DIREXION SHARES ETF TRUST

ANNUAL REPORT OCTOBER 31, 2023

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1X BEAR FUNDS

Direxion Daily S&P 500®​ Bear 1X Shares

Direxion Daily AAPL Bear 1X Shares

Direxion Daily AMZN Bear 1X Shares

Direxion Daily GOOGL Bear 1X Shares

Direxion Daily MSFT Bear 1X Shares

Direxion Daily NVDA Bear 1X Shares

Direxion Daily TSLA Bear 1X Shares

1.5X BULL FUNDS

Direxion Daily AAPL Bull 1.5X Shares

Direxion Daily AMZN Bull 1.5X Shares

Direxion Daily GOOGL Bull 1.5X Shares

Direxion Daily MSFT Bull 1.5X Shares

Direxion Daily NVDA Bull 1.5X Shares

Direxion Daily TSLA Bull 1.5X Shares

2X BULL FUNDS  

2X BEAR FUNDS

 
Direxion Daily CSI 300 China A Share Bull 2X Shares          
Direxion Daily CSI China Internet Index Bull 2X Shares          
Direxion Daily S&P 500®​ Bull 2X Shares          
Direxion Daily MSCI Brazil Bull 2X Shares          
Direxion Daily MSCI India Bull 2X Shares          
Direxion Daily Cloud Computing Bull 2X Shares          
Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares          
Direxion Daily Energy Bull 2X Shares  

Direxion Daily Energy Bear 2X Shares

 
Direxion Daily Global Clean Energy Bull 2X Shares          
Direxion Daily Gold Miners Index Bull 2X Shares  

Direxion Daily Gold Miners Index Bear 2X Shares

 
Direxion Daily Junior Gold Miners Index Bull 2X Shares  

Direxion Daily Junior Gold Miners Index Bear 2X Shares

 
Direxion Daily NYSE FANG+ Bull 2X Shares          
(formerly Direxion Daily Select Large Caps & FANGs Bull 2X Shares)          
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares          
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares  

Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares

 
Direxion Daily Travel & Vacation Bull 2X Shares          

Table of Contents

Letter to Shareholders (Unaudited)

   

4

   
Letter to Single Stock Shareholders
(Unaudited)
   

12

   
Performance Summary (Unaudited)    

18

   
Expense Example (Unaudited)    

50

   
Allocation of Portfolio Holdings (Unaudited)    

53

   
Schedules of Investments    

54

   
Statements of Assets and Liabilities    

96

   
Statements of Operations    

104

   
Statements of Changes in Net Assets    

112

   
Financial Highlights    

128

   
Notes to the Financial Statements    

132

   
Report of Independent Registered Public
Accounting Firm
   

163

   
Supplemental Information (Unaudited)    

166

   
Board Review of Investment Advisory
Agreement (Unaudited)
   

167

   
Board Review of Liquidity Risk Management
Program (Unaudited)
   

173

   
Trustees and Officers (Unaudited)    

174

   

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Letter to Shareholders

Dear Shareholders,

This Annual Report for the Direxion Shares ETF Trust exchange-traded funds (the "ETFs") covers the period from November 1, 2022 to October 31, 2023 (the "Annual Period").

Market Review:

The Annual Period was filled with ups and downs in the equity markets as inflation, the banking crisis, artificial intelligence (AI), and the housing market were top of mind for many investors. In November and December of 2022, many broad-based indices fell. However, 2023 started out on a stronger note as equity markets rallied in January, but market sentiment in February was much more bearish on the heels of a higher-than-expected consumer price index* (CPI) reading. Despite that, for the first half of 2023, both the NASDAQ-100®​ Index* and S&P 500®​ Index* finished up 39.4% and 16.95%, respectively. The winning streak came to an end in August, as both indices posted their first monthly decline since February and continued to fall in September and October. China effectively ended their zero-Covid policy in December, causing Chinese and Chinese-adjacent equities to rally. In early March, three regional banks collapsed, one after another, beginning with Silicon Valley Bank, causing the financials segment of the S&P 500®​ Index to fall nearly 10% in March. Some fears in the banking sector, specifically smaller banks, bled into the following months. In May, NVIDIA Corporation delivered an outstanding earnings report centered around AI, and its market value rose more in one day than any stock in history. AI has come into focus as a market catalyst, and many AI-related names experienced higher trading volumes, although interest in the space slowed down towards the end of the Annual Period. By the end of the Annual Period, the housing market led headlines, as mortgage rates reached levels not seen since 2000, causing a reduction in housing prices in some locations. October marked the third consecutive month of falling median home prices. Aside from affecting market sentiment, equities in construction, real estate development, and other related industries were especially impacted. The Annual Period began and ended with recessionary fears and uncertainty surrounding the market environment, although inflation began to moderate.

All eyes were on the Federal Reserve during the Annual Period as they attempted to combat inflation and market volatility. As the Federal Reserve conducted a series of rate hikes, Treasury yields peaked in November, and started to go down in the latter half of November and December. In fact, bonds outperformed stocks in 2022, which is extremely rare, although both ended 2022 in the red. Aside from a few exceptions, short-term yields tended to be higher than long-term yields, which is atypical and causes an inverted yield curve. Inflation started to come down in January, and the Federal Reserve reduced the rate hike on February 1st to 25 basis points* from the 50 to 75 basis point hikes in 2022. Rate hikes paused in June and resumed in July at 25 basis points. In terms of inflation, the fixed income market rallied in January as headline CPI ticked down. However, the February CPI reading was higher-than-expected, prompting markets to anticipate further hawkish monetary policy. Although inflation has been sticky for much of the Annual Period, it is starting to come down and the Federal Reserve maintains the inflation target remains at 2%. The banking collapse also influenced the fixed income market, causing interest rate expectations to decrease and lending standards to tighten. In early August, U.S. long-term debt was downgraded by Fitch, moving Treasury yields higher. In both the September and October Federal Open Market Committee meetings, the Federal Reserve left rates unchanged, but made no mention of cutting rates. Additionally, in response to the growing federal deficit, the U.S. Treasury issued more bonds throughout the last few months of the Annual Period. Bond yields ended the Annual Period at multi-year highs.

Direxion Shares Operational Review:

The discussion below relates to the performance of the ETFs for the Annual Period. The ETFs are leveraged, inverse, or inverse leveraged and seek daily investment results, before fees and expenses, of 200%, -100% or -200% of the performance of a particular benchmark. All ETF returns are NAV (net asset value) returns.

The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple, inverse, or inverse multiple of their respective benchmarks for periods longer than one day and the performance of the ETFs over longer periods may not correlate to their benchmarks' performance. The ETFs should not be held by investors for long periods and should be

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used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who understand the risks associated with shorting and/or the use of leverage, the consequences of seeking daily leveraged or inverse investment results and intend to actively monitor and manage their investments.

The ETFs with the word "Bull" in their name (the "Bull ETFs"), attempt to provide investment results that correlate to 200%, before fees and expenses, of the daily performance of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.

The Funds with the word "Bear" in their name (the "Bear ETFs"), attempt to provide investment results that correlate to -100% or -200%, before fees and expenses, of the daily performance of a benchmark index, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target benchmark index.

In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser"), relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the benchmark index will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.

Each leveraged ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.

The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.

Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying volatility.

Factors Affecting Direxion Shares Performance:

Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.

Leverage – Each 200% or -200% ETF seeks daily investment results (before fees and expenses) of either 200% (for the Bull ETFs) or -200% (for the 2X Bear ETFs) of the daily performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.

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Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.

Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.

Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time, but deviates from its underlying index in the short-term.

Equity Dividends and Bond Interest – Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Bear ETFs are negatively impacted as they are obligated to pay the dividends.

Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.

Direxion Shares Performance Review:

The Direxion Daily S&P 500®​ Bear 1X Shares seeks to provide -100% of the daily return of the S&P 500®​ Index. The S&P 500®​ Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500®​ Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's®​ selects the stocks comprising the S&P 500®​ Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted, market capitalization-weighted index. For the Annual Period, the S&P 500®​ Index returned 10.14%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily S&P 500®​ Bear 1X Shares returned -3.26%, while the model indicated an expected return of -11.35%.

The Direxion Daily CSI 300 China A Share Bull 2X Shares seeks to provide 200% of the daily return of the CSI 300 Index. The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. For the Annual Period, the CSI 300 Index returned 3.68%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily CSI 300 China A Share Bull 2X Shares returned 0.88%, while the model indicated an expected return 3.46%.

The Direxion Daily CSI China Internet Index Bull 2X Shares seeks to provide 200% of the daily return of the CSI Overseas China Internet Index. The CSI Overseas China Internet Index is provided by China Securities Index Co., LTD. The index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the internet and internet-related sectors, as defined by the index sponsor, China Securities Index Co., Ltd. A China-based company is a company that meets at least one of the following criteria: 1) the company is incorporated in mainland China; 2) its headquarters are in mainland China; or 3) at least 50% of the revenue from goods

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produced or sold, or services performed in mainland China. The index provider then removes securities that during the past year had a daily average trading value of less than $500,000 or a daily average market capitalization of less than $500 million. For the Annual Period, the CSI Overseas China Internet Index returned 40.22%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily CSI China Internet Index Bull 2X Shares returned 41.58%, while the model indicated an expected return of 51.63%.

The Direxion Daily S&P 500®​ Bull 2X Shares seek to provide 200% of the daily return of the S&P 500®​ Index. The S&P 500®​ Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500®​ Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's®​ selects the stocks comprising the S&P 500®​ Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted market capitalization-weighted index. For the Annual Period, the S&P 500®​ Index returned 10.14%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily S&P 500®​ Bull 2X Shares returned 11.50%, while the model indicated an expected return of 18.47%.

The Direxion Daily MSCI Brazil Bull 2X Shares seeks to provide 200% of the daily return of the MSCI Brazil 25/50 Index. The MSCI Brazil 25/50 Index is designed to measure the performance of the large- and mid-capitalization segments of the Brazilian equity market, covering approximately 85% of the free float-adjusted market capitalization of Brazilian issuers. For the Annual Period, the MSCI Brazil 25/50 Index returned 2.75%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily MSCI Brazil Bull 2X Shares returned -12.28%, while the model indicated an expected return of -7.05%.

The Direxion Daily MSCI India Bull 2X Shares seeks to provide 200% of the daily return of the MSCI India Index. The MSCI India Index is designed to measure the performance of the large- and mid-capitalization segments of the Indian equity market, covering approximately 85% of companies in the Indian equity universe. For the Annual Period, the MSCI India Index returned 4.16%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily MSCI India Bull 2X Shares returned -3.02%, while the model indicated an expected return of 3.89%.

The Direxion Daily Cloud Computing Bull 2X Shares seeks to provide 200% of the daily return of the Indxx USA Cloud Computing Index. The Indxx USA Cloud Computing Index is provided by Indxx, LLC. and includes domestic companies that deliver cloud computing infrastructure, platforms, or services. The companies included in the Index are involved in the delivery of computing services – servers, storage, databases, networking, software, analytics, and more, over the internet, which is often referred to as the "Cloud." The Index Provider has defined cloud computing to include three themes: Infrastructure as a service; Platform as a service; and Software as a service. For the Annual Period, the Indxx USA Cloud Computing Index returned 10.72%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily Cloud Computing Bull 2X Shares returned 7.09%, while the model indicated an expected return of 13.44%.

The Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares seeks to provide 200% of the daily return of the Indxx US Electric and Autonomous Vehicles Index. The Indxx US Electric and Autonomous Vehicles Index is designed to track the performance of electric and autonomous vehicles companies. The Index Provider defines electric and autonomous vehicles companies as those companies that derive at least 50% of their revenues from the following activities (or "sub-themes"): Manufacturers – companies that manufacture and sell electric or autonomous vehicles; Enablers – companies that build infrastructure or create technology for electric or autonomous vehicles, such as charging docks and batteries; and Software and Technology Services – companies that engage in the development of software and technology for electric or autonomous vehicles. For the Annual Period, the Indxx US Electric and Autonomous Vehicles Index returned -29.69%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. Since inception, the Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares returned -62.32%, while the model indicated an expected return of -60.57%.

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The Direxion Daily Energy Bull 2X Shares and the Direxion Daily Energy Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the Energy Select Sector Index. The Energy Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the energy sector which includes the following industries: oil, gas and consumable fuels; and energy equipment and services. For the Annual Period, the Energy Select Sector Index returned -1.63%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Energy Bull 2X Shares returned -14.68%, while the model indicated an expected return of -8.97%. The Direxion Daily Energy Bear 2X Shares returned -1.57%, while the model indicated an expected return of -13.81%.

The Direxion Daily Global Clean Energy Bull 2X Shares seeks to provide 200% of the daily return of the S&P Global Clean Energy Index. The S&P Global Clean Energy Index is designed to track the performance of companies from developed markets whose economic fortunes are tied to the global clean energy business. The Index has a target constituent count of 100 and is limited to those stocks traded on a developed market exchange that meet or exceed, at the time of inclusion, $300 million in total market capitalization, $100 million in float adjusted market capitalization, and $3 million average daily value traded over a six-month period. The Index is rebalanced semiannually. For the Annual Period, the S&P Global Clean Energy Index returned -30.54%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. Since inception, the Direxion Daily Global Clean Energy Bull 2X Shares returned -57.35%, while the model indicated an expected return of -53.97%.

The Direxion Daily Gold Miners Index Bull 2X Shares and the Direxion Daily Gold Miners Index Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the NYSE Arca Gold Miners Index. The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies that operate globally in both developed and emerging markets, and are involved primarily in mining for gold and, to a lesser extent, in mining for silver. The index will limit the weight of companies whose revenues are more significantly exposed to silver mining to less than 20% of the index at each rebalance date. The index may include small- and mid-capitalization companies and foreign issuers For the Annual Period, the NYSE Arca Gold Miners Index returned 18.24%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Gold Miners Index Bull 2X Shares returned 16.06%, while the model indicated an expected return of 24.55%. The Direxion Daily Gold Miners Index Bear 2X Shares returned -41.52%, while the model indicated an expected return of -49.04%.

The Direxion Daily Junior Gold Miners Index Bull 2X Shares and the Direxion Daily Junior Gold Miners Index Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the MVIS Global Junior Gold Miners Index. The MVIS Global Junior Gold Miners Index tracks the performance of foreign and domestic micro-, small- and mid-capitalization companies that generate, or demonstrate the potential to generate, at least 50% of their revenues from, or have at least 50% of their assets related to, gold mining and/or silver mining, hold real property or have mining projects that have the potential to produce at least 50% of the company's revenue from gold or silver mining when developed, or primarily invest in gold or silver. For the Annual Period, the MVIS Global Junior Gold Miners Index returned 15.01%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Junior Gold Miners Index Bull 2X Shares returned 5.10%, while the model indicated an expected return of 12.79%. The Direxion Daily Junior Gold Miners Index Bear 2X Shares returned -41.65%, while the model indicated an expected return of -49.07%.

The Direxion Daily NYSE FANG+ Bull 2X Shares (the "FANG ETF") seeks to provide 200% of the daily return of the NYSE FANG+ Index. The NYSE FANG+ Index is an equal-dollar weighted Index designed to track the performance of 10 highly-traded growth stocks of technology and tech-enabled companies. The Index is comprised of the securities of U.S.-listed companies that ICE Data Indices, LLC (the "Index Provider") has identified as FANG+ companies, which are comprised of six FAANMG companies and four non-FAANMG companies. The Index Provider defines FAANMG as Meta Platforms Inc. (META), Apple Inc. (AAPL), Amazon.com Inc. (AMZN), Netflix Inc. (NFLX), Microsoft Corp. (MSFT), and Alphabet Inc. Class A (GOOGL). The Index is reconstituted quarterly. From March 1, 2023 through October 31, 2023, the NYSE FANG+ Index returned 32.80%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods,

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the annual return of the index alone should not generate expectations of annual performance of the ETF. From March 1, 2023 through October 31, 2023, the FANG ETF returned 60.89%, while the model indicated an expected return of 68.82%.

From November 1, 2022 through February 28, 2023, the FANG ETF sought to provide 200% of the daily return of the ICE FANG 20 Index. The ICE FANG 20 Index is an equal weighted index designed to include Facebook, Apple, Amazon, Netflix and (Alphabet's) Google (i.e., the FANGs) and similar highly-traded growth stocks of technology and tech-enabled companies, such as Microsoft, from the information technology, communication services and consumer discretionary sectors. The Index consists of 20 stocks or depository receipts that are listed on a U.S. Exchange that have a minimum of a $5 billion market capitalization and a 6-month average daily trading value of at least $50 million. The Index selects companies whose economic fortunes are tied to technologies such as social networking, autonomous driving, electric vehicles, smartphones, mobile payments, e-commerce, online games, streaming media, online entertainment, cryptocurrencies, blockchain, big data, artificial intelligence, machine learning, digital advertising, cloud services and other innovative technologies. The Index is reconstituted and rebalanced quarterly. From November 1, 2022 through February 28, 2023, the ICE FANG 20 Index returned 0.21%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. From November 1, 2022 through February 28, 2023, the FANG ETF returned -6.94%, while the model indicated an expected return of -5.12%.

The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares sought to provide 200% of the daily return of the Indxx Global Robotics & Artificial Intelligence Thematic Index. The Indxx Global Robotics & Artificial Intelligence Thematic Index is designed to provide exposure to exchange-listed companies in developed markets that are expected to benefit from the adoption and utilization of robotics and/or artificial intelligence, including companies involved in developing industrial robots and production systems, automated inventory management, unmanned vehicles, voice/image/text recognition, and medical robots or robotic instruments, as defined by the index provider, Indxx. Companies must have a minimum market capitalization of $100 million and a minimum average daily turnover for the last 6 months greater than, or equal to, $2 million in order to be eligible for inclusion in the Index. For the Annual Period, the Indxx Global Robotics & Artificial Intelligence Thematic Index returned 15.42%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETF. The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares returned 19.17%, while the model indicated an expected return of 27.49%.

The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares and the Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the S&P Oil & Gas Exploration & Production Select Industry Index. The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's and includes domestic companies from the oil and gas exploration and production sub-industry. The index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards. For the Annual Period, the S&P Oil & Gas Exploration & Production Select Industry Index returned -1.14%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares returned -17.42%, while the model indicated an expected return of -11.82%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares returned -14.02%, while the model indicated an expected return of -24.51%.

The Direxion Daily Travel & Vacation Bull 2X Shares seeks to provide 200% of the daily return of the BlueStar®​ Travel and Vacation Index. The BlueStar®​ Travel and Vacation Index is provided by MV Index Solutions GmbH and is comprised of US listed stocks, including depository receipts, of companies that are "Travel and Vacation" companies, as defined by the Index Provider. To be eligible for inclusion in the Index, a company must either (a) derive 25% or more of its revenue from, or devote 25% or more of its annual budget to, operating theme parks and/or hotels or (b) derive 50% or more of its revenue from, or devote 50% or more of its annual budget to the following activities: 1. Hotel accommodations; 2. Commercial airlines; 3. Casino resorts; 4. Hotel time shares; 5. Ski resorts; 6. Cruises; 7. Hotel real estate investment trusts; 8. Performing arts centers; 9. Online travel and event booking; 10. Specialty travel and experiences (such as outer space passenger travel), and 11. Operation of theme parks. For the Annual Period, the BlueStar®​ Travel and Vacation Index returned 3.10%. Given the daily investment objectives of the ETF and the path dependency of returns for longer periods, the annual return of the

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index alone should not generate expectations of annual performance of the ETF. The Direxion Daily Travel & Vacation Bull 2X Shares returned -5.27%, while the model indicated an expected return of 1.12%.

Index Volatility:

For equities, the Annual Period started off very volatile but stabilized slightly throughout the year. The VIX index, a measure of volatility and market sentiment, reached an Annual Period-high of 30.81 on March 13, 2023, but ended the period at 18.14 on October 31, 2023. For bonds, the Federal Reserve's rate hiking cycle has led to much higher-than-normal volatility across the fixed income market and was even higher than most stocks by the end of the Annual Period. Although stock and bond volatility are historically closely aligned, the Annual Period ended with a divergence between the two, causing confusion for some investors.

Index

 

Return

 

Volatility

 

S&P 500®​ Index

   

10.14

%

   

15.51

   

CSI 300 Index

   

3.68

%

   

21.09

   

CSI Overseas China Internet Index

   

40.22

%

   

44.51

   

MSCI Brazil 25/50 Index

   

2.75

%

   

30.21

   

MSCI India Index

   

4.16

%

   

12.00

   

Indxx USA Cloud Computing Index

   

10.72

%

   

24.85

   

Indxx US Electric and Autonomous Vehicles Index

   

-29.69

%

   

44.96

   

Energy Select Sector Index

   

-1.63

%

   

24.74

   

S&P Global Clean Energy Index

   

-30.54

%

   

20.95

   

NYSE Arca Gold Miners Index

   

18.24

%

   

33.64

   

MVIS Global Junior Gold Miners Index

   

15.01

%

   

37.08

   

Indxx Global Robotics & Artificial Intelligence Thematic Index

   

15.42

%

   

24.37

   

S&P Oil & Gas Exploration & Production Select Industry Index

   

-1.14

%

   

32.07

   

ICE FANG 20 Index1

   

0.21

%

   

42.63

   

NYSE FANG+ Index2

   

32.80

%

   

25.41

   

BlueStar®​ Travel and Vacation Index

   

3.10

%

   

22.44

   

1  ​November 1, 2022 through February 28, 2023

2​  March 1, 2023 through October 31, 2023

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

Best Regards,

 

 

Patrick Rudnick

 

Corey Noltner

 

Principal Executive Officer

 

Principal Financial Officer

 

DIREXION ANNUAL REPORT
10


An investor should carefully consider a Fund's investment objective, risks, charges, and expenses before investing. A Fund's prospectus and summary prospectus contain this and other information about the Direxion Shares. To obtain a Fund's prospectus and summary prospectus call 866-476-7523 or visit our website at direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.

*Basis Point: One hundredth of 1 percentage point.

*Consumer Price Index (CPI): CPI measures the monthly change in prices paid by U.S. consumers.

*Yield Curve: The yield curve is a line that plots yields (interest rates) of bonds having equal credit quality but differing maturity dates. The slope of the yield curve gives an idea of future interest rate changes and economic activity.

S&P 500®​ Index: The S&P 500 Index, or Standard & Poor's 500 Index, is a market-capitalization-weighted index of 500 leading publicly traded companies in the U.S.

NASDAQ-100®​ Index: The Index includes 100 of the largest domestic and international non-financial companies listed on the NASDAQ Stock Market®​ based on market capitalization.

Leveraged and Inverse ETFs pursue daily leveraged investment objectives which means they are riskier than alternatives which do not use leverage. They seek daily goals and should not be expected to track the underlying index over periods longer than one day. They are not suitable for all investors and should be utilized only by sophisticated investors who understand leverage risk and who actively manage their investments.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Funds website at direxion.com.

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

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

SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.

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

The views of this letter were those of the Adviser as of October 31, 2023 and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.

Distributed by: Foreside Fund Services, LLC

DIREXION ANNUAL REPORT
11


Letter to Single Stock Shareholders

Dear Shareholders,

This Annual Report for the Direxion Shares ETF Trust exchange-traded funds (the "ETFs") covers the period from November 1, 2022 to October 31, 2023 (the "Annual Period").

Market Review:

The Annual Period was filled with ups and downs in the equity markets as inflation, the banking crisis, artificial intelligence (AI), and the housing market were top of mind for many investors. In November and December of 2022, many broad-based indices fell. However, 2023 started out on a stronger note as equity markets rallied in January, but market sentiment in February was much more bearish on the heels of a higher-than-expected consumer price index* (CPI) reading. Despite that, for the first half of 2023, both the NASDAQ-100®​ Index* and S&P 500®​ Index* finished up 39.4% and 16.95%, respectively. The winning streak came to an end in August, as both indices posted their first monthly decline since February and continued to fall in September and October. China effectively ended their zero-Covid policy in December, causing Chinese and Chinese-adjacent equities to rally. In early March, three regional banks collapsed, one after another, beginning with Silicon Valley Bank, causing the financials segment of the S&P 500®​ Index to fall nearly 10% in March. Some fears in the banking sector, specifically smaller banks, bled into the following months. In May, NVIDIA Corporation delivered an outstanding earnings report centered around AI, and its market value rose more in one day than any stock in history. AI has come into focus as a market catalyst, and many AI-related names experienced higher trading volumes, although interest in the space slowed down towards the end of the Annual Period. By the end of the Annual Period, the housing market led headlines, as mortgage rates reached levels not seen since 2000, causing a reduction in housing prices in some locations. October marked the third consecutive month of falling median home prices. Aside from affecting market sentiment, equities in construction, real estate development, and other related industries were especially impacted. The Annual Period began and ended with recessionary fears and uncertainty surrounding the market environment, although inflation began to moderate.

All eyes were on the Federal Reserve during the Annual Period as they attempted to combat inflation and market volatility. As the Federal Reserve conducted a series of rate hikes, Treasury yields peaked in November, and started to go down in the latter half of November and December. In fact, bonds outperformed stocks in 2022, which is extremely rare, although both ended 2022 in the red. Aside from a few exceptions, short-term yields tended to be higher than long-term yields, which is atypical and causes an inverted yield curve. Inflation started to come down in January, and the Federal Reserve reduced the rate hike on February 1st to 25 basis points* from the 50 or 75 basis point hikes in 2022. Rate hikes paused in June and resumed in July at 25 basis points. In terms of inflation, the fixed income market rallied in January as headline CPI ticked down. However, the February CPI reading was higher-than-expected, prompting markets to anticipate further hawkish monetary policy. Although inflation has been sticky for much of the Annual Period, it is starting to come down and the Federal Reserve maintains the inflation target remains at 2%. The banking collapse also influenced the fixed income market, causing interest rate expectations to decrease and lending standards to tighten. In early August, U.S. long-term debt was downgraded by Fitch, moving Treasury yields higher. In both the September and October Federal Open Market Committee meetings, the Federal Reserve left rates unchanged, but made no mention of cutting rates. Additionally, in response to the growing federal deficit, the U.S. Treasury issued more bonds throughout the last few months of the Annual Period. Bond yields ended the Annual Period at multi-year highs.

Direxion Shares Operational Review:

The discussion below relates to the performance of the ETFs for the Annual Period. The ETFs are leveraged or inverse and seek daily investment results, before fees and expenses, of 150% or -100% (opposite or inverse) of the performance of a particular security. All ETF returns are NAV (net asset value) returns.

The ETFs, as stated above, seek daily investment results. They do not seek to track the inverse or a multiple of their respective underlying security for periods of longer than one day, and the performance of the ETFs over longer periods may not correlate to their underlying security's performance. The ETFs should not be held by investors for long periods, and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by

DIREXION ANNUAL REPORT
12


sophisticated investors who understand the risks associated with shorting and/or the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.

The ETFs with the word "Bull" in their name (the "Bull ETFs"), attempt to provide investment results that correlate to 150%, before fees and expenses, of the daily performance of an underlying security, meaning the Bull Funds attempt to move in the same direction as their respective target underlying security.

The Funds with the word "Bear" in their name (the "Bear ETFs"), attempt to provide investment results that correlate to -100%, before fees and expenses, of the daily performance of an underlying security, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target underlying security.

In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser"), relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the underlying security will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.

Each leveraged ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.

The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.

Because each ETF seeks daily investment results of a particular underlying security, a comparison of the return of the ETF to the relevant common shares tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the respective underlying security. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying volatility.

Factors Affecting the ETFs Performance:

Benchmark Performance – The daily performance of each ETF's underlying security, and the factors and market conditions implicitly affecting that underlying security, are the primary factors driving ETF performance. Given the daily goals, the series of daily underlying security returns are most important. The market conditions that affected the underlying security during the past year are described below.

Leverage – Each Bull ETF seeks daily investment results (before fees and expenses) of 150% of the performance of its respective underlying security. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility.

Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of a particular underlying security. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the particular underlying security. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.

DIREXION ANNUAL REPORT
13


Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its underlying security.

Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its particular underlying security. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time, but deviates from its particular underlying security in the short-term.

Equity Dividends and Bond Interest – Bull ETFs are positively impacted by equity and common shares dividends as the ETFs receive those payments. Bear ETFs are negatively impacted as they are obligated to pay the dividends.

Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.

Direxion Shares Performance Review:

The Direxion Daily AAPL Bull 1.5X Shares and the Direxion Daily AAPL Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Apple Inc. (NASDAQ: AAPL). Apple Inc. designs, manufactures, and markets smartphones, personal computers, tablets, wearables, and accessories worldwide. It also sells various related services. For the Annual Period, the common shares of Apple Inc. returned 12.03%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily AAPL Bull 1.5X Shares returned 8.95%, while the model indicated an expected return of 15.85%. The Direxion Daily AAPL Bear 1X Shares returned -9.96%, while the model indicated an expected return of -16.18%.

The Direxion Daily AMZN Bull 1.5X Shares and the Direxion Daily AMZN Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Amazon.com, Inc. (NASDAQ: AMZN). Amazon.com, Inc. engages in the retail sale of consumer products and subscriptions in North America and internationally. The company operates through three segments: North America, International, and Amazon Web Services. For the Annual Period, the common shares of Amazon.com, Inc. returned 29.92%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily AMZN Bull 1.5X Shares returned 31.53%, while the model indicated an expected return of 40.57%. The Direxion Daily AMZN Bear 1X Shares returned -28.28%, while the model indicated an expected return of -33.23%.

The Direxion Daily GOOGL Bull 1.5X Shares and the Direxion Daily GOOGL Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the class A shares of Alphabet Inc. (NASDAQ: GOOGL). Alphabet Inc. provides online advertising services in the United States, Europe, the Middle East, Africa, the Asia-Pacific, Canada, and Latin America. For the Annual Period, the common shares of Alphabet Inc. returned 31.29%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily GOOGL Bull 1.5X Shares returned 35.52% while the model indicated an expected return of 44.32%. The Direxion Daily GOOGL Bear 1X Shares returned -26.57%, while the model indicated an expected return of -31.81%.

The Direxion Daily MSFT Bull 1.5X Shares and the Direxion Daily MSFT Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Microsoft Corporation (NASDAQ: MSFT). Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide. For the Annual Period, the common shares of Microsoft Corporation returned 47.06%. Given the daily investment objectives of the ETFs and the path

DIREXION ANNUAL REPORT
14


dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSFT Bull 1.5X Shares returned 62.95%, while the model indicated an expected return of 73.18%. The Direxion Daily MSFT Bear 1X Shares returned -32.53%, while the model indicated an expected return of -27.50%.

The Direxion Daily NVDA Bull 1.5X Shares and the Direxion Daily NVDA Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of NVIDIA Corporation (NASDAQ: NVDA). NVIDIA Corporation operates as a visual computing company worldwide. It operates in two segments, graphics and compute and networking. From September 13, 2023 (the inception date of the Funds) through October 31, 2023, the common shares of NVIDIA Corporation returned -10.34%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily NVDA Bull 1.5X Shares returned -14.76%, while the model indicated an expected return of -13.96%. The Direxion Daily NVDA Bear 1X Shares returned 9.12%, while the model indicated an expected return of 8.06%.

The Direxion Daily TSLA Bull 1.5X Shares and the Direxion Daily TSLA Bear 1X Shares seek to provide 150% or -100%, respectively, of the daily return of the common shares of Tesla, Inc. (NASDAQ: TSLA). Tesla, Inc. designs, manufactures and sells electric vehicles and electric vehicle powertrain components. For the Annual Period, the common shares of Tesla, Inc. returned -11.73%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the common shares alone should not generate expectations of annual performance of the ETFs. The Direxion Daily TSLA Bull 1.5X Shares returned -32.56%, while the model indicated an expected return of -27.50%. The Direxion Daily TSLA Bear 1X Shares returned -14.81%, while the model indicated an expected return of -20.49%.

Common Shares Volatility:

For equities, the Annual Period started off very volatile but stabilized slightly throughout the year. The VIX index, a measure of volatility and market sentiment, reached an Annual Period-high of 30.81 on March 13, 2023, but ended the period at 18.14 on October 31, 2023. For bonds, the Federal Reserve's rate hiking cycle has led to much higher-than-normal volatility across the fixed income market and was even higher than most stocks by the end of the Annual Period. Although stock and bond volatility are historically closely aligned, the Annual Period ended with a divergence between the two, causing confusion for some investors.

Common Shares

 

Return

 

Volatility

 

Common shares of Apple Inc. (AAPL)

   

12.03

%

   

25.06

   

Common shares of Amazon.com, Inc. (AMZN)

   

29.92

%

   

37.51

   

Class A shares of Alphabet Inc. (GOOGL)

   

31.29

%

   

33.31

   

Common shares of Microsoft Corporation (MSFT)

   

47.06

%

   

28.13

   

Common shares of NVIDIA Corporation (NVDA)1

   

-10.34

%

   

59.82

   

Common shares of Tesla, Inc. (TSLA)

   

-11.73

%

   

36.68

   

1  ​September 13, 2023 through October 31, 2023

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

Best Regards,

 

 

Patrick Rudnick

 

Corey Noltner

 

Principal Executive Officer

 

Principal Financial Officer

 

DIREXION ANNUAL REPORT
15


Investing in the funds involves a high degree of risk. Unlike traditional ETFs, or even other leveraged and/or inverse ETFs, these leveraged and/or inverse single-stock ETFs track the price of a single stock rather than an index, eliminating the benefits of diversification. Leveraged and inverse ETFs pursue daily leveraged investment objectives, which means they are riskier than alternatives which do not use leverage. They seek daily goals and should not be expected to track the underlying stock's performance over periods longer than one day. They are not suitable for all investors and should be utilized only by investors who understand leverage risk and who actively manage their investments. The Funds will lose money if the underlying stock's performance is flat, and it is possible that the Bull Fund will lose money even if the underlying stock's performance increases, and the Bear Fund will lose money even if the underlying stock's performance decreases, over a period longer than a single day. An investor could lose the full principal value of his or her investment in a single day.

*Basis Point: One hundredth of 1 percentage point.

*Consumer Price Index (CPI): CPI measures the monthly change in prices paid by U.S. consumers.

*Yield Curve: The yield curve is a line that plots yields (interest rates) of bonds having equal credit quality but differing maturity dates. The slope of the yield curve gives an idea of future interest rate changes and economic activity.

*S&P 500®​ Index: The S&P 500 Index, or Standard & Poor's 500 Index, is a market-capitalization-weighted index of 500 leading publicly traded companies in the U.S.

*NASDAQ-100®​ Index: The Index includes 100 of the largest domestic and international non-financial companies listed on the NASDAQ Stock Market®​ based on market capitalization.

An investor should carefully consider a Fund's investment objective, risks, charges, and expenses before investing. A Fund's prospectus and summary prospectus contain this and other information about the Direxion Shares. To obtain a Fund's prospectus and summary prospectus call 866-476-7523 or visit our website at direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Funds website at direxion.com.

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

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

SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.

Direxion Shares ETF Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration that results from an ETF's investments in a particular company, which can increase volatility. The use of derivatives such as futures contracts and swaps

DIREXION ANNUAL REPORT
16


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 the inverse or a multiple of the return of their respective underlying security for periods other than a single day. For other risks including leverage, correlation, daily compounding, market volatility and risks specific to an industry, sector, or company, please read each ETF's prospectus.

The views of this letter were those of the Adviser as of October 31, 2023 and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.

Distributed by: Foreside Fund Services, LLC

DIREXION ANNUAL REPORT
17


Direxion Daily S&P 500®​ Bear 1X Shares

Performance Summary (Unaudited)

June 8, 20161​ - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily S&P 500®​ Bear 1X Shares
(NAV)
   

-3.26

%

   

-9.10

%

   

-11.30

%

   

-11.24

%

 
Direxion Daily S&P 500®​ Bear 1X Shares
(Market Price)
   

-3.32

%

   

-9.05

%

   

-11.28

%

   

-11.24

%

 

S&P 500®​ Index

   

10.14

%

   

10.36

%

   

11.01

%

   

11.71

%

 

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 (gross) is 0.62%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.45% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-100%) will not generally equal a fund's performance over that same period.

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

The S&P 500®​ Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500®​ Index are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500®​ Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
18


Direxion Daily AAPL Bear 1X Shares

Performance Summary (Unaudited)

August 9, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily AAPL Bear 1X Shares (NAV)

   

-9.96

%

   

-4.50

%

 

Direxion Daily AAPL Bear 1X Shares (Market Price)

   

-9.92

%

   

-4.49

%

 

Common shares of Apple, Inc.

   

12.03

%

   

3.38

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 2.15%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-100%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 100% of the inverse (or opposite) of the performance of the common shares of Apple, Inc. stock (NASDAQ: AAPL).

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
19


Direxion Daily AMZN Bear 1X Shares

Performance Summary (Unaudited)

September 7, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily AMZN Bear 1X Shares (NAV)

   

-28.28

%

   

-12.56

%

 

Direxion Daily AMZN Bear 1X Shares (Market Price)

   

-28.30

%

   

-12.60

%

 

Common shares of Amazon, Inc.

   

29.92

%

   

2.42

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 5.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-100%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 100% of the inverse (or opposite) of the performance of the common shares of Amazon.com, Inc. stock (NASDAQ: AMZN).

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
20


Direxion Daily GOOGL Bear 1X Shares

Performance Summary (Unaudited)

September 7, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily GOOGL Bear 1X Shares (NAV)

   

-26.57

%

   

-16.49

%

 

Direxion Daily GOOGL Bear 1X Shares (Market Price)

   

-26.80

%

   

-16.64

%

 

Common shares of Alphabet, Inc.

   

31.29

%

   

11.55

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 5.00%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-100%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 100% of the inverse (or opposite) of the performance of the common shares of Alphabet, Inc. stock (NASDAQ: GOOGL).

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
21


Direxion Daily MSFT Bear 1X Shares

Performance Summary (Unaudited)

September 7, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily MSFT Bear 1X Shares (NAV)

   

-32.53

%

   

-24.73

%

 

Direxion Daily MSFT Bear 1X Shares (Market Price)

   

-32.64

%

   

-24.82

%

 

Common shares of Microsoft Corp.

   

47.06

%

   

27.59

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 4.73%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-100%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 100% of the inverse (or opposite) of the performance of the common shares of Microsoft Corp. stock (NASDAQ: MSFT).

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
22


Direxion Daily NVDA Bear 1X Shares

Performance Summary (Unaudited)

September 13, 20231​ - October 31, 2023

    Total Return as of
October 31, 2023
 
   

Since Inception

 

Direxion Daily NVDA Bear 1X Shares (NAV)

   

9.12

%

 

Direxion Daily NVDA Bear 1X Shares (Market Price)

   

9.08

%

 

Common shares of NVIDIA Corp.

   

-10.34

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-100%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 100% of the inverse (or opposite) of the performance of the common shares of NVIDIA Corp. stock (NASDAQ: NVDA).

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
23


Direxion Daily TSLA Bear 1X Shares

Performance Summary (Unaudited)

August 9, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily TSLA Bear 1X Shares (NAV)

   

-14.81

%

   

2.39

%

 

Direxion Daily TSLA Bear 1X Shares (Market Price)

   

-15.13

%

   

2.02

%

 

Common shares of Tesla, Inc.

   

-11.73

%

   

-24.45

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 2.26%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-100%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 100% of the inverse (or opposite) of the performance of the common shares of Tesla, Inc. stock (NASDAQ: TSLA).

Market Exposure

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

1​  Commencement of operations.

DIREXION ANNUAL REPORT
24


Direxion Daily AAPL Bull 1.5X Shares

Performance Summary (Unaudited)

August 9, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily AAPL Bull 1.5X Shares (NAV)

   

8.95

%

   

-3.80

%

 

Direxion Daily AAPL Bull 1.5X Shares (Market Price)

   

8.98

%

   

-3.71

%

 

Common shares of Apple, Inc.

   

12.03

%

   

3.38

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 2.51%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (150%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 150% of the performance of the common shares of Apple, Inc. stock (NASDAQ: AAPL).

Market Exposure

The Fund seeks daily exposure of 150% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
25


Direxion Daily AMZN Bull 1.5X Shares

Performance Summary (Unaudited)

September 7, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily AMZN Bull 1.5X Shares (NAV)

   

31.53

%

   

-5.11

%

 

Direxion Daily AMZN Bull 1.5X Shares (Market Price)

   

31.70

%

   

-5.04

%

 

Common shares of Amazon, Inc.

   

29.92

%

   

2.42

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 5.13%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2025 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (150%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 150% of the performance of the common shares of Amazon.com, Inc. stock (NASDAQ: AMZN).

Market Exposure

The Fund seeks daily exposure of 150% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
26


Direxion Daily GOOGL Bull 1.5X Shares

Performance Summary (Unaudited)

September 7, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily GOOGL Bull 1.5X Shares (NAV)

   

35.52

%

   

9.26

%

 

Direxion Daily GOOGL Bull 1.5X Shares (Market Price)

   

35.94

%

   

9.40

%

 

Common shares of Alphabet, Inc.

   

31.29

%

   

11.55

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 5.13%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (150%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 150% of the performance of the common shares of Alphabet, Inc. stock (NASDAQ: GOOGL).

Market Exposure

The Fund seeks daily exposure of 150% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
27


Direxion Daily MSFT Bull 1.5X Shares

Performance Summary (Unaudited)

September 7, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily MSFT Bull 1.5X Shares (NAV)

   

62.95

%

   

34.32

%

 

Direxion Daily MSFT Bull 1.5X Shares (Market Price)

   

63.20

%

   

34.45

%

 

Common shares of Microsoft Corp.

   

47.06

%

   

27.59

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 5.30%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (150%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 150% of the performance of the common shares of Microsoft Corp. stock (NASDAQ: MSFT).

Market Exposure

The Fund seeks daily exposure of 150% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1  ​Commencement of operations.

DIREXION ANNUAL REPORT
28


Direxion Daily NVDA Bull 1.5X Shares

Performance Summary (Unaudited)

September 13, 20231​ - October 31, 2023

    Total Return as of
October 31, 2023
 
   

Since Inception

 

Direxion Daily NVDA Bull 1.5X Shares (NAV)

   

-14.76

%

 

Direxion Daily NVDA Bull 1.5X Shares (Market Price)

   

-14.72

%

 

Common shares of NVIDIA Corp.

   

-10.34

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (150%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 150% of the performance of the common shares of NVIDIA Corp. stock (NASDAQ: NVDA).

Market Exposure

The Fund seeks daily exposure of 150% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
29


Direxion Daily TSLA Bull 1.5X Shares

Performance Summary (Unaudited)

August 9, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily TSLA Bull 1.5X Shares (NAV)

   

-32.56

%

   

-47.83

%

 

Direxion Daily TSLA Bull 1.5X Shares (Market Price)

   

-32.31

%

   

-47.65

%

 

Common shares of Tesla, Inc.

   

-11.73

%

   

-24.45

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.25%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (150%) will not generally equal a fund's performance over that same period.

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

The Fund seeks daily inverse investment results, before fees and expenses, of 150% of the performance of the common shares of Tesla, Inc. stock (NASDAQ: TSLA).

Market Exposure

The Fund seeks daily exposure of 150% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
30


Direxion Daily CSI 300 China A Share Bull 2X Shares

Performance Summary (Unaudited)

April 16, 20151​ - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily CSI 300 China A Share
Bull 2X Shares (NAV)
   

0.88

%

   

-22.04

%

   

-0.35

%

   

-10.35

%

 
Direxion Daily CSI 300 China A Share
Bull 2X Shares (Market Price)
   

0.50

%

   

-22.07

%

   

-0.40

%

   

-10.36

%

 

CSI 300 Index

   

3.68

%

   

-9.65

%

   

3.51

%

   

-2.33

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.17%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
31


Direxion Daily CSI China Internet Index Bull 2X Shares

Performance Summary (Unaudited)

November 2, 20161​ - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily CSI China Internet Bull 2X
Shares (NAV)
   

41.58

%

   

-61.18

%

   

-32.45

%

   

-25.10

%

 
Direxion Daily CSI China Internet Bull 2X
Shares (Market Price)
   

41.41

%

   

-61.18

%

   

-32.48

%

   

-25.11

%

 

CSI Overseas China Internet Index

   

40.22

%

   

-25.87

%

   

-6.03

%

   

-3.39

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.33%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The CSI Overseas China Internet Index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the Internet and Internet-related sectors, as defined by the index sponsor, China Securities Index Co., Ltd. (''CSI''). A China-based company is a company that meets at least one of the following criteria: 1) the company is incorporated in mainland China; 2) its headquarters are in mainland China; or 3) at least 50% of the revenue from goods produced or sold, or services performed in mainland China. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1  ​Commencement of operations.

DIREXION ANNUAL REPORT
32


Direxion Daily S&P 500®​ Bull 2X Shares

Performance Summary (Unaudited)

May 28, 20141​ - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily S&P 500®​ Bull 2X Shares
(NAV)
   

11.50

%

   

14.26

%

   

14.08

%

   

15.78

%

 
Direxion Daily S&P 500®​ Bull 2X Shares
(Market Price)
   

11.51

%

   

14.53

%

   

13.98

%

   

15.81

%

 

S&P 500®​ Index

   

10.14

%

   

10.36

%

   

11.01

%

   

10.74

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.74%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.60% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The S&P 500®​ Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500®​ Index are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500®​ Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
33


Direxion Daily MSCI Brazil Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily MSCI Brazil Bull 2X Shares
(NAV)
   

-12.28

%

   

9.89

%

   

-39.42

%

   

-37.87

%

 
Direxion Daily MSCI Brazil Bull 2X Shares
(Market Price)
   

-12.59

%

   

9.64

%

   

-39.48

%

   

-37.95

%

 

MSCI Brazil 25/50 Index

   

2.75

%

   

12.99

%

   

0.60

%

   

-0.35

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.24%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The MSCI Brazil 25/50 Index is designed to measure the performance of the large and mid cap segments of the Brazil equity market, covering approximately 85% of the free float-adjusted market capitalization in Brazil. The Index applies certain screens and weightings to take into account the investment limits placed on regulated investment companies ("RICs") under federal tax regulations. One such requirement is that at the end of each quarter of a RIC's tax year, no more than 25% of its assets may be invested in a single issuer and the sum of the weights of all issuers representing more than 5% of the RIC should not exceed 50% of its total assets. The Index aims to reflect these requirements in the selection and weighting of its component securities. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
34


Direxion Daily MSCI India Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily MSCI India Bull 2X
Shares (NAV)
   

-3.02

%

   

15.56

%

   

-1.51

%

   

-1.11

%

 
Direxion Daily MSCI India Bull 2X
Shares (Market Price)
   

-2.92

%

   

15.58

%

   

-1.34

%

   

-1.10

%

 

MSCI India Index

   

4.16

%

   

13.36

%

   

10.77

%

   

8.33

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.26%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The MSCI India Index is designed to measure the performance of equity securities whose market capitalization, as calculated by MSCI, represents the top 85% of companies in the Indian equity securities markets. The performance of the MSCI India Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
35


Direxion Daily Cloud Computing Bull 2X Shares

Performance Summary (Unaudited)

January 8, 20211​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily Cloud Computing Bull 2X Shares (NAV)

   

7.09

%

   

-33.59

%

 
Direxion Daily Cloud Computing Bull 2X Shares
(Market Price)
   

7.23

%

   

-33.56

%

 

Indxx USA Cloud Computing Index

   

10.72

%

   

-12.47

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.27%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The Indxx USA Cloud Computing Index is provided by Indxx, LLC. and includes domestic companies that deliver cloud computing infrastructure, platforms, or services. The companies included in the Index are involved in the delivery of computing services – servers, storage, databases, networking, software, analytics, and more, over the internet, which is often referred to as the "Cloud." The Index Provider has defined cloud computing to include three themes: Infrastructure as a service; Platform as a service; and Software as a service. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
36


Direxion Daily Electric and Autonomous Vehicles Bull 2X Shares

Performance Summary (Unaudited)

August 11, 20221​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 
Direxion Daily Electric and Autonomous Vehicles Bull 2X
Shares (NAV)
   

-62.32

%

   

-79.51

%

 
Direxion Daily Electric and Autonomous Vehicles Bull 2X
Shares (Market Price)
   

-62.10

%

   

-79.45

%

 

Indxx US Electric and Autonomous Vehicles Index

   

-29.69

%

   

-47.95

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 4.75%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The Indxx US Electric and Autonomous Vehicles Index is designed to track the performance of electric and autonomous vehicles companies. Indxx (the "Index Provider") defines electric and autonomous vehicles companies as those companies that derive at least 50% of their revenues from the following activities (or "sub-themes"): • Manufacturers – companies that manufacture and sell electric or autonomous vehicles. • Enablers – companies that build infrastructure or create technology for electric or autonomous vehicles, such as charging docks and batteries. • Software and Technology Services – companies that engage in the development of software and technology for electric or autonomous vehicles. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
37


Direxion Daily Energy Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 

Direxion Daily Energy Bull 2X Shares (NAV)

   

-14.68

%

   

96.19

%

   

-23.51

%

   

-22.19

%

 
Direxion Daily Energy Bull 2X Shares
(Market Price)
   

-14.79

%

   

96.10

%

   

-23.48

%

   

-22.20

%

 

Energy Select Sector Index

   

-1.63

%

   

50.16

%

   

10.36

%

   

3.88

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.94%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The Energy Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: oil, gas & consumable fuels; and energy equipment & services. Each of the component securities of the Index is a constituent company of the S&P 500 Index. The performance of Energy Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
38


Direxion Daily Energy Bear 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 

Direxion Daily Energy Bear 2X Shares (NAV)

   

-1.57

%

   

-66.17

%

   

-42.18

%

   

-30.55

%

 
Direxion Daily Energy Bear 2X Shares
(Market Price)
   

-1.57

%

   

-66.17

%

   

-42.18

%

   

-30.54

%

 

Energy Select Sector Index

   

-1.63

%

   

50.16

%

   

10.36

%

   

3.88

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.11%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-200%) will not generally equal a fund's performance over that same period.

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

The Energy Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: oil, gas & consumable fuels; and energy equipment & services. Each of the component securities of the Index is a constituent company of the S&P 500 Index. The performance of Energy Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
39


Direxion Daily Global Clean Energy Bull 2X Shares

Performance Summary (Unaudited)

July 29, 20211​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily Global Clean Energy Bull 2X Shares (NAV)

   

-57.35

%

   

-45.59

%

 
Direxion Daily Global Clean Energy Bull 2X Shares
(Market Price)
   

-57.34

%

   

-45.58

%

 

S&P Global Clean Energy Index

   

-30.54

%

   

-20.97

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.92%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The S&P Global Clean Energy Index is designed to track the performance of companies from developed markets whose economic fortunes are tied to the global clean energy business. The Index has a target constituent count of 100 and is limited to those stocks traded on a developed market exchange that meet or exceed, at the time of inclusion, $300 million in total market capitalization, $100 million in float adjusted market capitalization, and $3 million average daily value traded over a six month period. The Index is rebalanced semi-annually. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1​  Commencement of operations.

DIREXION ANNUAL REPORT
40


Direxion Daily Gold Miners Index Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily Gold Miners Index Bull 2X
Shares (NAV)
   

16.06

%

   

-27.71

%

   

-15.11

%

   

-34.20

%

 
Direxion Daily Gold Miners Index Bull 2X
Shares (Market Price)
   

16.09

%

   

-27.73

%

   

-15.06

%

   

-34.20

%

 

NYSE Arca Gold Miners Index

   

18.24

%

   

-7.73

%

   

9.71

%

   

2.33

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.19%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies that operate globally in both developed and emerging markets and are involved primarily in the mining for gold and silver. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
41


Direxion Daily Gold Miners Index Bear 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily Gold Miners Index Bear 2X
Shares (NAV)
   

-41.52

%

   

-11.60

%

   

-56.13

%

   

-54.63

%

 
Direxion Daily Gold Miners Index Bear 2X
Shares (Market Price)
   

-41.40

%

   

-11.47

%

   

-56.18

%

   

-54.61

%

 

NYSE Arca Gold Miners Index

   

18.24

%

   

-7.73

%

   

9.71

%

   

2.33

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies that operate globally in both developed and emerging markets and are involved primarily in the mining for gold and silver. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
42


Direxion Daily Junior Gold Miners Index Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily Junior Gold Miners Index
Bull 2X Shares (NAV)
   

5.10

%

   

-38.41

%

   

-40.08

%

   

-50.18

%

 
Direxion Daily Junior Gold Miners Index
Bull 2X Shares (Market Price)
   

5.01

%

   

-38.51

%

   

-40.12

%

   

-50.22

%

 

MVIS Global Junior Gold Miners Index

   

15.01

%

   

-12.59

%

   

5.72

%

   

0.19

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.15%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The MVIS Global Junior Gold Miners Index is a cap-weighted total return index that covers the largest and most liquid small-cap companies that derive at least 50% from Gold or Silver mining or have properties to do so. The performance of the MVIS Global Junior Gold Miners Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
43


Direxion Daily Junior Gold Miners Index Bear 2X Shares

Performance Summary (Unaudited)

October 31, 2013 - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily Junior Gold Miners Index
Bear 2X Shares (NAV)
   

-41.65

%

   

-12.47

%

   

-66.35

%

   

-68.42

%

 
Direxion Daily Junior Gold Miners Index
Bear 2X Shares (Market Price)
   

-41.85

%

   

-12.37

%

   

-66.37

%

   

-68.42

%

 

MVIS Global Junior Gold Miners Index

   

15.01

%

   

-12.59

%

   

5.72

%

   

0.19

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.02%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The MVIS Global Junior Gold Miners Index is a cap-weighted total return index that covers the largest and most liquid small-cap companies that derive at least 50% from Gold or Silver mining or have properties to do so. The performance of the MVIS Global Junior Gold Miners Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

DIREXION ANNUAL REPORT
44


Direxion Daily NYSE FANG+ Bull 2X Shares

Performance Summary (Unaudited)

September 30, 20211​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily NYSE FANG+ Bull 2X Shares (NAV)

   

49.68

%

   

-46.30

%

 

Direxion Daily NYSE FANG+ Bull 2X Shares (Market Price)

   

49.40

%

   

-46.29

%

 

NYSE FANG+ Index

   

62.83

%

   

1.71

%

 

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. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.17%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The ICE FANG 20 Index is an equal weighted index designed to include Facebook, Apple, Amazon, Netflix and (Alphabet's) Google (i.e., the FANGs) and similar highly-traded growth stocks of technology and tech-enabled companies, such as Microsoft, from the information technology, communication services and consumer discretionary sectors. The Index consists of 20 stocks or depository receipts that are listed on a U.S. Exchange that have a minimum of a $5 billion market capitalization and a 6-month average daily trading value of at least $50 million. The Index selects companies whose economic fortunes are tied to technologies such as social networking, autonomous driving, electric vehicles, smartphones, mobile payments, e-commerce, online games, streaming media, online entertainment, cryptocurrencies, blockchain, big data, artificial intelligence machine learning, digital advertising, cloud services and other innovative technologies. The Index is reconstituted and rebalanced quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
45


Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares

Performance Summary (Unaudited)

April 19, 20181​ - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily Robotics, Artificial
Intelligence & Automation Index
Bull 2X Shares (NAV)
   

19.17

%

   

-21.64

%

   

-7.17

%

   

-18.38

%

 
Direxion Daily Robotics, Artificial
Intelligence & Automation Index
Bull 2X Shares (Market Price)
   

18.01

%

   

-21.73

%

   

-7.37

%

   

-18.50

%

 
Indxx Global Robotics & Artificial
Intelligence Thematic Index
   

15.42

%

   

-5.74

%

   

3.79

%

   

-0.44

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.41%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The Indxx Global Robotics & Artificial Intelligence Thematic Index is designed to provide exposure to exchange-listed companies in developed markets that are expected to benefit from the adoption and utilization of robotics and/or artificial intelligence, including companies involved in developing industrial robots and production systems, automated inventory management, unmanned vehicles, voice/image/text recognition, and medical robots or robotic instruments (collectively, "Robotics & Artificial Intelligence Companies"), as defined by Indxx, the Index Provider. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1  ​Commencement of operations.

DIREXION ANNUAL REPORT
46


Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares

Performance Summary (Unaudited)

May 28, 20151​ - October 31, 2025

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily S&P Oil & Gas Exp. & Prod.
Bull 2X Shares (NAV)
   

-17.42

%

   

98.92

%

   

-55.35

%

   

-52.16

%

 
Direxion Daily S&P Oil & Gas Exp. & Prod.
Bull 2X Shares (Market Price)
   

-17.43

%

   

98.73

%

   

-55.38

%

   

-52.17

%

 
S&P Oil & Gas Exploration & Production
Select Industry Index
   

-1.14

%

   

56.95

%

   

2.53

%

   

-1.78

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.99%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions.

The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's Index Provider and includes domestic companies from the oil and gas exploration and production sub-industry. The Index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1  ​Commencement of operations.

DIREXION ANNUAL REPORT
47


Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares

Performance Summary (Unaudited)

May 28, 20151​ - October 31, 2023

    Average Annual Total Return as of
October 31, 2023
 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily S&P Oil & Gas Exp. & Prod.
Bear 2X Shares (NAV)
   

-14.02

%

   

-75.35

%

   

-50.44

%

   

-46.38

%

 
Direxion Daily S&P Oil & Gas Exp. & Prod.
Bear 2X Shares (Market Price)
   

-14.15

%

   

-75.37

%

   

-50.47

%

   

-46.38

%

 
S&P Oil & Gas Exploration & Production
Select Industry Index
   

-1.14

%

   

56.95

%

   

2.53

%

   

-1.78

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-200%) will not generally equal a fund's performance over that same period.

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

The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's Index Provider and includes domestic companies from the oil and gas exploration and production sub-industry. The Index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of -200% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
48


Direxion Daily Travel & Vacation Bull 2X Shares

Performance Summary (Unaudited)

June 10, 20211​ - October 31, 2023

    Average Annual Total Return
as of October 31, 2023
 
   

1 Year

 

Since Inception

 

Direxion Daily Travel & Vacation Bull 2X Shares (NAV)

   

-5.27

%

   

-32.33

%

 
Direxion Daily Travel & Vacation Bull 2X Shares
(Market Price)
   

-5.79

%

   

-32.32

%

 

BlueStar®​ Travel and Vacation Index

   

3.10

%

   

-11.96

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.02%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2024 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (200%) will not generally equal a fund's performance over that same period.

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

The BlueStar®​ Travel and Vacation Index is provided by MV Index Solutions GmbH and is comprised of US-listed stocks, including depository receipts, of companies that are Travel and Vacation companies. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

The Fund seeks daily exposure of 200% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

1 ​  Commencement of operations.

DIREXION ANNUAL REPORT
49


Expense Example (Unaudited)

October 31, 2023

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

The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (May 1, 2023 to October 31, 2023).

Actual expenses

The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period May 1, 2023 to October 31, 2023" to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

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

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

Expense Example (Unaudited)

October 31, 2023

    Annualized
Expense Ratio
  Beginning
Account Value
May 1, 2023
  Ending
Account Value
October 31, 2023
  Expenses Paid
During Period
May 1, 2023 to
October 31, 2023*
 

Direxion Daily S&P 500®​ Bear 1X Shares

 

Based on actual fund return

   

0.48

%

 

$

1,000.00

   

$

1,026.10

   

$

2.45

   

Based on hypothetical 5% return

   

0.48

%

   

1,000.00

     

1,022.79

     

2.45

   

Direxion Daily AAPL Bear 1X Shares

 

Based on actual fund return

   

1.00

%

   

1,000.00

     

1,012.10

     

5.07

   

Based on hypothetical 5% return

   

1.00

%

   

1,000.00

     

1,020.16

     

5.09

   

Direxion Daily AMZN Bear 1X Shares

 

Based on actual fund return

   

0.96

%

   

1,000.00

     

781.40

     

4.31

   

Based on hypothetical 5% return

   

0.96

%

   

1,000.00

     

1,020.37

     

4.89

   

Direxion Daily GOOGL Bear 1X Shares

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

866.20

     

4.47

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

   

DIREXION ANNUAL REPORT
50


Expense Example (Unaudited)

October 31, 2023

    Annualized
Expense Ratio
  Beginning
Account Value
May 1, 2023
  Ending
Account Value
October 31, 2023
  Expenses Paid
During Period
May 1, 2023 to
October 31, 2023*
 

Direxion Daily MSFT Bear 1X Shares

 

Based on actual fund return

   

0.97

%

 

$

1,000.00

   

$

919.20

   

$

4.69

   

Based on hypothetical 5% return

   

0.97

%

   

1,000.00

     

1,020.32

     

4.94

   

Direxion Daily NVDA Bear 1X Shares1

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

1,091.20

     

1.33

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,005.44

     

1.28

   

Direxion Daily TSLA Bear 1X Shares

 

Based on actual fund return

   

1.14

%

   

1,000.00

     

753.50

     

5.04

   

Based on hypothetical 5% return

   

1.14

%

   

1,000.00

     

1,019.46

     

5.80

   

Direxion Daily AAPL Bull 1.5X Shares

 

Based on actual fund return

   

1.25

%

   

1,000.00

     

973.90

     

6.22

   

Based on hypothetical 5% return

   

1.25

%

   

1,000.00

     

1,018.90

     

6.36

   

Direxion Daily AMZN Bull 1.5X Shares

 

Based on actual fund return

   

1.29

%

   

1,000.00

     

1,341.90

     

7.61

   

Based on hypothetical 5% return

   

1.29

%

   

1,000.00

     

1,018.70

     

6.56

   

Direxion Daily GOOGL Bull 1.5X Shares

 

Based on actual fund return

   

1.31

%

   

1,000.00

     

1,183.30

     

7.21

   

Based on hypothetical 5% return

   

1.31

%

   

1,000.00

     

1,018.60

     

6.67

   

Direxion Daily MSFT Bull 1.5X Shares

 

Based on actual fund return

   

1.20

%

   

1,000.00

     

1,115.00

     

6.40

   

Based on hypothetical 5% return

   

1.20

%

   

1,000.00

     

1,019.16

     

6.11

   

Direxion Daily NVDA Bull 1.5X Shares1

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

852.40

     

1.18

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,005.44

     

1.28

   

Direxion Daily TSLA Bull 1.5X Shares

 

Based on actual fund return

   

1.23

%

   

1,000.00

     

1,245.80

     

6.96

   

Based on hypothetical 5% return

   

1.23

%

   

1,000.00

     

1,019.00

     

6.26

   

Direxion Daily CSI 300 China A Share Bull 2X Shares

 

Based on actual fund return

   

0.94

%

   

1,000.00

     

704.20

     

4.04

   

Based on hypothetical 5% return

   

0.94

%

   

1,000.00

     

1,020.47

     

4.79

   

Direxion Daily CSI China Internet Index Bull 2X Shares

 

Based on actual fund return

   

0.94

%

   

1,000.00

     

779.70

     

4.22

   

Based on hypothetical 5% return

   

0.94

%

   

1,000.00

     

1,020.47

     

4.79

   

Direxion Daily S&P 500®​ Bull 2X Shares

 

Based on actual fund return

   

0.86

%

   

1,000.00

     

987.30

     

4.31

   

Based on hypothetical 5% return

   

0.86

%

   

1,000.00

     

1,020.87

     

4.38

   

Direxion Daily MSCI Brazil Bull 2X Shares

 

Based on actual fund return

   

1.69

%

   

1,000.00

     

1,097.30

     

8.93

   

Based on hypothetical 5% return

   

1.69

%

   

1,000.00

     

1,016.69

     

8.59

   

Direxion Daily MSCI India Bull 2X Shares

 

Based on actual fund return

   

1.08

%

   

1,000.00

     

1,065.10

     

5.62

   

Based on hypothetical 5% return

   

1.08

%

   

1,000.00

     

1,019.76

     

5.50

   

Direxion Daily Cloud Computing Bull 2X Shares

 

Based on actual fund return

   

1.39

%

   

1,000.00

     

1,187.10

     

7.66

   

Based on hypothetical 5% return

   

1.39

%

   

1,000.00

     

1,018.20

     

7.07

   
Direxion Daily Electric and Autonomous Vehicles
Bull 2X Shares
 

Based on actual fund return

   

1.19

%

   

1,000.00

     

740.80

     

5.22

   

Based on hypothetical 5% return

   

1.19

%

   

1,000.00

     

1,019.21

     

6.06

   

Direxion Daily Energy Bull 2X Shares

 

Based on actual fund return

   

1.15

%

   

1,000.00

     

978.20

     

5.73

   

Based on hypothetical 5% return

   

1.15

%

   

1,000.00

     

1,019.41

     

5.85

   

DIREXION ANNUAL REPORT
51


Expense Example (Unaudited)

October 31, 2023

    Annualized
Expense Ratio
  Beginning
Account Value
May 1, 2023
  Ending
Account Value
October 31, 2023
  Expenses Paid
During Period
May 1, 2023 to
October 31, 2023*
 

Direxion Daily Energy Bear 2X Shares

 

Based on actual fund return

   

1.27

%

 

$

1,000.00

   

$

970.60

   

$

6.31

   

Based on hypothetical 5% return

   

1.27

%

   

1,000.00

     

1,018.80

     

6.46

   

Direxion Daily Global Clean Energy Bull 2X Shares

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

460.30

     

3.50

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

   

Direxion Daily Gold Miners Index Bull 2X Shares

 

Based on actual fund return

   

1.32

%

   

1,000.00

     

643.20

     

5.47

   

Based on hypothetical 5% return

   

1.32

%

   

1,000.00

     

1,018.55

     

6.72

   

Direxion Daily Gold Miners Index Bear 2X Shares

 

Based on actual fund return

   

1.65

%

   

1,000.00

     

1,377.10

     

9.89

   

Based on hypothetical 5% return

   

1.65

%

   

1,000.00

     

1,016.89

     

8.39

   
Direxion Daily Junior Gold Miners Index Bull 2X
Shares
 

Based on actual fund return

   

1.26

%

   

1,000.00

     

644.80

     

5.22

   

Based on hypothetical 5% return

   

1.26

%

   

1,000.00

     

1,018.85

     

6.41

   
Direxion Daily Junior Gold Miners Index Bear 2X
Shares
 

Based on actual fund return

   

1.60

%

   

1,000.00

     

1,326.20

     

9.38

   

Based on hypothetical 5% return

   

1.60

%

   

1,000.00

     

1,017.14

     

8.13

   

Direxion Daily NYSE FANG+ Bull 2X Shares

 

Based on actual fund return

   

1.59

%

   

1,000.00

     

1,320.80

     

9.30

   

Based on hypothetical 5% return

   

1.59

%

   

1,000.00

     

1,017.19

     

8.08

   
Direxion Daily Robotics, Artificial Intelligence &
Automation Index Bull 2X Shares
 

Based on actual fund return

   

1.69

%

   

1,000.00

     

791.30

     

7.63

   

Based on hypothetical 5% return

   

1.69

%

   

1,000.00

     

1,016.69

     

8.59

   
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X
Shares
 

Based on actual fund return

   

1.33

%

   

1,000.00

     

1,251.20

     

7.55

   

Based on hypothetical 5% return

   

1.33

%

   

1,000.00

     

1,018.50

     

6.77

   
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X
Shares
 

Based on actual fund return

   

1.33

%

   

1,000.00

     

723.60

     

5.78

   

Based on hypothetical 5% return

   

1.33

%

   

1,000.00

     

1,018.50

     

6.77

   

Direxion Daily Travel & Vacation Bull 2X Shares

 

Based on actual fund return

   

1.17

%

   

1,000.00

     

794.00

     

5.29

   

Based on hypothetical 5% return

   

1.17

%

   

1,000.00

     

1,019.31

     

5.96

   

*  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, 2023 to October 31, 2023), 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 September 13, 2023 (commencement of operations) to October 31, 2023, multiplied by 49 days (the number of days since commencement of operations to October 31, 2023), then divided by 365.

DIREXION ANNUAL REPORT
52


Allocation of Portfolio Holdings (Unaudited)

October 31, 2023

   

Cash*

  Common
Stocks
  Investment
Companies
 

Swaps

 

Total

 

Direxion Daily S&P 500®​ Bear 1X Shares

   

95

%

   

     

     

5

%

   

100

%

 

Direxion Daily AAPL Bear 1X Shares

   

96

%

   

     

     

4

%

   

100

%

 

Direxion Daily AMZN Bear 1X Shares

   

103

%

   

     

     

(3

)%

   

100

%

 

Direxion Daily GOOGL Bear 1X Shares

   

93

%

   

     

     

7

%

   

100

%

 

Direxion Daily MSFT Bear 1X Shares

   

102

%

   

     

     

(2

)%

   

100

%

 

Direxion Daily NVDA Bear 1X Shares

   

91

%

   

     

     

9

%

   

100

%

 

Direxion Daily TSLA Bear 1X Shares

   

79

%

   

     

     

21

%

   

100

%

 

Direxion Daily AAPL Bull 1.5X Shares

   

84

%

   

19

%

   

     

(3

)%

   

100

%

 

Direxion Daily AMZN Bull 1.5X Shares

   

82

%

   

13

%

   

     

5

%

   

100

%

 

Direxion Daily GOOGL Bull 1.5X Shares

   

87

%

   

19

%

   

     

(6

)%

   

100

%

 

Direxion Daily MSFT Bull 1.5X Shares

   

85

%

   

14

%

   

     

1

%

   

100

%

 

Direxion Daily NVDA Bull 1.5X Shares

   

101

%

   

10

%

   

     

(11

)%

   

100

%

 

Direxion Daily TSLA Bull 1.5X Shares

   

101

%

   

20

%

   

     

(21

)%

   

100

%

 

Direxion Daily CSI 300 China A Share Bull 2X Shares

   

74

%

   

     

47

%

   

(21

)%

   

100

%

 

Direxion Daily CSI China Internet Index Bull 2X Shares

   

67

%

   

     

48

%

   

(15

)%

   

100

%

 

Direxion Daily S&P 500®​ Bull 2X Shares

   

7

%

   

93

%

   

     

0

%**

   

100

%

 

Direxion Daily MSCI Brazil Bull 2X Shares

   

50

%

   

     

44

%

   

6

%

   

100

%

 

Direxion Daily MSCI India Bull 2X Shares

   

58

%

   

     

44

%

   

(2

)%

   

100

%

 

Direxion Daily Cloud Computing Bull 2X Shares