01% ^(c)		20,814
		TOTAL SHORT TERM INVESTMENTS (Cost $1,490,340)	$	1,490,340
		TOTAL INVESTMENTS (Cost $15,406,495) - 100.7% ^(e)	$	16,348,322
		Liabilities in Excess of Other Assets - (0.7)%		(113,056	)
		TOTAL NET ASSETS - 100.0%	$	16,235,266

Percentages are stated as a percent of net assets.

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

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

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

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

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

^(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,844,628.

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 Russell 1000^®
Growth Index

0.5858% representing
1 month LIBOR
rate + spread

Credit Suisse
International

12/7/2021

3,168

8,935,905

560,328

Short 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
Depreciation

0.3858%
representing
1 month
LIBOR rate + spread

Total return of Russell 1000^®
Value Index

Credit Suisse
International

12/7/2021

5,010

7,894,524

(251,818

)

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

DIREXION ANNUAL REPORT
41

Direxion Russell 1000^® Value Over Growth ETF

Schedule of Investments

October 31, 2021

Shares			Fair Value
INVESTMENT COMPANIES - 96.8%
	197,788	iShares Russell 1000 Value ETF ^(a)	$	32,544,037
		TOTAL INVESTMENT COMPANIES (Cost $29,787,667)	$	32,544,037
SHORT TERM INVESTMENTS - 7.0%
Money Market Funds - 7.0%
	1,288,696	Dreyfus Government Cash Management Institutional Shares, 0.03% ^(b)	$	1,288,696
	1,048,530	Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.01% ^(b)		1,048,530
		TOTAL SHORT TERM INVESTMENTS (Cost $2,337,226)	$	2,337,226
		TOTAL INVESTMENTS (Cost $32,124,893) - 103.8% ^(c)	$	34,881,263
		Liabilities in Excess of Other Assets - (3.8)%		(1,287,434	)
		TOTAL NET ASSETS - 100.0%	$	33,593,829

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 $7,643,458.

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 Russell 1000^®
Value Index

0.6758% representing
1 month LIBOR
rate + spread

Credit Suisse
International

12/7/2021

11,014

16,975,374

959,110

Short 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
Depreciation

0.3158%
representing
1 month
LIBOR rate + spread

Total return of Russell 1000^®
Growth Index

Credit Suisse
International

12/7/2021

5,605

14,669,900

(2,152,554

)

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

DIREXION ANNUAL REPORT
42

Statements of Assets and Liabilities

October 31, 2021

	Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		Direxion Dynamic Hedge ETF		Direxion Fallen Knives ETF			Direxion Flight to Safety Strategy ETF (Consolidated)
Assets:
Investments, at fair value (including securities loaned*) (Note 2)	$	245,882,426	$	4,374,200	$	5,342,778		$	22,088,130
Receivable for Fund shares sold		870		—		—			—
Due from broker for futures contracts		—		101,086		—			114,540
Deposit at broker for futures contracts		8,303,341		—		—			66,000
Dividend and interest receivable		5,439		5		412			2,098
Unrealized appreciation on swap contracts		—		1,690		—			—
Total Assets		254,192,076		4,476,981		5,343,190			22,270,768
Liabilities:
Collateral for securities loaned (Note 2)		—		—		162,631			7,291,093
Due to Adviser, net (Note 6)		102,347		1,992		2,630			3,123
Due to broker for swap contracts		—		655		—			—
Due to broker for futures contracts		39,280		—		—			—
Variation margin payable		578,572		—		—			14,960
Accrued operating services fees (Note 6)		40,939		199		292			625
Total Liabilities		761,138		2,846		165,553			7,309,801
Net Assets	$	253,430,938	$	4,474,135	$	5,177,637		$	14,960,967
Net Assets Consist of:
Capital stock	$	197,765,692	$	4,031,230	$	5,294,954		$	15,109,761
Total distributable earnings (loss)		55,665,246		442,905		(117,317	)		(148,794	)
Net Assets	$	253,430,938	$	4,474,135	$	5,177,637		$	14,960,967
Calculation of Net Asset Value Per Share:
Net assets	$	253,430,938	$	4,474,135	$	5,177,637		$	14,960,967
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		7,750,001		75,001		75,001			300,001
Net assets value, redemption price and offering price per share	$	32.70	$	59.65	$	69.03		$	49.87
Cost of Investments	$	245,882,426	$	3,491,420	$	5,676,717		$	21,761,995

* Securities loaned with values of $–, $–, $454,866 and $7,169,168, respectively. See Note 2.

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

DIREXION ANNUAL REPORT
43

Statements of Assets and Liabilities

October 31, 2021

	Direxion Hydrogen ETF		Direxion Low Priced Stock ETF			Direxion Moonshot Innovators ETF			Direxion NASDAQ-100^®Equal Weighted Index Shares
Assets:
Investments, at fair value (including securities loaned*) (Note 2)	$	52,248,542	$	5,267,012		$	173,643,881		$	436,821,475
Cash held in foreign currency, at value		7,861		—			—			—
Receivable for investments sold		10,471,781		895,410			—			—
Dividend and interest receivable		71,810		6,764			318,690			81,503
Tax reclaim receivable		8,649		—			—			—
Total Assets		62,808,643		6,169,186			173,962,571			436,902,978
Liabilities:
Collateral for securities loaned (Note 2)		11,007,005		115,644			22,066,661			4,515,084
Payable for investments purchased		10,574,108		898,176			—			—
Due to Adviser, net (Note 6)		11,830		1,984			74,399			106,046
Accrued operating services fees (Note 6)		1,479		220			6,200			17,674
Total Liabilities		21,594,422		1,016,024			22,147,260			4,638,804
Net Assets	$	41,214,221	$	5,153,162		$	151,815,311		$	432,264,174
Net Assets Consist of:
Capital stock	$	40,248,269	$	5,484,255		$	221,580,293		$	300,797,772
Total distributable earnings (loss)		965,952		(331,093	)		(69,764,982	)		131,466,402
Net Assets	$	41,214,221	$	5,153,162		$	151,815,311		$	432,264,174
Calculation of Net Asset Value Per Share:
Net assets	$	41,214,221	$	5,153,162		$	151,815,311		$	432,264,174
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		1,700,002		550,001			4,500,001			4,950,002
Net assets value, redemption price and offering price per share	$	24.24	$	9.37		$	33.74		$	87.33
Cost of Investments	$	50,882,207	$	5,337,931		$	210,011,202		$	317,273,041

* Securities loaned with values of $9,461,767, $888,690, $34,853,785 and $4,175,535, respectively. See Note 2.

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

DIREXION ANNUAL REPORT
44

Statements of Assets and Liabilities

October 31, 2021

	Direxion Work From Home ETF		Direxion World Without Waste ETF		Direxion Russell 1000^® Growth Over Value ETF			Direxion Russell 1000^® Value Over Growth ETF
Assets:
Investments, at fair value (including securities loaned*) (Note 2)	$	114,472,839	$	6,518,507	$	16,348,322		$	34,881,263
Cash		—		29		—			—
Receivable for investments sold		—		394,750		—			—
Dividend and interest receivable		42,131		41		248			47
Due from broker for swap contracts		—		—		—			109,157
Unrealized appreciation on swap contracts		—		—		560,328			959,110
Total Assets		114,514,970		6,913,327		16,908,898			35,949,577
Liabilities:
Collateral for securities loaned (Note 2)		3,981,099		302,950		155,480			—
Payable for Fund shares redeemed		1,251		—		—			—
Payable for investments purchased		—		389,122		—			—
Unrealized depreciation on swap contracts		—		—		251,818			2,152,554
Due to Adviser, net (Note 6)		38,084		2,239		5,630			11,948
Due to broker for swap contracts		—		—		260,000			189,753
Accrued operating services fees (Note 6)		4,760		249		704			1,493
Total Liabilities		4,025,194		694,560		673,632			2,355,748
Net Assets	$	110,489,776	$	6,218,767	$	16,235,266		$	33,593,829
Net Assets Consist of:
Capital stock	$	93,707,725	$	5,000,025	$	16,470,072		$	35,668,101
Total distributable earnings		16,782,051		1,218,742		(234,806	)		(2,074,272	)
Net Assets	$	110,489,776	$	6,218,767	$	16,235,266		$	33,593,829
Calculation of Net Asset Value Per Share:
Net assets	$	110,489,776	$	6,218,767	$	16,235,266		$	33,593,829
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		1,425,001		200,001		125,001			575,001
Net assets value, redemption price and offering price per share	$	77.54	$	31.09	$	129.88		$	58.42
Cost of Investments	$	97,160,021	$	5,787,559	$	15,406,495		$	32,124,893

* Securities loaned with values of $4,332,174, $367,128, $153,172 and $–, respectively. See Note 2.

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

DIREXION ANNUAL REPORT
45

Statements of Operations

For the Year Ended October 31, 2021

	Direxion Auspice Broad Commodity Strategy ETF (Consolidated)			Direxion Dynamic Hedge ETF			Direxion Fallen Knives ETF			Direxion Flight to Safety Strategy ETF (Consolidated)
Investment Income:
Dividend income (net of foreign withholding tax of $—, $—, $707 and $—, respectively)	$	223		$	91,767		$	112,329		$	286,316
Interest income		38,250			36			8			314
Securities lending income		—			—			1,196			9,660
Total investment income		38,473			91,803			113,533			296,290
Expenses:
Investment advisory fees (Note 6)		731,722			33,442			42,983			44,852
Operating services fees (Note 6)		292,689			3,344			4,776			8,971
Total Expenses		1,024,411			36,786			47,759			53,823
Net investment income (loss)		(985,938	)		55,017			65,774			242,467
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		—			603,389			1,675,728			(99,390	)
In-kind redemptions		—			758,029			1,094,017			8,600
Swap contracts		—			34,913			—			—
Futures contracts		26,159,862			(772,030	)		—			(161,000	)
Net realized gain (loss)		26,159,862			624,301			2,769,745			(251,790	)
Change in net unrealized appreciation (depreciation) on:
Investment securities		—			757,851			(462,436	)		(636,276	)
Swap contracts		—			5,676			—			—
Futures contracts		14,721,431			(87,848	)		—			68,560
Change in net unrealized appreciation (depreciation)		14,721,431			675,679			(462,436	)		(567,716	)
Net realized and unrealized gain (loss)		40,881,293			1,299,980			2,307,309			(819,506	)
Net increase (decrease) in net assets resulting from operations	$	39,895,355		$	1,354,997		$	2,373,083		$	(577,039	)

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

DIREXION ANNUAL REPORT
46

Statements of Operations

For the Year Ended October 31, 2021

	Direxion Hydrogen ETF²			Direxion Low Priced Stock ETF³			Direxion Moonshot Innovators ETF¹			Direxion NASDAQ-100^® Equal Weighted Index Shares
Investment Income:
Dividend income (net of foreign withholding tax of $47,699, $—, $— and $9,762, respectively)	$	304,163		$	12,939		$	92,266		$	3,173,809
Interest income		10			1			72			65
Securities lending income		21,302			8,044			1,904,561			7,771
Total investment income		325,475			20,984			1,996,899			3,181,645
Expenses:
Investment advisory fees (Note 6)		78,333			6,413			849,239			1,130,811
Operating services fees (Note 6)		9,791			713			70,770			188,468
Total Expenses		88,124			7,126			920,009			1,319,279
Net investment income		237,351			13,858			1,076,890			1,862,366
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(493,830	)		(272,685	)		(34,882,987	)		20,115,931
Foreign currency translation		(15,173	)		—			—			—
In-kind redemptions		—			—			12,177,941			21,213,771
Net realized gain (loss)		(509,003	)		(272,685	)		(22,705,046	)		41,329,702
Change in net unrealized appreciation (depreciation) on:
Investment securities		1,366,335			(70,919	)		(36,367,321	)		71,501,564
Foreign currency translation		(1,296	)		—			—			—
Change in net unrealized appreciation (depreciation)		1,365,039			(70,919	)		(36,367,321	)		71,501,564
Net realized and unrealized gain (loss)		856,036			(343,604	)		(59,072,367	)		112,831,266
Net increase (decrease) in net assets resulting from operations	$	1,093,387		$	(329,746	)	$	(57,995,477	)	$	114,693,632

¹ Represents the period from November 12, 2020 (commencement of operations) to October 31, 2021.

² Represents the period from March 25, 2021(commencement of operations) to October 31, 2021.

³ Represents the period from July 22, 2021 (commencement of operations) to October 31, 2021.

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

DIREXION ANNUAL REPORT
47

Statements of Operations

For the Year Ended October 31, 2021

	Direxion Work From Home ETF		Direxion World Without Waste ETF¹			Direxion Russell 1000^® Growth Over Value ETF			Direxion Russell 1000^® Value Over Growth ETF
Investment Income:
Dividend income (net of foreign withholding tax of $—, $25, $— and $—, respectively)	$	902,423	$	20,195		$	112,199		$	592,283
Interest income		58		8			207			447
Securities lending income		105,899		192			900			11
Total investment income		1,008,380		20,395			113,306			592,741
Expenses:
Investment advisory fees (Note 6)		531,456		21,561			83,011			143,928
Operating services fees (Note 6)		66,432		2,396			10,376			17,991
Interest expense		—		—			173			285
Total Expenses		597,888		23,957			93,560			162,204
Net investment income (loss)		410,492		(3,562	)		19,746			430,537
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		10,356,512		491,440			(12,112	)		(10,074	)
In-kind redemptions		24,768,085		—			8,802,138			6,805,205
Swap contracts		—		—			10,325			(701,391	)
Net realized gain		35,124,597		491,440			8,800,351			6,093,740
Change in net unrealized appreciation (depreciation) on:
Investment securities		16,725,812		730,948			(1,680,231	)		3,148,179
Swap contracts		—		—			(311,529	)		317,139
Change in net unrealized appreciation (depreciation)		16,725,812		730,948			(1,991,760	)		3,465,318
Net realized and unrealized gain		51,850,409		1,222,388			6,808,591			9,559,058
Net increase in net assets resulting from operations	$	52,260,901	$	1,218,826		$	6,828,337		$	9,989,595

¹ Represents the period from December 17, 2020 (commencement of operations) to October 31, 2021.

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

DIREXION ANNUAL REPORT
48

Statements of Changes in Net Assets

	Direxion Auspice Broad Commodity Strategy ETF (Consolidated)						Direxion Dynamic Hedge ETF
	Year Ended October 31, 2021			Year Ended October 31, 2020			Year Ended October 31, 2021			For the Period June 11, 2020¹through October 31, 2020
Operations:
Net investment income (loss)	$	(985,938	)	$	(37,071	)	$	55,017		$	34,133
Net realized gain (loss)		26,159,862			(652,619	)		624,301			(317,314	)
Change in net unrealized appreciation		14,721,431			260,270			675,679			208,791
Net increase (decrease) in net assets resulting from operations		39,895,355			(429,420	)		1,354,997			(74,390	)
Distributions to shareholders:
Net distributions to shareholders		—			(74,461	)		(58,301	)		(21,371	)
Return of capital		—			(46,911	)		—			—
Total distributions		—			(121,372	)		(58,301	)		(21,371	)
Capital share transactions:
Proceeds from shares sold		184,462,965			19,405,545			2,790,003			6,250,050
Cost of shares redeemed		(14,894,665	)		(17,274,061	)		(5,768,281	)		—
Transaction fees (Note 4)		21,425			5,395			1,428			—
Net increase (decrease) in net assets resulting from capital transactions		169,589,725			2,136,879			(2,976,850	)		6,250,050
Total increase (decrease) in net assets		209,485,080			1,586,087			(1,680,154	)		6,154,289
Net assets:
Beginning of year/period		43,945,858			42,359,771			6,154,289			—
End of year/period	$	253,430,938		$	43,945,858		$	4,474,135		$	6,154,289
Changes in shares outstanding
Shares outstanding, beginning of year/period		1,900,001			1,800,001			125,001			—
Shares sold		6,350,000			850,000			50,000			125,001
Shares repurchased		(500,000	)		(750,000	)		(100,000	)		—
Shares outstanding, end of year/period		7,750,001			1,900,001			75,001			125,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
49

Statements of Changes in Net Assets

	Direxion Fallen Knives ETF						Direxion Flight to Safety Strategy ETF (Consolidated)
	Year Ended October 31, 2021			For the Period June 11, 2020¹through October 31, 2020			Year Ended October 31, 2021			For the Period February 5, 2020¹through October 31, 2020
Operations:
Net investment income	$	65,774		$	8,214		$	242,467		$	273,893
Net realized gain (loss)		2,769,745			464,668			(251,790	)		649,100
Change in net unrealized appreciation (depreciation)		(462,436	)		128,497			(567,716	)		901,981
Net increase (decrease) in net assets resulting from operations		2,373,083			601,379			(577,039	)		1,824,974
Distributions to shareholders:
Net distributions to shareholders		(535,643	)		(4,961	)		(755,329	)		(261,007	)
Total distributions		(535,643	)		(4,961	)		(755,329	)		(261,007	)
Capital share transactions:
Proceeds from shares sold		3,793,568			6,250,050			—			36,165,142
Cost of shares redeemed		(7,299,839	)		—			(8,613,347	)		(12,828,778	)
Transaction fees (Note 4)		—			—			235			6,116
Net increase (decrease) in net assets resulting from capital transactions		(3,506,271	)		6,250,050			(8,613,112	)		23,342,480
Total increase (decrease) in net assets		(1,668,831	)		6,846,468			(9,945,480	)		24,906,447
Net assets:
Beginning of year/period		6,846,468			—			24,906,447			—
End of year/period	$	5,177,637		$	6,846,468		$	14,960,967		$	24,906,447
Changes in shares outstanding
Shares outstanding, beginning of year/period		125,001			—			475,001			—
Shares sold		50,000			125,001			—			725,001
Shares repurchased		(100,000	)		—			(175,000	)		(250,000	)
Shares outstanding, end of year/period		75,001			125,001			300,001			475,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
50

Statements of Changes in Net Assets

	Direxion Hydrogen ETF			Direxion Low Priced Stock ETF
	For the Period March 25, 2021¹ through October 31, 2021			For the Period July 22, 2021¹through October 31, 2021
Operations:
Net investment income	$	237,351		$	13,858
Net realized (loss)		(509,003	)		(272,685	)
Change in net unrealized appreciation (depreciation)		1,365,039			(70,919	)
Net increase (decrease) in net assets resulting from operations		1,093,387			(329,746	)
Distributions to shareholders:
Net distributions to shareholders		(127,435	)		(1,347	)
Total distributions		(127,435	)		(1,347	)
Capital share transactions:
Proceeds from shares sold		40,248,269			5,483,755
Cost of shares redeemed		—			—
Transaction fees (Note 4)		—			500
Net increase in net assets resulting from capital transactions		40,248,269			5,484,255
Total increase in net assets		41,214,221			5,153,162
Net assets:
Beginning of period		—			—
End of period	$	41,214,221		$	5,153,162
Changes in shares outstanding
Shares outstanding, beginning of period		—			—
Shares sold		1,700,002			550,001
Shares repurchased		—			—
Shares outstanding, end of period		1,700,002			550,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
51

Statements of Changes in Net Assets

	Direxion Moonshot Innovators ETF			Direxion NASDAQ-100^® Equal Weighted Index Shares
	For the Period November 12, 2020¹ through October 31, 2021			Year Ended October 31, 2021			Year Ended October 31, 2020
Operations:
Net investment income	$	1,076,890		$	1,862,366		$	1,683,206
Net realized gain (loss)		(22,705,046	)		41,329,702			28,910,404
Change in net unrealized appreciation (depreciation)		(36,367,321	)		71,501,564			24,416,899
Net increase (decrease) in net assets resulting from operations		(57,995,477	)		114,693,632			55,010,509
Distributions to shareholders:
Net distributions to shareholders		(680,526	)		(2,011,608	)		(1,713,664	)
Total distributions		(680,526	)		(2,011,608	)		(1,713,664	)
Capital share transactions:
Proceeds from shares sold		383,639,876			96,387,917			81,330,505
Cost of shares redeemed		(173,148,562	)		(51,005,012	)		(75,990,671	)
Net increase in net assets resulting from capital transactions		210,491,314			45,382,905			5,339,834
Total increase in net assets		151,815,311			158,064,929			58,636,679
Net assets:
Beginning of year/period		—			274,199,245			215,562,566
End of year/period	$	151,815,311		$	432,264,174		$	274,199,245
Changes in shares outstanding
Shares outstanding, beginning of year/period		—			4,350,002			4,200,002
Shares sold		9,325,001			1,250,000			1,500,000
Shares repurchased		(4,825,000	)		(650,000	)		(1,350,000	)
Shares outstanding, end of year/period		4,500,001			4,950,002			4,350,002

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
52

Statements of Changes in Net Assets

	Direxion Work From Home ETF						Direxion World Without Waste ETF
	Year Ended October 31, 2021			For the Period June 25, 2020¹through October 31, 2020			For the Period December 17, 2020¹through October 31, 2021
Operations:
Net investment income (loss)	$	410,492		$	259,666		$	(3,562	)
Net realized gain		35,124,597			573,425			491,440
Change in net unrealized appreciation		16,725,812			587,006			730,948
Net increase in net assets resulting from operations		52,260,901			1,420,097			1,218,826
Distributions to shareholders:
Net distributions to shareholders		(1,572,820	)		(68,991	)		(84	)
Total distributions		(1,572,820	)		(68,991	)		(84	)
Capital share transactions:
Proceeds from shares sold		31,133,230			134,511,642			5,000,025
Cost of shares redeemed		(104,409,325	)		(2,784,958	)		—
Net increase (decrease) in net assets resulting from capital transactions		(73,276,095	)		131,726,684			5,000,025
Total increase (decrease) in net assets		(22,588,014	)		133,077,790			6,218,767
Net assets:
Beginning of year/period		133,077,790			—			—
End of year/period	$	110,489,776		$	133,077,790		$	6,218,767
Changes in shares outstanding
Shares outstanding, beginning of year/period		2,475,001			—			—
Shares sold		475,000			2,525,001			200,001
Shares repurchased		(1,525,000	)		(50,000	)		—
Shares outstanding, end of year/period		1,425,001			2,475,001			200,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
53

Statements of Changes in Net Assets

	Direxion Russell 1000^® Growth Over Value ETF						Direxion Russell 1000^® Value Over Growth ETF
	Year Ended October 31, 2021			Year Ended October 31, 2020			Year Ended October 31, 2021			Year Ended October 31, 2020
Operations:
Net investment income	$	19,746		$	106,425		$	430,537		$	478,496
Net realized gain		8,800,351			10,231,578			6,093,740			369,267
Change in net unrealized appreciation (depreciation)		(1,991,760	)		(1,587,984	)		3,465,318			(4,917,394	)
Net increase (decrease) in net assets resulting from operations		6,828,337			8,750,019			9,989,595			(4,069,631	)
Distributions to shareholders:
Net distributions to shareholders		(39,505	)		(115,792	)		(405,394	)		(535,375	)
Total distributions		(39,505	)		(115,792	)		(405,394	)		(535,375	)
Capital share transactions:
Proceeds from shares sold		28,505,479			22,362,724			37,940,228			9,376,580
Cost of shares redeemed		(49,034,243	)		(30,283,476	)		(33,707,431	)		(16,702,106	)
Transaction fees (Note 4)		15,751			9,515			14,591			5,904
Net increase (decrease) in net assets resulting from capital transactions		(20,513,013	)		(7,911,237	)		4,247,388			(7,319,622	)
Total increase (decrease) in net assets		(13,724,181	)		722,990			13,831,589			(11,924,628	)
Net assets:
Beginning of year		29,959,447			29,236,457			19,762,240			31,686,868
End of year	$	16,235,266		$	29,959,447		$	33,593,829		$	19,762,240
Changes in shares outstanding
Shares outstanding, beginning of year		325,001			475,001			475,001			575,001
Shares sold		250,000			275,000			700,000			225,000
Shares repurchased		(450,000	)		(425,000	)		(600,000	)		(325,000	)
Shares outstanding, end of year		125,001			325,001			575,001			475,001

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

DIREXION ANNUAL REPORT
54

Financial Highlights

October 31, 2021

																																		RATIOS TO AVERAGE NET ASSETS⁵
	Net Asset Value, Beginning of Year/ Period		Net Investment Income (Loss)¹			Net Investment Income (Loss)^1,2			Net Realized and Unrealized Gain (Loss) on Investments³			Net Increase (Decrease) in Net Asset Value Resulting from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Distributions from Return of Capital			Total Distributions			Net Asset Value, End of Year/ Period		Total Return⁴			Net Assets, End of Year/ Period (000's omitted)		Net Expenses⁶			Total Expenses			Net Investment Income (Loss) After Expense Reimbursement			Net Expenses^2,6			Total Expenses²			Net Investment Income (Loss) After Expense Reimbursement²			Portfolio Turnover Rate⁷
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
For the Year Ended October 31, 2021	$	23.13	$	(0.20	)	$	(0.20	)	$	9.77		$	9.57		$	—		$	—		$	—		$	—		$	32.70		41.37	%	$	253,431		0.70	%		0.70	%		(0.67	)%		0.70	%		0.70	%		(0.67	)%		0	%
For the Year Ended October 31, 2020	$	23.53		(0.02	)		(0.02	)		(0.29	)		(0.31	)		(0.06	)		—			(0.03	)		(0.09	)	$	23.13		-1.31	%	$	43,946		0.70	%		0.70	%		(0.10	)%		0.70	%		0.70	%		(0.10	)%		0	%
For the Year Ended October 31, 2019	$	24.58		0.35			0.35			(0.77	)		(0.42	)		(0.63	)		—			—			(0.63	)	$	23.53		-1.72	%	$	42,360		0.70	%		0.79	%		1.47	%		0.70	%		0.79	%		1.47	%		0	%
For the Year Ended October 31, 2018	$	23.82		0.20			0.20			0.72			0.92			(0.16	)		—			—			(0.16	)	$	24.58		3.84	%	$	52,847		0.70	%		0.84	%		0.80	%		0.70	%		0.84	%		0.80	%		0	%
For the Period March 30, 2017⁸ through October 31, 2017	$	25.00		0.01			0.01			(1.19	)		(1.18	)		—			—			—			—		$	23.82		-4.72	%	$	11,911		0.70	%		1.35	%		0.07	%		0.70	%		1.35	%		0.07	%		0	%
Direxion Dynamic Hedge ETF
For the Year Ended October 31, 2021	$	49.23		0.45			0.45			10.44			10.89			(0.47	)		—			—			(0.47	)	$	59.65		22.22	%	$	4,474		0.55	%		0.55	%		0.82	%		0.55	%		0.55	%		0.82	%		19	%
For the Period June 11, 2020⁸ through October 31, 2020	$	50.00		0.27			0.27			(0.87	)		(0.60	)		(0.17	)		—			—			(0.17	)	$	49.23		-1.19	%	$	6,154		0.55	%		0.55	%		1.41	%		0.55	%		0.55	%		1.41	%		12	%
Direxion Fallen Knives ETF
For the Year Ended October 31, 2021	$	54.77		0.50			0.50			17.99			18.49			(0.51	)		(3.72	)		—			(4.23	)	$	69.03		34.30	%	$	5,178		0.50	%		0.50	%		0.69	%		0.50	%		0.50	%		0.69	%		113	%
For the Period June 11, 2020⁸ through October 31, 2020	$	50.00		0.07			0.07			4.74			4.81			(0.04	)		—			—			(0.04	)	$	54.77		9.63	%	$	6,846		0.50	%		0.50	%		0.32	%		0.50	%		0.50	%		0.32	%		115	%
Direxion Flight to Safety Strategy ETF (Consolidated)
For the Year Ended October 31, 2021	$	52.43		0.67			0.67			(1.46	)		(0.79	)		(1.77	)		—			—			(1.77	)	$	49.87		-1.51	%	$	14,961		0.30	%		0.30	%		1.35	%		0.30	%		0.30	%		1.35	%		4	%
For the Period February 5, 2020⁸ through October 31, 2020	$	50.00		0.53			0.53			2.38			2.91			(0.48	)		—			—			(0.48	)	$	52.43		5.85	%	$	24,906		0.30	%		0.30	%		1.37	%		0.30	%		0.30	%		1.37	%		33	%
Direxion Hydrogen ETF
For the Period March 25, 2021⁸ through October 31, 2021	$	24.00		0.16			0.16			0.16			0.32			(0.08	)		—			—			(0.08	)	$	24.24		1.37	%	$	41,214		0.45	%		0.45	%		1.21	%		0.45	%		0.45	%		1.21	%		55	%
Direxion Low Priced Stock ETF
For the Period July 22, 2021⁸ through October 31, 2021	$	10.00		0.03			0.03			(0.66	)		(0.63	)		(0.00	)⁹		—			—			(0.00	)⁹	$	9.37		-6.27	%	$	5,153		0.50	%		0.50	%		0.97	%		0.50	%		0.50	%		0.97	%		83	%
Direxion Moonshot Innovators ETF
For the Period November 12, 2020⁸ through October 31, 2021	$	25.00		0.27			0.27			8.61			8.88			(0.14	)		—			—			(0.14	)	$	33.74		35.54	%	$	151,815		0.65	%		0.65	%		0.76	%		0.65	%		0.65	%		0.76	%		87	%
Direxion NASDAQ-100^® Equal Weighted Index Shares
For the Year Ended October 31, 2021	$	63.03		0.39			0.39			24.33			24.72			(0.39	)		(0.03	)		—			(0.42	)	$	87.33		39.30	%	$	432,264		0.35	%		0.35	%		0.49	%		0.35	%		0.35	%		0.49	%		30	%
For the Year Ended October 31, 2020	$	51.32		0.38			0.38			11.72			12.10			(0.39	)		—			—			(0.39	)	$	63.03		23.69	%	$	274,199		0.35	%		0.35	%		0.67	%		0.35	%		0.35	%		0.67	%		35	%
For the Year Ended October 31, 2019	$	43.27		0.39			0.39			8.04			8.43			(0.38	)		—			—			(0.38	)	$	51.32		19.59	%	$	215,563		0.35	%		0.44	%		0.82	%		0.35	%		0.44	%		0.82	%		28	%
For the Year Ended October 31, 2018	$	41.90		0.31			0.31			1.37			1.68			(0.31	)		—			—			(0.31	)	$	43.27		3.98	%	$	179,574		0.35	%		0.49	%		0.68	%		0.35	%		0.49	%		0.68	%		27	%
For the Year Ended October 31, 2017	$	33.44		0.28			0.28			8.44			8.72			(0.26	)		—			—			(0.26	)	$	41.90		26.16	%	$	144,561		0.35	%		0.52	%		0.73	%		0.35	%		0.52	%		0.73	%		31	%
Direxion Work From Home ETF
For the Year Ended October 31, 2021	$	53.77		0.22			0.22			24.24			24.46			(0.27	)		(0.42	)		—			(0.69	)	$	77.54		45.69	%	$	110,490		0.45	%		0.45	%		0.31	%		0.45	%		0.45	%		0.31	%		35	%
For the Period June 25, 2020⁸ through October 31, 2020	$	50.00		0.15			0.15			3.65			3.80			(0.03	)		—			—			(0.03	)	$	53.77		7.60	%	$	133,078		0.45	%		0.45	%		0.81	%		0.45	%		0.45	%		0.81	%		32	%
Direxion World Without Waste ETF
For the Period December 17, 2020⁸ through October 31, 2021	$	25.00		(0.02	)		(0.02	)		6.11			6.09			(0.00	)⁹		—			—			(0.00	)⁹	$	31.09		24.36	%	$	6,219		0.50	%		0.50	%		(0.07	)%		0.50	%		0.50	%		(0.07	)%		63	%
Direxion Russell 1000^® Growth Over Value ETF
For the Year Ended October 31, 2021	$	92.18		0.10			0.11			37.76			37.86			(0.16	)		—			—			(0.16	)	$	129.88		41.11	%	$	16,235		0.45	%		0.45	%		0.10	%		0.45	%		0.45	%		0.10	%		0	%
For the Year Ended October 31, 2020	$	61.55		0.35			0.36			30.60			30.95			(0.32	)		—			—			(0.32	)	$	92.18		50.43	%	$	29,959		0.47	%		0.47	%		0.45	%		0.45	%		0.45	%		0.47	%		12	%
For the Period January 16, 2019⁸ through October 31, 2019	$	50.00		0.26			0.28			11.48			11.74			(0.19	)		—			—			(0.19	)	$	61.55		23.50	%	$	29,236		0.49	%		0.61	%		0.56	%		0.45	%		0.57	%		0.60	%		13	%
Direxion Russell 1000^® Value Over Growth ETF
For the Year Ended October 31, 2021	$	41.60		0.66			0.66			16.73			17.39			(0.57	)		—			—			(0.57	)	$	58.42		41.96	%	$	33,594		0.45	%		0.45	%		1.20	%		0.45	%		0.45	%		1.20	%		3	%
For the Year Ended October 31, 2020	$	55.11		1.05			1.06			(13.54	)		(12.49	)		(1.02	)		—			—			(1.02	)	$	41.60		-23.00	%	$	19,762		0.46	%		0.46	%		2.24	%		0.45	%		0.45	%		2.25	%		0	%
For the Period January 16, 2019⁸ through October 31, 2019	$	50.00		0.71			0.71			4.81			5.52			(0.41	)		—			—			(0.41	)	$	55.11		11.06	%	$	31,687		0.46	%		0.59	%		1.69	%		0.45	%		0.58	%		1.70	%		0	%

¹ Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.

² Excludes interest expense and extraordinary expenses which comprise of tax and litigation expenses.

³ Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain (loss) per share will not equal the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures and swaps for the period.

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

DIREXION ANNUAL REPORT
55

Financial Highlights

October 31, 2021

⁴ Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the years ended October 31, 2016 through October 31, 2019, the total return would have been lower if certain expenses had not been reimbursed/waived by the investment advisor.

⁵ For periods less than a year, these ratios are annualized.

⁶ For the years ended October 31, 2016 through October 31, 2019, net expenses include affects of any reimbursement/waiver or recoupment.

⁷ Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio. Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.

⁸ Commencement of operations.

⁹ Between $(0.005) and $0.005.

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

DIREXION ANNUAL REPORT
56

Direxion Shares ETF Trust

Notes to the Financial Statements

October 31, 2021

1. ORGANIZATION

The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 77 separate series (each, a "Fund" and together the "Funds"). 12 of these Funds are included in this report:

Strategic ETFs				Thematic ETFs
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)				Direxion Hydrogen ETF
Direxion Dynamic Hedge ETF				Direxion Moonshot Innovators ETF
Direxion Fallen Knives ETF				Direxion Work From Home ETF
Direxion Flight to Safety Strategy ETF (Consolidated)				Direxion World Without Waste ETF
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

The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.

Rafferty Asset Management, LLC ("Rafferty") serves as investment adviser to the Funds. Rafferty has registered as a commodity pool operator ("CPO") and the Funds, with the exception of Direxion Fallen Knives ETF, Direxion Hydrogen ETF, Direxion Moonshot Innovators ETF, Direxion NASDAQ-100^® Equal Weighted Index Shares, Direxion Work From Home ETF and Direxion World Without Waste ETF, are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, Rafferty is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.

The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) is managed to track the performance of the Auspice Broad Commodity Index. The Auspice Broad Commodity Index is a long/flat commodities index. A long/flat approach allows the Fund to attempt to take advantage of higher commodity prices, and at the same time shift into a cash position of an individual commodity that shows a downward trend in price. The Fund primarily invests in commodity and financial futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion BCS Fund Ltd. ("BCS Fund"), in order to track the returns of the Auspice Broad Commodity Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.

The Direxion Flight to Safety Strategy ETF (Consolidated) is managed to track the performance of the Solactive Flight to Safety Index. The Solactive Flight to Safety Index combines long-term U.S. treasury bonds, utility stocks, and gold to provide multi-asset defensive exposures. The Fund primarily invests in gold, U.S. listed large-capitalization utility stocks, and U.S. treasury bonds with remaining maturities of greater than 20 years. It also invests in commodity futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion FTS Fund Ltd. ("FTS Fund"), in order to track the returns of the Solactive Flight to Safety Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.

DIREXION ANNUAL REPORT
57

Each Fund seeks investment results, before fees and expenses, that track the performance of the underlying index as listed below:

Funds				Index or Benchmark
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)				Auspice Broad Commodity Index
Direxion Dynamic Hedge ETF				Salt truVol^TM US Large Cap Dynamic Hedge Index
Direxion Fallen Knives ETF				Indxx US Fallen Knives Index
Direxion Flight to Safety Strategy ETF (Consolidated)				Solactive Flight to Safety Index
Direxion Hydrogen ETF				Indxx Global Hydrogen Index
Direxion Low Priced Stock ETF				Solactive Two Bucks Index
Direxion Moonshot Innovators ETF				S&P Kensho Moonshots Index
Direxion NASDAQ-100^® Equal Weighted Index Shares				NASDAQ-100^® Equal Weighted Index
Direxion Work From Home ETF				Solactive Remote Work Index
Direxion World Without Waste ETF				Indxx US Circular Economy Index
Direxion Russell 1000^® Growth Over Value ETF				Russell 1000^® Growth/Value 150/50 Net Spread Index
Direxion Russell 1000^® Value Over Growth ETF				Russell 1000^® Value/Growth 150/50 Net Spread Index

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").

a) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time ("Valuation Time")), each day the NYSE is open for business. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ^® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ^® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over-the-counter ("OTC") securities held by a Fund are valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities or; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation Time will be used. Securities and swap contracts are fair valued as determined by the Rafferty under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities; c) the Funds' pricing service provides a valuation that in the judgment of the Rafferty does not represent fair value; or d) the Fund or Rafferty believes the market price is stale.

b) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivative contracts and related cash collateral on the Statements of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. Each Fund's obligations are accrued daily and offset by any amounts owed to the Fund.

DIREXION ANNUAL REPORT
58

In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Funds' custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps".

Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their investment objectives.

Accounting Standards Update No. 2013-01, "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013 – 01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope recognize derivative instruments accounted for under ASC 815, Derivatives and Hedging, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement of similar agreement.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral requirements generally differ by type of derivative. Collateral terms are contract specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Interest earned on collateral pledged to a counterparty is presented as part of Interest income on the Statements of Operations. Interest incurred on collateral received from a counterparty is presented as Interest expense on the Statements of Operations.

For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of October 31, 2021, the impact of netting of assets and liabilities and the offsetting

DIREXION ANNUAL REPORT
59

of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.

In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at October 31, 2021 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.

Description: Swap Contract

Counterparty: Credit Suisse Capital LLC

			Assets:								Liabilities:
			Gross Amounts not offset in the Statement of Asset and Liabilities								Gross Amounts not offset in the Statement of Asset and Liabilities
Fund Name	Gross Amounts of Recognized Assets		Financial Instruments		Collateral Received		Net Amount²		Gross Amounts of Recognized Liabilities		Financial Instruments		Collateral Pledged		Net Amount
Direxion Dynamic Hedge ETF	$	1,690	$	—	$	—	$	1,690	$	—	$	—	$	—	$	—
Direxion Russell 1000^® Growth Over Value ETF		560,328		251,818		260,000		48,510		251,818		—		251,818¹		—
Direxion Russell 1000^® Value Over Growth ETF		959,110		—		959,110		—		2,152,554		959,110		1,193,444¹		—

¹ The amount of collateral shown has been limited such that the net amount cannot be less than zero.

² The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.

c) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) and Direxion Flight to Safety Strategy ETF (Consolidated) were invested in futures contracts as of the year ended October 31, 2021.

d) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and

DIREXION ANNUAL REPORT
60

movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended October 31, 2021.

e) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.

f) Foreign Currency Translation – The accounting records of the Funds are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the Funds after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The Funds do not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

g) Basis for Consolidation – The Direxion Auspice Broad Commodity Strategy ETF may invest up to 25% of its total assets in the Direxion BCS Fund Ltd. ("BCS Fund"). The BCS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Auspice Broad Commodity Strategy ETF. The BCS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Auspice Broad Commodity Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of October 31, 2021, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $253,430,938 of which $58,218,591, or approximately 23.0%, represented the Direxion Auspice Broad Commodity Strategy ETF's ownership of all issued shares and voting rights of the BCS Fund. All intercompany balances, revenues and expenses have been eliminated in consolidation.

The Direxion Flight to Safety Strategy ETF may invest up to 25% of its total assets in the Direxion FTS Fund Ltd. ("FTS Fund"). The FTS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Flight to Safety Strategy ETF. The FTS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Flight to Safety Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of October 31, 2021, the net assets of the Direxion Flight to Safety Strategy ETF were $14,960,967 of which $2,956,283, or approximately 19.8%, represented the Direxion Flight to Safety Strategy ETF's ownership of all issued shares and voting rights of the FTS Fund. All intercompany balances, revenues and expenses have been eliminated in consolidation.

h) Risks of Investing Commodity-Linked Derivatives – The Direxion Auspice Broad Commodity Strategy ETF and Direxion Flight to Safety Strategy ETF, through their investments in the subsidiary, may hold commodity-linked derivatives. Commodity-linked derivatives provide exposure, which may include long and/or short exposure, to the investment returns of physical commodities that trade in the commodities markets without investing directly in physical commodities. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity (such as heating

DIREXION ANNUAL REPORT
61

oil, precious metals, livestock, or agricultural products), a commodity futures contract or commodity index, or some other readily measurable economic variable. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, volatility of the underlying benchmark, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The value of commodity-linked derivatives will rise or fall in response to changes in the underlying commodity or related index. Investments in commodity-linked derivatives may be subject to greater volatility than non-derivative based investments. A highly liquid secondary market may not exist for certain commodity-linked derivatives, and there can be no assurance that one will develop. The Direxion Auspice Broad Commodity Strategy ETF and the Direxion Flight to Safety Strategy ETF held commodity-linked derivatives during the period ended October 31, 2021.

i) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.

j) Securities Lending – Each Fund may lend up to 33¹/₃% of the value of the securities in their portfolios to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, cash equivalents, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. Government securities held as collateral, net of fee rebates paid to borrower and net of fees paid to the lending agent. The amount of fees depends on a number of factors including the security type and the length of the loan. In addition, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. No more than 99% of the value of any security may be on loan at any time.

As of October 31, 2021, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.

As of October 31, 2021, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:

Funds	Market Value of Securities Loaned		Cash Collateral Received		Non-Cash Collateral Received		Total Collateral Received
Direxion Fallen Knives ETF	$	454,866	$	162,631	$	315,969	$	478,600
Direxion Flight to Safety Strategy ETF (Consolidated)		7,169,168		7,291,093		—		7,291,093
Direxion Hydrogen ETF		9,461,797		11,007,005		1,604,321		12,611,326
Direxion Low Priced Stock ETF		888,690		115,643		792,198		907,841
Direxion Moonshot Innovators ETF		34,853,785		22,066,661		14,098,703		36,165,364
Direxion NASDAQ-100^® Equal Weighted Index Shares		4,175,535		4,515,084		—		4,515,084
Direxion Work From Home ETF		4,332,174		3,981,099		486,185		4,467,284
Direxion World Without Waste ETF		367,138		302,950		57,907		360,857
Direxion Russell 1000^® Growth Over Value ETF		153,172		155,480		—		155,480

DIREXION ANNUAL REPORT
62

k) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company. Therefore, no provision for U.S. Federal income tax has been made by the Funds.

The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. No Funds paid this excise tax during the period ended October 31, 2021.

l) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date.

The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets. Expenses are charged to the Funds daily. Expenses are computed based on each Fund's respective average daily net assets. For additional discussion on expenses, refer to Note 6.

m) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.

n) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon the occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.

o) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

3. INCOME TAX AND DISTRIBUTION INFORMATION

The tax character of distributions paid during the periods ended October 31, 2021 and October 31, 2020 are presented in the following table. The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.

	Year/Period Ended October 31, 2021						Year/Period Ended October 31, 2020
	Distributions Paid From:						Distributions Paid From:
Funds	Ordinary Income		Long Term Capital Gains		Return of Capital		Ordinary Income		Long Term Capital Gains		Return of Capital
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	—	$	74,461	$	—	$	46,911
Direxion Dynamic Hedge ETF		58,301		—		—		21,371		—		—
Direxion Fallen Knives ETF		535,643		—		—		4,961		—		—
Direxion Flight to Safety Strategy ETF (Consolidated)		755,329		—		—		261,007		—		—
Direxion Hydrogen ETF³		127,435		—		—		—		—		—
Direxion Low Priced Stock ETF⁴		1,347		—		—		—		—		—
Direxion Moonshot Innovators ETF¹		680,526		—		—		—		—		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		2,011,608		—		—		1,713,664		—		—

DIREXION ANNUAL REPORT
63

	Year/Period Ended October 31, 2021						Year/Period Ended October 31, 2020
	Distributions Paid From:						Distributions Paid From:
Funds	Ordinary Income		Long Term Capital Gains		Return of Capital		Ordinary Income		Long Term Capital Gains		Return of Capital
Direxion Work From Home ETF	$	1,572,820	$	—	$	—	$	68,991	$	—	$	—
Direxion World Without Waste ETF²		84		—		—		—		—		—
Direxion Russell 1000^® Growth Over Value ETF		39,505		—		—		115,792		—		—
Direxion Russell 1000^® Value Over Growth ETF		405,394		—		—		535,375		—		—

¹ Commenced operations on November 12, 2020.

² Commenced operations on December 17, 2020.

³ Commenced operations on March 25, 2021.

⁴ Commenced operations on July 22, 2021.

At October 31, 2021, the components of accumulated earnings/(losses) on a tax-basis were as follows:

Funds	Net Unrealized Appreciation (Depreciation)			Undistributed Ordinary Income		Undistributed Capital Gain		Other Accumulated Earnings (Losses)¹			Total Accumulated Earnings (Losses)
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	15,322,256		$	40,346,848	$	—	$	(3,858	)	$	55,665,246
Direxion Dynamic Hedge ETF		882,646			9,478		—		(449,219	)		442,905
Direxion Fallen Knives ETF		(334,735	)		217,418		—		—			(117,317	)
Direxion Flight to Safety Strategy ETF (Consolidated)		311,712			197,937		—		(658,443	)		(148,794	)
Direxion Hydrogen ETF		1,097,829			94,742		—		(226,619	)		965,952
Direxion Low Priced Stock ETF		(76,580	)		6,361		—		(260,874	)		(331,093	)
Direxion Moonshot Innovators ETF		(36,861,292	)		700,633		—		(33,604,323	)		(69,764,982	)
Direxion NASDAQ-100^® Equal Weighted Index Shares		116,912,089			13,453,796		1,100,517		—			131,466,402
Direxion Work From Home ETF		16,725,094			56,957		—		—			16,782,051
Direxion World Without Waste ETF		720,519			498,223		—		—			1,218,742
Direxion Russell 1000^® Growth Over Value ETF		(234,806	)		—		—		—			(234,806	)
Direxion Russell 1000^® Value Over Growth ETF		(2,178,738	)		104,466		—		—			(2,074,272	)

¹ Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.

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64

At October 31, 2021, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:

Funds	Tax Cost of Investments		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	245,882,426	$	15,322,256	$	—		$	15,322,256
Direxion Dynamic Hedge ETF		3,493,244		884,470		(1,824	)		882,646
Direxion Fallen Knives ETF		5,677,513		168,121		(502,856	)		(334,735	)
Direxion Flight to Safety Strategy ETF (Consolidated)		21,784,548		698,625		(386,913	)		311,712
Direxion Hydrogen ETF		51,149,417		2,948,544		(1,850,715	)		1,097,829
Direxion Low Priced Stock ETF		5,343,592		561,732		(638,312	)		(76,580	)
Direxion Moonshot Innovators ETF		210,505,173		18,474,249		(55,335,541	)		(36,861,292	)
Direxion NASDAQ-100^® Equal Weighted Index Shares		319,909,386		128,564,479		(11,652,390	)		116,912,089
Direxion Work From Home ETF		97,747,745		24,865,289		(8,140,195	)		16,725,094
Direxion World Without Waste ETF		5,797,988		1,167,263		(446,744	)		720,519
Direxion Russell 1000^® Growth Over Value ETF		16,891,638		1,502,154		(1,736,960	)		(234,806	)
Direxion Russell 1000^® Value Over Growth ETF		35,866,557		3,715,480		(5,894,218	)		(2,178,738	)

The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales and basis adjustments on investments in real estate investment trusts ("REITs").

On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax differences between accounting for total distributable earnings and capital stock under GAAP and tax reporting:

Funds	Total Distributable Earnings (Loss)			Capital Stock
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	15,278,338		$	(15,278,338	)
Direxion Dynamic Hedge ETF		(758,030	)		758,030
Direxion Fallen Knives ETF		(2,551,175	)		2,551,175
Direxion Flight to Safety Strategy ETF (Consolidated)		85,403			(85,403	)
Direxion Hydrogen ETF		—			—
Direxion Low Priced Stock ETF		—			—
Direxion Moonshot Innovators ETF		(11,088,979	)		11,088,979
Direxion NASDAQ-100^® Equal Weighted Index Shares		(26,683,474	)		26,683,474
Direxion Work From Home ETF		(34,920,922	)		34,920,922
Direxion World Without Waste ETF		—			—
Direxion Russell 1000^® Growth Over Value ETF		(9,536,685	)		9,536,685
Direxion Russell 1000^® Value Over Growth ETF		(7,229,010	)		7,229,010

GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended October 31, 2021, the permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses and the utilization of earnings and profits distributed to shareholders on redemption of shares.

In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2021.

At October 31, 2021, the Funds deferred, on a tax basis, no qualified late year losses.

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65

Under current law, each Fund may carry forward net capital losses indefinitely to use to offset capital gains realized in future years and their character is retained as either short-term and/or long-term.

At October 31, 2021, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:

Funds	Utilized in Current Year		Unlimited ST		Unlimited LT
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	—
Direxion Dynamic Hedge ETF		—		202,873		246,346
Direxion Fallen Knives ETF		—		—		—
Direxion Flight to Safety Strategy ETF (Consolidated)		—		651,070		7,373
Direxion Hydrogen ETF		—		226,619		—
Direxion Low Priced Stock ETF		—		260,874		—
Direxion Moonshot Innovators ETF		—		33,604,323		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		—		—		—
Direxion Work From Home ETF		—		—		—
Direxion World Without Waste ETF		—		—		—
Direxion Russell 1000^® Growth Over Value ETF		—		—		—
Direxion Russell 1000^® Value Over Growth ETF		1,400,695		—		—

The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of October 31, 2021, open U.S. Federal and state income tax years include the tax years ended October 31, 2018 through October 31, 2021. The Funds have no examinations in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.

4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES

Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." The number of shares in a Creation Unit for each respective Fund is as follows:

Fund	Number of shares per Creation Unit
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		50,000	shares
Direxion Dynamic Hedge ETF		25,000	shares
Direxion Fallen Knives ETF		25,000	shares
Direxion Flight to Safety Strategy ETF (Consolidated)		25,000	shares
Direxion Hydrogen ETF		50,000	shares
Direxion Low Priced Stock ETF		25,000	shares
Direxion Moonshot Innovators ETF		25,000	shares
Direxion NASDAQ-100^® Equal Weighted Index Shares		50,000	shares
Direxion Work From Home ETF		25,000	shares
Direxion World Without Waste ETF		25,000	shares
Direxion Russell 1000^® Growth Over Value ETF		25,000	shares
Direxion Russell 1000^® Value Over Growth ETF		25,000	shares

Creation Units of the Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a

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66

Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.

Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.

5. INVESTMENT TRANSACTIONS

The table below presents each Fund's investment transactions during the period ended October 31, 2021. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:

Funds	Purchases		Sales		Purchases In-Kind		Sales In-Kind
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	—	$	—
Direxion Dynamic Hedge ETF		1,158,267		4,388,699		2,646,034		2,760,318
Direxion Fallen Knives ETF		10,395,989		10,857,207		3,793,704		7,299,223
Direxion Flight to Safety Strategy ETF (Consolidated)		966,503		7,354,278		—		2,758,085
Direxion Hydrogen ETF³		19,602,028		16,125,959		36,832,213		—
Direxion Low Priced Stock ETF⁴		8,427,233		3,432,814		483,821		—
Direxion Moonshot Innovators ETF¹		131,179,949		118,306,416		378,653,374		173,162,488
Direxion NASDAQ-100^® Equal Weighted Index Shares		112,726,137		113,072,319		96,414,094		51,007,782
Direxion Work From Home ETF		50,814,942		46,049,369		31,124,846		104,363,294
Direxion World Without Waste ETF²		8,168,128		3,178,304		—		—
Direxion Russell 1000^® Growth Over Value ETF		—		2,001,851		27,073,468		46,542,445
Direxion Russell 1000^® Value Over Growth ETF		1,235,275		1,037,271		36,079,560		32,072,901

¹ Represents the period from November 12, 2020 (commencement of operations) to October 31, 2021.

² Represents the period from December 17, 2020 (commencement of operations) to October 31, 2021.

³ Represents the period from March 25, 2021 (commencement of operations) to October 31, 2021.

⁴ Represents the period from July 22, 2021 (commencement of operations) to October 31, 2021.

There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended October 31, 2021.

6. INVESTMENT ADVISORY AND OTHER AGREEMENTS

Under an Investment Advisory Agreement between each Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory Agreement, each Fund pays their respective Adviser an investment advisory fees at an annual rate based on its average daily net assets. These rates are as follows:

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67

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	0.50	%
Direxion Dynamic Hedge ETF	0.50	%
Direxion Fallen Knives ETF	0.45	%
Direxion Flight to Safety Strategy ETF (Consolidated)	0.25	%
Direxion Hydrogen ETF	0.40	%
Direxion Low Priced Stock ETF	0.45	%
Direxion Moonshot Innovators ETF	0.60	%
Direxion NASDAQ-100^® Equal Weighted Index Shares	0.30	%
Direxion Work From Home ETF	0.40	%
Direxion World Without Waste ETF	0.45	%
Direxion Russell 1000^® Growth Over Value ETF	0.40	%
Direxion Russell 1000^® Value Over Growth ETF	0.40	%

Additionally, the Trust has entered into a Management Services Agreement with Rafferty. Under the Management Services Agreement, the Trust pays Rafferty management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates Rafferty for performing certain management, administration and compliance functions related to the Trust.

The Funds have entered into an Operating Services Agreement. Under the Operating Services Agreement, Rafferty will pay all the expenses (with certain exceptions such as management fees, Rule 12b-1 fees and swap financing and related costs) of the Funds in exchange for a fee calculated based on the following rates multiplied by the respective average daily net assets of each Fund.

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	0.20	%
Direxion Dynamic Hedge ETF	0.05	%
Direxion Fallen Knives ETF	0.05	%
Direxion Flight to Safety Strategy ETF (Consolidated)	0.05	%
Direxion Hydrogen ETF	0.05	%
Direxion Low Priced Stock ETF	0.05	%
Direxion Moonshot Innovators ETF	0.05	%
Direxion NASDAQ-100^® Equal Weighted Index Shares	0.05	%
Direxion Work From Home ETF	0.05	%
Direxion World Without Waste ETF	0.05	%
Direxion Russell 1000^® Growth Over Value ETF	0.05	%
Direxion Russell 1000^® Value Over Growth ETF	0.05	%

The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.

7. FAIR VALUE MEASUREMENTS

The Funds follow authoritative fair valuation accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:

Level 1 – Quoted prices in active markets for identical securities

Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities, in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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68

The following is a summary of the inputs used to value the Funds' investments at October 31, 2021:

	Asset Class												Liability Class
	Level 1										Level 2		Level 1		Level 2
Funds	Investment Companies		Common Stocks		Short Term Investments		Cash Equivalents		Futures Contracts*		Total Return Swap Contracts*		Futures Contracts*		Total Return Swap Contracts*
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	245,882,426	$	—	$	15,322,256	$	—	$	—	$	—
Direxion Dynamic Hedge ETF		4,224,512		—		149,688		—		—		1,690		—		—
Direxion Fallen Knives ETF		—		5,177,236		165,542		—		—		—		—		—
Direxion Flight to Safety Strategy ETF (Consolidated)		9,529,427		3,998,270		8,560,433		—		8,130		—		—		—
Direxion Hydrogen ETF		—		41,008,397		11,240,145		—		—		—		—		—
Direxion Low Priced Stock ETF		—		5,134,636		132,376		—		—		—		—		—
Direxion Moonshot Innovators ETF		—		151,167,280		22,476,601		—		—		—		—		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		—		431,847,082		4,974,393		—		—		—		—		—
Direxion Work From Home ETF		—		110,344,858		4,127,981		—		—		—		—		—
Direxion World Without Waste ETF		—		6,212,212		306,295		—		—		—		—		—
Direxion Russell 1000^® Growth Over Value ETF		14,857,982		—		1,490,340		—		—		560,328		—		(251,818	)
Direxion Russell 1000^® Value Over Growth ETF		32,544,037		—		2,337,226		—		—		959,110		—		(2,152,554	)

For further detail on each asset class, see each Fund's Schedule of Investments.

* Futures contracts and total return swap contracts are valued at the unrealized appreciation/(depreciation).

The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.

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69

8. VALUATION OF DERIVATIVE INSTRUMENTS

The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of October 31, 2021, certain Funds were invested in swap contracts. At October 31, 2021, the fair values of derivative instruments, by primary risk, were as follows:

	Asset Derivatives¹
Swap Contracts Fund	Equity Equity Risk		Total
Direxion Dynamic Hedge ETF	$	1,690	$	1,690
Direxion Russell 1000^® Growth Over Value ETF		560,328		560,328
Direxion Russell 1000^® Value Over Growth ETF		959,110		959,110
Futures Contracts* Fund	Commodity Risk		Total
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	15,322,256	$	15,322,256
Direxion Flight to Safety Strategy ETF (Consolidated)		8,130		8,130
	Liability Derivatives²
Swap Contracts Fund	Equity Risk		Total
Direxion Russell 1000^® Growth Over Value ETF	$	251,818	$	251,818
Direxion Russell 1000^® Value Over Growth ETF		2,152,554		2,152,554

¹ Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.

² Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.

^* Cumulative appreciation(depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day's variation margin, if any, is reported in the Statements of Assets and Liabilities.

Transactions in derivative instruments during the period ended October 31, 2021, by primary risk, were as follows:

		Net Realized Gain (Loss)¹						Net Unrealized Appreciation (Depreciation)²
Fund		Equity Risk			Commodity Risk			Equity Risk			Commodity Risk
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	Futures Contracts	$	—		$	26,159,862		$	—		$	14,721,431
Direxion Dynamic Hedge ETF	Swap Contracts		34,913			—			5,676			—
Direxion Dynamic Hedge ETF	Futures Contracts		(772,030	)		—			(87,848	)		—
Direxion Flight to Safety Strategy ETF (Consolidated)	Futures Contracts		—			(161,000	)		—			68,560
Direxion Russell 1000^® Growth Over Value ETF	Swap Contracts		10,325			—			(311,529	)		—
Direxion Russell 1000^® Value Over Growth ETF	Swap Contracts		(701,391	)		—			317,139			—

¹ Statements of Operations location: Net realized gain (loss) on swap and futures contracts.

² Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap and futures contracts.

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70

For the period ended October 31, 2021, the volume of the derivatives held by the Funds was as follows:

	Quarterly Average Gross Notional Amounts
	Long Total Return Swap Contracts		Short Total Return Swap Contracts		Long Futures Contracts		Short Futures Contracts
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	102,459,078	$	—
Direxion Dynamic Hedge ETF		80,768		—		—		718,234
Direxion Flight to Safety Strategy ETF (Consolidated)		—		—		1,455,408		—
Direxion Russell 1000^® Growth Over Value ETF		11,829,291		10,970,342		—		—
Direxion Russell 1000^® Value Over Growth ETF		16,396,135		14,522,033		—		—

The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of each respective Fund.

9. PRINCIPAL RISKS

Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.

Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.

Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.

Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.

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71

In addition, the Fund's investments in derivatives are subject to the following risks:

• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.

• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.

Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.

Currency Exchange Rate Risk – Changes in foreign currency exchange rates will affect the value of the Fund's investments in securities denominated in a country's currency. Generally, when the U.S. Dollar rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. Dollars. Devaluation of a currency by a country's government or banking authority also will have a significant impact on the value of any investments denominated in that currency. If the Fund is exposed to a limited number of currencies, any change in the value of these currencies could have a material impact on the Fund's net asset value.

Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and futures contracts may be used to create leverage. Certain Funds employ leveraged investment techniques to achieve its investment objective.

Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.

Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at

DIREXION ANNUAL REPORT
72

times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.

The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.

10. SUBSEQUENT EVENTS

Management has performed an evaluation of subsequent events through the date of the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.

On December 8, 2021, certain Funds declared capital gain distributions with an ex-date of December 9, 2021 and payable date of December 16, 2021. The specific Funds and per share amounts of the distributions are listed below.

Funds	Per Share Short Term Capital Gain Distribution		Per Share Long Term Capital Gain Distribution
Direxion Fallen Knives ETF	$	2.89887	$	0.00000
Direxion NASDAQ-100^® Equal Weighted Index Shares		2.64938		0.21793
Direxion World Without Waste ETF		2.21432		0.00000

On December 20, 2021, certain Funds declared income distributions with an ex-date of December 21, 2021 and payable date of December 29, 2021. The specific Funds and per share amounts of the distributions are listed below.

Funds	Per Share Income Distribution
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	3.01016
Direxion Dynamic Hedge ETF		0.22775
Direxion Flight to Safety Strategy ETF (Consolidated)		0.79983
Direxion Hydrogen ETF		0.07521
Direxion Low Priced Stock ETF		0.02275
Direxion Moonshot Innovators ETF		0.29770
Direxion NASDAQ-100^® Equal Weighted Index Shares		0.12751
Direxion Work From Home ETF		0.45588
Direxion World Without Waste ETF		0.00411
Direxion Russell 1000^® Growth Over Value ETF		0.08863
Direxion Russell 1000^® Value Over Growth ETF		0.43473

DIREXION ANNUAL REPORT
73

Direxion Shares ETF Trust

Effective December 1, 2021, the following table under "Principal Officers of the Trust" is replaced in its entirety as indicated below.

Supplement dated December 1, 2021 to the
Statements of Additional Information ("SAI")
for each series of the Direxion Shares ETF Trust (the "Trust")

The following table under "Principal Officers of the Trust" for each of the Trust's SAIs is replaced in its entirety as indicated below.

Name, Address and
Age

Position(s)
Held with
Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past Five Years

# of Portfolios
in the Direxion
Family of
Investment
Companies
Overseen
by Trustee⁽²⁾

Other Trusteeships/
Directorships Held by
Trustee During Past
Five Years

Daniel D. O'Neill⁽¹⁾
Age: 53

Chief Executive Officer

One Year; Since 2021

Chief Executive Officer, Rafferty Asset Management, LLC, since 2021; Managing Director, Rafferty Asset Management, LLC, January 1999-January 2019.

N/A

Patrick J. Rudnick
Age: 48

Principal Executive Officer

One Year; Since 2018

Senior Vice President, Rafferty Asset Management, LLC, since March 2013.

N/A

Angela Brickl
Age: 45

Chief Compliance Officer Secretary

One Year; Since 2018 One Year; Since 2011

Chief Operating Officer, Rafferty Asset Management, LLC, since May 2021; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012.

N/A

Corey Noltner
Age: 32

Principal Financial Officer

One Year; Since 2021

Senior Business Analyst, Rafferty Asset Management, LLC, since 2015.

N/A

⁽¹⁾ Mr. O'Neill serves as Chairman of the Board of Trustees of the Direxion Funds, Direxion Insurance Trust and Direxion Shares ETF Trust.

⁽²⁾ The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this SAI, offers for sale to the public 78 of the 105 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this SAI, does not have any funds registered with the SEC.

For more information, please contact the Funds at (866) 476-7523.

Please retain this Supplement with your SAI.

DIREXION ANNUAL REPORT
74

Direxion Shares ETF Trust

Report of Independent Registered Public Accounting Firm

To the Shareholders of Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Dynamic Hedge ETF, Direxion Fallen Knives ETF, Direxion Flight to Safety Strategy ETF (Consolidated), Direxion Hydrogen ETF, Direxion Low Priced Stock ETF, Direxion Moonshot Innovators ETF, Direxion NASDAQ-100^® Equal Weighted Index Shares, Direxion Work From Home ETF, Direxion World Without Waste ETF, Direxion Russell 1000^® Growth Over Value ETF, Direxion Russell 1000^® Value Over Growth ETF and the Board of Trustees of Direxion Shares ETF Trust.

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Dynamic Hedge ETF, Direxion Fallen Knives ETF, Direxion Flight to Safety Strategy ETF (Consolidated), Direxion Hydrogen ETF, Direxion Low Priced Stock ETF, Direxion Moonshot Innovators ETF, Direxion NASDAQ-100^® Equal Weighted Index Shares, Direxion Work From Home ETF, Direxion World Without Waste ETF, Direxion Russell 1000^® Growth Over Value ETF and Direxion Russell 1000^® Value Over Growth ETF (collectively referred to as the "Funds"), (12 of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2021, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (12 of the funds constituting Direxion Shares ETF Trust) at October 31, 2021, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

Individual fund constituting the Direxion Shares
ETF Trust

Statement of
operations

Statements of
changes in net assets

Financial highlights

Direxion NASDAQ-100^® Equal Weighted Index Shares

For the year ended October 31, 2021

For each of the two years in the period ended October 31, 2021

For each of the five years in the period ended October 31, 2021

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

For the year ended October 31, 2021

For each of the two years in the period ended October 31, 2021

For each of the four years in the period ended October 31, 2021 and the period from March 30, 2017 (commencement of operations) through October 31, 2017

Direxion Russell 1000^® Growth Over Value ETF
Direxion Russell 1000^® Value Over Growth ETF

For the year ended October 31, 2021

For each of the two years in the period ended October 31, 2021

For each of the two years in the period ended October 31, 2021 and the period from January 16, 2019 (commencement of operations) through October 31, 2019

Direxion Dynamic Hedge ETF
Direxion Fallen Knives ETF

For the year ended October 31, 2021

For the year ended October 31, 2021 and the period from June 11, 2020 (commencement of operations) through October 31, 2020

Direxion Flight to Safety Strategy ETF (Consolidated)

For the year ended October 31, 2021

For the year ended October 31, 2021 and the period from February 5, 2020 (commencement of operations) through October 31, 2020

Direxion Work From Home ETF

For the year ended October 31, 2021

For the year ended October 31, 2021 and the period from June 25, 2020 (commencement of operations) through October 31, 2020

Direxion Hydrogen ETF

For the period from March 25, 2021 (commencement of operations) through October 31, 2021

Direxion Low Priced Stock ETF

For the period from July 22, 2021 (commencement of operations) through October 31, 2021

Direxion Moonshot Innovators ETF

For the period from November 12, 2020 (commencement of operations) through October 31, 2021

Direxion World Without Waste ETF

For the period from December 17, 2020 (commencement of operations) through October 31, 2021

DIREXION ANNUAL REPORT
75

Direxion Shares ETF Trust

Report of Independent Registered Public Accounting Firm

Basis for Opinion

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on each of the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more of the Direxion investment companies since 2001.

Minneapolis, Minnesota
December 22, 2021

DIREXION ANNUAL REPORT
76

Direxion Shares ETF Trust

Supplemental Information (Unaudited)

Federal Tax Status of Dividends Declared during the Tax Year

For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction ("DRD"), the individual qualified dividend rate ("QDI"), the qualified interest income rate ("QII"), and the qualified short-term gain rate ("QSTG") is presented below.

Funds	DRD			QDI			QII			QSTG
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		0.00	%		0.00	%		0.00	%		0.00	%
Direxion Dynamic Hedge ETF		100.00	%		100.00	%		0.00	%		0.00	%
Direxion Fallen Knives ETF		4.35	%		4.35	%		0.00	%		86.96	%
Direxion Flight to Safety Strategy ETF (Consolidated)		49.62	%		49.62	%		0.00	%		0.00	%
Direxion Hydrogen ETF		10.78	%		10.78	%		0.00	%		0.00	%
Direxion Low Priced Stock ETF		100.00	%		100.00	%		0.00	%		0.00	%
Direxion Moonshot Innovators ETF		6.52	%		6.52	%		0.00	%		0.00	%
Direxion NASDAQ-100^® Equal Weighted Index Shares		27.73	%		27.73	%		0.00	%		8.43	%
Direxion Work From Home ETF		14.26	%		14.26	%		0.00	%		65.40	%
Direxion World Without Waste ETF		3.34	%		3.34	%		0.00	%		100.00	%
Direxion Russell 1000^® Growth Over Value ETF		9.36	%		9.36	%		0.00	%		0.47	%
Direxion Russell 1000^® Value Over Growth ETF		71.43	%		71.43	%		0.00	%		0.00	%

The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended October 31, 2021. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.

Pursuant to Internal Revenue Code Section 853, the Direxion Hydrogen ETF elects to pass-through to shareholders the credit for taxes paid for foreign countries, which may be less than the actual amount paid for financial statement purposes. For the tax year ended October 31, 2021, the amount of Foreign Source Income is $0.19323566 per share and the amount of Foreign Tax Passthrough is $0.02804056 per share.

Householding

In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.

DIREXION ANNUAL REPORT
77

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

Provided below is a summary of certain of the factors the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "Trust"), including the trustees who are not "interested persons" as defined in the Investment Company Act of 1940, (the "Independent Trustees"), considered in approving the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the Trust, on behalf of the Direxion Low Priced Stock ETF at the May 18, 2021 meeting, a series of the Trust (the "Fund"). The Board, including the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 Act, as amended (the "Independent Trustees"), unanimously approved the Agreement on behalf of the Fund. The Board, including the Independent Trustees, determined that the terms of the Agreement for the Fund were fair and reasonable and in the best interests of shareholders.

The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. The Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the projected profitability to the Adviser based upon its services to be provided to the Fund; (3) the extent to which economies of scale might be realized as the Fund grows; (4) whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits anticipated to be derived and identified by the Adviser from its relationship with the Fund.

Nature, Extent and Quality of Services Provided. The Board considered the nature, extent and quality of the services to be provided under the Agreement by the Adviser. Based on written materials received, a presentation from senior representatives of the Adviser and a discussion with the Adviser about its personnel, operations and financial condition, the Board considered the quality of the services provided by the Adviser under the Agreement. In this regard, the Board considered information regarding the experience, qualifications and professional background of the portfolio managers and other personnel at the Adviser with principal responsibility for the Fund, as well as the capacity and integrity of the Adviser's senior management and staff. The Board noted that the Adviser has provided services to the Trust since its inception date and has developed an expertise in managing funds with investment strategies similar to the Fund. The Board considered the Adviser's representations that it has the financial resources and appropriate staffing to manage the Fund and to meet its fee waiver and expense obligations thereto. The Board considered that the Adviser will oversee all aspects of the operation of the Fund, including oversight of the Fund's service providers, and provide compliance services to the Fund. The Board observed that because the Fund had not commenced operations, it did not have any prior performance history. Under the totality of the circumstances, the Board determined that, in the exercise of its business judgment, the nature, extent and quality of the services to be provided by the Adviser to the Fund under the Agreement were fair and reasonable.

Costs of Services Provided to the Fund and Profits Realized. The Board considered the fairness and reasonableness of the investment advisory fee rate to be paid to the Adviser by the Fund, including in light of the investment advisory services to be provided by the Adviser. The Board considered the fees to be paid to the Adviser on an annual basis, including as limited by the Operating Services Agreement. The Board considered the proposed advisory fee rate and net expense ratio for the Fund was similar to those of comparable exchange-traded funds and to those of similar series of the Trust.

The Board further considered the overall profitability of the Adviser's investment business and, because the Fund had not commenced operations and the Adviser had no prior profit data related to the Fund, the Board considered the break-even analysis provided by the Adviser for the Fund. The Board considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, portfolio rebalancing, regulatory compliance, and entrepreneurial risk. Based on these considerations, the Board determined that, in the exercise of its business judgment, the costs of the services to be provided and any profits that may be realized under the Agreement was not excessive.

Economies of Scale. The Board considered whether economies of scale may be realized by the Fund as it grows larger and the extent to which any such economies of scale are reflected in contractual fee rates. Noting that the Fund had not yet commenced operations and did not yet have any assets, the Board concluded that economies of scale were not a material factor for the Board to consider in approving the Agreement.

Other Benefits. The Board considered the Adviser's representation that its relationship with the Fund may enable it to attract assets to the other funds. The Board also considered that the Adviser's overall business with brokerage firms may allow it to negotiate lower commission rates and get better execution for all of its portfolio trades. Based on these and

DIREXION ANNUAL REPORT
78

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

other considerations, the Board determined that such benefits to the Adviser would likely not be material and, overall, would be reasonable.

Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, and its consideration of information received throughout the year from the Adviser, the Board determined, in the exercise of its business judgment, that the advisory arrangements, as outlined in the Agreement, were fair and reasonable in light of the services performed, or to be performed, expenses incurred, or to be incurred and such other matters as the Board considered relevant.

DIREXION ANNUAL REPORT
79

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

Consistent with the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") annually considers the renewal of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion Auspice Broad Commodity Strategy ETF, along with its wholly owned subsidiary, the Direxion BCS Fund, Ltd., Direxion Dynamic Hedge ETF, Direxion Fallen Knives ETF, Direxion Flight to Safety Strategy ETF, along with its wholly owned subsidiary, the Direxion FTS Fund, Ltd., Direxion NASDAQ-100^® Equal Weighted Index Shares, Direxion Work From Home ETF, Direxion Russell 1000^® Growth Over Value ETF, and the Direxion Russell 1000^® Value Over Growth ETF, each a series of the ETF Trust. The Agreement is initially approved for a two-year period and must be renewed yearly thereafter to remain in effect. Each series of the ETF Trust is referred to herein as a "Fund" and collectively as the "Funds."

At a meeting held on August 18, 2021, the Board, including the trustees who are not "interested persons" of the Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 4, 2021 and August 18, 2021.

In considering whether to renew the Agreement, the Board requested, and the Adviser provided, information that the Board and Adviser believed to be reasonably necessary to evaluate the Agreement. Among other information, the Board obtained and reviewed the following:

• Detailed information regarding the advisory services provided by the Adviser to the Funds;

• The Adviser's Form ADV;

• Information about the professional qualifications of those employees primarily responsible for providing services to the Funds;

• Information regarding each component of the contractual advisory fee rates for the prior fiscal year;

• Information regarding advisory fees earned and waivers made by the Adviser in connection with providing services to the Funds for the prior fiscal year or since inception, if shorter;

• Information regarding fees paid to the Adviser under, and an evaluation of the services provided per, the Management Services Agreement for the prior fiscal year;

• Performance information;

• Comparative industry fee data, including peer group comparisons;

• Information regarding the consolidated financial condition of the Adviser and the profitability to the Adviser;

• Information regarding how the Adviser monitors the Funds' compliance with regulatory requirements and ETF Trust procedures.

The Board considered that, with respect to most Funds, they had also received information relevant to their consideration since the Fund's inception and, most recently, throughout the past year at regular Board meetings in connection with their oversight of the Funds, including information bearing on the Funds' service provider arrangements and performance results. In addition, the Board received a memorandum from counsel regarding its responsibilities with respect to the approval of the Agreement and participated in a question and answer session with representatives of the Adviser. The Board carefully evaluated the relevant information and the Independent Trustees were advised by legal counsel with respect to their deliberations.

The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund.

DIREXION ANNUAL REPORT
80

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, experience, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services provided, and to be provided by the Adviser under the Agreement and noted there would be no significant differences between the scope of services provided by the Adviser in the past year and those to be provided in the upcoming year. The Board also considered the Adviser's representation to the Board that it would continue to provide investment and related services that are of materially the same quality as the services that have been provided to the Funds in the past and whether those services remain appropriate in scope and extent in light of the Funds' operations, the competitive landscape of the investment company business and investor needs.

The Board focused on the quality of the Adviser's personnel and operations and the systems and processes required to manage the Funds effectively, and noted that these systems and processes may not be present at other investment advisers. In particular the Board considered, as applicable: (1) the Adviser's success in achieving each Fund's investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) the Adviser's ability to manage the Funds in a tax efficient manner; and (4) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the relevant Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.

Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Funds. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in compiling the Peer Group because, by design, each Fund is unique and, therefore, few (if any) fund complexes have funds with substantially similar investment objectives and operations. They noted that an independent consultant in 2019 had advised the Board on the Peer Group selection methodology and that the methodology employed in 2021 was the same as that reviewed by the independent consultant.

The Board noted that the comparison reports included the contractual advisory fee and net and gross total expense ratios for each Fund and each Peer Group fund. The Board considered that the Adviser had agreed to limit the total expenses of the Funds (subject to certain exclusions) for the next year by contractually agreeing to pay certain expenses of the Funds under a separate Operating Services Agreement.

Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return or the returns of the index it tracks, for the periods ending June 30, 2021 and June 30, 2020 or since inception if a Fund did not have two full years of operations. In this regard, the Board considered each Fund's return against its index' return ("Tracking Difference"), the standard deviation of the Tracking Differences, and a tracking error analysis provided by the Adviser. The Board also reviewed the total return of each Fund for the one-year or, if shorter, since inception period ended June 30, 2021. The Board considered reports provided to it in anticipation of the meeting, as well as performance reports provided at regular Board meetings throughout the year. The Board noted that the correlation of returns for each Fund to its model or index performance was generally within reasonable ranges during the reviewed periods. The Board considered that, given the investment objectives of the Funds, the correlation of each such Fund's performance with the model performance and Tracking Error were more meaningful indicia of the quality of the Advisor's management than a Fund's total return.

Costs of Services Provided to the Funds and Profits Realized by the Adviser. The Board reviewed information regarding the profitability of the Adviser based on the fee rates payable under the Agreement. The Board considered the profitability of each Fund and the overall profitability of the Adviser, as reflected in the Adviser's profitability analysis, as well as information provided by the Adviser concerning the methodology used to allocate various expenses. The Board also

DIREXION ANNUAL REPORT
81

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, the dedication of personnel resources to portfolio management activities, regulatory compliance, and entrepreneurial risk. The Board further considered a report on other investment advisers' profitability, which was compiled using publicly available information. The Board recognized that it is difficult to compare profitability among investment advisory firms because certain information is not publicly available. Further, to the extent such information is available, the Board acknowledged that it is affected by numerous factors, including the nature of a firm's fund shareholder base, the structure of the adviser and its tax status, the types of funds it manages, its business mix, assumptions regarding allocations and the reporting of operating profits and net income net (rather than gross) of distribution and marketing expenses.

Economies of Scale. The Board considered the asset levels of the Funds and the fact that the size of the Funds is relatively low and assets may fluctuate significantly, and that these facts make economies of scale elusive.

Other Benefits. The Board considered indirect and "fall-out" benefits that the Adviser or its affiliates may derive from their relationship to the Funds. Such benefits include the Adviser's ability to leverage its investment management personnel or infrastructure to manage other accounts. In this regard, the Board noted that the Funds pay a management services fee to the Adviser.

Conclusion. Based on, but not limited to, the above considerations and determinations, the Board, including the Independent Trustees, determined that the Agreement for the Funds is fair and reasonable in light of the nature, extent and quality of the services to be performed, the fee rates to be paid, the Adviser's expenses and such other matters as the Board considered relevant in the exercise of its business judgment. Accordingly, the Board concluded that the continuation of the Agreement was in the best interests of the shareholders of the Funds. On this basis, the Board unanimously voted in favor of the renewal of the Agreement.

DIREXION ANNUAL REPORT
82

Direxion Shares ETF Trust

Board Review of Liquidity Risk Management Program (Unaudited)

Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), the Direxion Shares ETF Trust (the "Trust"), on behalf of each series of the Trust (the "Funds"), established a liquidity risk management program (the "Liquidity Program") to assess and manage each Fund's liquidity risk, which is the risk that a Fund is unable to meet investor redemption requests without significantly diluting the remaining investors' interests in the Fund.

At its November 19, 2021 meeting, the Board of Trustees (the "Board") of the Trust reviewed the Liquidity Program. The Board has appointed Rafferty Asset Management, LLC, the investment advisor to the Funds, as the Liquidity Program administrator. At the meeting, Rafferty Asset Management, LLC provided the Board with a written report that addressed the operation of the Funds' Liquidity Program and assessed the adequacy and effectiveness of the implementation of the Liquidity Program (the "Report"). The Report covered the period from November 1, 2020 through October 31, 2021 (the "Report Period"). The Report noted the following:

• The Liquidity Program supported each Fund's ability to meet redemption requests timely;

• The Liquidity Program supported Rafferty Asset Management, LLC's management of each Fund's liquidity, including during periods of market volatility and net redemptions;

• No material liquidity issues were identified during the report period;

• There were no material changes to the Liquidity Program during the report period; and

• The Liquidity Program operated adequately during the report period.

The Report also described the Liquidity Program's liquidity classification methodology for categorizing a Fund's investment (including derivative transactions) into one of four liquidity buckets as required by the Liquidity Rule. The Report stated that the Liquidity Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other risks.

DIREXION ANNUAL REPORT
83

Direxion Shares ETF Trust

Trustees and Officers (Unaudited)

The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.

Interested Trustee

Name, Address and
Age

Position(s)
Held with
Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past Five Years

# of Portfolios
in Direxion
Family of
Investment
Companies
Overseen
by Trustee⁽²⁾

Other Trusteeships/
Directorships Held by
Trustee During Past
Five Years

Daniel D. O'Neill⁽¹⁾Age: 53

Chairman of the Board of Trustees

Lifetime of Trust until removal or resignation; Since 2008

Chief Executive Officer of Rafferty Asset Management, LLC, since 2021 – present; Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019.

108

None.

Independent Trustees

Name, Address and
Age

Position(s)
Held with
Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past Five Years

# of Portfolios
in Direxion
Family of
Investment
Companies
Overseen
by Trustee⁽²⁾

Other Trusteeships/
Directorships Held by
Trustee During Past
Five Years

David L. Driscoll
Age: 52

Trustee

Lifetime of Trust until removal or resignation; Since 2014

Partner, King Associates, LLP, since 2004; Board Advisor, University Common Real Estate, since 2012; Principal, Grey Oaks LLP since 2003; Member, Kendrick LLC, since 2006.

108

None.

Jacob C. Gaffey
Age: 73

Trustee

Lifetime of Trust until removal or resignation; Since 2014

Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012.

108

None.

Henry W. Mulholland
Age: 58

Trustee

Lifetime of Trust until removal or resignation; Since 2017

Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990-2015, most recently as Managing Director and Head of Equities for Americas.

108

None.

⁽¹⁾ Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.

⁽²⁾ The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.

DIREXION ANNUAL REPORT
84

Direxion Shares ETF Trust

Trustees and Officers (Unaudited)

Name, Address and
Age

Position(s)
Held with
Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past Five Years

# of Portfolios
in Direxion
Family of
Investment
Companies
Overseen
by Trustee⁽²⁾

Other Trusteeships/
Directorships Held by
Trustee During Past
Five Years

Kathleen M. Berkery
Age: 54

Trustee

Lifetime of Trust until removal or resignation; Since 2019

Rynkar, Vail & Barrett, LLC, since 2018 as Manager – Trusts & Estates; Lee, Nolan & Koroghlian Life Planning Group, 2010– 2017 as Financial Advisor.

108

None.

DIREXION ANNUAL REPORT
85

Direxion Shares ETF Trust

Trustees and Officers (Unaudited)

The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:

Principal Officers of the Trust

Name, Address and
Age

Position(s)
Held with
Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past Five Years

# of Portfolios
in Direxion
Family of
Investment
Companies
Overseen
by Trustee⁽²⁾

Other Trusteeships/
Directorships Held by
Trustee During Past
Five Years

Daniel D. O'Neill⁽¹⁾Age: 53

Chief Executive Officer

One Year;
Since 2021

Chief Executive Officer, Rafferty Asset Management, LLC, since 2021; Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019.

108

N/A

Patrick J. Rudnick
Age: 48

Principal Executive
Officer
Principal Financial
Officer

One Year;
Since 2018
One Year;
Since 2010

Senior Vice President, since March 2013, Rafferty Asset Management, LLC; Senior Vice President, since November 2017, Direxion Advisors, LLC.

N/A

Angela Brickl
Age: 45

Chief Compliance Officer
Secretary

One Year;
Since 2018
One Year;
Since 2011

General Counsel, Rafferty Asset Management LLC, since October 2010 and Direxion Advisors, LLC, since November 2017; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012 and Direxion Advisors, LLC, since November 2017.

N/A

⁽¹⁾ Mr. O'Neill serves as Chairman of the Board of Trustees of the Direxion Funds, Direxion Insurance Trust, and the Direxion Shares ETF Trust.

⁽²⁾ The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this SAI, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this SAI, does not have any funds registered with the SEC.

DIREXION ANNUAL REPORT
86

ANNUAL REPORT OCTOBER 31, 2021

1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com

Investment Advisers

Rafferty Asset Management, LLC
Direxion Advisors, LLC
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019

Administrator

U.S. Bancorp Fund Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993

Transfer Agent, Custodian & Index Receipt Agent

The Bank of New York Mellon
101 Barclay Street
New York, New York 10286

Independent Registered Public Accounting Firm

Ernst & Young LLP
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402

Distributor

Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com

The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.

The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.

Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.

The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

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PRIVACY NOTICE

At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:

• Account applications or other forms on which you provide information,

• Mail, e-mail, the telephone and our website, and

• Your transactions and account inquiries with us.

We safeguard the personal information that you have entrusted to us in the following ways:

• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.

• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.

We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.

In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.

For questions about our policy, please contact us at (800) 851-0511.

This page is not a part of the Annual Report.

DIREXION ANNUAL REPORT